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EMPLOYEES PENSION PLAN - PERFORMANCE REVIEW - FOURTH QUARTERMicrosoft Word - City of Clearwater Cover & Contents.doc 102 W. Whiting Street, Suite 400, Tampa, FL 33602-5140 ♦ Tel: 813/218-5000 ♦ www.captrustadv.com Eric W. Bailey, CFA John J. Griffith Managing Principal Senior Investment Consultant CITY OF CLEARWATER EMPLOYEES PENSION PLAN PERFORMANCE REVIEW DECEMBER 31, 2011 TABLE OF CONTENTS 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 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. When applicable, investment results depicted represent historical net of fees performance. 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. City of Clearwater Employees Pension Fund Important Disclaimer Information 1 2 CAPITAL MARKETS REVIEW – DECEMBER 31, 2011 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 the conclusion 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. Index QTR YTD 1 Yr 3 Yr 5 Yr 10 Yr Domestic Fixed Income 3 Month T-Bill 0.00% 0.06% 0.06% 0.12% 1.31% 1.91% Barclays Capital 1-3 year Gov't 0.21% 1.56% 1.56% 1.79% 3.80% 3.39% Barclays Capital Interm Gov't 0.69% 6.08% 6.08% 3.54% 5.86% 4.89% Barclays Capital Interm Credit 1.13% 5.37% 5.37% 9.59% 6.21% 5.79% Barclays Capital Interm Govt/Cred 0.84% 5.80% 5.80% 5.65% 5.88% 5.20% Barclays Capital Aggregate Bond 1.12% 7.84% 7.84% 6.77% 6.50% 5.78% Domestic Equity Standard & Poor's 500 11.82% 2.11% 2.11% 14.11% -0.25% 2.92% Dow Jones Industrial Average 12.78% 8.38% 8.38% 14.89% 2.37% 4.57% Dow Jones US Total Full Cap 11.97% 0.52% 0.52% 15.24% 0.28% 3.90% Dow Jones US Select REIT 15.36% 9.37% 9.37% 21.63% -2.04% 10.12% Russell 1000 -Large Cap 11.84% 1.50% 1.50% 14.81% -0.02% 3.35% Russell 1000 Growth -Large Cap 10.61% 2.64% 2.64% 18.02% 2.50% 2.60% Russell 1000 Value -Large Cap 13.11% 0.39% 0.39% 11.55% -2.64% 3.89% Russell Midcap 12.31% -1.55% -1.55% 20.17% 1.42% 6.99% Russell Midcap Growth 11.24% -1.65% -1.65% 22.06% 2.44% 5.29% Russell Midcap Value 13.37% -1.38% -1.38% 18.19% 0.04% 7.67% Russell 2000 -Small Cap 15.47% -4.18% -4.18% 15.63% 0.15% 5.62% Russell 2000 Growth -Small Cap 14.99% -2.91% -2.91% 19.00% 2.09% 4.48% Russell 2000 Value -Small Cap 15.97% -5.50% -5.50% 12.36% -1.87% 6.40% International Equity MSCI EAFE 3.33% -12.14% -12.14% 7.65% -4.72% 4.67% MSCI World 7.59% -5.54% -5.54% 11.13% -2.37% 3.62% MSCI EM 4.08% -20.41% -20.41% 17.35% 0.08% 11.19% Blended Benchmarks 30% S&P 500 /70% Barclays Agg 4.33% 6.12% 6.12% 8.97% 4.48% 4.92% 40% S&P 500 /60% Barclays Agg 5.40% 5.55% 5.55% 9.71% 3.80% 4.64% 50% S&P 500 /50% Barclays Agg 6.47% 4.98% 4.98% 10.44% 3.13% 4.35% 60% S&P 500 /40% Barclays Agg 7.54% 4.40% 4.40% 11.17% 2.45% 4.06% 70% S&P 500 /30% Barclays Agg 8.61% 3.83% 3.83% 11.91% 1.78% 3.78% 3 CAPITAL MARKETS REVIEW – DECEMBER 31, 2011 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 the conclusion 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. Capital Markets Overview The U.S. markets shrugged off persistent concerns over the European debt crisis to end the quarter better than it began. The latest economic data indicates that the U.S. economy is not in a recession, and that economic activity probably expanded at its fastest pace of the year during the fourth quarter. Overseas markets remain mixed. In Europe, the debt crisis and austerity measures are the source of much consternation. European leaders must deal with the debt, but austerity demands may be forcing some countries into a recession. China is working through a government controlled economic slowdown. After a volatile third quarter the fixed income markets took a breather. However, most sectors of the fixed income market did see gains for the quarter. The exceptions were long dated Treasuries and international developed fixed income. Yields remain at historically low levels. Commodities declined during the quarter, led by metals. Gold ended below its August high, but finished the quarter and year with its 11th straight annual gain. Iranian military exercises and threats to close or restrict shipping lanes caused a late-in-the-quarter spike in crude oil. The U.S. Dollar Index is up 13% from its March 2008 low as investor’s perceived the dollar as a safe haven alternative to the Euro. Fourth quarter ends much better than it started > U.S. economy more resilient than expected > Economic activity expands at faster pace of the year (4th quarter) > Recessionary fears subside -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0%2000 2002 2004 2006 2008 2010 Real GDP Bars = CAGR Line = Yr/Yr Percent Change GDP -CAGR: Q3 @1.8% GDP -Yr/Yr Percent Change: Q3 @1.5% Percentage estimates for 4th quarter 4 CAPITAL MARKETS REVIEW – DECEMBER 31, 2011 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 the conclusion 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. 20 40 60 80 100 120 140 160 20 40 60 80 100 120 140 160 87 89 91 93 95 97 99 01 03 05 07 09 11 Consumer Confidence Index Conference Board Confidence Yr/Yr % Chg: Dec @1.8% Confidence: Dec @64.5 12-Month Moving Average: Dec @58.1 > Consumer confidence jumps to eight month high > Investor sentiment improves > Jobs and employment numbers improve October rally sparks U.S. equities in fourth quarter > October marks best month for S&P 500 since 1991 > Energy and Industrials lead S&P 500 to 11.82% return in quarter > Dow Jones Industrial Average rallies more than 1000 points in October > Major market caps post gains better than 10% for the quarter, led by small caps (Russell 2000) up 15.47% 7.90 8.28 8.729.96 10.26 10.82 11.82 12.58 15.39 16.5218.20 Telecommunication Utilities Information Technology Health Care Consumer Staples Financials S&P 500 Consumer Discretionary Materials Industrials Energy S&P 500 4Q 2011 Sector Returns -5.00% 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 4Q11 1 year 3 years 5 years 10 years Return (%) Broad Domestic Equity Performance Large Cap Mid Cap Small Cap 5 CAPITAL MARKETS REVIEW – DECEMBER 31, 2011 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 the conclusion 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. Most sectors of the fixed income markets see gains during the quarter > Corporate, High Yield and Preferred sectors all rise > Yields remain at near historically low levels 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 4Q11 YTD 1 YR 3 YR 5 YR Credit Performance AAA AA ABBB BB 3 Year Trailing Treasury yields 0123456 1 yr 5 yr 10 yr 30 yr Long Treasuries see moderate declines > Benchmark 30-year Treasury yield drops to 2.89% from 2.91% > International developed fixed income markets trended lower 6 CAPITAL MARKETS REVIEW – DECEMBER 31, 2011 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 the conclusion 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. Global economy still threatened by debt and engineered slowdown > China in the midst of engineered economic slowdown to slow inflation > Emerging markets improved, but still pressured by slow growth > Europe struggling to contain debt crisis and calm fears -12% -8% -4% 0% 4% 8% -12% -8% -4% 0% 4% 8% 2002 2004 2006 2008 2010 Eurozone Real GDP Bars = Compound Annual Rate Line = Yr/Yr % Change Compound Annual Growth: Q3 @0.6% Year-over-Year Percent Change: Q3 @1.4% Forecast Percentage estimates for 4th quarter Source: HIS Global Insight -1.5% 0.0% 1.5% 3.0% 4.5% 6.0% 7.5% -1.5% 0.0% 1.5% 3.0% 4.5% 6.0% 7.5%1970 1975 1980 1985 1990 1995 2000 2005 2010 Real Global GDP Growth Year-over-Year Percent Change, PPP Weights Period Average Percentage estimates for 4th quarter Source: International Monetary Fund 7 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 Agg Bond 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 and operation of commercial real estate. CAPITAL MARKETS REVIEW – DECEMBER 31, 2011 CAPITAL MARKET INDEX RETURNS 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 the conclusion 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. 19 9 2 19 9 3 19 9 4 19 9 5 19 9 6 19 9 7 19 9 8 19 9 9 2 0 0 0 2 0 0 1 2 0 0 2 2 0 0 3 2 0 0 4 2 0 0 5 2 0 0 6 2 0 0 7 2 0 0 8 2 0 0 9 2 0 10 2 0 11 Russell Russell DJ Russell Russell Russell DJ Russell Barclays Russell DJ DJ DJ Russell Barclays Russell Russell DJ BES T 2000 10 0 0 Wilshire 1000 1000 2000 Wilshire 2000 Agg 2000 Wilshire Wilshire Wilshire 1000 Agg 1000 2000 Wilshire Value Value REIT Value Growth Growth REIT Value Bond Growth REIT REIT REIT Growth Bond Growth Growth REIT 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% 9 .37% DJ Russell Russell Russell Russell Russell DJ DJ Russell Russell Russell Russell DJ Barclays Wilshire 2000 1000 1000 1000 2000 Wilshire Wilshire 2000 2000 2000 2000 Wilshire Agg REIT Value Growth Growth Growth Value REIT REIT Value Value Value Growth REIT Bond 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% 7.84% Russell Russell DJ Russell Russell Barclays Barclays Russell Russell Russell Russell Russell Russell Russell 1000 1000 Wilshire 1000 2000 Agg Agg 2000 10 0 0 2000 2000 10 0 0 2000 1000 Value Value REIT Growth Value Bond Bond Value Value Value Growth Value Value Growth 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% 2 .64% Russell DJ Russell Rus sell Russell Russell Russell Russell Russell DJ Russell Russell Russell Barclays DJ Russell 2000 Wilshire 2000 1000 1000 1000 1000 1000 1000 Wilshire 1000 10 0 0 1000 Ag g Wilshire 10 0 0 Growth REIT Growth Value Growth Value Value Value Value REIT Value Growth Value Bond REIT Growth 7.77% 15.14% 1.3 1% 31.04% 21.64% 30.49% 15.63% 21.04% 7.01% -5.59% -15.52% 36.06% 16 .4 9% 5.26% 22.25% 6.97% -37.00% 28.46% 16 .71% 2.11% Russell Russell Russell Russell DJ Barclays Rus sell Russell Russell Russell Russell Russell Russell 2000 2000 2000 2000 Wilshire Agg 1000 2000 1000 2000 1000 1000 1000 Growth Value Value Value REIT Bond Value Growth Value Growth Growth Value Value 7.62% 13 .37% -1.55% 2 5.75% 21.37% 19 .67% 8 .6 7% 7.35% -9 .10% -9 .22% -15.94% 30.03% 14 .3 1% 4 .91% 15.79% 5.49% -38.44% 26.46% 15.51% 0 .39% Barclays Russell Barclays Russell Russell Russell DJ Russell Russell Russell Russell Russell Russell Russell Agg 1000 Agg 2000 2000 2000 Wilshire 1000 2000 2000 1000 2000 2000 2000 Bond Value Bond Growth Growth Growth REIT Growth Value Growth Value Growth Value Growth 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 .8 7% 4 .71% 13 .35% -0 .17% -38.54% 20.58% 15.06% -2 .91% Russell Barclays Russell DJ Barclays Russell Barclays Russell Russell Russell Russell Russell Russell Russell DJ Russell Russell 1000 Agg 2000 Wilshire Agg 2000 Agg 1000 1000 1000 1000 2000 1000 2000 Wilshire 1000 2000 Growth Bond Growth REIT Bond Value Bond Growth Growth Growth Growth Growth Growth Value REIT Value Value 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% -5.50% Russell Barclays Barclays DJ Rus sell Russell Russ ell Barclays Barclays Barclays Barclays DJ Barclays Barclays 1000 Agg Agg Wilshire 2000 2000 2000 Agg Agg Agg Agg Wilshire Agg Agg WORS T Growth Bond Bond REIT Value Growth Growth Bond Bond Bond Bond REIT Bond Bond -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% -12 .14% MSCI EAFE MSCI EAFE MSCI EAFE S&P 50 0 MSCI EAFE MSCI EAFE S&P 50 0 MSCI EAFE S&P 50 0 MSCI EAFE S&P 500 S&P 50 0 S&P 50 0 MSCI EAFE S&P 50 0 MSCI EAFE S&P 500 MSCI EAFE MSCI EAFE MSCI EAFE S&P 50 0 S&P 50 0 MSCI EAFE MSCI EAFE MSCI EAFE S&P 50 0 S&P 50 0 MSCI EAFE S&P 50 0 S&P 50 0 S&P 50 0 S&P 50 0 MSCI EAFE MSCI EAFE S&P 500 S&P 50 0 MSCI EAFE S&P 50 0 MSCI EAFE S&P 50 0 8 CAPITAL MARKETS REVIEW – DECEMBER 31, 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 the conclusion 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. Aug '82 –DJIA 776 Black Monday -Oct '87 Asian Crisis Invasion of Iraq 9 CAPITAL MARKETS REVIEW – DECEMBER 31, 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 the conclusion 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. 10 CAPITAL MARKETS REVIEW – DECEMBER 31, 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 the conclusion 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 – DECEMBER 31, 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 the conclusion 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 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 in this report, please visit the our research disclosure page at www.wellsfargoadvisors.com/gotoresearchdisclosures or 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 of every 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; Mtge Backed 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 US Value = RU 2000 Value; MidCap US Stocks = RU Midcap; Large Cap US Value = RU 1000 Value; European Stocks = Salomon Europe BMI; Small Cap US Stocks = RU 2000; Lg Cap US Growth = RU 1000 Growth; Latin American Stocks = Salomon Latin America BMI; Sm Cap 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, Informa M-Watch, Investor Force, Barclays Capital, MSCI Barra, and Standard & Poor’s. CAPITAL MARKETS REVIEW – DECEMBER 31, 2011 GENERAL DISCLOSURE STATEMENT 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 the conclusion of this report. Past performance is not indicative of future results. 13 CAPITAL MARKETS REVIEW – DECEMBER 31, 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 a price-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 on the 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 on the 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, this index 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 stocks in 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-toprice 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 to be 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 the conclusion of this report. Past performance is not indicative of future results. 14 CAPITAL MARKETS REVIEW – DECEMBER 31, 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 index with 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 index with 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 specialpurpose 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 the conclusion of this report. Past performance is not indicative of future results. 15 16 City of Clearwater Asset Allocation vs Target & Policy Total Fund As of 12/31/11 Manager Market Value Actual % Policy % ING Investment Mgmt Aletheia Research NTGI-QM R1000V Artisan Partners Wedge Capital Mgmt Atlanta Capital Mgmt Systematic Financial Mgt Riverbridge Partners Total Domestic Equity Earnest Partners Wentworth & Violich Eaton Vance Mgmt Wellington Mgmt Total International Equity Dodge & Cox Western Asset Management Co. Security Lending Income Account In House Account Total Domestic Fixed Income Multi Employer Property Trust Security Capital Molpus Woodlands Group Total Real Estate Total Fund 92,197,899.91 26,335,621.20 53,021,835.24 35,728,704.38 36,401,291.97 12,687,788.72 10,283,687.47 20,478,456.38 287,135,285.27 33,508,295.17 27,087,331.58 25,011,469.43 6,942,220.92 92,549,317.10 111,072,566.03 87,331,156.36 183,827.37 1,499,923.22 200,087,472.98 23,664,524.95 41,960,078.37 2,874,303.00 68,498,906.32 648,270,981.67 14.22 4.06 8.18 5.51 5.62 1.96 1.59 3.16 44.29 5.17 4.18 3.86 1.07 14.28 17.13 13.47 0.03 0.23 30.86 3.65 6.47 0.44 10.57 100.00 42.00 18.00 30.00 10.00 17 City of Clearwater Sources of Fund Growth Total Fund 9/30/11 -12/31/11 Manager Name Beginning Value Net Contrib Invest Fees Invest Gain/Loss Ending Value ING Investment Mgmt Aletheia Research NTGI-QM R1000V Artisan Partners Wedge Capital Mgmt Atlanta Capital Mgmt Systematic Financial Mgt Riverbridge Partners Managed Equity Earnest Partners Wentworth & Violich Eaton Vance Mgmt Wellington Mgmt International EQ Comp Dodge & Cox Western Asset Management Co. Security Lending Income Account In House Account Fixed Income Comp Multi Employer Property Trust Security Capital Molpus Woodlands Group Real Estate Comp Total Fund 84,055,687 24,192,988 38,066,505 33,681,696 32,037,173 10,898,733 8,501,150 18,102,181 249,536,112 25,710,686 24,580,309 24,473,262 21,764,693 96,528,950 109,892,456 86,180,127 39,931 806,813 196,919,327 23,087,470 36,928,196 2,455,219 62,470,885 605,455,273 -941 -708 9,499,330 -1,326 -677 -334 -259 -372 9,494,713 5,493,087 -4,7190 -15,000,000 -9,511,633 -1,842 -13,802 143,792 693,110 821,2570 -456,637 456,000 -637 803,700 000000000000000000000000 8,143,154 2,143,342 5,456,001 2,048,335 4,364,796 1,789,389 1,782,796 2,376,647 28,104,460 2,304,523 2,511,742 538,208 177,528 5,532,000 1,181,953 1,164,832 1050 2,346,890 577,055 5,488,520 -36,916 6,028,659 42,012,008 92,197,900 26,335,621 53,021,835 35,728,704 36,401,292 12,687,789 10,283,687 20,478,456 287,135,285 33,508,295 27,087,332 25,011,469 6,942,221 92,549,317 111,072,566 87,331,156 183,827 1,499,923 200,087,473 23,664,525 41,960,078 2,874,303 68,498,906 648,270,982 18 City of Clearwater Executive Summary Table Periods Ending December 31, 2011 Net of Fee Return Name Value $(000) Periods Ending 12/31/11 Cur Qtr 1 Year 3 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs Since Inception Ret Date Total Fund Policy Index Domestic Equity Comp S&P 500 Large Cap Equity Comp R1000 Aletheia Research R1000V ING Investment Mgmt R1000G NTGI-QM R1000V R1000V Mid Cap Equity Comp R Mid Cap Artisan Partners R Mid Cap G Wedge Capital Mgmt R Mid Cap V Small Cap Equity Comp R2000 Atlanta Capital Mgmt R2000V Riverbridge Partners R2000G Systematic Financial Mgt R2000V International EQ Comp MSCI EAFE Earnest Partners MSCI EAFE Eaton Vance Mgmt MSCI Emg Mkts Wellington Mgmt MSCI Emg Mkts Wentworth & Violich MSCI EAFE Fixed Income Comp BC Agg 648,271 287,135 171,555 26,336 92,198 53,022 72,130 35,729 36,401 43,450 12,688 20,478 10,284 92,549 33,508 25,011 6,942 27,087 200,087 6.95 7.53 10.89 11.82 10.17 11.85 8.86 13.11 9.69 10.60 11.68 13.11 9.76 12.31 6.08 11.23 13.62 13.36 15.86 15.48 16.42 15.97 13.13 14.99 20.97 15.97 6.36 3.38 7.59 3.38 2.20 4.45 1.87 4.45 10.22 3.38 1.19 1.12 -0.36 1.81 -0.21 2.12 -0.90 1.51 -13.18 0.39 3.04 2.63 -0.77 0.39 -0.10 -1.56 0.07 -1.66 -0.33 -1.38 2.07 -4.17 10.20 -5.50 4.27 -2.92 -9.91 -5.50 -15.04 -11.73 -6.88 -11.73 -19.27 -18.17 -22.97 -18.17 -13.64 -11.73 5.94 7.84 15.19 13.49 17.34 14.10 13.00 14.81 11.50 11.55 14.51 18.02 11.40 11.55 22.95 20.17 26.35 22.06 19.40 18.20 20.77 15.63 20.76 12.36 18.33 12.36 16.67 8.16 19.09 8.16 18.48 20.42 15.94 20.42 16.56 8.16 8.53 6.77 3.62 2.42 1.51 -0.25 0.14 -0.02 3.28 2.50 3.59 1.41 7.10 2.44 2.23 0.15 8.66 -1.87 -0.26 -1.87 -1.70 -4.26 6.79 6.50 5.18 5.16 4.01 2.64 2.88 2.95 5.03 3.81 5.43 4.85 8.08 4.91 4.98 3.20 9.36 2.34 3.45 2.34 4.11 2.18 5.93 5.60 5.51 6.37 4.61 2.92 3.35 3.34 4.63 2.60 6.32 6.99 7.45 5.28 5.92 5.12 5.72 5.78 6.44 6.85 6.24 5.45 5.22 5.67 6.85 4.45 7.76 8.44 6.08 6.33 8.96 9.22 10.34 9.45 9.44 9.43 -4.58 -4.22 10.74 8.86 -4.29 -4.22 11.75 10.98 7.44 4.90 1.57 -0.71 7.12 6.26 10.98 6.22 16.74 10.81 5.70 6.22 4.58 3.61 -1.26 -7.59 -4.02 -4.37 -3.27 -2.26 -5.15 -7.59 6.96 7.37 12/31/87 12/31/87 12/31/87 12/31/87 3/31/88 3/31/88 6/30/07 6/30/07 12/31/87 12/31/87 6/30/07 6/30/07 3/31/88 3/31/88 7/31/01 7/31/01 2/28/07 2/28/07 8/31/03 8/31/03 8/31/03 8/31/03 9/30/10 9/30/10 8/31/03 8/31/03 5/31/01 5/31/01 4/30/08 4/30/08 4/30/08 4/30/08 3/31/08 3/31/08 4/30/08 4/30/08 12/31/87 12/31/87 19 City of Clearwater Executive Summary Table Periods Ending December 31, 2011 Net of Fee Return Name Value $(000) Periods Ending 12/31/11 Cur Qtr 1 Year 3 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs Since Inception Ret Date Dodge & Cox BC Agg In House Account 3-month T-Bill Security Lending Income Account 3-month T-Bill Western Asset Management Co. BC Agg Real Estate Comp Policy Index Molpus Woodlands Group NCREIF Timberland Index Multi Employer Property Trust NCREIF ODCE Security Capital Wilshire RESI 111,073 1,500 184 87,331 68,499 2,874 23,665 41,960 1.08 1.12 0.00 0.01 0.12 0.01 1.35 1.12 9.65 11.30 -1.35 0.51 2.50 2.97 14.90 15.40 5.10 7.84 0.00 0.08 2.85 0.08 7.23 7.84 8.85 11.62 12.99 15.99 6.86 8.56 8.98 6.77 0.00 0.12 13.71 0.12 7.85 6.77 20.99 21.69 20.59 21.89 6.71 6.50 0.00 1.36 9.62 1.36 6.78 6.50 5.93 5.60 0.00 2.08 7.98 2.08 5.89 5.60 0.00 1.86 0.00 2.90 5.60 5.31 0.76 3.92 6.75 1.91 5.84 5.54 0.04 0.06 -2.03 0.16 14.41 17.07 -0.24 0.15 2/29/04 2/29/04 12/31/87 12/31/87 6/30/03 6/30/03 9/30/04 9/30/04 4/30/08 4/30/08 6/30/11 6/30/11 9/30/10 9/30/10 4/30/08 4/30/08 20 City of Clearwater Executive Summary Table December 31, 2011 Net of Fee Return Name Value $(000) Calendar Years 2011 2010 2009 2008 2007 2006 Total Fund Policy Index Domestic Equity Comp S&P 500 Large Cap Equity Comp R1000 Aletheia Research R1000V ING Investment Mgmt R1000G NTGI-QM R1000V R1000V Mid Cap Equity Comp R Mid Cap Artisan Partners R Mid Cap G Wedge Capital Mgmt R Mid Cap V Small Cap Equity Comp R2000 Atlanta Capital Mgmt R2000V Riverbridge Partners R2000G Systematic Financial Mgt R2000V International EQ Comp MSCI EAFE Earnest Partners MSCI EAFE Eaton Vance Mgmt MSCI Emg Mkts Wellington Mgmt MSCI Emg Mkts Wentworth & Violich MSCI EAFE Fixed Income Comp BC Agg 648,271 287,135 171,555 26,336 92,198 53,022 72,130 35,729 36,401 43,450 12,688 20,478 10,284 92,549 33,508 25,011 6,942 27,087 200,087 -0.36 1.81 -0.21 2.12 -0.90 1.51 -13.18 0.39 3.04 2.63 -0.77 0.39 -0.10 -1.56 0.07 -1.66 -0.33 -1.38 2.07 -4.17 10.20 -5.50 4.27 -2.92 -9.91 -5.50 -15.04 -11.73 -6.88 -11.73 -19.27 -18.17 -22.97 -18.17 -13.64 -11.73 5.94 7.84 17.73 13.96 22.53 15.05 16.87 16.10 16.98 15.51 17.10 16.72 15.75 15.51 28.03 25.49 33.15 26.39 23.30 24.76 29.27 26.85 25.98 24.51 35.50 24.51 18.37 8.21 16.61 8.21 23.33 19.19 15.99 19.19 17.58 8.21 7.37 6.54 30.28 26.00 32.14 26.45 24.59 28.42 36.50 19.69 24.43 37.21 20.35 19.69 45.33 40.47 51.38 46.30 38.51 34.20 33.51 27.19 26.83 20.57 35.72 20.57 57.93 32.46 55.54 32.46 67.01 79.02 74.44 79.02 55.98 32.46 12.37 5.93 -27.10 -27.73 -37.76 -36.99 -35.23 -37.60 -37.97 -36.85 -33.18 -38.43 -36.86 -36.85 -41.79 -41.46 -42.87 -44.32 -34.89 -38.45 -38.63 -33.80 -19.52 -28.92 -40.71 -28.92 -47.94 -43.06 2.54 5.24 7.20 6.69 7.18 5.52 7.76 5.77 17.10 11.82 10.26 5.59 22.31 11.41 3.27 -1.55 6.91 -9.77 0.49 -9.77 11.02 11.63 5.94 6.96 11.76 16.59 13.01 15.81 11.52 15.46 7.14 9.09 12.53 15.27 10.94 10.64 17.40 18.35 16.22 23.48 18.61 23.48 27.62 26.85 5.05 4.33 21 City of Clearwater Executive Summary Table December 31, 2011 Net of Fee Return Name Value $(000) Calendar Years 2011 2010 2009 2008 2007 2006 Dodge & Cox BC Agg In House Account 3-month T-Bill Security Lending Income Account 3-month T-Bill Western Asset Management Co. BC Agg Real Estate Comp Policy Index Molpus Woodlands Group NCREIF Timberland Index Multi Employer Property Trust NCREIF ODCE Security Capital Wilshire RESI 111,073 1,500 184 87,331 68,499 2,874 23,665 41,960 5.10 7.84 0.00 0.08 2.85 0.08 7.23 7.84 8.85 11.62 12.99 15.99 6.86 8.56 7.53 6.54 0.00 0.13 21.70 0.13 7.09 6.54 30.51 24.96 31.62 29.12 14.53 5.93 0.00 0.16 17.48 0.16 9.24 5.93 24.68 29.20 24.68 29.20 1.37 5.24 0.00 1.80 2.43 1.80 3.92 5.24 5.47 6.96 0.00 4.74 5.10 4.74 6.51 6.96 5.62 4.33 0.00 4.76 4.87 4.76 4.66 4.33 22 City of Clearwater Cumulative Performance Comparison Total Returns of Total Fund Public Sponsors Periods Ending 12/11 High 1st Qt Median 3rd Qt Low T Total Fund Net Ret Rank 1 Policy Index Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 8.00 6.70 5.79 4.96 3.53 6.95 19 7.538 4.54 1.86 1.04 0.02 -1.83 -0.36 79 1.81 28 9.56 7.59 6.77 5.82 4.65 8.31 11 7.71 22 14.56 11.98 10.70 9.38 7.29 15.193 13.497 3.63 2.41 1.18 0.20 -1.25 2.74 16 1.38 46 4.50 3.51 2.47 1.70 0.62 3.62 22 2.42 52 5.61 4.71 4.06 3.51 2.69 4.93 17 4.66 25 5.83 5.02 4.41 3.91 3.19 5.18 19 5.16 19 6.69 5.73 5.04 4.57 3.79 5.76 23 6.17 10 8.52 7.21 6.53 6.02 5.12 7.22 24 8.129 6.65 5.78 5.16 4.67 3.89 5.51 37 6.37 12 -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% T1 T1 T1 T1 T1 T1 T1 T1 T1 T1 T1 23 City of Clearwater Calendar Year Performance Comparison Total Returns of Total Fund Public Sponsors Years Ending December High 1st Qt Median 3rd Qt Low T Total Fund Net Ret Rank 1 Policy Index Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 4.54 1.86 1.04 0.02 -1.83 -0.36 79 1.81 28 16.74 14.05 12.67 11.43 8.92 17.733 13.96 27 27.92 22.24 19.53 16.01 10.11 30.283 26.008 -10.14 -20.65 -24.73 -27.30 -30.38 -27.10 73 -27.73 79 11.17 8.95 7.71 6.40 4.61 7.20 60 6.69 69 16.43 14.33 12.47 10.61 7.46 11.76 58 16.594 10.75 8.46 6.62 5.36 4.02 6.71 49 8.25 27 14.38 12.07 10.16 8.56 5.76 9.90 55 13.488 27.27 23.21 20.26 17.46 11.64 19.63 55 25.03 12 1.46 -5.91 -8.13 -9.63 -12.74 -8.74 62 -8.11 49 -35% -30% -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% T1 T1 T1 T1 T1 T1 T1 T1 T1 T1 24 City of Clearwater Performance Summary Total Fund December 31, 2011 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Qtr YTD 1 Year 3 Year 5 Year Incept 12/31/87 Total Fund Policy Index Cur Qtr YTD 1 Year 3 Yrs 5 Yrs Incept Incept Date Cur Assets Total Fund Policy Index Rank ING Investment Mgmt R1000G Rank Aletheia Research R1000V Rank NTGI-QM R1000V R1000V Rank Artisan Partners R Mid Cap G Rank Wedge Capital Mgmt R Mid Cap V Rank Atlanta Capital Mgmt R2000V Rank 6.95 7.53 19 9.69 10.60 50 8.86 13.11 85 11.68 13.11 59 6.08 11.23 98 13.62 13.36 84 16.42 15.97 42 -0.36 1.81 79 3.04 2.63 17 -13.18 0.39 98 -0.77 0.39 62 0.07 -1.66 31 -0.33 -1.38 40 10.20 -5.501 -0.36 1.81 79 3.04 2.63 17 -13.18 0.39 98 -0.77 0.39 62 0.07 -1.66 31 -0.33 -1.38 40 10.20 -5.501 15.20 13.493 14.51 18.02 72 11.50 11.55 78 11.40 11.55 79 26.35 22.062 19.40 18.20 26 20.76 12.368 3.62 2.42 22 3.28 2.50 24 7.10 2.445 8.66 -1.871 8.96 9.22 10.74 8.86 -4.58 -4.22 -4.29 -4.22 7.44 4.90 1.57 -0.71 10.98 6.22 12/31/87 12/31/87 6/30/07 6/30/07 7/31/01 2/28/07 8/31/03 $648,270,982 $92,197,900 $26,335,621 $53,021,835 $35,728,704 $36,401,292 $12,687,789 25 City of Clearwater Performance Summary Total Fund December 31, 2011 Cur Qtr YTD 1 Year 3 Yrs 5 Yrs Incept Incept Date Cur Assets Systematic Financial Mgt R2000V Rank Riverbridge Partners R2000G Rank Earnest Partners MSCI EAFE Rank Wentworth & Violich MSCI EAFE Rank Eaton Vance Mgmt MSCI Emg Mkts Rank Wellington Mgmt MSCI Emg Mkts Rank Dodge & Cox BC Agg Rank Western Asset Management Co. BC Agg Rank Security Lending Income Account 3-month T-Bill In House Account 3-month T-Bill 20.97 15.971 13.13 14.99 65 7.59 3.386 10.22 3.383 2.20 4.45 85 1.87 4.45 87 1.08 1.12 63 1.35 1.12 47 0.12 0.01 0.00 0.01 -9.91 -5.50 96 4.27 -2.92 14 -6.88 -11.73 13 -13.64 -11.73 56 -19.27 -18.17 76 -22.97 -18.17 83 5.10 7.84 62 7.23 7.84 35 2.85 0.08 0.00 0.08 -9.91 -5.50 96 4.27 -2.92 14 -6.88 -11.73 13 -13.64 -11.73 56 -19.27 -18.17 76 -22.97 -18.17 83 5.10 7.84 62 7.23 7.84 35 2.85 0.08 0.00 0.08 18.33 12.36 30 19.09 8.16 10 16.56 8.16 15 18.72 20.42 75 15.94 20.42 78 8.98 6.77 37 7.85 6.77 50 14.71 0.12 0.00 0.12 -0.26 -1.87 78 6.71 6.50 43 6.78 6.50 40 10.19 1.36 0.00 1.36 5.70 6.22 16.74 10.81 -1.26 -7.59 -5.15 -7.59 -3.86 -4.37 -3.27 -2.26 5.60 5.31 5.84 5.54 7.07 1.91 0.76 3.92 8/31/03 9/30/10 4/30/08 4/30/08 4/30/08 3/31/08 2/29/04 9/30/04 6/30/03 12/31/87 $10,283,687 $20,478,456 $33,508,295 $27,087,332 $25,011,469 $6,942,221 $111,072,566 $87,331,156 $183,827 $1,499,923 26 City of Clearwater Performance Summary Total Fund December 31, 2011 Cur Qtr YTD 1 Year 3 Yrs 5 Yrs Incept Incept Date Cur Assets Multi Employer Property Trust NCREIF ODCE Rank Security Capital Wilshire RESI Rank Molpus Woodlands Group NCREIF Timberland Index 2.50 2.97 62 14.90 15.40 12 -1.35 0.51 12.99 15.99 46 6.86 8.56 70 12.99 15.99 46 6.86 8.56 70 20.59 21.899 14.41 17.07 -0.24 0.15 -2.03 0.16 9/30/10 4/30/08 6/30/11 $23,664,525 $41,960,078 $2,874,303 27 28 City of Clearwater Domestic Equity Comp as of 12/31/11 Apple Inc Exxon Mobil Corp Microsoft Corp Google Inc Philip Morris Intl I Wyndham Worldwide Co Monsanto Co New Qualcomm Inc Wal Mart Stores Inc Johnson & Johnson GICS Sector % Port Information Technology Energy Information Technology Information Technology Consumer Staples Consumer Discretionary Materials Information Technology Consumer Staples Health Care 2.82 2.77 1.61 1.58 1.45 1.05 1.05 1.04 0.99 0.98 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 10.30 5.99 14.76 15.40 7.94 10.96 10.28 22.55 0.00 1.83 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Domestic Equity Comp S&P 500 Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Domestic Equity Comp S&P 500 Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 10.89 11.81 249,536 9,495 28,104 287,135 -0.21 2.12 287,057 489 -411 287,135 -0.21 2.12 287,057 489 -411 287,135 17.34 14.10 165,993 -4,644 125,786 287,135 1.51 -0.25 308,565 -4,644 -16,786 287,135 4.61 2.92 225,747 -4,644 66,032 287,135 10.34 9.45 32,236 -4,644 259,543 287,135 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 29 City of Clearwater Domestic Equity Comp as of 12/31/11 Cash & Equiv $5,761 2.01% Domestic Equity $280,209 97.59% Other $1,165 0.41% Periods from 12/87 to 12/11 Alpha Beta R-Squared 0.15 1.09 0.94 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.5 9.0 9.5 10.0 10.5 11.0 E 1 T Annualized Standard Deviation% E Domestic Equity Comp 1 S&P 500 T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 10.34 9.45 4.06 18.13 16.13 1.19 0.35 0.33 0.00 0.22 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 30 City of Clearwater Cumulative Performance Comparison Total Returns of Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low E Domestic Equity Comp Net Ret Rank 1 S&P 500 Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 17.28 13.51 11.81 9.39 1.57 10.89 63 11.81 51 7.93 2.21 -0.02 -4.07 -10.98 -0.21 51 2.12 27 15.71 11.01 8.57 6.67 0.20 10.57 28 8.39 55 24.09 18.85 15.31 13.54 8.47 17.34 34 14.10 69 5.92 2.08 -0.41 -1.87 -4.72 0.14 45 -1.64 71 6.93 3.18 1.10 -0.31 -3.03 1.51 45 -0.25 73 8.03 5.05 3.11 2.14 -0.03 3.34 46 2.27 72 8.29 5.70 3.89 2.72 1.21 4.01 48 2.64 80 9.57 6.97 5.09 3.77 2.61 5.11 49 3.63 83 12.30 10.18 8.00 6.31 4.87 7.97 50 6.16 82 10.02 7.17 4.85 3.16 2.00 4.61 53 2.92 83 -15% -10% -5% 0% 5% 10% 15% 20% 25% E1 E1 E1 E1 E1 E1 E1 E1 E1 E1 E1 31 City of Clearwater Calendar Year Performance Comparison Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low E Domestic Equity Comp Net Ret Rank 1 S&P 500 Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 7.93 2.21 -0.02 -4.07 -10.98 -0.21 51 2.12 27 32.53 25.05 16.92 13.55 4.09 22.53 31 15.05 65 54.34 36.66 28.73 24.10 8.68 32.14 38 26.45 64 -16.26 -33.45 -37.01 -41.04 -49.21 -37.76 57 -36.99 49 22.30 10.23 5.43 0.41 -7.24 7.18 36 5.52 47 23.16 17.55 14.63 10.14 1.75 13.01 61 15.81 38 15.83 10.49 6.95 4.57 -0.10 8.12 41 4.89 70 25.39 18.13 13.04 9.97 3.32 13.18 49 10.87 68 58.56 39.20 31.40 27.48 17.66 33.74 41 28.69 66 -3.34 -14.43 -20.82 -24.65 -35.37 -21.30 53 -22.12 63 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% E1 E1 E1 E1 E1 E1 E1 E1 E1 E1 32 City of Clearwater Risk Measure Summary Domestic Equity Comp Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 13 1.03 1.17 0.50 -16.27 10.89 -0.21 -0.21 13 -13.86 11.81 2.12 2.12 39 1.11 0.98 0.75 -16.27 18.14 -0.21 55.86 22.23 1.04 0.62 0.99 0.77 16.55 2.75 1.12 39 -13.86 15.93 1.15 49.75 21.27 0.66 7 13 1.11 1.00 0.65 -23.59 18.14 -37.76 55.86 22.52 1.06 0.51 0.99 0.00 0.02 2.78 0.73 8 12 -21.93 15.93 -38.07 49.75 21.14 -0.08 31 65 1.09 1.05 0.54 -23.59 22.08 -37.76 55.86 18.13 1.09 0.15 0.94 0.35 5.77 4.82 0.22 27 69 -21.93 21.32 -38.07 49.75 16.13 0.33 33 City of Clearwater Return vs Risk Total Returns of Equity Portfolios Annualized Rate of Return 14.0 15.8 17.6 19.4 21.2 23.0 24.8 26.6 28.4 30.2 32.0 2.0 4.6 7.2 9.7 12.4 15.0 17.6 20.2 22.8 25.4 28.0 E S Median Risk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank E Domestic Equity Comp S Standard & Poors 500 Median 17.34 34 22.23 46 14.10 69 21.27 32 15.31 22.98 Annualized Rate of Return 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 28.0 30.0 32.0 -6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 E S Median Risk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank E Domestic Equity Comp S Standard & Poors 500 Median 1.51 45 22.52 51 -0.25 73 21.14 27 1.10 22.63 34 City of Clearwater Large Cap Equity Comp as of 12/31/11 Apple Inc Exxon Mobil Corp Microsoft Corp Google Inc Philip Morris Intl I Monsanto Co New Qualcomm Inc Wal Mart Stores Inc Johnson & Johnson Oracle Systems Corp GICS Sector % Port Information Technology Energy Information Technology Information Technology Consumer Staples Materials Information Technology Consumer Staples Health Care Information Technology 5.54 5.44 3.17 3.11 2.85 2.06 2.04 1.94 1.92 1.91 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 14.07 7.94 10.50 15.19 12.12 8.83 6.31 23.80 0.00 1.24 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Large Cap Equity Comp R1000 Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Large Cap Equity Comp R1000 Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 10.17 11.85 146,315 9,498 15,742 171,555 -0.90 1.51 162,657 9,496 -598 171,555 -0.90 1.51 162,657 9,496 -598 171,555 13.00 14.81 84,606 43,366 43,584 171,555 0.14 -0.02 161,257 43,366 -33,068 171,555 3.35 3.34 149,391 43,366 -21,201 171,555 9.44 9.43 18,032 43,366 110,157 171,555 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 35 City of Clearwater Large Cap Equity Comp as of 12/31/11 Cash & Equiv $1,727 1.01% Domestic Equity $168,663 98.31% Other $1,165 0.68% Periods from 3/88 to 12/11 Alpha Beta R-Squared 0.04 0.98 0.96 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.5 9.0 9.5 10.0 L1 T Annualized Standard Deviation% L Large Cap Equity Comp 1 R1000 T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 9.44 9.43 4.04 16.57 16.60 1.20 0.33 0.32 0.00 -0.01 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 36 City of Clearwater Large Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low L Large Cap Equity Comp Net Ret Rank 1 R1000 Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 13.28 12.10 11.81 11.64 8.23 10.17 91 11.85 39 6.19 2.20 2.08 1.09 -5.69 -0.90 87 1.51 66 11.08 8.86 8.41 7.91 4.39 7.62 78 8.56 34 17.95 15.15 14.24 14.07 11.81 13.00 88 14.81 34 2.52 -0.94 -1.50 -1.61 -3.24 -1.68 80 -1.42 46 3.60 0.49 -0.15 -0.23 -1.43 0.14 37 -0.02 42 5.54 2.72 2.32 2.23 1.22 1.95 81 2.41 40 5.02 3.37 2.82 2.65 2.08 2.88 44 2.95 43 6.67 4.45 3.80 3.65 3.32 3.89 46 3.97 42 9.26 7.17 6.48 6.17 5.81 6.64 44 6.57 46 7.21 4.02 3.20 2.94 2.86 3.35 48 3.34 48 -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% L1 L1 L1 L1 L1 L1 L1 L1 L1 L1 L1 37 City of Clearwater Large Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low L Large Cap Equity Comp Net Ret Rank 1 R1000 Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 6.19 2.20 2.08 1.09 -5.69 -0.90 87 1.51 66 21.22 17.07 15.13 14.94 12.16 16.87 26 16.10 33 39.27 29.85 26.78 26.47 21.28 24.59 89 28.42 37 -27.80 -35.89 -36.95 -37.19 -41.46 -35.23 22 -37.60 81 10.93 6.14 5.54 5.25 0.65 7.76 12 5.77 32 19.93 15.93 15.78 15.46 11.16 11.52 93 15.46 75 11.98 8.40 5.10 4.90 3.97 8.63 23 6.27 38 19.81 12.56 10.92 10.82 8.99 11.24 41 11.39 40 41.03 31.54 28.73 28.60 24.65 31.37 27 29.90 39 -6.83 -20.89 -22.00 -22.08 -23.79 -22.02 54 -21.65 42 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% L1 L1 L1 L1 L1 L1 L1 L1 L1 L1 38 City of Clearwater Risk Measure Summary Large Cap Equity Comp Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 22 0.88 1.03 0.00 -15.13 10.17 -0.90 -0.90 13 -14.68 11.85 1.51 1.51 48 0.95 1.04 0.50 -15.13 16.91 -0.90 49.31 21.62 0.99 -0.37 0.99 0.59 12.99 2.01 -0.82 39 -14.68 16.49 0.91 51.57 21.71 0.68 9 11 0.96 0.97 0.65 -20.96 16.91 -37.57 49.31 20.93 0.96 0.01 0.99 -0.06 -1.39 2.11 -0.00 8 12 -22.48 16.49 -38.26 51.57 21.64 -0.07 31 64 0.99 0.98 0.52 -20.96 20.12 -37.57 49.31 16.57 0.98 0.04 0.96 0.33 5.53 3.17 -0.01 27 68 -22.48 21.88 -38.26 51.57 16.60 0.32 39 City of Clearwater Return vs Risk Total Returns of Large Neutral Portfolios Annualized Rate of Return 15.0 16.2 17.4 18.6 19.8 21.0 22.2 23.4 24.6 25.8 27.0 10.0 10.9 11.7 12.6 13.5 14.4 15.3 16.2 17.1 18.0 18.9 L1 Median Risk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank L Large Cap Equity Comp 1 R1000 Median 13.00 88 21.62 64 14.81 34 21.71 65 14.24 21.28 Annualized Rate of Return 17.0 18.0 19.0 20.0 21.0 22.0 23.0 24.0 25.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 L 1 Median Risk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank L Large Cap Equity Comp 1 R1000 Median 0.14 37 20.93 22 -0.02 42 21.64 69 -0.15 21.14 40 City of Clearwater ING Investment Mgmt as of 12/31/11 Apple Inc Exxon Mobil Corp Microsoft Corp Google Inc Philip Morris Intl I Monsanto Co New Qualcomm Inc Oracle Systems Corp Danaher Corp Starbucks Corp GICS Sector % Port Information Technology Energy Information Technology Information Technology Consumer Staples Materials Information Technology Information Technology Industrials Consumer Discretionary 7.07 6.23 4.04 3.97 3.64 2.62 2.60 2.44 2.41 2.20 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 12.71 4.04 11.82 16.19 11.52 9.86 5.23 28.64 0.00 0.00 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 ING Investment Mgmt R1000G Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 ING Investment Mgmt R1000G Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 9.69 10.60 84,056 -1 8,143 92,198 3.04 2.63 89,481 -2 2,719 92,198 3.04 2.63 89,481 -2 2,719 92,198 14.51 18.02 42,416 23,385 26,397 92,198 3.28 2.50 54,192 23,385 14,621 92,198 4.63 2.60 49,832 23,385 18,981 92,198 10.74 8.86 17,469 23,385 51,344 92,198 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 41 City of Clearwater ING Investment Mgmt as of 12/31/11 Cash & Equiv $1,629 1.77% Domestic Equity $90,569 98.23% Periods from 12/87 to 12/11 Alpha Beta R-Squared 0.59 0.83 0.93 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 i 1 T Annualized Standard Deviation% i ING Investment Mgmt 1 R1000G T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 10.74 8.86 4.06 16.49 18.94 1.19 0.40 0.25 0.00 0.21 Asset Allocation ($000) Risk/Return Analysis 42 City of Clearwater Large Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low i ING Investment Mgmt Net Ret Rank 1 R1000G Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 13.36 10.87 9.73 8.29 6.71 9.69 50 10.60 31 6.73 2.02 -0.35 -4.06 -8.86 3.04 17 2.63 20 12.75 9.69 7.30 5.97 2.74 9.84 21 9.45 29 24.26 17.49 15.57 14.39 11.34 14.51 72 18.02 22 3.11 0.53 -0.68 -2.87 -4.31 0.08 40 0.30 33 5.48 3.18 2.23 0.90 -1.04 3.28 24 2.50 41 5.91 4.50 3.29 2.24 0.08 3.91 34 3.57 43 5.95 4.96 4.10 3.15 1.30 5.03 23 3.81 60 6.93 5.71 4.79 4.02 2.34 5.67 27 4.12 70 9.99 8.11 7.24 6.27 5.13 8.13 23 6.70 62 6.98 4.74 3.67 2.76 1.88 4.63 28 2.60 78 -10% -5% 0% 5% 10% 15% 20% 25% 30% i1 i1 i1 i1 i1 i1 i1 i1 i1 i1 i1 43 City of Clearwater Large Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low i ING Investment Mgmt Net Ret Rank 1 R1000G Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 6.73 2.02 -0.35 -4.06 -8.86 3.04 17 2.63 20 26.12 19.23 16.90 13.38 9.66 17.10 46 16.72 53 54.26 40.87 34.60 30.98 24.07 24.43 93 37.21 35 -28.78 -35.37 -38.47 -42.20 -49.17 -33.18 11 -38.43 49 26.93 19.47 13.78 10.95 6.24 17.10 33 11.82 68 18.07 11.84 8.69 5.02 -3.09 7.14 64 9.09 49 19.42 12.70 8.67 5.60 4.00 12.02 32 5.27 81 19.31 12.98 10.33 6.39 4.76 10.27 51 6.30 79 48.42 33.05 29.80 25.94 19.03 30.00 48 29.75 51 -9.80 -20.08 -24.48 -27.67 -33.45 -22.22 30 -27.89 76 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% i1 i1 i1 i1 i1 i1 i1 i1 i1 i1 44 City of Clearwater December 31, 2011 Cumulative Performance Comparison Total Returns of Equity Portfolios High 1st Qt Median 3rd Qt Low i ING Investment Mgmt Return Rank 1 R1000G Return Rank 12/11 9/11 6/11 3/11 12/10 24.09 18.85 15.31 13.54 8.47 14.51 59 18.02 30 9.45 4.36 1.80 0.39 -3.11 3.71 30 4.69 22 13.65 8.05 4.61 2.70 -2.65 5.08 45 5.02 46 14.09 8.55 4.28 2.26 -1.73 4.59 48 5.19 44 8.21 2.72 -0.87 -2.97 -6.58 -0.88 50 -0.47 47 -10% -5% 0% 5% 10% 15% 20% 25% i 1 i 1 i 1 i 1 i 1 ING Investment Mgmt Value Added Analysis -Net of Fee 3/07 6/07 9/07 12/07 3/08 6/08 9/08 12/08 3/09 6/09 9/09 12/09 3/10 6/10 9/10 12/10 3/11 6/11 9/11 12/11 -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% -0.6 -0.1 1.7 3.8 0.8 -1.3 3.4 5.5 -4.6 -4 . 8 0.6 -0.7 0.7 0 . 5 -0.1 -0.8 0.3 0 . 6 0 . 3 -0.8 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R1000G 45 City of Clearwater Risk Measure Summary ING Investment Mgmt Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 13 1.01 0.98 0.75 -12.86 9.69 3.04 3.04 13 -13.14 10.60 2.63 2.63 39 0.92 1.11 0.50 -12.86 14.65 3.04 43.38 19.23 0.95 -0.57 0.96 0.75 15.11 4.16 -0.78 39 -13.14 16.32 2.63 49.75 19.72 0.91 7 13 0.93 0.91 0.55 -18.51 14.65 -33.18 43.38 19.33 0.89 0.18 0.96 0.09 2.02 4.64 0.05 7 13 -22.79 16.32 -38.43 49.75 21.26 0.05 28 68 0.94 0.79 0.54 -18.51 23.26 -33.74 44.38 16.49 0.83 0.59 0.93 0.40 8.00 5.44 0.21 31 65 -22.79 26.75 -45.64 49.75 18.94 0.25 46 City of Clearwater Return vs Risk Total Returns of Large Growth Portfolios Annualized Rate of Return 13.0 14.5 16.0 17.5 19.0 20.5 22.0 23.5 25.0 26.5 28.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0 26.0 i 1 Median Risk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank i ING Investment Mgmt 1 R1000G Median 14.51 72 19.23 32 18.02 22 19.72 38 15.57 20.35 Annualized Rate of Return 15.0 16.4 17.8 19.2 20.6 22.0 23.4 24.8 26.2 27.6 29.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 i 1 Median Risk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank i ING Investment Mgmt 1 R1000G Median 3.28 24 19.33 13 2.50 41 21.26 46 2.23 22.00 47 City of Clearwater Equity Summary Statistics ING Investment Mgmt Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R1000G 60 90,569,237 107,758,822 21,579,085 1.50 15.40 15.52 1.09 3.35 33.59 11.52 588 96,512,033 5,590,219 1.62 16.25 17.17 1.00 3.84 67.90 11.64 Ten Largest Holdings Apple Inc Exxon Mobil Corp Microsoft Corp Google Inc Philip Morris Intl I Monsanto Co New Qualcomm Inc Oracle Systems Corp Danaher Corp Starbucks Corp Market Value % of Portfolio Quarterly Ret 6,394,950 5,640,778 3,657,219 3,588,620 3,295,846 2,374,672 2,355,163 2,209,722 2,184,161 1,994,073 7.07 6.23 4.04 3.97 3.64 2.62 2.60 2.44 2.41 2.20 6.25 17.39 5.08 25.57 27.07 17.23 12.93 -10.57 12.22 23.86 Ten Best Performers Seagate Technology P Pall Corp Wyndham Worldwide Co National-Oilwell Inc Union Pac Corp Philip Morris Intl I Roper Inds Inc New Google Inc Starbucks Corp Macys Inc. Quarterly Ret 61.30 35.29 33.29 32.96 30.51 27.07 26.26 25.57 23.86 22.66 Ten Worst Performers Amazon Com Inc Watson Pharmaceutica Oracle Systems Corp St Jude Med Inc Lam Resh Corp Cardinal Health Inc Waste Connections In Bed Bath & Beyond In Directv Sigma Aldrich Corp Quarterly Ret -19.95 -11.59 -10.57 -4.64 -2.53 -2.51 -1.75 1.15 1.21 1.38 48 City of Clearwater Equity Contribution to Return ING Investment Mgmt Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R1000G 60 90,569,237 107,758,822 21,579,085 1.50 15.40 15.52 1.09 3.35 33.59 11.52 588 96,512,033 5,590,219 1.62 16.25 17.17 1.00 3.84 67.90 11.64 Ten Best Contributors Exxon Mobil Corp Google Inc Philip Morris Intl I Seagate Technology P Wyndham Worldwide Co Starbucks Corp Union Pac Corp Monsanto Co New Roper Inds Inc New Apple Inc Market Value % of Portfolio Quarterly Ret 5,640,778 3,588,620 3,295,846 920,860 1,554,056 1,994,073 1,501,170 2,374,672 1,528,130 6,394,950 6.23 3.97 3.64 1.02 1.72 2.20 1.66 2.62 1.69 7.07 17.39 25.57 27.07 61.30 33.29 23.86 30.51 17.23 26.26 6.25 Ten Worst Contributors Oracle Systems Corp Amazon Com Inc Watson Pharmaceutica St Jude Med Inc Cardinal Health Inc Lam Resh Corp Waste Connections In Michael Kors Hldgs L Sigma Aldrich Corp Directv Market Value % of Portfolio Quarterly Ret 2,209,722 913,968 1,012,505 936,733 1,067,637 1,030,637 852,361 615,850 519,855 840,063 2.44 1.01 1.12 1.04 1.18 1.14 0.94 0.68 0.57 0.93 -10.57 -19.95 -11.59 -4.64 -2.51 -2.53 -1.75 1.38 1.21 49 City of Clearwater Equity Sector Attribution Analysis ING Investment Mgmt Quarter Ending 12/11 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 11.24 4.92 11.71 16.77 12.38 10.07 4.12 28.80 0.00 0.00 100.00 10.34 5.11 12.08 14.45 13.03 11.05 3.74 28.87 1.24 0.09 100.00 17.29 16.02 15.46 7.47 12.16 1.76 14.59 6.50 9.95 18.73 15.61 15.94 9.43 8.97 7.36 12.18 7.11 8.15 3.86 10.62 -0.16 0.02 -0.06 -0.33 0.39 -0.56 0.10 -0.18 0.00 0.00 -0.77 0.07 -0.01 -0.02 -0.03 0.01 0.03 0.01 0.00 0.03 0.01 0.10 -0.09 0.01 -0.08 -0.36 0.41 -0.53 0.10 -0.17 0.03 0.01 -0.67 Index -R1000G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return -Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage -Index Sector Percentage ] * [ Index Sector Return -Index Total Return ] Trading Effect -0.09% [ Actual Return 9.85% ] -[ Buy Hold Return 9.95% ] 50 City of Clearwater Equity Sector Attribution Chart ING Investment Mgmt Quarter Ending 12/11 % Allocation Energy 11.24 10.34 Materials 4.92 5.11 Industrials 11.71 12.08 Con. Discretionary 16.77 14.45 Consumer Staples 12.38 13.03 Health Care 10.07 11.05 Financials 4.12 3.74 Infomation Tech. 28.80 28.87 Telecom. Services 0.00 1.24 Utilities 0.00 0.09 ING Investment Mgmt R1000G % Return 17.29 18.73 16.02 15.61 15.46 15.94 7.47 9.4312.16 8.97 1.76 7.36 14.59 12.18 6.50 7.11 8.15 3.86 % Variance -0.09 0.01 -0.08 -0.36 0.41 -0.53 0.10 -0.17 0.03 0.01 51 City of Clearwater Aletheia Research as of 12/31/11 Exxon Mobil Corp Noble Energy Inc Intl Business McHn Kraft Foods Inc McDonalds Corp Wal Mart Stores Inc Caterpillar Inc Boeing Co Barrick Gold Corp Peabody Energy Corp GICS Sector % Port Energy Energy Information Technology Consumer Staples Consumer Discretionary Consumer Staples Industrials Industrials Materials Energy 2.56 2.54 2.34 2.26 2.18 2.02 2.01 1.97 1.97 1.95 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 18.95 22.05 5.75 11.60 14.30 5.12 10.20 6.29 0.00 5.74 -14.0 -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 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/07 Aletheia Research R1000V Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/07 Aletheia Research R1000V Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 8.86 13.11 24,193 -1 2,143 26,336 -13.18 0.39 30,336 -1 -3,999 26,336 -13.18 0.39 30,336 -1 -3,999 26,336 11.50 11.55 11,439 10,481 4,416 26,336 -4.58 -4.22 19,365 10,481 -3,511 26,336 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 52 City of Clearwater Aletheia Research as of 12/31/11 Cash & Equiv $98 0.37% Other $1,165 4.43% Domestic Equity $25,072 95.20% Periods from 6/07 to 12/11 Alpha Beta R-Squared 0.05 1.02 0.91 Annualized Return% 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 28.0 -5.0 -4.5 -4.0 -3.5 -3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 1 a T Annualized Standard Deviation% a Aletheia Research 1 R1000V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio -4.58 -4.22 1.08 25.81 23.94 0.83 -0.22 -0.22 0.00 -0.02 Asset Allocation ($000) Risk/Return Analysis 53 City of Clearwater Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low a Aletheia Research Net Ret Rank 1 R1000V Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years 14.86 13.10 12.16 11.01 6.66 8.86 85 13.11 23 11.59 3.62 0.36 -2.82 -7.48 -13.18 98 0.39 49 12.33 8.96 7.36 5.61 2.89 0.78 98 7.68 43 18.95 14.35 12.63 11.59 8.53 11.50 78 11.55 75 1.76 -1.09 -2.55 -3.35 -5.10 -3.70 82 -3.24 73 -15% -10% -5% 0% 5% 10% 15% 20% a 1 a 1 a 1 a 1 a 1 54 City of Clearwater Large Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low a Aletheia Research Net Ret Rank 1 R1000V Net Ret Rank 2011 2010 2009 2008 11.59 3.62 0.36 -2.82 -7.48 -13.18 98 0.39 49 22.86 16.54 14.46 12.60 9.91 16.98 20 15.51 39 42.52 29.44 24.33 20.58 14.71 36.50 12 19.69 83 -26.75 -33.62 -36.24 -38.45 -43.31 -37.97 69 -36.85 60 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% a 1 a 1 a 1 a 1 55 City of Clearwater December 31, 2011 Cumulative Performance Comparison Total Returns of Equity Portfolios High 1st Qt Median 3rd Qt Low a Aletheia Research Return Rank 1 R1000V Return Rank 12/11 9/11 6/11 3/11 12/10 24.09 18.85 15.31 13.54 8.47 11.50 88 11.55 87 9.45 4.36 1.80 0.39 -3.11 -2.07 91 -1.52 89 13.65 8.05 4.61 2.70 -2.65 0.72 88 2.28 78 14.09 8.55 4.28 2.26 -1.73 2.38 73 0.61 87 8.21 2.72 -0.87 -2.97 -6.58 -0.32 46 -4.42 87 -10% -5% 0% 5% 10% 15% 20% 25% a 1 a 1 a 1 a 1 a 1 Aletheia Research Value Added Analysis -Net of Fee 9/07 12/07 3/08 6/08 9/08 12/08 3/09 6/09 9/09 12/09 3/10 6/10 9/10 12/10 3/11 6/11 9/11 12/11 -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% -1.1 1.4 5.5 7.0 -8.2 -5.2 7.8 0.9 2.7 2.0 -2.0 -0.3 1.6 2.0 -2.0 -3.0 -5.5 -3.8 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R1000V 56 City of Clearwater Risk Measure Summary Aletheia Research Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 22 0.67 1.42 0.00 -20.78 8.86 -13.18 -13.18 22 -16.21 13.11 0.39 0.39 48 1.02 1.02 0.50 -20.78 21.47 -13.18 59.12 25.36 1.01 0.03 0.93 0.45 11.30 6.71 -0.00 48 -16.77 18.24 -1.90 53.57 24.32 0.47 99 1.02 1.02 0.50 -26.26 21.47 -42.20 59.12 25.81 1.02 0.05 0.91 -0.22 -5.52 8.00 -0.02 108 -22.17 18.24 -42.42 53.57 23.94 -0.22 57 City of Clearwater Return vs Risk Total Returns of Large Value Portfolios 3 Years Ending 12/31/11 Annualized Rate of Return 12.0 14.4 16.8 19.2 21.6 24.0 26.4 28.8 31.2 33.6 36.0 4.0 5.8 7.6 9.4 11.2 13.0 14.8 16.6 18.4 20.1 21.9 1 a Median Risk Median Return Historical Standard Deviation of Return Annualized Net of Fee Return Standard Deviation Value Rank Value Rank a Aletheia Research 1 R1000V Median 11.50 78 25.36 81 11.55 75 24.32 68 12.63 23.51 58 City of Clearwater Equity Summary Statistics Aletheia Research Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R1000V 75 25,071,853 51,455,600 14,695,040 1.90 15.07 13.63 1.20 1.56 65.56 -0.60 656 73,654,796 4,607,184 2.64 13.63 14.53 1.07 1.36 75.15 0.41 Ten Largest Holdings Exxon Mobil Corp Noble Energy Inc Intl Business McHn Kraft Foods Inc McDonalds Corp Wal Mart Stores Inc Caterpillar Inc Boeing Co Barrick Gold Corp Peabody Energy Corp Market Value % of Portfolio Quarterly Ret 641,633 635,245 585,658 566,191 546,799 505,271 503,736 492,912 492,773 487,214 2.56 2.54 2.34 2.26 2.18 2.02 2.01 1.97 1.97 1.95 17.39 33.64 5.48 12.12 15.10 15.86 23.37 21.98 -2.71 -2.07 Ten Best Performers Cemex S A Lennar Corp-Cl A Goodyear Tire & Rubr Continental Resource Noble Energy Inc Novagold Res Inc Union Pac Corp Dow Chem Co Canadian Nat Res Ltd Dean Foods Co New Quarterly Ret 70.57 45.52 40.44 37.92 33.64 31.47 30.51 29.19 28.01 26.27 Ten Worst Performers Molycorp Inc Del Sunpower Corp Kinross Gold Corp Overseas Shipholdng Dole Food Co Inc New Chesapeake Energy Co Alcoa Inc Bank Amer Corp Market Vectors Etf T Atp Oil & Gas Corp Quarterly Ret -27.05 -22.99 -22.87 -19.09 -13.50 -12.76 -9.36 -8.98 -6.55 -4.54 59 City of Clearwater Equity Contribution to Return Aletheia Research Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R1000V 75 25,071,853 51,455,600 14,695,040 1.90 15.07 13.63 1.20 1.56 65.56 -0.60 656 73,654,796 4,607,184 2.64 13.63 14.53 1.07 1.36 75.15 0.41 Ten Best Contributors Noble Energy Inc Continental Resource Lennar Corp-Cl A Goodyear Tire & Rubr Canadian Nat Res Ltd Novagold Res Inc Caterpillar Inc Exxon Mobil Corp Boeing Co Canadian Oil Sands L Market Value % of Portfolio Quarterly Ret 635,245 455,296 311,747 328,319 470,862 408,397 503,736 641,633 492,912 471,483 2.54 1.82 1.25 1.31 1.88 1.63 2.01 2.56 1.97 1.88 33.64 37.92 45.52 40.44 28.01 31.47 23.37 17.39 21.98 22.04 Ten Worst Contributors Molycorp Inc Del Kinross Gold Corp Sunpower Corp Dole Food Co Inc New Chesapeake Energy Co Bank Amer Corp Overseas Shipholdng Newmont Mng Corp Hld Market Vectors Etf T Atp Oil & Gas Corp Market Value % of Portfolio Quarterly Ret 402,025 360,012 331,000 322,429 307,156 232,808 107,169 432,072 268,722 384,560 1.61 1.44 1.32 1.29 1.23 0.93 0.43 1.73 1.07 1.54 -27.05 -22.87 -22.99 -13.50 -12.76 -8.98 -19.09 -4.10 -6.55 -4.54 60 City of Clearwater Equity Sector Attribution Analysis Aletheia Research Quarter Ending 12/11 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 16.54 23.03 7.07 11.06 13.38 5.27 11.25 6.15 0.00 6.25 100.00 11.81 2.56 8.79 8.60 8.33 13.20 24.72 8.80 5.07 8.12 100.00 13.74 7.84 10.26 17.30 9.49 11.54 5.79 7.89 9.34 10.32 18.45 17.75 18.14 17.51 10.85 11.64 11.02 13.29 7.28 8.62 13.14 -0.78 -2.28 -0.56 -0.02 -0.18 -0.01 -0.59 -0.33 0.00 0.05 -4.70 0.25 0.94 -0.09 0.11 -0.12 0.12 0.29 -0.00 0.30 0.08 1.88 -0.53 -1.34 -0.64 0.08 -0.30 0.11 -0.30 -0.34 0.30 0.13 -2.82 Index -R1000V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return -Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage -Index Sector Percentage ] * [ Index Sector Return -Index Total Return ] Trading Effect -0.53% [ Actual Return 9.79% ] -[ Buy Hold Return 10.32% ] 61 City of Clearwater Equity Sector Attribution Chart Aletheia Research Quarter Ending 12/11 % Allocation Energy 16.54 11.81 Materials 23.03 2.56 Industrials 7.07 8.79 Con. Discretionary 11.06 8.60 Consumer Staples 13.38 8.33 Health Care 5.27 13.20 Financials 11.25 24.72 Infomation Tech. 6.15 8.80 Telecom. Services 0.005.07 Utilities 6.25 8.12 Aletheia Research R1000V % Return 13.7418.45 7.84 17.75 10.26 18.14 17.30 17.51 9.49 10.85 11.54 11.64 5.79 11.02 7.89 13.29 7.28 9.34 8.62 % Variance -0.53 -1.34 -0.64 0.08 -0.30 0.11 -0.30 -0.34 0.30 0.13 62 City of Clearwater NTGI-QM R1000V as of 12/31/11 -6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/07 NTGI-QM R1000V R1000V Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/07 NTGI-QM R1000V R1000V Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 11.68 13.11 38,067 9,499 5,456 53,022 -0.77 0.39 42,840 9,499 682 53,022 -0.77 0.39 42,840 9,499 682 53,022 11.40 11.55 30,751 9,499 12,772 53,022 -4.29 -4.22 26,197 9,499 17,325 53,022 Portfolio Performance (%) 63 City of Clearwater NTGI-QM R1000V as of 12/31/11 Cash & Equiv $0 0.00% Domestic Equity $53,022 100.00% Periods from 6/07 to 12/11 Alpha Beta R-Squared -0.03 0.99 1.00 Annualized Return% 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 -4.5 -4.0 -3.5 -3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 n1 T Annualized Standard Deviation% n NTGI-QM R1000V 1 R1000V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio -4.29 -4.22 1.08 23.77 23.94 0.83 -0.23 -0.22 0.00 -0.15 Asset Allocation ($000) Risk/Return Analysis 64 City of Clearwater Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low n NTGI-QM R1000V Net Ret Rank 1 R1000V Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years 14.86 13.10 12.16 11.01 6.66 11.68 59 13.11 23 11.59 3.62 0.36 -2.82 -7.48 -0.77 62 0.39 49 12.33 8.96 7.36 5.61 2.89 7.18 52 7.68 43 18.95 14.35 12.63 11.59 8.53 11.40 79 11.55 75 1.76 -1.09 -2.55 -3.35 -5.10 -3.34 74 -3.24 73 -8% -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% n 1 n 1 n 1 n 1 n 1 65 City of Clearwater Large Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low n NTGI-QM R1000V Net Ret Rank 1 R1000V Net Ret Rank 2011 2010 2009 2008 11.59 3.62 0.36 -2.82 -7.48 -0.77 62 0.39 49 22.86 16.54 14.46 12.60 9.91 15.75 34 15.51 39 42.52 29.44 24.33 20.58 14.71 20.35 77 19.69 83 -26.75 -33.62 -36.24 -38.45 -43.31 -36.86 60 -36.85 60 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% n 1 n 1 n 1 n 1 66 City of Clearwater December 31, 2011 Cumulative Performance Comparison Total Returns of Equity Portfolios High 1st Qt Median 3rd Qt Low n NTGI-QM R1000V Return Rank 1 R1000V Return Rank 12/11 9/11 6/11 3/11 12/10 24.09 18.85 15.31 13.54 8.47 11.40 88 11.55 87 9.45 4.36 1.80 0.39 -3.11 -1.22 87 -1.52 89 13.65 8.05 4.61 2.70 -2.65 2.52 76 2.28 78 14.09 8.55 4.28 2.26 -1.73 0.87 86 0.61 87 8.21 2.72 -0.87 -2.97 -6.58 -4.19 86 -4.42 87 -10% -5% 0% 5% 10% 15% 20% 25% n 1 n 1 n 1 n 1 n 1 NTGI-QM R1000V Value Added Analysis -Net of Fee 9/07 12/07 3/08 6/08 9/08 12/08 3/09 6/09 9/09 12/09 3/10 6/10 9/10 12/10 3/11 6/11 9/11 12/11 -1.4% -1.2% -1.0% -0.8% -0.6% -0.4% -0.2% 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 0.0 0.1 0.0 0.1 -0.2 0.1 0.2 0.1 0.0 0.3 0.1 0.0 0.1 0.0 0 . 0 0 . 0 0.1 -1.3 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R1000V 67 City of Clearwater Risk Measure Summary NTGI-QM R1000V Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 22 0.93 0.99 0.75 -16.15 11.68 -0.77 -0.77 22 -16.21 13.11 0.39 0.39 48 0.99 1.00 0.92 -16.63 18.29 -1.78 54.33 24.11 0.99 -0.01 1.00 0.47 11.36 0.89 -0.21 48 -16.77 18.24 -1.90 53.57 24.32 0.47 108 0.99 1.00 0.83 -22.13 18.29 -42.31 54.33 23.77 0.99 -0.03 1.00 -0.23 -5.41 0.72 -0.15 108 -22.17 18.24 -42.42 53.57 23.94 -0.22 68 City of Clearwater Return vs Risk Total Returns of Equity Portfolios 3 Years Ending 12/31/11 Annualized Rate of Return 14.0 15.8 17.6 19.4 21.2 23.0 24.8 26.6 28.4 30.2 32.0 2.0 4.6 7.2 9.7 12.4 15.0 17.6 20.2 22.8 25.4 28.0 n1 Median Risk Median Return Historical Standard Deviation of Return Annualized Net of Fee Return Standard Deviation Value Rank Value Rank n NTGI-QM R1000V 1 R1000V Median 11.40 88 24.11 61 11.55 87 24.32 64 15.31 22.98 69 City of Clearwater Mid Cap Equity Comp as of 12/31/11 Allstate Corp Transdigm Group Inc Duke-Weeks Realty Co Sonoco Prods Co Lincoln Natl Corp In Computer Sciences Co Donnelley R R & Sons Brunswick Corp Carlisle Corp Dover Corp GICS Sector % Port Financials Industrials Financials Materials Financials Information Technology Industrials Consumer Discretionary Industrials Industrials 2.19 2.15 2.11 2.00 1.98 1.92 1.78 1.77 1.75 1.66 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 8.38 4.68 18.68 16.11 3.39 11.61 15.99 17.58 0.00 3.57 -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 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Mid Cap Equity Comp R Mid Cap Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Mid Cap Equity Comp R Mid Cap Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 9.76 12.31 65,719 -2 6,413 72,130 -0.10 -1.56 81,829 -9,005 -694 72,130 -0.10 -1.56 81,829 -9,005 -694 72,130 22.95 20.17 34,302 -9,005 46,833 72,130 3.59 1.41 82,918 -9,005 -1,783 72,130 6.32 6.99 76,367 -9,005 4,769 72,130 11.75 10.98 15,585 -9,005 65,550 72,130 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 70 City of Clearwater Mid Cap Equity Comp as of 12/31/11 Cash & Equiv $2,828 3.92% Domestic Equity $69,302 96.08% Periods from 3/88 to 12/11 Alpha Beta R-Squared 0.10 1.14 0.82 Annualized Return% 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 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 M 1 T Annualized Standard Deviation% M Mid Cap Equity Comp 1 R Mid Cap T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 11.75 10.98 4.04 23.59 18.68 1.20 0.33 0.37 0.00 0.11 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 71 City of Clearwater Midcap Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low M Mid Cap Equity Comp Net Ret Rank 1 R Mid Cap Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 20.22 16.35 14.54 12.34 5.46 9.76 89 12.31 75 6.44 5.42 -1.57 -4.35 -9.24 -0.10 41 -1.56 48 14.66 13.88 11.59 9.33 5.41 13.09 31 11.15 56 24.88 21.68 20.40 18.78 13.32 22.95 19 20.17 51 8.92 7.01 2.82 0.91 -2.20 1.99 69 0.39 78 7.47 6.68 4.01 1.40 -0.08 3.59 52 1.41 72 10.44 8.61 5.77 4.05 1.70 5.03 55 3.60 80 11.04 8.93 6.76 5.29 3.89 5.43 68 4.85 81 11.37 10.36 8.72 7.04 5.91 6.52 87 6.66 79 13.23 13.02 11.43 10.49 9.41 9.71 92 9.94 83 10.57 10.24 8.52 7.17 6.50 6.32 99 6.99 84 -10% -5% 0% 5% 10% 15% 20% 25% 30% M1 M1 M1 M1 M1 M1 M1 M1 M1 M1 M1 72 City of Clearwater Midcap Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low M Mid Cap Equity Comp Net Ret Rank 1 R Mid Cap Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 6.44 5.42 -1.57 -4.35 -9.24 -0.10 41 -1.56 48 31.99 27.04 23.69 22.19 15.86 28.03 19 25.49 39 63.14 41.17 37.16 34.77 19.11 45.33 18 40.47 27 -21.07 -26.71 -35.94 -37.68 -44.82 -41.79 91 -41.46 88 14.95 8.67 3.46 -0.52 -2.17 10.26 15 5.59 44 27.40 18.75 14.43 10.56 8.24 12.53 56 15.27 46 17.47 12.73 11.70 9.22 2.29 7.85 79 12.65 27 26.82 21.31 20.53 17.45 15.01 14.48 96 20.23 52 44.04 39.21 35.67 33.40 27.16 38.95 28 40.08 12 -4.15 -9.81 -12.33 -14.56 -16.55 -19.87 99 -16.19 87 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% M1 M1 M1 M1 M1 M1 M1 M1 M1 M1 73 City of Clearwater Risk Measure Summary Mid Cap Equity Comp Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 13 0.96 0.91 0.75 -17.17 9.76 -0.10 -0.10 13 -18.90 12.31 -1.56 -1.56 39 0.99 0.83 0.75 -17.17 23.05 -0.10 65.80 23.23 0.93 0.90 0.98 0.98 24.65 3.72 0.52 39 -18.90 20.80 -1.56 67.72 24.93 0.80 7 13 0.99 0.91 0.70 -26.78 23.05 -41.79 65.80 24.81 0.96 0.51 0.98 0.09 2.20 3.46 0.54 8 12 -27.28 20.80 -41.46 67.72 25.60 -0.00 30 65 1.16 1.17 0.57 -26.78 49.24 -41.79 77.74 23.59 1.14 0.10 0.82 0.33 6.74 10.28 0.11 31 64 -27.28 20.80 -41.46 67.72 18.68 0.37 74 City of Clearwater Artisan Partners as of 12/31/11 Ihs Inc Regeneron Pharmaceut Agilent Technologies Dresser-Rand Group I Coach Inc Salesforce Com Inc Trimble Navigation L Cameron Internationa Cerner Corp Precision Castparts GICS Sector % Port Industrials Health Care Health Care Energy Consumer Discretionary Information Technology Information Technology Energy Health Care Industrials 3.36 2.93 2.77 2.72 2.71 2.62 2.57 2.54 2.52 2.52 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 9.80 0.00 13.56 21.53 2.48 21.61 4.01 27.00 0.00 0.00 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/01 Artisan Partners R Mid Cap G Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/01 Artisan Partners R Mid Cap G Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 6.08 11.23 33,682 -1 2,048 35,729 0.07 -1.66 40,886 -5,004 -153 35,729 0.07 -1.66 40,886 -5,004 -153 35,729 26.35 22.06 15,064 -5,004 25,668 35,729 7.10 2.44 36,468 -5,004 4,265 35,729 7.45 5.28 30,811 -5,004 9,921 35,729 7.44 4.90 29,914 -5,004 10,819 35,729 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 75 City of Clearwater Artisan Partners as of 12/31/11 Cash & Equiv $1,644 4.60% Domestic Equity $34,085 95.40% Periods from 7/01 to 12/11 Alpha Beta R-Squared 0.58 0.92 0.95 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 r1 T Annualized Standard Deviation% r Artisan Partners 1 R Mid Cap G T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 7.44 4.90 2.01 20.22 20.53 0.52 0.27 0.14 0.00 0.31 Asset Allocation ($000) Risk/Return Analysis 76 City of Clearwater Midcap Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low r Artisan Partners Net Ret Rank 1 R Mid Cap G Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 16.62 13.69 12.13 10.55 7.28 6.08 98 11.23 63 6.76 0.71 -1.99 -5.91 -16.27 0.07 31 -1.66 45 16.84 13.32 10.96 8.91 5.41 15.43 11 11.49 44 26.00 22.52 20.18 18.48 15.08 26.352 22.06 30 4.86 2.32 0.22 -1.70 -3.83 3.61 11 0.31 49 7.10 5.48 3.18 1.82 -1.90 7.105 2.44 60 8.03 6.13 4.41 3.74 1.39 7.738 3.76 73 9.04 7.65 6.25 5.08 4.46 8.08 19 4.91 81 9.47 8.36 7.21 6.18 5.63 9.058 6.18 75 12.22 11.01 10.57 9.37 9.16 11.569 9.73 67 9.53 8.22 7.34 5.76 4.67 7.45 45 5.28 79 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% r1 r1 r1 r1 r1 r1 r1 r1 r1 r1 r1 77 City of Clearwater Midcap Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low r Artisan Partners Net Ret Rank 1 R Mid Cap G Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 6.76 0.71 -1.99 -5.91 -16.27 0.07 31 -1.66 45 35.50 29.96 26.80 24.98 18.56 33.15 12 26.39 57 57.39 46.22 39.68 36.32 26.78 51.38 15 46.30 24 -33.13 -37.54 -40.90 -44.99 -50.49 -42.87 62 -44.32 70 25.01 21.02 16.48 8.66 4.30 22.31 17 11.41 65 20.90 14.95 13.34 9.95 5.97 10.94 65 10.64 65 23.20 14.84 13.04 10.19 5.73 10.19 75 12.10 65 21.82 18.98 16.35 13.13 10.59 16.07 60 15.48 60 51.00 44.86 37.89 33.38 29.41 33.84 72 42.72 25 -2.74 -13.31 -20.35 -24.78 -30.09 -23.37 67 -27.41 85 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% r1 r1 r1 r1 r1 r1 r1 r1 r1 r1 78 City of Clearwater December 31, 2011 Cumulative Performance Comparison Total Returns of Equity Portfolios High 1st Qt Median 3rd Qt Low r Artisan Partners Return Rank 1 R Mid Cap G Return Rank 12/11 9/11 6/11 3/11 12/10 24.09 18.85 15.31 13.54 8.47 26.352 22.069 9.45 4.36 1.80 0.39 -3.11 11.273 5.89 15 13.65 8.05 4.61 2.70 -2.65 12.697 6.58 35 14.09 8.55 4.28 2.26 -1.73 12.359 7.64 30 8.21 2.72 -0.87 -2.97 -6.58 4.81 14 0.97 36 -10% -5% 0% 5% 10% 15% 20% 25% 30% r 1 r 1 r 1 r 1 r 1 Artisan Partners Value Added Analysis -Net of Fee 3/07 6/07 9/07 12/07 3/08 6/08 9/08 12/08 3/09 6/09 9/09 12/09 3/10 6/10 9/10 12/10 3/11 6/11 9/11 12/11 -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% -0.6 4.8 3.8 1.6 -1.9 -2.6 7.7 -0.2 5.4 -0.1 -0 . 6 -1.1 -0 . 9 2.5 3.6 0.1 -0.2 1.2 5.7 -4.6 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R Mid Cap G 79 City of Clearwater Risk Measure Summary Artisan Partners Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 13 0.79 0.76 0.50 -14.74 7.61 0.07 0.07 13 -19.33 11.23 -1.66 -1.66 2 10 0.96 0.67 0.50 -14.74 20.50 0.07 58.59 20.97 0.87 1.50 0.95 1.25 30.14 5.84 0.50 39 -19.33 20.67 -1.66 62.98 23.61 0.93 6 14 1.02 0.84 0.50 -27.54 20.50 -42.87 58.59 24.44 0.92 1.12 0.95 0.23 6.11 6.04 0.67 7 13 -27.36 20.67 -44.32 62.98 25.80 0.04 13 28 0.99 0.88 0.41 -27.54 26.70 -42.87 58.59 21.76 0.92 0.58 0.95 0.36 8.50 5.03 0.31 14 27 -27.36 27.06 -44.32 62.98 23.19 0.24 80 City of Clearwater Return vs Risk Total Returns of Midcap Growth Portfolios Annualized Rate of Return 12.0 14.2 16.4 18.6 20.8 23.0 25.2 27.4 29.6 31.8 34.0 12.0 13.8 15.6 17.4 19.1 20.9 22.7 24.5 26.3 28.1 29.9 r 1Median Risk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/11 Annualized Return Standard Deviation Value Rank Value Rank r Artisan Partners 1 R Mid Cap G Median 26.35 2 20.97 17 22.06 30 23.61 53 20.18 23.55 Annualized Rate of Return 16.0 17.8 19.6 21.4 23.2 25.0 26.8 28.6 30.4 32.2 34.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 r 1 Median Risk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/11 Annualized Return Standard Deviation Value Rank Value Rank r Artisan Partners 1 R Mid Cap G Median 7.10 5 24.44 36 2.44 60 25.80 59 3.18 25.42 81 City of Clearwater Equity Summary Statistics Artisan Partners Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R Mid Cap G 70 34,084,552 9,028,368 5,696,690 0.39 28.61 25.79 1.18 4.59 23.73 11.44 466 7,914,950 4,185,386 1.06 20.13 17.87 1.22 3.72 78.53 8.10 Ten Largest Holdings Ihs Inc Regeneron Pharmaceut Agilent Technologies Dresser-Rand Group I Coach Inc Salesforce Com Inc Trimble Navigation L Cameron Internationa Cerner Corp Precision Castparts Market Value % of Portfolio Quarterly Ret 1,145,928 997,740 943,110 928,326 921,704 892,848 876,680 865,744 857,500 856,908 3.36 2.93 2.77 2.72 2.71 2.62 2.57 2.54 2.52 2.52 15.17 -4.76 11.78 23.14 18.19 -11.22 29.36 18.42 -10.61 6.02 Ten Best Performers Akamai Technologies Amerigroup Corp Woodward Governor Co Mercadolibre Inc Concur Technologies Pall Corp Noble Energy Inc Trimble Navigation L Core Laboratories N Intuitive Surgical I Quarterly Ret 62.37 51.45 49.64 48.13 36.46 35.29 33.64 29.36 27.16 27.10 Ten Worst Performers Green Mtn Coffee Roa Netflix Com Inc Sina Com Ctrip Com Intl Ltd Universal Display Co Ipg Photonics Corp Athenahealth Inc Opentable Inc Broadcom Corp Aruba Networks Inc Quarterly Ret -51.74 -38.77 -27.38 -27.24 -23.47 -22.03 -17.51 -14.95 -11.54 -11.43 82 City of Clearwater Equity Contribution to Return Artisan Partners Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R Mid Cap G 70 34,084,552 9,028,368 5,696,690 0.39 28.61 25.79 1.18 4.59 23.73 11.44 466 7,914,950 4,185,386 1.06 20.13 17.87 1.22 3.72 78.53 8.10 Ten Best Contributors Amerigroup Corp Trimble Navigation L Dresser-Rand Group I Noble Energy Inc Mercadolibre Inc Ihs Inc Coach Inc Cameron Internationa Core Laboratories N Lkq Corp Market Value % of Portfolio Quarterly Ret 543,536 876,680 928,326 585,218 365,884 1,145,928 921,704 865,744 581,145 640,704 1.60 2.57 2.72 1.72 1.07 3.36 2.71 2.54 1.71 1.88 51.45 29.36 23.14 33.64 48.13 15.17 18.19 18.42 27.16 24.50 Ten Worst Contributors Athenahealth Inc Salesforce Com Inc Ctrip Com Intl Ltd Cerner Corp Universal Display Co Cepheid Inc Broadcom Corp Green Mtn Coffee Roa Sina Com Ipg Photonics Corp Market Value % of Portfolio Quarterly Ret 751,536 892,848 339,300 857,500 385,245 705,405 629,772 125,580 228,800 267,573 2.21 2.62 1.00 2.52 1.13 2.07 1.85 0.37 0.67 0.79 -17.51 -11.22 -27.24 -10.61 -23.47 -11.38 -11.54 -51.74 -27.38 -22.03 83 City of Clearwater Equity Sector Attribution Analysis Artisan Partners Quarter Ending 12/11 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 7.88 0.00 13.15 20.21 2.65 23.68 5.30 27.13 0.00 0.00 100.00 8.98 8.25 14.19 20.48 6.68 14.29 6.51 18.65 1.65 0.32 100.00 23.03 16.74 5.39 -16.58 1.00 3.44 3.61 6.06 22.93 15.36 17.11 10.37 -0.23 6.23 12.87 8.67 6.13 3.86 11.32 0.01 0.00 -0.05 -1.01 -0.43 -1.24 -0.50 -1.37 0.00 0.00 -4.59 -0.13 -0.33 -0.06 0.00 0.46 -0.48 -0.02 -0.22 0.09 0.02 -0.67 -0.12 -0.33 -0.11 -1.00 0.03 -1.72 -0.52 -1.60 0.09 0.02 -5.26 Index -R Mid Cap G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return -Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage -Index Sector Percentage ] * [ Index Sector Return -Index Total Return ] Trading Effect 0.29% [ Actual Return 6.36% ] -[ Buy Hold Return 6.06% ] 84 City of Clearwater Equity Sector Attribution Chart Artisan Partners Quarter Ending 12/11 % Allocation Energy 7.88 8.98 Materials 0.00 8.25 Industrials 13.15 14.19 Con. Discretionary 20.21 20.48 Consumer Staples 2.65 6.68 Health Care 23.68 14.29 Financials 5.30 6.51 Infomation Tech. 27.13 18.65 Telecom. Services 0.00 1.65 Utilities 0.00 0.32 Artisan Partners R Mid Cap G % Return 23.03 22.93 15.36 16.74 17.11 5.39 10.37 -16.58 -0.23 1.00 6.23 3.4412.87 3.61 8.67 6.13 3.86 % Variance -0.12 -0.33 -0.11 -1.00 0.03 -1.72 -0.52 -1.60 0.09 0.02 85 City of Clearwater Wedge Capital Mgmt as of 12/31/11 Allstate Corp Transdigm Group Inc Duke-Weeks Realty Co Sonoco Prods Co Lincoln Natl Corp In Computer Sciences Co Donnelley R R & Sons Brunswick Corp Carlisle Corp Dover Corp GICS Sector % Port Financials Industrials Financials Materials Financials Information Technology Industrials Consumer Discretionary Industrials Industrials 4.31 4.24 4.16 3.93 3.90 3.79 3.50 3.49 3.45 3.27 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 7.00 9.23 23.64 10.86 4.28 1.90 27.61 8.45 0.00 7.03 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/28/07 Wedge Capital Mgmt R Mid Cap V Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/28/07 Wedge Capital Mgmt R Mid Cap V Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 13.62 13.36 32,037 -1 4,365 36,401 -0.33 -1.38 40,943 -4,001 -541 36,401 -0.33 -1.38 40,943 -4,001 -541 36,401 19.40 18.20 19,238 -4,001 21,164 36,401 1.57 -0.71 30,365 -4,001 10,037 36,401 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 86 City of Clearwater Wedge Capital Mgmt as of 12/31/11 Cash & Equiv $1,184 3.25% Domestic Equity $35,217 96.75% Periods from 2/07 to 12/11 Alpha Beta R-Squared 0.57 0.98 0.97 Annualized Return% 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 -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 w1 T Annualized Standard Deviation% w Wedge Capital Mgmt 1 R Mid Cap V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 1.57 -0.71 1.36 23.40 23.59 0.57 0.01 -0.09 0.00 0.47 Asset Allocation ($000) Risk/Return Analysis 87 City of Clearwater Midcap Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low w Wedge Capital Mgmt Net Ret Rank 1 R Mid Cap V Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years 20.60 15.73 14.69 13.90 8.30 13.62 84 13.36 87 12.27 7.12 -1.81 -6.20 -11.29 -0.33 40 -1.38 43 19.16 13.31 10.34 8.40 3.24 10.86 45 10.93 41 25.32 19.40 17.54 15.56 7.76 19.40 26 18.20 42 3.19 2.34 0.87 -0.50 -5.25 2.60 16 0.41 69 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% w 1 w 1 w 1 w 1 w 1 88 City of Clearwater Midcap Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low w Wedge Capital Mgmt Net Ret Rank 1 R Mid Cap V Net Ret Rank 2011 2010 2009 2008 12.27 7.12 -1.81 -6.20 -11.29 -0.33 40 -1.38 43 30.88 25.84 23.30 19.78 14.62 23.30 50 24.76 43 57.20 45.34 35.12 30.58 19.07 38.51 35 34.20 50 -31.72 -33.94 -36.61 -43.71 -51.14 -34.89 31 -38.45 53 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% w 1 w 1 w 1 w 1 89 City of Clearwater December 31, 2011 Cumulative Performance Comparison Total Returns of Equity Portfolios High 1st Qt Median 3rd Qt Low w Wedge Capital Mgmt Return Rank 1 R Mid Cap V Return Rank 12/11 9/11 6/11 3/11 12/10 24.09 18.85 15.31 13.54 8.47 19.40 20 18.20 29 9.45 4.36 1.80 0.39 -3.11 3.31 34 1.98 48 13.65 8.05 4.61 2.70 -2.65 9.54 17 6.35 36 14.09 8.55 4.28 2.26 -1.73 10.00 17 6.62 36 8.21 2.72 -0.87 -2.97 -6.58 3.60 19 1.01 36 -10% -5% 0% 5% 10% 15% 20% 25% w 1 w 1 w 1 w 1 w 1 Wedge Capital Mgmt Value Added Analysis -Net of Fee 6/07 9/07 12/07 3/08 6/08 9/08 12/08 3/09 6/09 9/09 12/09 3/10 6/10 9/10 12/10 3/11 6/11 9/11 12/11 -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 1.1 0.6 0 . 4 -0.1 1.1 3.6 1.1 -1.0 3.9 -1.7 2.1 -3.7 5.0 -3.1 0.9 1.7 0.6 -1.4 0.2 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R Mid Cap V 90 City of Clearwater Risk Measure Summary Wedge Capital Mgmt Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 22 1.11 1.04 0.75 -19.63 13.62 -0.33 -0.33 22 -18.47 13.36 -1.38 -1.38 48 1.00 0.95 0.58 -19.63 25.65 -0.63 73.15 27.20 0.99 0.33 0.96 0.71 19.42 5.60 0.18 48 -18.47 23.62 -2.36 72.41 26.86 0.67 9 10 0.68 -26.40 25.65 -39.75 73.15 9 10 -27.19 23.62 -42.51 72.41 9 10 1.03 0.94 0.68 -26.40 25.65 -39.75 73.15 26.71 0.98 0.57 0.97 0.00 0.03 4.62 0.47 9 10 -27.19 23.62 -42.51 72.41 26.75 -0.08 91 City of Clearwater Return vs Risk Total Returns of Midcap Value Portfolios Annualized Rate of Return 14.0 16.4 18.8 21.2 23.6 26.0 28.4 30.8 33.2 35.6 38.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 1w Median Risk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/11 Annualized Return Standard Deviation Value Rank Value Rank w Wedge Capital Mgmt 1 R Mid Cap V Median 19.40 26 27.20 65 18.20 42 26.86 64 17.54 26.04 92 City of Clearwater Equity Summary Statistics Wedge Capital Mgmt Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R Mid Cap V 41 35,216,997 5,368,708 3,295,407 2.71 18.61 14.55 1.19 1.32 62.47 0.52 527 7,801,385 3,707,206 2.42 16.60 14.94 1.27 1.37 76.84 -0.45 Ten Largest Holdings Allstate Corp Transdigm Group Inc Duke-Weeks Realty Co Sonoco Prods Co Lincoln Natl Corp In Computer Sciences Co Donnelley R R & Sons Brunswick Corp Carlisle Corp Dover Corp Market Value % of Portfolio Quarterly Ret 1,515,773 1,490,216 1,461,388 1,381,024 1,371,246 1,330,542 1,230,273 1,228,080 1,213,820 1,149,390 4.31 4.24 4.16 3.93 3.90 3.79 3.50 3.49 3.45 3.27 16.66 17.15 16.47 17.85 24.64 -11.04 3.82 29.02 39.54 25.33 Ten Best Performers Carlisle Corp Convergys Corp Solutia Inc Wyndham Worldwide Co Brunswick Corp Murphy Oil Corp Dover Corp Lincoln Natl Corp In Bank Hawaii Corp Energen Corp Quarterly Ret 39.54 36.14 34.47 33.29 29.02 26.85 25.33 24.64 23.60 22.61 Ten Worst Performers Phh Corp Computer Sciences Co First Niagara Finl G Pg&E Corp Life Technologies Co HCC Ins Hldgs Inc Comtech Telecommunic Bemis Inc Donnelley R R & Sons V F Corp Quarterly Ret -33.46 -11.04 -3.98 -1.49 1.25 2.24 2.77 3.50 3.82 5.05 93 City of Clearwater Equity Contribution to Return Wedge Capital Mgmt Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R Mid Cap V 41 35,216,997 5,368,708 3,295,407 2.71 18.61 14.55 1.19 1.32 62.47 0.52 527 7,801,385 3,707,206 2.42 16.60 14.94 1.27 1.37 76.84 -0.45 Ten Best Contributors Carlisle Corp Brunswick Corp Lincoln Natl Corp In Convergys Corp Dover Corp Wyndham Worldwide Co Transdigm Group Inc Allstate Corp Sonoco Prods Co Duke-Weeks Realty Co Market Value % of Portfolio Quarterly Ret 1,213,820 1,228,080 1,371,246 913,055 1,149,390 836,043 1,490,216 1,515,773 1,381,024 1,461,388 3.45 3.49 3.90 2.60 3.27 2.38 4.24 4.31 3.93 4.16 39.54 29.02 24.64 36.14 25.33 33.29 17.15 16.66 17.85 16.47 Ten Worst Contributors Computer Sciences Co Phh Corp Pg&E Corp First Niagara Finl G Life Technologies Co Comtech Telecommunic HCC Ins Hldgs Inc Bemis Inc Capstead Mtg Corp UGI Corp New Market Value % of Portfolio Quarterly Ret 1,330,542 211,860 993,402 318,447 669,252 727,005 1,006,500 1,022,720 374,444 355,740 3.79 0.60 2.83 0.91 1.90 2.07 2.86 2.91 1.07 1.01 -11.04 -33.46 -1.49 -3.98 1.25 2.77 2.24 3.50 11.49 12.97 94 City of Clearwater Equity Sector Attribution Analysis Wedge Capital Mgmt Quarter Ending 12/11 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 6.65 8.98 21.61 12.04 4.21 2.08 27.78 9.03 0.00 7.61 100.00 6.07 4.32 9.99 10.86 7.26 6.76 30.65 8.25 0.86 14.98 100.00 16.87 12.71 19.18 16.19 12.99 1.25 14.00 4.31 6.80 13.73 21.43 22.93 16.83 16.01 9.76 5.97 13.70 10.87 -6.03 10.38 13.42 -0.30 -0.92 0.51 0.02 0.14 -0.10 0.08 -0.59 0.00 -0.27 -1.44 0.05 0.44 0.40 0.03 0.11 0.35 -0.01 -0.02 0.17 0.22 1.74 -0.26 -0.47 0.90 0.05 0.25 0.25 0.07 -0.61 0.17 -0.05 0.30 Index -R Mid Cap V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return -Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage -Index Sector Percentage ] * [ Index Sector Return -Index Total Return ] Trading Effect 0.04% [ Actual Return 13.76% ] -[ Buy Hold Return 13.73% ] 95 City of Clearwater Equity Sector Attribution Chart Wedge Capital Mgmt Quarter Ending 12/11 % Allocation Energy 6.65 6.07 Materials 8.98 4.32 Industrials 21.61 9.99 Con. Discretionary 12.04 10.86 Consumer Staples 4.21 7.26 Health Care 2.08 6.76 Financials 27.78 30.65 Infomation Tech. 9.03 8.25 Telecom. Services 0.00 0.86 Utilities 7.6114.98 Wedge Capital Mgmt R Mid Cap V % Return 16.87 21.43 12.71 22.93 19.18 16.83 16.19 16.01 12.99 9.76 1.255.97 14.00 13.70 4.3110.87 -6.03 6.80 10.38 % Variance -0.26 -0.47 0.90 0.05 0.25 0.25 0.07 -0.61 0.17 -0.05 96 City of Clearwater Small Cap Equity Comp as of 12/31/11 Lkq Corp Ultimate Software Gr Rollins Inc National Instrs Corp Cepheid Inc Semtech Corp Mednax Inc Chemed Corp New United Nat Foods Inc Gentex Corp GICS Sector % Port Consumer Discretionary Information Technology Industrials Information Technology Health Care Information Technology Health Care Health Care Consumer Staples Consumer Discretionary 2.43 2.14 2.08 1.94 1.68 1.44 1.41 1.36 1.31 1.31 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 3.13 2.77 20.01 14.81 3.96 15.72 11.76 27.28 0.00 0.56 -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 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Small Cap Equity Comp R2000 Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Small Cap Equity Comp R2000 Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 15.86 15.48 37,502 -1 5,949 43,450 2.07 -4.17 42,571 -2 881 43,450 2.07 -4.17 42,571 -2 881 43,450 20.77 15.63 47,086 -39,005 35,368 43,450 2.23 0.15 64,401 -39,005 18,054 43,450 7.12 6.26 29,988 -39,005 52,466 43,450 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 97 City of Clearwater Small Cap Equity Comp as of 12/31/11 Cash & Equiv $1,206 2.77% Domestic Equity $42,244 97.23% Periods from 8/03 to 12/11 Alpha Beta R-Squared 0.32 0.91 0.96 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 S1 T Annualized Standard Deviation% S Small Cap Equity Comp 1 R2000 T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 7.12 6.26 2.03 20.08 20.91 0.57 0.25 0.20 0.00 0.13 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 98 City of Clearwater Small Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low S Small Cap Equity Comp Net Ret Rank 1 R2000 Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years 19.44 17.09 15.47 13.65 11.22 15.86 34 15.48 49 6.54 -0.93 -3.05 -4.83 -11.49 2.07 12 -4.17 70 15.62 12.87 11.30 9.66 5.08 14.87 12 10.25 65 24.50 20.06 17.03 15.52 11.90 20.77 22 15.63 71 5.57 4.05 1.80 0.72 -1.32 1.97 48 0.58 77 5.60 3.25 1.88 0.38 -1.16 2.23 44 0.15 78 7.44 5.75 4.10 3.14 1.79 4.61 45 2.98 77 7.75 6.11 4.72 4.06 2.06 4.98 48 3.20 87 8.75 7.88 6.57 5.94 4.46 6.26 60 4.98 87 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% S1 S1 S1 S1 S1 S1 S1 S1 S1 99 City of Clearwater Small Neutral Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low S Small Cap Equity Comp Net Ret Rank 1 R2000 Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 2004 6.54 -0.93 -3.05 -4.83 -11.49 2.07 12 -4.17 70 36.32 29.64 26.99 25.10 20.97 29.27 29 26.85 52 53.35 36.35 29.15 26.09 19.50 33.51 31 27.19 66 -22.15 -29.87 -33.24 -36.09 -42.48 -38.63 85 -33.80 59 11.39 3.44 0.65 -2.60 -8.40 3.27 27 -1.55 65 25.57 19.63 17.58 15.75 12.80 17.40 52 18.35 38 14.03 10.02 8.36 5.69 2.79 7.21 71 4.56 86 26.61 22.75 20.68 18.42 15.47 15.69 91 18.32 78 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% S 1 S 1 S 1 S 1 S 1 S 1 S 1 S 1 100 City of Clearwater Risk Measure Summary Small Cap Equity Comp Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 22 1.06 0.83 1.00 -18.74 15.86 2.07 2.07 22 -21.86 15.48 -4.17 -4.17 48 0.99 0.79 0.83 -18.74 20.74 2.07 57.55 24.36 0.87 1.51 0.98 0.85 23.78 5.26 0.67 48 -21.86 20.68 -4.17 62.77 27.86 0.56 8 12 1.03 0.94 0.75 -25.65 20.74 -38.63 57.55 24.83 0.94 0.47 0.96 0.03 0.80 5.40 0.30 9 11 -26.12 20.68 -37.50 62.77 26.00 -0.05 11 22 0.96 0.90 0.64 -25.65 20.74 -38.63 57.55 20.56 0.91 0.32 0.96 0.27 6.14 4.71 0.13 12 21 -26.12 20.68 -37.50 62.77 22.05 0.21 101 City of Clearwater Return vs Risk Total Returns of Small Neutral Portfolios Annualized Rate of Return 21.0 22.3 23.6 24.9 26.2 27.5 28.8 30.1 31.4 32.7 34.0 8.0 9.8 11.6 13.4 15.2 17.0 18.8 20.5 22.3 24.1 25.9 S 1 Median Risk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank S Small Cap Equity Comp 1 R2000 Median 20.77 22 24.36 17 15.63 71 27.86 58 17.03 27.43 Annualized Rate of Return 19.0 20.4 21.8 23.2 24.6 26.0 27.4 28.8 30.2 31.6 33.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 S 1Median Risk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank S Small Cap Equity Comp 1 R2000 Median 2.23 44 24.83 30 0.15 78 26.00 51 1.88 26.00 102 City of Clearwater Riverbridge Partners as of 12/31/11 Ultimate Software Gr Rollins Inc Cepheid Inc National Instrs Corp Lkq Corp Semtech Corp Mednax Inc Chemed Corp New United Nat Foods Inc Gentex Corp GICS Sector % Port Information Technology Industrials Health Care Information Technology Consumer Discretionary Information Technology Health Care Health Care Consumer Staples Consumer Discretionary 4.53 4.40 3.55 3.48 3.32 3.04 2.99 2.88 2.77 2.76 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 0.00 0.00 17.99 10.78 4.45 25.52 1.50 39.76 0.00 0.00 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/10 Riverbridge Partners R2000G Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/10 Riverbridge Partners R2000G Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 13.13 14.99 18,1020 2,377 20,478 4.27 -2.92 19,642 -1 838 20,478 4.27 -2.92 19,642 -1 838 20,478 16.74 10.81 16,876 -1 3,603 20,478 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 103 City of Clearwater Riverbridge Partners as of 12/31/11 Cash & Equiv $518 2.53% Domestic Equity $19,960 97.47% Periods from 9/10 to 12/11 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -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 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 R 1 T Annualized Standard Deviation% R Riverbridge Partners 1 R2000G T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 16.74 10.81 0.11 17.66 23.08 0.03 0.94 0.46 0.00 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 104 City of Clearwater Small Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low R Riverbridge Partners Return Rank 1 R2000G Return Rank Last Qtr Last 2 Qtrs Last 3 Qtrs Last 4 Qtrs 17.86 15.33 13.82 12.42 9.98 13.13 65 14.99 32 -3.95 -7.31 -9.51 -11.65 -16.66 -4.85 14 -10.60 63 -2.30 -6.90 -9.90 -11.98 -17.47 -4.52 11 -11.13 64 7.94 2.26 -1.11 -3.87 -8.91 4.27 14 -2.92 62 -20% -15% -10% -5% 0% 5% 10% 15% 20% R 1 R 1 R 1 R 1 105 City of Clearwater Small Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low R Riverbridge Partners Return Rank 1 R2000G Return Rank 2011 7.94 2.26 -1.11 -3.87 -8.91 4.27 14 -2.92 62 -10% -8% -6% -4% -2% 0% 2% 4% 6% 8% 10% R 1 106 City of Clearwater Equity Summary Statistics Riverbridge Partners Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R2000G 52 19,960,289 1,666,594 974,908 0.41 29.07 29.05 1.05 3.52 12.46 6.01 1,162 1,391,346 533,139 0.72 30.34 14.60 1.43 3.08 49.50 8.44 Ten Largest Holdings Ultimate Software Gr Rollins Inc Cepheid Inc National Instrs Corp Lkq Corp Semtech Corp Mednax Inc Chemed Corp New United Nat Foods Inc Gentex Corp Market Value % of Portfolio Quarterly Ret 903,214 878,068 708,640 693,825 662,963 606,601 597,323 574,320 552,938 551,706 4.53 4.40 3.55 3.48 3.32 3.04 2.99 2.88 2.77 2.76 39.38 19.13 -11.38 13.93 24.50 17.63 14.96 -6.56 8.02 23.61 Ten Best Performers Dealertrack Hldgs In Stratasys Inc Sps Comm Inc Ebix Com Inc Faro Technologies In Ultimate Software Gr Cabot Microelectroni Concur Technologies Constant Contact Inc Cass Information Sys Quarterly Ret 73.96 64.02 59.30 50.70 45.80 39.38 37.39 36.46 34.24 29.54 Ten Worst Performers Echelon Corp Quality Sys Inc Athenahealth Inc Neogen Corp Bio-Reference Labs I Cepheid Inc Chemed Corp New Sciquest Inc New Pegasystems Inc Grand Canyon Ed Inc Quarterly Ret -30.53 -23.35 -17.51 -11.75 -11.62 -11.38 -6.56 -4.48 -3.85 -1.18 107 City of Clearwater Equity Contribution to Return Riverbridge Partners Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio Russell 2000 Growth 52 19,960,289 1,666,594 974,908 0.41 29.07 29.05 1.05 3.52 12.46 6.01 1,162 1,391,346 533,139 0.72 30.34 14.60 1.43 3.08 49.50 8.44 Ten Best Contributors Ultimate Software Gr Dealertrack Hldgs In Sps Comm Inc Ebix Com Inc Rollins Inc Cabot Microelectroni Lkq Corp Faro Technologies In Stratasys Inc Concur Technologies Market Value % of Portfolio Quarterly Ret 903,214 386,956 333,380 375,855 878,068 445,615 662,963 339,940 237,502 373,357 4.53 1.94 1.67 1.88 4.40 2.23 3.32 1.70 1.19 1.87 39.38 73.96 59.30 50.70 19.13 37.39 24.50 45.80 64.02 36.46 Ten Worst Contributors Cepheid Inc Quality Sys Inc Athenahealth Inc Neogen Corp Echelon Corp Chemed Corp New Bio-Reference Labs I Pegasystems Inc Sciquest Inc New Grand Canyon Ed Inc Market Value % of Portfolio Quarterly Ret 708,640 266,698 344,872 389,005 135,805 574,320 308,577 259,043 189,106 331,473 3.55 1.34 1.73 1.95 0.68 2.88 1.55 1.30 0.95 1.66 -11.38 -23.35 -17.51 -11.75 -30.53 -6.56 -11.62 -3.85 -4.48 -1.18 108 City of Clearwater Equity Sector Attribution Analysis Riverbridge Partners Quarter Ending 12/11 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 0.00 0.00 14.89 10.23 4.69 30.50 3.80 35.90 0.00 0.00 100.00 7.72 4.04 15.80 14.73 4.55 20.52 8.00 23.32 1.23 0.09 100.00 16.87 18.53 6.69 -2.25 23.30 23.59 13.39 28.15 15.22 20.63 11.85 6.88 11.37 12.24 14.82 7.69 11.87 14.98 0.00 0.00 -0.56 0.68 -0.01 -4.16 0.42 3.15 0.00 0.00 -0.47 -1.02 -0.01 -0.05 0.14 -0.01 -0.36 0.12 -0.02 0.09 0.00 -1.12 -1.02 -0.01 -0.61 0.82 -0.02 -4.52 0.54 3.13 0.09 0.00 -1.59 Index -R2000G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return -Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage -Index Sector Percentage ] * [ Index Sector Return -Index Total Return ] Trading Effect 0.04% [ Actual Return 13.43% ] -[ Buy Hold Return 13.39% ] 109 City of Clearwater Equity Sector Attribution Chart Riverbridge Partners Quarter Ending 12/11 % Allocation Energy 0.007.72 Materials 0.00 4.04 Industrials 14.89 15.80 Con. Discretionary 10.23 14.73 Consumer Staples 4.69 4.55 Health Care 30.50 20.52 Financials 3.80 8.00 Infomation Tech. 35.90 23.32 Telecom. Services 0.00 1.23 Utilities 0.00 0.09 Riverbridge Partners R2000G % Return 28.15 15.22 16.87 20.63 18.53 11.85 6.69 6.88 -2.25 11.37 23.30 12.2423.59 14.82 7.69 11.87 % Variance -1.02 -0.01 -0.61 0.82 -0.02 -4.52 0.54 3.13 0.09 0.00 110 City of Clearwater Atlanta Capital Mgmt as of 12/31/11 Kirby Expl Co. Morningstar Inc Lkq Corp Henry Jack & Assoc I Blackbaud Inc Sally Beauty Hldgs I Bio Rad Labs Inc Dril-Quip Inc Aptargroup Inc Fair Isaac Corp GICS Sector % Port Industrials Consumer Discretionary Consumer Discretionary Information Technology Information Technology Consumer Discretionary Health Care Energy Materials Information Technology 3.56 3.44 3.01 2.96 2.81 2.79 2.77 2.76 2.38 2.31 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 2.76 3.64 27.36 20.96 3.62 8.57 13.75 19.34 0.00 0.00 -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 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Atlanta Capital Mgmt R2000V Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Atlanta Capital Mgmt R2000V Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 16.42 15.97 10,8990 1,789 12,688 10.20 -5.50 11,514 -1 1,175 12,688 10.20 -5.50 11,514 -1 1,175 12,688 20.76 12.36 14,689 -10,001 8,000 12,688 8.66 -1.87 32,049 -10,001 -9,360 12,688 10.98 6.22 14,990 -10,001 7,699 12,688 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 111 City of Clearwater Atlanta Capital Mgmt as of 12/31/11 Cash & Equiv $576 4.54% Domestic Equity $12,112 95.46% Periods from 8/03 to 12/11 Alpha Beta R-Squared 1.38 0.72 0.92 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 t 1 T Annualized Standard Deviation% t Atlanta Capital Mgmt 1 R2000V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 10.98 6.22 2.03 17.77 20.92 0.57 0.50 0.20 0.00 0.44 Asset Allocation ($000) Risk/Return Analysis 112 City of Clearwater Small Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low t Atlanta Capital Mgmt Net Ret Rank 1 R2000V Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years 19.25 17.88 16.19 15.13 13.81 16.42 42 15.97 55 1.95 -0.63 -4.03 -6.21 -8.96 10.201 -5.50 68 14.56 13.05 11.13 9.21 7.66 17.831 8.47 85 21.20 19.04 17.38 15.77 13.12 20.768 12.36 99 6.16 4.77 2.85 0.94 0.42 9.111 0.21 96 4.93 3.21 2.21 0.03 -1.82 8.661 -1.87 97 7.78 5.68 4.82 3.67 1.75 9.891 1.96 89 8.59 6.26 5.40 4.12 2.62 9.361 2.34 100 10.66 8.49 7.48 6.25 4.92 10.666 4.64 99 -10% -5% 0% 5% 10% 15% 20% 25% t1 t1 t1 t1 t1 t1 t1 t1 t1 113 City of Clearwater Small Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low t Atlanta Capital Mgmt Net Ret Rank 1 R2000V Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 2004 1.95 -0.63 -4.03 -6.21 -8.96 10.201 -5.50 68 33.58 30.90 27.62 24.82 21.40 25.98 65 24.51 79 55.19 36.04 32.28 25.37 20.58 26.83 62 20.57 96 -23.17 -28.21 -30.75 -33.26 -38.96 -19.521 -28.92 27 5.01 0.79 -2.59 -7.82 -11.30 6.913 -9.77 83 25.08 21.53 19.90 16.57 13.06 16.22 78 23.488 13.63 10.31 8.22 5.85 2.16 6.23 70 4.70 83 27.20 25.39 21.40 18.37 12.52 20.24 59 22.25 43 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% t 1 t 1 t 1 t 1 t 1 t 1 t 1 t 1 114 City of Clearwater December 31, 2011 Cumulative Performance Comparison Total Returns of Equity Portfolios High 1st Qt Median 3rd Qt Low t Atlanta Capital Mgmt Return Rank 1 R2000V Return Rank 12/11 9/11 6/11 3/11 12/10 24.09 18.85 15.31 13.54 8.47 20.76 13 12.36 82 9.45 4.36 1.80 0.39 -3.11 8.057 -2.79 94 13.65 8.05 4.61 2.70 -2.65 15.812 7.08 31 14.09 8.55 4.28 2.26 -1.73 13.985 6.76 35 8.21 2.72 -0.87 -2.97 -6.58 8.754 2.19 29 -10% -5% 0% 5% 10% 15% 20% 25% t 1 t 1 t 1 t 1 t 1 Atlanta Capital Mgmt Value Added Analysis -Net of Fee 3/07 6/07 9/07 12/07 3/08 6/08 9/08 12/08 3/09 6/09 9/09 12/09 3/10 6/10 9/10 12/10 3/11 6/11 9/11 12/11 -10.0% 0.0% 10.0% 20.0% 30.0% 40.0% 50.0% 60.0% 70.0% 0.8 1 . 5 10.3 5.0 1.7 1 . 5 -1.2 11.0 1 0 . 9 0.0 -6.0 0.9 -2.6 3.2 1.2 -0.6 2.7 5.4 7.3 0.4 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R2000V 115 City of Clearwater Risk Measure Summary Atlanta Capital Mgmt Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 13 1.16 0.58 1.00 -15.76 16.42 10.20 10.20 22 -21.47 15.97 -5.50 -5.50 39 0.94 0.64 0.75 -15.76 18.00 8.57 52.53 22.64 0.76 2.39 0.96 0.91 27.06 8.40 0.66 48 -21.47 22.70 -6.00 65.05 29.28 0.42 7 13 0.96 0.58 0.80 -16.60 18.00 -24.55 52.53 20.44 0.75 2.21 0.95 0.35 9.57 8.14 1.08 9 11 -24.89 22.70 -38.89 65.05 26.53 -0.13 10 23 0.88 0.59 0.64 -16.60 18.00 -24.55 52.53 16.81 0.72 1.38 0.92 0.57 13.14 7.81 0.44 11 22 -24.89 22.70 -38.89 65.05 22.38 0.20 116 City of Clearwater Return vs Risk Total Returns of Small Value Portfolios Annualized Rate of Return 18.0 20.2 22.4 24.6 26.8 29.0 31.2 33.4 35.6 37.8 40.0 8.0 9.8 11.6 13.4 15.2 17.0 18.8 20.5 22.3 24.1 25.9 t 1 Median Risk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank t Atlanta Capital Mgmt 1 R2000V Median 20.76 8 22.64 4 12.36 99 29.28 57 17.38 28.84 Annualized Rate of Return 16.0 18.2 20.4 22.6 24.8 27.0 29.2 31.4 33.6 35.8 38.0 -6.0 -4.2 -2.3 -0.5 1.2 3.0 4.8 6.6 8.4 10.2 12.0 t 1 Median Risk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank t Atlanta Capital Mgmt 1 R2000V Median 8.66 1 20.44 1 -1.87 97 26.53 51 2.21 26.77 117 City of Clearwater Equity Summary Statistics Atlanta Capital Mgmt Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R2000V 62 12,111,637 1,966,553 1,551,275 1.00 20.36 20.26 1.08 2.92 18.46 4.74 1,354 1,082,047 406,698 2.19 22.74 12.98 1.46 1.16 54.75 -0.29 Ten Largest Holdings Kirby Expl Co. Morningstar Inc Lkq Corp Henry Jack & Assoc I Blackbaud Inc Sally Beauty Hldgs I Bio Rad Labs Inc Dril-Quip Inc Aptargroup Inc Fair Isaac Corp Market Value % of Portfolio Quarterly Ret 430,594 416,745 363,968 358,283 340,433 337,235 335,180 334,366 287,978 279,552 3.56 3.44 3.01 2.96 2.81 2.79 2.77 2.76 2.38 2.31 25.08 5.42 24.50 16.34 24.95 27.29 5.81 22.09 17.32 64.27 Ten Best Performers Fair Isaac Corp Acuity Brands Inc Wright Express Corp Umpqua Hldgs Corp Carlisle Corp Simpson Manufacturin Moog Inc ’a’ Hibbett Sports Inc Aaon Inc Raven Inds Inc Quarterly Ret 64.27 47.48 42.69 41.76 39.54 35.65 34.67 33.31 30.88 28.81 Ten Worst Performers Owens & Minor Inc Ne Columbia Sportswear Techne Corp Hittite Microwave Co HCC Ins Hldgs Inc II VI Inc Landauer Inc Morningstar Inc Iberiabank Corp Aaron Rents Inc Quarterly Ret -1.72 0.75 0.77 1.40 2.24 4.91 5.06 5.42 5.47 5.73 118 City of Clearwater Equity Contribution to Return Atlanta Capital Mgmt Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R2000V 62 12,111,637 1,966,553 1,551,275 1.00 20.36 20.26 1.08 2.92 18.46 4.74 1,354 1,082,047 406,698 2.19 22.74 12.98 1.46 1.16 54.75 -0.29 Ten Best Contributors Fair Isaac Corp Acuity Brands Inc Kirby Expl Co. Moog Inc ’a’ Sally Beauty Hldgs I Lkq Corp Umpqua Hldgs Corp Blackbaud Inc Dril-Quip Inc Carlisle Corp Market Value % of Portfolio Quarterly Ret 279,552 234,260 430,594 275,441 337,235 363,968 208,648 340,433 334,366 177,200 2.31 1.94 3.56 2.28 2.79 3.01 1.72 2.81 2.76 1.46 64.27 47.48 25.08 34.67 27.29 24.50 41.76 24.95 22.09 39.54 Ten Worst Contributors Owens & Minor Inc Ne Columbia Sportswear Techne Corp Hittite Microwave Co HCC Ins Hldgs Inc Landauer Inc Young Innovations In Iberiabank Corp II VI Inc Aaron Rents Inc Market Value % of Portfolio Quarterly Ret 152,845 146,772 170,650 119,500 159,225 102,485 81,483 114,869 155,142 154,611 1.26 1.21 1.41 0.99 1.32 0.85 0.67 0.95 1.28 1.28 -1.72 0.75 0.77 1.40 2.24 5.06 7.70 5.47 4.91 5.73 119 City of Clearwater Equity Sector Attribution Analysis Atlanta Capital Mgmt Quarter Ending 12/11 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 2.63 3.71 25.70 21.18 6.20 9.96 12.71 17.93 0.00 0.00 100.00 4.76 4.98 14.35 11.41 3.11 5.38 36.24 11.12 0.72 7.93 100.00 22.09 14.36 24.01 16.30 -15.86 7.88 18.99 22.94 17.06 13.93 16.64 20.28 18.01 12.83 14.22 16.23 14.15 9.22 10.36 15.96 0.21 -0.08 0.96 -0.36 -1.78 -0.63 0.35 1.58 0.00 0.00 0.24 0.04 -0.01 0.49 0.20 -0.10 -0.08 -0.06 -0.12 0.05 0.44 0.85 0.26 -0.09 1.45 -0.16 -1.87 -0.71 0.29 1.45 0.05 0.44 1.10 Index -R2000V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return -Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage -Index Sector Percentage ] * [ Index Sector Return -Index Total Return ] Trading Effect 0.20% [ Actual Return 17.26% ] -[ Buy Hold Return 17.06% ] 120 City of Clearwater Equity Sector Attribution Chart Atlanta Capital Mgmt Quarter Ending 12/11 % Allocation Energy 2.63 4.76 Materials 3.71 4.98 Industrials 25.70 14.35 Con. Discretionary 21.18 11.41 Consumer Staples 6.20 3.11 Health Care 9.96 5.38 Financials 12.71 36.24 Infomation Tech. 17.93 11.12 Telecom. Services 0.00 0.72 Utilities 0.007.93 Atlanta Capital Mgmt R2000V % Return 22.09 13.93 14.36 16.64 24.01 20.28 16.30 18.01 -15.86 12.83 7.8814.22 18.99 16.23 22.94 14.15 9.22 10.36 % Variance 0.26 -0.09 1.45 -0.16 -1.87-0.71 0.29 1.45 0.05 0.44 121 City of Clearwater Systematic Financial Mgt as of 12/31/11 Cbl & Assoc Pptys In Dupont Fabros Techno Pier I Imports Inc Cno Finl Group Inc Hain Celestial Group Polyone Corp Webster Finl Corp Co Waddell & Reed Finl Dana Holding Corp Triumph Group Inc Ne GICS Sector % Port Financials Financials Consumer Discretionary Financials Consumer Staples Materials Financials Financials Consumer Discretionary Industrials 3.63 3.58 3.32 2.35 2.15 2.06 1.93 1.90 1.81 1.64 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 9.72 7.18 15.21 15.38 3.38 5.00 29.57 12.24 0.00 2.32 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Systematic Financial Mgt R2000V Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Systematic Financial Mgt R2000V Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 20.97 15.97 8,5010 1,783 10,284 -9.91 -5.50 11,416 -1 -1,131 10,284 -9.91 -5.50 11,416 -1 -1,131 10,284 18.33 12.36 10,362 -6,001 5,922 10,284 -0.26 -1.87 32,360 -6,001 -16,076 10,284 5.70 6.22 15,001 -6,001 1,283 10,284 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 122 City of Clearwater Systematic Financial Mgt as of 12/31/11 Cash & Equiv $111 1.08% Domestic Equity $10,172 98.92% Periods from 8/03 to 12/11 Alpha Beta R-Squared 0.04 1.04 0.86 Annualized Return% 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 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 s 1 T Annualized Standard Deviation% s Systematic Financial Mgt 1 R2000V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 5.70 6.22 2.03 22.75 20.92 0.57 0.16 0.20 0.00 -0.01 Asset Allocation ($000) Risk/Return Analysis 123 City of Clearwater Small Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low s Systematic Financial Mgt Net Ret Rank 1 R2000V Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years 19.25 17.88 16.19 15.13 13.81 20.971 15.97 55 1.95 -0.63 -4.03 -6.21 -8.96 -9.91 96 -5.50 68 14.56 13.05 11.13 9.21 7.66 10.49 57 8.47 85 21.20 19.04 17.38 15.77 13.12 18.33 30 12.36 99 6.16 4.77 2.85 0.94 0.42 -0.44 100 0.21 96 4.93 3.21 2.21 0.03 -1.82 -0.26 78 -1.87 97 7.78 5.68 4.82 3.67 1.75 2.66 87 1.96 89 8.59 6.26 5.40 4.12 2.62 3.45 85 2.34 100 10.66 8.49 7.48 6.25 4.92 4.41 100 4.64 99 -15% -10% -5% 0% 5% 10% 15% 20% 25% s1 s1 s1 s1 s1 s1 s1 s1 s1 124 City of Clearwater Small Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low s Systematic Financial Mgt Net Ret Rank 1 R2000V Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 2004 1.95 -0.63 -4.03 -6.21 -8.96 -9.91 96 -5.50 68 33.58 30.90 27.62 24.82 21.40 35.501 24.51 79 55.19 36.04 32.28 25.37 20.58 35.72 31 20.57 96 -23.17 -28.21 -30.75 -33.26 -38.96 -40.71 97 -28.92 27 5.01 0.79 -2.59 -7.82 -11.30 0.49 30 -9.77 83 25.08 21.53 19.90 16.57 13.06 18.61 62 23.488 13.63 10.31 8.22 5.85 2.16 8.27 47 4.70 83 27.20 25.39 21.40 18.37 12.52 11.42 100 22.25 43 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% s 1 s 1 s 1 s 1 s 1 s 1 s 1 s 1 125 City of Clearwater December 31, 2011 Cumulative Performance Comparison Total Returns of Equity Portfolios High 1st Qt Median 3rd Qt Low s Systematic Financial Mgt Return Rank 1 R2000V Return Rank 12/11 9/11 6/11 3/11 12/10 24.09 18.85 15.31 13.54 8.47 18.33 28 12.36 82 9.45 4.36 1.80 0.39 -3.11 0.84 69 -2.79 94 13.65 8.05 4.61 2.70 -2.65 6.74 34 7.08 31 14.09 8.55 4.28 2.26 -1.73 10.12 16 6.76 35 8.21 2.72 -0.87 -2.97 -6.58 2.93 24 2.19 29 -10% -5% 0% 5% 10% 15% 20% 25% s 1 s 1 s 1 s 1 s 1 Systematic Financial Mgt Value Added Analysis -Net of Fee 3/07 6/07 9/07 12/07 3/08 6/08 9/08 12/08 3/09 6/09 9/09 12/09 3/10 6/10 9/10 12/10 3/11 6/11 9/11 12/11 -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 3.9 4.5 3.2 -0.6 -6.0 8.3 -17.8 -0.3 9.1 0.4 2.2 0.6 2.6 -0.8 3.9 2.9 1.0 -2.3 -7.4 4.3 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R2000V 126 City of Clearwater Risk Measure Summary Systematic Financial Mgt Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 22 1.28 1.31 0.50 -27.29 20.97 -9.91 -9.91 22 -21.47 15.97 -5.50 -5.50 48 1.24 1.02 0.75 -27.29 25.37 -11.58 74.73 32.43 1.09 1.23 0.96 0.56 16.74 6.98 0.89 48 -21.47 22.70 -6.00 65.05 29.28 0.42 9 11 1.07 0.99 0.65 -27.29 25.37 -40.88 74.73 30.35 1.06 0.67 0.86 -0.06 -1.64 11.67 0.17 9 11 -24.89 22.70 -38.89 65.05 26.53 -0.13 13 20 0.97 0.99 0.55 -27.29 25.37 -40.88 74.73 25.13 1.04 0.04 0.86 0.17 4.00 9.58 -0.01 11 22 -24.89 22.70 -38.89 65.05 22.38 0.20 127 City of Clearwater Return vs Risk Total Returns of Small Value Portfolios Annualized Rate of Return 18.0 20.2 22.4 24.6 26.8 29.0 31.2 33.4 35.6 37.8 40.0 8.0 9.8 11.6 13.4 15.2 17.0 18.8 20.5 22.3 24.1 25.9 s 1 Median Risk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank s Systematic Financial Mgt 1 R2000V Median 18.33 30 32.43 84 12.36 99 29.28 57 17.38 28.84 Annualized Rate of Return 16.0 18.2 20.4 22.6 24.8 27.0 29.2 31.4 33.6 35.8 38.0 -2.0 -1.1 -0.2 0.6 1.5 2.5 3.4 4.3 5.2 6.1 7.0 s 1 Median Risk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank s Systematic Financial Mgt 1 R2000V Median -0.26 78 30.35 78 -1.87 97 26.53 51 2.21 26.77 128 City of Clearwater Equity Summary Statistics Systematic Financial Mgt Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R2000V 104 10,172,449 1,524,393 1,283,558 1.16 15.62 14.20 1.69 1.52 51.07 -2.37 1,354 1,082,047 406,698 2.19 22.74 12.98 1.46 1.16 54.75 -0.29 Ten Largest Holdings Cbl & Assoc Pptys In Dupont Fabros Techno Pier I Imports Inc Cno Finl Group Inc Hain Celestial Group Polyone Corp Webster Finl Corp Co Waddell & Reed Finl Dana Holding Corp Triumph Group Inc Ne Market Value % of Portfolio Quarterly Ret 368,950 363,300 336,827 239,149 218,127 209,055 195,744 193,206 183,465 166,583 3.63 3.58 3.32 2.35 2.15 2.06 1.93 1.90 1.81 1.64 40.07 24.37 42.43 16.64 20.00 8.22 33.61 0.03 15.71 20.01 Ten Best Performers FSI Int Inc Kodiak Oil & Gas Cor United Rentals Inc Ethan Allen Interior Wabash Natl Corp Fair Isaac Corp Newpark Res Inc Bbcn Bancorp Inc Arctic Cat Inc Hercules Offshore In Quarterly Ret 93.65 82.34 75.48 75.07 64.36 64.27 55.99 55.68 55.62 52.05 Ten Worst Performers Silicon Image Inc Veeco Instrs Inc Del U S Airways Group In Finish Line Inc Express Inc Mastec Inc Waddell & Reed Finl Home Pptys N Y Inc Orbotech Ltd Dillards Inc Quarterly Ret -19.93 -14.75 -7.82 -3.28 -1.73 -1.36 0.03 2.56 3.10 3.33 129 City of Clearwater Equity Contribution to Return Systematic Financial Mgt Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Portfolio R2000V 104 10,172,449 1,524,393 1,283,558 1.16 15.62 14.20 1.69 1.52 51.07 -2.37 1,354 1,082,047 406,698 2.19 22.74 12.98 1.46 1.16 54.75 -0.29 Ten Best Contributors Cbl & Assoc Pptys In Pier I Imports Inc Kodiak Oil & Gas Cor Dupont Fabros Techno Hercules Offshore In Wabash Natl Corp Ryder Sys Inc Webster Finl Corp Co Universal Stainless United Rentals Inc Market Value % of Portfolio Quarterly Ret 368,950 336,827 114,950 363,300 146,520 114,464 159,420 195,744 138,232 82,740 3.63 3.32 1.13 3.58 1.44 1.13 1.57 1.93 1.36 0.81 40.07 42.43 82.34 24.37 52.05 64.36 42.47 33.61 46.97 75.48 Ten Worst Contributors Silicon Image Inc U S Airways Group In Veeco Instrs Inc Del Finish Line Inc Express Inc Mastec Inc Waddell & Reed Finl Orbotech Ltd Home Pptys N Y Inc Dillards Inc Market Value % of Portfolio Quarterly Ret 61,100 119,145 37,440 138,852 69,790 85,113 193,206 54,890 69,084 65,076 0.60 1.17 0.37 1.37 0.69 0.84 1.90 0.54 0.68 0.64 -19.93 -7.82 -14.75 -3.28 -1.73 -1.36 0.03 3.10 2.56 3.33 130 City of Clearwater Equity Sector Attribution Analysis Systematic Financial Mgt Quarter Ending 12/11 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 8.13 5.27 15.83 14.86 4.73 6.34 29.43 13.10 0.34 1.97 100.00 4.76 4.98 14.35 11.41 3.11 5.38 36.24 11.12 0.72 7.93 100.00 26.82 21.54 23.23 16.40 24.10 14.97 23.16 15.72 -5.77 14.30 20.66 13.93 16.64 20.28 18.01 12.83 14.22 16.23 14.15 9.22 10.36 15.96 1.05 0.26 0.47 -0.24 0.53 0.05 2.04 0.21 -0.05 0.08 4.38 -0.07 0.00 0.06 0.07 -0.05 -0.02 -0.02 -0.04 0.03 0.33 0.31 0.98 0.26 0.53 -0.17 0.48 0.03 2.02 0.17 -0.03 0.41 4.69 Index -R2000V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return -Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage -Index Sector Percentage ] * [ Index Sector Return -Index Total Return ] Trading Effect 0.78% [ Actual Return 21.44% ] -[ Buy Hold Return 20.66% ] 131 City of Clearwater Equity Sector Attribution Chart Systematic Financial Mgt Quarter Ending 12/11 % Allocation Energy 8.13 4.76 Materials 5.27 4.98 Industrials 15.83 14.35 Con. Discretionary 14.86 11.41 Consumer Staples 4.73 3.11 Health Care 6.34 5.38 Financials 29.43 36.24 Infomation Tech. 13.10 11.12 Telecom. Services 0.34 0.72 Utilities 1.977.93 Systematic Financial Mgt R2000V % Return 26.82 13.93 21.54 16.64 23.23 20.28 16.40 18.01 24.10 12.83 14.97 14.2223.16 16.23 15.72 14.15 -5.77 9.22 14.30 10.36 % Variance 0.98 0.26 0.53 -0.17 0.48 0.03 2.02 0.17 -0.03 0.41 132 City of Clearwater International EQ Comp as of 12/31/11 Bhp Billiton Ltd Core Laboratories N Rio Tinto Plc Arm Hldgs Plc Potash Corp Sask Inc Novartis A G Shire Agrium Inc Schlumberger Ltd Nestle S A GICS Sector % Port Materials Energy Materials Information Technology Materials Health Care Health Care Materials Energy Consumer Staples 4.04 3.86 2.68 2.56 2.38 2.26 2.21 2.20 2.19 2.14 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 23.41 19.03 12.34 3.23 8.85 8.61 17.11 5.16 2.26 0.00 -20.0 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 5/31/01 International EQ Comp MSCI EAFE Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 5/31/01 International EQ Comp MSCI EAFE Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 6.36 3.38 96,529 -9,512 5,532 92,549 -15.04 -11.73 120,850 -9,518 -18,782 92,549 -15.04 -11.73 120,850 -9,518 -18,782 92,549 16.67 8.16 51,823 -9,682 50,408 92,549 -1.70 -4.26 67,126 -9,682 35,105 92,549 5.92 5.12 36,401 -9,682 65,830 92,549 4.58 3.61 20,000 -9,682 82,231 92,549 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 133 City of Clearwater International EQ Comp as of 12/31/11 Cash & Equiv $4,914 5.31% Intl Equity $87,635 94.69% Periods from 5/01 to 12/11 Alpha Beta R-Squared 0.26 1.03 0.95 Annualized Return% 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 2.0 2.2 2.4 2.6 2.8 3.0 3.2 3.4 3.6 3.8 4.0 4.2 4.4 4.6 4.8 I 1 T Annualized Standard Deviation% I International EQ Comp 1 MSCI EAFE T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 4.58 3.61 2.04 19.35 18.64 0.52 0.13 0.08 0.00 0.21 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 134 City of Clearwater Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low I International EQ Comp Net Ret Rank 1 MSCI EAFE Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 9.09 5.31 4.19 2.79 -0.74 6.36 15 3.38 66 -3.13 -10.56 -13.30 -15.59 -21.74 -15.04 70 -11.73 35 6.48 1.31 -1.52 -2.72 -5.54 0.28 31 -2.27 65 21.05 13.80 10.46 8.08 4.04 16.67 15 8.16 73 1.64 -4.74 -6.29 -7.94 -10.76 -4.64 24 -7.87 73 4.55 -0.35 -2.35 -4.20 -6.46 -1.70 43 -4.26 76 8.08 3.97 1.96 0.36 -1.37 2.67 34 0.33 75 10.75 6.14 3.91 2.15 0.85 4.11 49 2.18 74 12.96 7.79 6.31 4.38 2.63 5.71 53 4.33 75 17.08 11.33 9.08 7.76 6.32 8.27 66 7.72 75 14.64 9.16 6.60 5.25 3.98 5.92 63 5.12 79 -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% I1 I1 I1 I1 I1 I1 I1 I1 I1 I1 I1 135 City of Clearwater Calendar Year Performance Comparison Total Returns of International Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low I International EQ Comp Net Ret Rank 1 MSCI EAFE Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 -3.13 -10.56 -13.30 -15.59 -21.74 -15.04 70 -11.73 35 25.22 17.11 11.98 8.48 2.37 18.37 20 8.21 76 76.36 42.27 35.69 26.24 9.83 57.93 11 32.46 59 -24.15 -40.21 -43.33 -47.44 -57.07 -47.94 77 -43.06 46 39.18 18.13 11.88 7.76 0.74 11.02 58 11.63 52 35.41 29.39 26.09 22.29 11.41 27.62 37 26.85 41 36.71 20.84 15.25 11.58 6.45 13.15 64 14.01 57 31.90 23.58 19.98 17.15 10.24 17.66 72 20.69 40 58.53 43.10 37.76 32.58 24.09 31.06 81 39.16 40 4.02 -9.37 -14.30 -17.04 -22.59 -13.03 40 -15.66 62 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% I1 I1 I1 I1 I1 I1 I1 I1 I1 I1 136 City of Clearwater Risk Measure Summary International EQ Comp Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 22 0.95 1.14 0.25 -21.66 6.36 -15.04 -15.04 13 -18.95 3.45 -11.73 -11.73 48 1.22 0.85 0.67 -21.66 31.05 -15.04 71.81 28.27 1.01 1.99 0.94 0.59 16.41 6.62 1.22 39 -18.95 25.85 -11.73 55.20 27.26 0.29 8 12 1.18 1.00 0.60 -26.42 31.05 -47.94 71.81 28.60 1.09 0.94 0.95 -0.11 -2.88 6.80 0.49 8 12 -20.50 25.85 -46.20 55.20 25.56 -0.22 15 27 1.05 1.00 0.50 -26.42 31.05 -47.94 71.81 23.54 1.03 0.26 0.95 0.12 2.81 5.11 0.21 15 27 -20.50 25.85 -46.20 58.14 22.26 0.09 137 City of Clearwater Return vs Risk Total Returns of International Equity Portfolios Annualized Rate of Return 14.0 16.6 19.2 21.8 24.4 27.0 29.6 32.2 34.8 37.4 40.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 I 1Median Risk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank I International EQ Comp 1 MSCI EAFE Median 16.67 15 28.29 58 8.16 73 27.26 48 10.46 27.48 Annualized Rate of Return 14.0 16.6 19.2 21.8 24.4 27.0 29.6 32.2 34.8 37.4 40.0 -10.0 -8.0 -6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 I 1 Median Risk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank I International EQ Comp 1 MSCI EAFE Median -1.70 43 28.60 78 -4.26 76 25.56 41 -2.35 26.15 138 City of Clearwater Earnest Partners as of 12/31/11 Arm Hldgs Plc Core Laboratories N Shire Schoeller Bleckmann United Industrial Co Weichai Power Co Rio Tinto Plc Bhp Billiton Ltd Diageo Is MSCI Eafe GICS Sector % Port Information Technology Energy Health Care Energy Financials Industrials Materials Materials Consumer Staples Industrials 4.64 4.13 4.01 3.87 3.75 2.91 2.63 2.63 2.57 2.55 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 16.08 11.18 9.84 5.86 2.57 13.21 27.82 9.36 4.10 0.00 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Earnest Partners MSCI EAFE Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Earnest Partners MSCI EAFE Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 7.59 3.38 25,711 5,493 2,305 33,508 -6.88 -11.73 29,711 5,488 -1,691 33,508 -6.88 -11.73 29,711 5,488 -1,691 33,508 19.09 8.16 16,392 5,484 11,633 33,508 -1.26 -7.59 29,002 5,484 -978 33,508 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 139 City of Clearwater Earnest Partners as of 12/31/11 Cash & Equiv $2,828 8.44% Intl Equity $30,680 91.56% Periods from 4/08 to 12/11 Alpha Beta R-Squared 2.01 1.09 0.98 Annualized Return% -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 -8.0 -7.0 -6.0 -5.0 -4.0 -3.0 -2.0 -1.0 0.0 1.0 e 1 T Annualized Standard Deviation% e Earnest Partners 1 MSCI EAFE T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio -1.26 -7.59 0.40 27.06 25.37 0.21 -0.06 -0.32 0.00 1.40 Asset Allocation ($000) Risk/Return Analysis 140 City of Clearwater Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low e Earnest Partners Net Ret Rank 1 MSCI EAFE Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years 9.09 5.31 4.19 2.79 -0.74 7.596 3.38 66 -3.13 -10.56 -13.30 -15.59 -21.74 -6.88 13 -11.73 35 6.48 1.31 -1.52 -2.72 -5.54 4.209 -2.27 65 21.05 13.80 10.46 8.08 4.04 19.09 10 8.16 73 -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% e 1 e 1 e 1 e 1 141 City of Clearwater Calendar Year Performance Comparison Total Returns of International Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low e Earnest Partners Net Ret Rank 1 MSCI EAFE Net Ret Rank 2011 2010 2009 -3.13 -10.56 -13.30 -15.59 -21.74 -6.88 13 -11.73 35 25.22 17.11 11.98 8.48 2.37 16.61 27 8.21 76 76.36 42.27 35.69 26.24 9.83 55.54 12 32.46 59 -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% e 1 e 1 e 1 142 City of Clearwater Return vs Risk Total Returns of International Equity Portfolios 3 Years Ending 12/31/11 Annualized Rate of Return 14.0 16.6 19.2 21.8 24.4 27.0 29.6 32.2 34.8 37.4 40.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 e 1 Median Risk Median Return Historical Standard Deviation of Return Annualized Net of Fee Return Standard Deviation Value Rank Value Rank e Earnest Partners 1 MSCI EAFE Median 19.09 10 28.96 68 8.16 73 27.26 48 10.46 27.48 143 City of Clearwater Global Equity Summary Statistics Earnest Partners Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Five Year Dividend Growth Portfolio MSCI EAFE 52 30,680,300 28,453,692 14,624,174 2.53 12.95 12.35 1.03 1.54 79.66 5.65 1.73 924 47,148,032 6,284,282 3.78 12.01 13.23 1.00 1.28 87.03 -1.63 3.18 Ten Largest Holdings Arm Hldgs Plc Core Laboratories N Shire Schoeller Bleckmann United Industrial Co Weichai Power Co Rio Tinto Plc Bhp Billiton Ltd Diageo Is MSCI Eafe Market Value % of Portfolio Quarterly Ret 1,422,238 1,264,845 1,230,504 1,186,701 1,149,773 892,806 807,180 805,182 787,056 782,574 4.64 4.13 4.01 3.87 3.75 2.91 2.63 2.63 2.57 2.55 8.51 27.16 11.33 27.52 3.14 6.80 10.98 6.31 13.89 4.87 Ten Best Performers China Shipping Conta Orient Overseas Int China Merchants Bank Grupo Elektra(New) Schoeller Bleckmann Core Laboratories N China Oilfield Servi Industrial & Commerc Itau Unibanco Banco Royal Dutch Shell Quarterly Ret 46.62 43.39 31.36 29.79 27.52 27.16 21.91 20.96 20.64 19.00 Ten Worst Performers Erste Group Bank Ag Icici Bk Ltd Ceragon Networks Ltd Transocean Ltd Zug Societe Generale Denso Corp Nippon Steel Corp Credit Suisse Group Koninklijke Kpn Nv Komercni Banka Quarterly Ret -32.11 -23.88 -19.37 -18.19 -16.77 -15.18 -14.13 -10.52 -9.66 -9.13 144 City of Clearwater Global Performance Attribution Analysis Earnest Partners Quarter Ending 12/11 Countries/Currencies Benchmark Active Weight Currency Weight Local Return US $ Return Portfolio Active Weight Currency Weight Local Return US $ Return Return Attribution Market Select Currency Select Security Select Total Australia Austria Belgium Bermuda Brazil Canada Cayman Islands Channel Islands China Colombia Cyprus Czech Republic Denmark Finland France Germany Greece Hong Kong India Ireland Isle of Man Israel Italy Japan Kazakhstan Luxembourg Mexico Netherlands New Zealand Norway 8.43 0.26 0.96 0.00 0.00 0.00 0.00 0.06 0.00 0.00 0.00 0.00 1.00 0.89 9.07 7.74 0.15 2.70 0.00 0.25 0.08 0.65 2.33 23.09 0.00 0.00 0.00 2.42 0.14 0.89 8.43 0.26 0.96 0.00 0.00 0.00 0.00 0.06 0.00 0.00 0.00 0.00 1.00 0.89 9.07 7.74 0.15 2.70 0.00 0.25 0.08 0.65 2.33 23.09 0.00 0.00 0.00 2.42 0.14 0.89 2.25 -1.93 5.58 -2.71 11.74 1.08 6.22 7.56 -23.50 5.76 25.85 -1.95 6.78 2.94 -4.09 10.07 -5.67 10.66 7.86 -5.11 2.15 -2.94 8.25 -2.20 2.77 4.07 -25.99 6.00 21.77 -1.46 4.85 -0.40 -3.91 6.56 -3.74 8.86 2.56 5.34 0.00 0.00 4.85 2.04 0.00 0.00 10.39 2.79 0.00 0.73 0.00 0.00 2.19 0.00 0.00 1.59 1.80 1.76 0.00 0.94 0.00 8.09 0.00 0.00 2.25 5.16 0.00 5.37 0.00 5.20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.71 0.00 0.00 2.14 0.00 0.00 11.68 0.00 0.00 0.00 0.00 0.00 7.88 0.00 0.00 2.19 1.85 0.00 3.39 6.31 9.82 16.57 13.67 15.23 7.57 -3.09 -4.23 43.06 -23.88 6.41 -19.37 -8.16 30.97 16.93 1.45 6.31 6.26 16.57 13.67 15.50 7.57 -9.13 -7.34 43.39 -23.88 6.41 -19.37 -7.99 29.79 13.60 5.45 0.11 -0.31 -0.01 -0.20 -0.09 0.00 -0.43 -0.12 -0.03 -0.08 0.03 -0.14 -0.26 0.04 -0.02 -0.08 0.33 0.00 0.01 0.03 1.24 -0.09 0.16 0.01 0.29 -0.54 -0.12 0.03 -0.00 0.01 0.03 0.02 0.18 0.21 0.00 0.09 0.01 -0.00 0.01 0.06 -0.15 0.02 0.02 -0.00 -0.02 0.10 0.63 0.80 0.28 1.58 0.21 -0.02 -0.23 0.59 -0.43 -0.34 -0.25 -0.33 0.70 0.35 -0.49 -0.32 0.20 0.01 0.60 0.19 0.00 1.15 0.09 -0.05 -0.05 0.05 -0.19 -0.05 0.04 0.67 -0.51 -0.01 0.00 -0.23 0.09 0.76 0.62 0.53 0.01 -0.23 Benchmark : MSCI EAFE Index Gross Dividend 145 City of Clearwater Global Performance Attribution Analysis Earnest Partners Quarter Ending 12/11 Countries/Currencies Benchmark Active Weight Currency Weight Local Return US $ Return Portfolio Active Weight Currency Weight Local Return US $ Return Return Attribution Market Select Currency Select Security Select Total Panama Portugal Scotland Singapore South Korea Spain Sweden Switzerland Taiwan United Kingdom United States 0.00 0.25 0.08 1.72 0.00 3.48 2.86 8.55 0.00 22.16 0.00 100.00 0.00 0.25 0.08 1.72 0.00 3.48 2.86 8.55 0.00 22.16 0.00 100.00 -6.11 22.84 -1.06 1.24 8.86 7.24 9.38 4.18 -9.15 22.55 -0.62 -2.05 9.07 4.17 9.12 3.38 1.65 0.00 0.00 4.02 2.19 2.17 2.19 7.59 2.18 17.25 2.90 100.00 0.00 0.00 0.00 3.91 0.00 2.11 2.14 2.59 0.00 8.69 45.52 100.00 8.58 2.63 6.94 8.23 15.57 -3.13 2.84 10.91 7.82 7.48 8.58 3.14 6.94 4.71 15.79 -3.85 2.84 10.62 7.82 7.08 -0.07 0.03 -0.02 -0.12 -0.09 0.04 -0.03 -0.03 -0.09 -0.26 -0.12 -0.36 0.01 -0.00 0.03 0.03 -0.01 0.14 -0.07 0.36 0.33 0.14 0.15 0.15 0.15 0.15 -0.79 0.06 0.26 0.23 3.67 0.07 0.03 -0.02 0.06 0.06 0.22 0.11 -0.68 -0.03 -0.07 0.47 3.63 Benchmark : MSCI EAFE Index Gross Dividend Market Selection [Portfolio Active Weight -Benchmark Active Weight] x [Benchmark Local Return -Benchmark Total Local Return] Currency Selection [Portfolio Currency Weight -Benchmark Currency Weight] x [ (Benchmark US$ Return -Benchmark Local Return) -(Benchmark Total US$ Return -Benchmark Total Local Return) ] Security Selection [Portfolio Active Weight] x [Portfolio Local Return -Benchmark Local Return] 146 City of Clearwater International Equity Sector Attribution Analysis Earnest Partners Quarter Ending 12/11 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 13.52 10.88 8.82 6.14 2.31 13.28 30.60 9.57 4.88 0.00 100.00 8.18 10.06 12.31 10.14 11.41 9.74 22.02 4.97 6.26 4.91 100.00 18.19 4.22 12.32 7.07 13.89 8.78 1.89 3.85 3.15 7.02 15.05 4.40 4.32 1.07 5.70 5.76 -0.12 -0.48 2.12 -4.46 3.39 0.42 -0.02 0.71 0.37 0.19 0.40 0.61 0.41 0.05 0.00 3.14 0.62 0.01 -0.03 0.09 -0.21 0.08 -0.30 -0.18 0.02 0.39 0.49 1.05 -0.01 0.67 0.46 -0.02 0.48 0.31 0.24 0.07 0.39 3.63 Index -MSCI EAFE Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return -Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage -Index Sector Percentage ] * [ Index Sector Return -Index Total Return ] Trading Effect 1.21% [ Actual Return 8.24% ] -[ Buy Hold Return 7.02% ] 147 City of Clearwater Wentworth & Violich as of 12/31/11 Bhp Billiton Ltd Potash Corp Sask Inc Agrium Inc Schlumberger Ltd Nestle S A Noble Corporation Ba Canadian Pac Railway Canadian Natl Ry Co Weatherford Internat Cooper Industries Pl GICS Sector % Port Materials Materials Materials Energy Consumer Staples Energy Industrials Industrials Energy Industrials 5.79 5.31 4.90 4.88 4.76 4.55 4.42 4.35 4.20 4.19 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 32.41 28.67 15.41 0.00 16.56 2.98 3.97 0.00 0.00 0.00 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Wentworth & Violich MSCI EAFE Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Wentworth & Violich MSCI EAFE Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 10.22 3.38 24,580 -5 2,512 27,087 -13.64 -11.73 31,374 -7 -4,280 27,087 -13.64 -11.73 31,374 -7 -4,280 27,087 16.56 8.16 15,083 -9 12,013 27,087 -5.15 -7.59 29,002 -9 -1,906 27,087 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 148 City of Clearwater Wentworth & Violich as of 12/31/11 Cash & Equiv $2,097 7.74% Intl Equity $24,990 92.26% Periods from 4/08 to 12/11 Alpha Beta R-Squared 0.46 1.15 0.89 Annualized Return% -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 -8.0 -7.0 -6.0 -5.0 -4.0 -3.0 -2.0 -1.0 0.0 1.0 w 1 T Annualized Standard Deviation% w Wentworth & Violich 1 MSCI EAFE T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio -5.15 -7.59 0.40 28.96 25.37 0.21 -0.19 -0.32 0.00 0.06 Asset Allocation ($000) Risk/Return Analysis 149 City of Clearwater Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low w Wentworth & Violich Net Ret Rank 1 MSCI EAFE Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years 9.09 5.31 4.19 2.79 -0.74 10.223 3.38 66 -3.13 -10.56 -13.30 -15.59 -21.74 -13.64 56 -11.73 35 6.48 1.31 -1.52 -2.72 -5.54 0.77 27 -2.27 65 21.05 13.80 10.46 8.08 4.04 16.56 15 8.16 73 -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% w 1 w 1 w 1 w 1 150 City of Clearwater Calendar Year Performance Comparison Total Returns of International Equity Portfolios Years Ending December High 1st Qt Median 3rd Qt Low w Wentworth & Violich Net Ret Rank 1 MSCI EAFE Net Ret Rank 2011 2010 2009 -3.13 -10.56 -13.30 -15.59 -21.74 -13.64 56 -11.73 35 25.22 17.11 11.98 8.48 2.37 17.58 23 8.21 76 76.36 42.27 35.69 26.24 9.83 55.98 12 32.46 59 -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% w 1 w 1 w 1 151 City of Clearwater Return vs Risk Total Returns of International Equity Portfolios 3 Years Ending 12/31/11 Annualized Rate of Return 14.0 16.6 19.2 21.8 24.4 27.0 29.6 32.2 34.8 37.4 40.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 w 1 Median Risk Median Return Historical Standard Deviation of Return Annualized Net of Fee Return Standard Deviation Value Rank Value Rank w Wentworth & Violich 1 MSCI EAFE Median 16.56 15 28.93 68 8.16 73 27.26 48 10.46 27.48 152 City of Clearwater Global Equity Summary Statistics Wentworth & Violich Period Ending 12/11 Total Number Of Securities Equity Market Value Average Capitalization $(000) Median Capitalization $(000) Equity Segment Yield Equity Segment P/E -Average Equity Segment P/E -Median Equity Segment Beta Price/Book Ratio Debt/Equity Ratio Five Year Earnings Growth Five Year Dividend Growth Portfolio MSCI EAFE 36 24,990,191 49,495,200 21,166,956 2.00 16.18 16.19 0.00 1.94 47.24 11.82 5.41 924 47,148,032 6,284,282 3.78 12.01 13.23 1.00 1.28 87.03 -1.63 3.18 Ten Largest Holdings Bhp Billiton Ltd Potash Corp Sask Inc Agrium Inc Schlumberger Ltd Nestle S A Noble Corporation Ba Canadian Pac Railway Canadian Natl Ry Co Weatherford Internat Cooper Industries Pl Market Value % of Portfolio Quarterly Ret 1,444,384 1,326,326 1,223,415 1,219,334 1,188,826 1,134,761 1,103,021 1,086,092 1,049,322 1,046,449 5.79 5.31 4.90 4.88 4.76 4.55 4.42 4.35 4.20 4.19 6.31 -4.35 1.01 14.77 4.74 3.38 41.35 18.48 19.90 18.04 Ten Best Performers Tenaris S A Nabors Industries Lt Canadian Pac Railway Canadian Nat Res Ltd Core Laboratories N Partnerre Hldgs Ltd Teck Resources Ltd Weatherford Internat Canadian Natl Ry Co Cooper Industries Pl Quarterly Ret 47.23 41.44 41.35 28.01 27.16 23.98 21.97 19.90 18.48 18.04 Ten Worst Performers Transocean Ltd Zug Manulife Finl Corp Potash Corp Sask Inc Vale S A Axa Sa Bunge Limited Brookfield Asset Mgm Agrium Inc Novartis A G Fibria Celulose S A Quarterly Ret -18.19 -5.25 -4.35 -3.80 -2.21 -1.48 0.19 1.01 2.51 2.64 153 City of Clearwater Global Performance Attribution Analysis Wentworth & Violich Quarter Ending 12/11 Countries/Currencies Benchmark Active Weight Currency Weight Local Return US $ Return Portfolio Active Weight Currency Weight Local Return US $ Return Return Attribution Market Select Currency Select Security Select Total Australia Austria Belgium Bermuda Brazil Canada Cayman Islands Channel Islands China Cyprus Denmark Finland France Germany Greece Hong Kong Ireland Isle of Man Israel Italy Japan Kazakhstan Luxembourg Netherland Antilles Netherlands New Zealand Norway Portugal Scotland Singapore 8.43 0.26 0.96 0.00 0.00 0.00 0.00 0.06 0.00 0.00 1.00 0.89 9.07 7.74 0.15 2.70 0.25 0.08 0.65 2.33 23.09 0.00 0.00 0.00 2.42 0.14 0.89 0.25 0.08 1.72 8.43 0.26 0.96 0.00 0.00 0.00 0.00 0.06 0.00 0.00 1.00 0.89 9.07 7.74 0.15 2.70 0.25 0.08 0.65 2.33 23.09 0.00 0.00 0.00 2.42 0.14 0.89 0.25 0.08 1.72 2.25 -1.93 5.58 -2.71 11.74 1.08 6.22 7.56 -23.50 5.76 25.85 -1.95 6.78 2.94 -4.09 10.07 -5.67 10.66 -6.11 22.84 -1.06 7.86 -5.11 2.15 -2.94 8.25 -2.20 2.77 4.07 -25.99 6.00 21.77 -1.46 4.85 -0.40 -3.91 6.56 -3.74 8.86 -9.15 22.55 -0.62 6.15 0.00 0.00 9.17 3.72 28.59 4.99 0.00 0.00 0.00 0.00 0.00 0.52 2.55 0.00 0.00 2.34 0.00 0.00 0.00 0.00 0.00 2.73 4.83 6.29 0.00 0.16 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.19 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 6.31 20.81 -3.65 11.60 3.38 -2.21 14.54 8.88 47.23 14.77 18.58 2.97 6.31 20.81 -3.65 11.61 3.38 -2.21 14.54 8.88 47.23 14.77 18.58 2.97 0.04 0.02 -0.01 -0.38 -0.16 -1.19 -0.21 0.00 -0.08 0.03 -0.17 -0.18 0.04 -0.04 0.45 0.00 -0.02 0.03 1.91 -0.11 -0.20 0.23 0.01 -0.05 0.03 -0.02 0.09 -0.54 0.01 0.03 0.00 -0.00 0.03 0.02 0.24 0.21 0.00 -0.03 0.01 -0.00 0.01 0.06 -0.22 0.07 -0.00 0.01 0.01 -0.00 -0.02 0.25 1.91 -0.14 3.32 0.17 -0.04 0.18 -0.40 1.29 0.71 0.54 -0.01 -0.25 0.02 0.01 1.53 -0.29 2.12 -0.04 0.00 -0.05 0.05 0.02 0.21 0.04 -0.07 0.06 0.00 -0.01 0.09 1.68 1.17 0.51 0.83 0.01 -0.05 0.03 -0.02 0.07 Benchmark : MSCI EAFE Index Gross Dividend 154 City of Clearwater Global Performance Attribution Analysis Wentworth & Violich Quarter Ending 12/11 Countries/Currencies Benchmark Active Weight Currency Weight Local Return US $ Return Portfolio Active Weight Currency Weight Local Return US $ Return Return Attribution Market Select Currency Select Security Select Total Spain Sweden Switzerland United Kingdom United States 3.48 2.86 8.55 22.16 0.00 100.00 3.48 2.86 8.55 22.16 0.00 100.00 1.24 8.86 7.24 9.38 4.18 -2.05 9.07 4.17 9.12 3.38 0.00 0.00 17.99 9.98 0.00 100.00 0.00 0.00 0.00 0.00 99.81 100.00 3.73 12.79 11.33 3.73 12.79 11.34 0.10 -0.13 0.29 -0.63 -0.31 0.09 -0.03 0.19 -0.12 0.80 0.80 -0.63 0.34 7.47 0.19 -0.16 -0.15 -0.41 0.80 7.96 Benchmark : MSCI EAFE Index Gross Dividend Market Selection [Portfolio Active Weight -Benchmark Active Weight] x [Benchmark Local Return -Benchmark Total Local Return] Currency Selection [Portfolio Currency Weight -Benchmark Currency Weight] x [ (Benchmark US$ Return -Benchmark Local Return) -(Benchmark Total US$ Return -Benchmark Total Local Return) ] Security Selection [Portfolio Active Weight] x [Portfolio Local Return -Benchmark Local Return] 155 City of Clearwater International Equity Sector Attribution Analysis Wentworth & Violich Quarter Ending 12/11 GICS Sectors Weight Portfolio Index Return Portfolio Index Selection Stock Sector Total Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom. Services Utilities 30.20 31.12 13.89 0.00 17.25 3.28 4.26 0.00 0.00 0.00 100.00 8.18 10.06 12.31 10.14 11.41 9.74 22.02 4.97 6.26 4.91 100.00 16.40 4.53 22.60 8.69 2.51 5.95 11.34 15.05 4.40 4.32 1.07 5.70 5.76 -0.12 -0.48 2.12 -4.46 3.39 0.41 0.04 2.54 0.00 0.52 -0.11 0.26 0.00 0.00 0.00 3.65 2.57 0.21 0.01 0.23 0.13 -0.15 0.62 0.19 0.08 0.39 4.29 2.97 0.25 2.55 0.23 0.65 -0.26 0.88 0.19 0.08 0.39 7.95 Index -MSCI EAFE Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return -Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage -Index Sector Percentage ] * [ Index Sector Return -Index Total Return ] Trading Effect 0.00% [ Actual Return 11.34% ] -[ Buy Hold Return 11.34% ] 156 City of Clearwater Eaton Vance Mgmt as of 12/31/11 -20.0 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Eaton Vance Mgmt MSCI Emg Mkts Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Eaton Vance Mgmt MSCI Emg Mkts Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 2.20 4.45 24,4730 538 25,011 -19.27 -18.17 30,9800 -5,969 25,011 -19.27 -18.17 30,9800 -5,969 25,011 18.48 20.42 4,244 -157 20,924 25,011 -4.02 -4.37 8,277 -157 16,891 25,011 Portfolio Performance (%) 157 City of Clearwater Eaton Vance Mgmt as of 12/31/11 Intl Equity $25,011 100.00% Periods from 4/08 to 12/11 Alpha Beta R-Squared -0.04 0.99 0.98 Annualized Return% -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 -4.5 -4.0 -3.5 -3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 v1 T Annualized Standard Deviation% v Eaton Vance Mgmt 1 MSCI Emg Mkts T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio -4.02 -4.37 0.40 29.78 31.09 0.21 -0.15 -0.15 0.00 -0.06 Asset Allocation ($000) Risk/Return Analysis 158 City of Clearwater Cumulative Performance Comparison Total Returns of Emerging Markets Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low v Eaton Vance Mgmt Net Ret Rank 1 MSCI Emg Mkts Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years 10.44 5.86 4.01 3.54 -2.05 2.20 85 4.45 43 -1.80 -11.05 -17.41 -19.16 -25.62 -19.27 76 -18.17 64 12.96 1.67 0.30 -2.10 -6.05 -0.21 53 -1.24 60 25.89 22.17 19.75 18.72 8.13 18.48 78 20.42 38 -30% -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% v 1 v 1 v 1 v 1 159 City of Clearwater Calendar Year Performance Comparison Total Returns of Emerging Markets Portfolios Years Ending December High 1st Qt Median 3rd Qt Low v Eaton Vance Mgmt Net Ret Rank 1 MSCI Emg Mkts Net Ret Rank 2011 2010 2009 -1.80 -11.05 -17.41 -19.16 -25.62 -19.27 76 -18.17 64 29.89 23.83 20.47 18.43 7.41 23.33 30 19.19 60 88.13 77.73 71.34 63.20 27.05 67.01 69 79.02 19 -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% v 1 v 1 v 1 160 City of Clearwater Return vs Risk Total Returns of Emerging Markets Portfolios 3 Years Ending 12/31/11 Annualized Rate of Return 10.0 15.0 20.0 25.0 30.0 35.0 40.0 45.0 50.0 6.0 8.8 11.6 14.4 17.2 20.0 22.8 25.5 28.3 31.1 33.9 v 1Median Risk Median Return Historical Standard Deviation of Return Annualized Net of Fee Return Standard Deviation Value Rank Value Rank v Eaton Vance Mgmt 1 MSCI Emg Mkts Median 18.48 78 30.64 84 20.42 38 29.12 49 19.75 29.26 161 City of Clearwater Wellington Mgmt as of 12/31/11 -25.0 -20.0 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/08 Wellington Mgmt MSCI Emg Mkts Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/08 Wellington Mgmt MSCI Emg Mkts Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 1.87 4.45 21,765 -15,000 178 6,942 -22.97 -18.17 28,784 -15,000 -6,842 6,942 -22.97 -18.17 28,784 -15,000 -6,842 6,942 15.94 20.42 8,902 -15,000 13,040 6,942 -3.27 -2.26 8,000 -15,000 13,942 6,942 Portfolio Performance (%) 162 City of Clearwater Wellington Mgmt as of 12/31/11 Cash & Equiv $-11 -0.16% Intl Equity $6,953 100.16% Periods from 3/08 to 12/11 Alpha Beta R-Squared -0.33 0.97 0.99 Annualized Return% -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0 -3.5 -3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 l1 T Annualized Standard Deviation% l Wellington Mgmt 1 MSCI Emg Mkts T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio -3.27 -2.26 0.42 33.65 34.60 0.33 -0.11 -0.08 0.00 -0.42 Asset Allocation ($000) Risk/Return Analysis 163 City of Clearwater Cumulative Performance Comparison Total Returns of Emerging Markets Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low l Wellington Mgmt Net Ret Rank 1 MSCI Emg Mkts Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years 10.44 5.86 4.01 3.54 -2.05 1.87 87 4.45 43 -1.80 -11.05 -17.41 -19.16 -25.62 -22.97 83 -18.17 64 12.96 1.67 0.30 -2.10 -6.05 -5.48 91 -1.24 60 25.89 22.17 19.75 18.72 8.13 15.94 78 20.42 38 -30% -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% l 1 l 1 l 1 l 1 164 City of Clearwater Calendar Year Performance Comparison Total Returns of Emerging Markets Portfolios Years Ending December High 1st Qt Median 3rd Qt Low l Wellington Mgmt Net Ret Rank 1 MSCI Emg Mkts Net Ret Rank 2011 2010 2009 -1.80 -11.05 -17.41 -19.16 -25.62 -22.97 83 -18.17 64 29.89 23.83 20.47 18.43 7.41 15.99 88 19.19 60 88.13 77.73 71.34 63.20 27.05 74.44 35 79.02 19 -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% l 1 l 1 l 1 165 City of Clearwater Return vs Risk Total Returns of Emerging Markets Portfolios 3 Years Ending 12/31/11 Annualized Rate of Return 10.0 15.0 20.0 25.0 30.0 35.0 40.0 45.0 50.0 6.0 8.8 11.6 14.4 17.2 20.0 22.8 25.5 28.3 31.1 33.9 l 1Median Risk Median Return Historical Standard Deviation of Return Annualized Net of Fee Return Standard Deviation Value Rank Value Rank l Wellington Mgmt 1 MSCI Emg Mkts Median 15.94 78 29.36 59 20.42 38 29.12 49 19.75 29.26 166 City of Clearwater Fixed Income Comp as of 12/31/11 FNMA Cl 30 -Tba Jan United States Treas United States Treas United States Treas FNMA Cl 30 -Tba Jan FNMA Pool #ad0494 FNMA Pool Al0851 United States Treas FNMA Pool #ad0217 Xerox Corp Sr Nt 6.4 Sector % Port Mortgage Government Government Government Mortgage Mortgage Mortgage Government Mortgage Industrials 2.09 1.64 1.41 1.40 1.37 1.31 1.28 1.03 0.94 0.89 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous % Port 18.97 14.38 17.18 41.89 1.67 0.87 4.09 0.55 0.41 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Fixed Income Comp BC Agg Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Fixed Income Comp BC Agg Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 1.19 1.12 196,919 821 2,347 200,087 5.94 7.84 192,283 -3,476 11,280 200,087 5.94 7.84 192,283 -3,476 11,280 200,087 8.53 6.77 198,649 -4,414 5,852 200,087 6.79 6.50 210,399 -4,414 -5,897 200,087 5.72 5.78 178,032 -4,414 26,470 200,087 6.96 7.37 59,224 -4,414 145,277 200,087 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Fixed Income Holdings Sector Allocation 167 City of Clearwater Fixed Income Comp as of 12/31/11 Other $0 0.00% Cash & Equiv $24,339 12.16% Domestic Fixed $175,749 87.84% Periods from 12/87 to 12/11 Alpha Beta R-Squared 0.23 0.59 0.57 Annualized Return% 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 F 1 T Annualized Standard Deviation% F Fixed Income Comp 1 BC Agg T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 6.96 7.37 4.06 3.13 4.11 1.19 0.92 0.80 0.00 -0.17 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 168 City of Clearwater Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low F Fixed Income Comp Net Ret Rank 1 BC Agg Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years Last 8 Years Last 9 Years Last 10 Years 5.49 2.34 1.28 0.89 0.00 1.19 55 1.12 59 13.88 7.79 6.16 3.87 0.09 5.94 54 7.84 23 11.85 8.41 6.89 5.79 1.72 6.65 55 7.19 42 19.64 10.52 7.87 5.89 1.78 8.53 44 6.77 65 9.11 7.53 6.43 5.15 0.83 7.00 34 6.39 52 8.58 7.30 6.55 5.42 1.97 6.79 39 6.50 52 8.21 6.87 6.23 5.28 2.57 6.50 37 6.14 55 7.69 6.31 5.70 4.99 2.82 5.93 38 5.60 57 7.81 6.15 5.52 4.80 2.89 5.68 42 5.44 56 8.69 6.31 5.40 4.78 3.26 5.46 47 5.29 57 8.60 6.60 5.86 5.20 3.64 5.72 57 5.78 55 -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% F1 F1 F1 F1 F1 F1 F1 F1 F1 F1 F1 169 City of Clearwater Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December High 1st Qt Median 3rd Qt Low F Fixed Income Comp Net Ret Rank 1 BC Agg Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 13.88 7.79 6.16 3.87 0.09 5.94 54 7.84 23 15.82 9.93 7.13 5.58 0.56 7.37 46 6.54 61 21.09 13.37 8.34 5.28 -0.49 12.37 28 5.93 69 9.76 5.42 3.14 -2.27 -15.77 2.54 54 5.24 28 9.73 7.48 6.53 5.06 2.22 5.94 61 6.96 40 11.68 5.31 4.57 4.13 2.80 5.05 30 4.33 64 6.79 3.10 2.55 2.04 1.32 2.59 48 2.43 57 10.76 5.25 4.35 3.17 1.32 3.93 62 4.34 50 20.91 6.15 4.51 3.60 1.77 3.77 71 4.11 63 12.61 10.43 9.33 6.99 0.88 8.06 66 10.26 29 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% F1 F1 F1 F1 F1 F1 F1 F1 F1 F1 170 City of Clearwater Risk Measure Summary Fixed Income Comp Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 04 0.76 0.50 0.87 1.99 5.94 5.94 04 0.42 3.82 7.84 7.84 2 10 1.20 0.30 0.67 -0.39 5.72 4.29 15.09 3.81 0.83 0.70 0.49 2.20 10.10 2.90 0.57 1 11 -1.30 3.82 3.90 9.50 3.22 2.06 5 15 1.06 1.22 0.55 -2.54 5.72 0.68 15.87 4.03 0.97 0.11 0.67 1.32 5.47 2.54 0.10 4 16 -1.30 4.57 3.13 10.56 3.46 1.45 16 80 0.88 0.30 0.47 -2.54 5.72 -0.07 15.87 3.13 0.59 0.23 0.57 0.92 4.93 2.64 -0.17 19 77 -2.87 7.96 -3.23 18.48 4.11 0.80 171 City of Clearwater Return vs Risk Total Returns of Fixed Income Portfolios Annualized Rate of Return 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 F 1 Median Risk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank F Fixed Income Comp 1 BC Agg Median 8.53 44 3.81 52 6.77 65 3.22 35 7.87 3.78 Annualized Rate of Return 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 2.0 2.9 3.8 4.7 5.6 6.5 7.4 8.3 9.2 10.0 10.9 1 F Median Risk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank F Fixed Income Comp 1 BC Agg Median 6.79 39 4.03 48 6.50 52 3.46 31 6.55 4.23 172 City of Clearwater Dodge & Cox as of 12/31/11 United States Treas United States Treas FNMA Pool #ad0494 FNMA Pool Al0851 United States Treas FNMA Pool #ad0217 Xerox Corp Sr Nt 6.4 Fhgld Pool #g03771 Aol Time Warner Inc FNMA Pool Ae0381 Sector % Port Government Government Mortgage Mortgage Government Mortgage Industrials Mortgage Industrials Mortgage 2.95 2.53 2.36 2.30 1.85 1.70 1.61 1.54 1.49 1.46 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous % Port 20.96 10.45 16.80 41.39 2.42 0.84 6.62 0.24 0.27 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/29/04 Dodge & Cox BC Agg Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/29/04 Dodge & Cox BC Agg Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 1.08 1.12 109,892 -2 1,182 111,073 5.10 7.84 105,690 -4 5,386 111,073 5.10 7.84 105,690 -4 5,386 111,073 8.98 6.77 98,118 -2,418 15,373 111,073 6.71 6.50 96,434 -2,418 17,057 111,073 5.60 5.31 75,656 -2,418 37,835 111,073 Portfolio Performance (%) Top Fixed Income Holdings Sector Allocation 173 City of Clearwater Dodge & Cox as of 12/31/11 Cash & Equiv $2,447 2.20% Domestic Fixed $108,626 97.80% Periods from 2/04 to 12/11 Alpha Beta R-Squared 0.21 0.84 0.58 Annualized Return% 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 d 1 T Annualized Standard Deviation% d Dodge & Cox 1 BC Agg T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 5.60 5.31 2.10 3.65 3.50 0.58 0.96 0.92 0.00 0.10 Asset Allocation ($000) Risk/Return Analysis 174 City of Clearwater Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low d Dodge & Cox Net Ret Rank 1 BC Agg Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years 5.49 2.34 1.28 0.89 0.00 1.08 63 1.12 59 13.88 7.79 6.16 3.87 0.09 5.10 62 7.84 23 11.85 8.41 6.89 5.79 1.72 6.31 65 7.19 42 19.64 10.52 7.87 5.89 1.78 8.98 37 6.77 65 9.11 7.53 6.43 5.15 0.83 7.03 34 6.39 52 8.58 7.30 6.55 5.42 1.97 6.71 43 6.50 52 8.21 6.87 6.23 5.28 2.57 6.53 37 6.14 55 7.69 6.31 5.70 4.99 2.82 5.93 38 5.60 57 -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% d 1 d 1 d 1 d 1 d 1 d 1 d 1 d 1 175 City of Clearwater Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December High 1st Qt Median 3rd Qt Low d Dodge & Cox Net Ret Rank 1 BC Agg Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 13.88 7.79 6.16 3.87 0.09 5.10 62 7.84 23 15.82 9.93 7.13 5.58 0.56 7.53 44 6.54 61 21.09 13.37 8.34 5.28 -0.49 14.53 17 5.93 69 9.76 5.42 3.14 -2.27 -15.77 1.37 60 5.24 28 9.73 7.48 6.53 5.06 2.22 5.47 67 6.96 40 11.68 5.31 4.57 4.13 2.80 5.62 21 4.33 64 6.79 3.10 2.55 2.04 1.32 2.40 59 2.43 57 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% d 1 d 1 d 1 d 1 d 1 d 1 d 1 176 City of Clearwater December 31, 2011 Cumulative Performance Comparison Total Returns of Fixed Income Portfolios High 1st Qt Median 3rd Qt Low d Dodge & Cox Return Rank 1 BC Agg Return Rank 12/11 9/11 6/11 3/11 12/10 19.64 10.52 7.87 5.89 1.78 8.98 37 6.77 65 14.93 9.97 8.19 6.06 0.44 9.79 29 7.97 54 11.79 8.53 6.80 5.23 0.44 8.42 26 6.46 56 11.69 7.54 5.83 4.29 0.55 7.67 23 5.30 60 9.65 7.59 6.11 4.65 0.67 7.68 23 5.91 55 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% d 1 d 1 d 1 d 1 d 1 Dodge & Cox Value Added Analysis -Net of Fee 3/07 6/07 9/07 12/07 3/08 6/08 9/08 12/08 3/09 6/09 9/09 12/09 3/10 6/10 9/10 12/10 3/11 6/11 9/11 12/11 -6.0% -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 0.1 0.4 -0.7 -1.2 -0.9 0.8 -2.4 -1.2 -0.5 5.1 1.9 1.5 0.6 -1.1 0.0 1.4 0.8 -0.4 -2.9 0.0 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. BC Agg 177 City of Clearwater Risk Measure Summary Dodge & Cox Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 04 0.65 0.25 0.83 1.91 5.10 5.10 04 0.42 3.82 7.84 7.84 1 11 1.24 -0.10 0.50 -0.43 6.98 4.12 17.78 4.31 0.69 1.04 0.27 2.05 12.84 3.97 0.52 1 11 -1.30 3.82 3.90 9.50 3.22 2.06 4 16 1.02 0.92 0.45 -2.88 6.98 -0.26 17.78 4.23 0.83 0.26 0.44 1.24 6.29 3.49 0.05 4 16 -1.30 4.57 3.13 10.56 3.46 1.45 7 24 1.01 0.72 0.52 -2.88 6.98 -0.26 17.78 3.94 0.84 0.21 0.58 0.88 4.15 2.83 0.10 9 22 -2.44 4.57 -0.81 10.56 3.63 0.87 178 City of Clearwater Return vs Risk Total Returns of Fixed Income Portfolios Annualized Rate of Return 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 d 1 Median Risk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank d Dodge & Cox 1 BC Agg Median 8.98 37 4.31 62 6.77 65 3.22 35 7.87 3.78 Annualized Rate of Return 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 2.0 2.9 3.8 4.7 5.6 6.5 7.4 8.3 9.2 10.0 10.9 1 dMedian Risk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank d Dodge & Cox 1 BC Agg Median 6.71 43 4.23 51 6.50 52 3.46 31 6.55 4.23 179 City of Clearwater Fixed Income, Mortgage and Municipals Summary Statistics Dodge & Cox Quarter Ending 12/11 Total Number Of Securities Total Market Value Yield to Maturity Time to Maturity Current Coupon Duration Effective Convexity Effective Duration Effective Maturity Portfolio BC Agg 178 108,625,945 2.63 15.00 5.75 4.90 0.44 4.55 6.80 7,829 2.24 7.13 4.01 5.18 -0.45 4.95 7.13 Yield to Maturity 5+ 19.5% 4 -5 13.1% 3 -4 19.3% 2 -3 21.0% 1 -2 14.2% 0 -1 12.8% Time to Maturity 10+ 55.8% 7 -10 11.3% 5 -7 10.6% 3 -5 11.4% 1 -3 2.9% 0 -1 8.1% Coupon 11+ 0.0% 9 -11 1.1% 7 -9 16.8% 5 -7 65.0% 3 -5 8.4% 0 -3 8.7% Quality NR 1.4% B 0.4% BA 3.5% BAA 22.1% A 16.3% AA 5.4% AAA 42.2% GOVT 8.7% Duration 8+ 17.4% 6 -8 5.3% 4 -6 23.7% 3 -4 16.8% 1 -3 27.9% 0 -1 8.8% Effective Duration 8+ 16.0% 6 -8 5.5% 4 -6 23.6% 3 -4 15.5% 1 -3 28.5% 0 -1 10.9% 180 City of Clearwater Percent Invested by Sector and Quality Dodge & Cox As of 12/31/11 Name Moody’s Quality Ratings Aaa Aa A Baa Ba B Other NR Total Government Treasury Agency Corporate Industrial Utility Finance Yankee Transportation Mortgage GNMA FHLMC FNMA Other Mortgage Municipals Cash Other Total 10.45 7.71 2.74 ------------------40.50 ---8.44 29.70 2.36 ---------50.95 ---------3.78 1.52 ---2.27 ---0.54 ---------------0.76 ---0.27 5.35 ---------10.11 2.18 ---7.70 0.24 0.81 ---------------5.35 ------16.27 ---------21.02 10.68 0.46 9.88 ---1.07 ---------------------- --22.09 ---------3.55 2.43 ---1.12 ------------------------------3.55 ---------0.39 ---0.39 ---------------------------------0.39 --------------------------------------------------------------------- ------------0.89 ------0.89 ---0.52 ------1.41 10.45 7.71 2.74 38.85 16.81 0.85 20.97 0.24 2.42 41.39 ---8.44 30.59 2.36 6.63 ---0.27 100.00 181 City of Clearwater Fixed Income Sector Attribution Analysis Dodge & Cox Quarter Ending 12/11 Weight Portfolio Index Return Portfolio Index Selection Security Sector Total Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous 20.78 10.84 17.85 40.04 2.48 0.91 6.58 0.24 0.28 100.00 9.53 40.01 10.07 36.55 0.36 1.60 0.00 1.85 0.02 100.00 1.24 0.36 1.75 1.49 0.84 -3.43 2.28 2.73 1.35 1.06 1.28 2.04 1.33 1.42 2.55 1.77 0.25 1.18 1.35 0.04 -0.10 -0.05 0.06 -0.01 -0.05 0.03 0.01 0.00 -0.08 -0.03 0.02 0.05 -0.00 0.00 -0.01 0.03 0.02 -0.00 0.08 0.00 -0.08 0.00 0.06 -0.01 -0.06 0.06 0.02 -0.00 -0.00 Index -Wilshire GCM Index Security Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return -Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage -Index Sector Percentage ] * [ Index Sector Return -Index Total Return ] Trading Effect -0.27% [ Actual Return 1.08% ] -[ Buy Hold Return 1.35% ] 182 City of Clearwater Western Asset Management Co. as of 12/31/11 FNMA Cl 30 -Tba Jan United States Treas FNMA Cl 30 -Tba Jan Freddie Mac Gold GNMA Ii Pool 004978 Federal Home Ln Mtg United States Treas GNMA Ii Pool 004772 GNMA Ii Sf 30 -Tba Fhlm Pool A74793 Sector % Port Mortgage Government Mortgage Mortgage Mortgage Government Government Mortgage Mortgage Mortgage 4.79 3.22 3.13 1.96 1.74 1.70 1.70 1.62 1.62 1.52 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous % Port 15.74 20.76 17.78 42.69 0.45 0.91 0.00 1.05 0.62 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/04 Western Asset Management Co. BC Agg Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/04 Western Asset Management Co. BC Agg Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 1.35 1.12 86,180 -14 1,165 87,331 7.23 7.84 81,482 -38 5,887 87,331 7.23 7.84 81,482 -38 5,887 87,331 7.85 6.77 99,655 -38 -12,285 87,331 6.78 6.50 94,634 -38 -7,264 87,331 5.84 5.54 74,568 -38 12,801 87,331 Portfolio Performance (%) Top Fixed Income Holdings Sector Allocation 183 City of Clearwater Western Asset Management Co. as of 12/31/11 Other $0 0.00% Cash & Equiv $20,208 23.14% Domestic Fixed $67,123 76.86% Periods from 9/04 to 12/11 Alpha Beta R-Squared 0.01 1.07 0.91 Annualized Return% 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 w 1 T Annualized Standard Deviation% w Western Asset Management 1 BC Agg T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 5.84 5.54 2.17 3.82 3.41 1.02 0.96 0.99 0.00 0.24 Asset Allocation ($000) Risk/Return Analysis 184 City of Clearwater Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low w Western Asset Management Co. Net Ret Rank 1 BC Agg Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years Last 4 Years Last 5 Years Last 6 Years Last 7 Years 5.49 2.34 1.28 0.89 0.00 1.35 47 1.12 59 13.88 7.79 6.16 3.87 0.09 7.23 35 7.84 23 11.85 8.41 6.89 5.79 1.72 7.16 43 7.19 42 19.64 10.52 7.87 5.89 1.78 7.85 50 6.77 65 9.11 7.53 6.43 5.15 0.83 6.85 37 6.39 52 8.58 7.30 6.55 5.42 1.97 6.78 40 6.50 52 8.21 6.87 6.23 5.28 2.57 6.43 40 6.14 55 7.69 6.31 5.70 4.99 2.82 5.89 40 5.60 57 -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% w 1 w 1 w 1 w 1 w 1 w 1 w 1 w 1 185 City of Clearwater Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December High 1st Qt Median 3rd Qt Low w Western Asset Management Co. Net Ret Rank 1 BC Agg Net Ret Rank 2011 2010 2009 2008 2007 2006 2005 13.88 7.79 6.16 3.87 0.09 7.23 35 7.84 23 15.82 9.93 7.13 5.58 0.56 7.09 50 6.54 61 21.09 13.37 8.34 5.28 -0.49 9.24 44 5.93 69 9.76 5.42 3.14 -2.27 -15.77 3.92 44 5.24 28 9.73 7.48 6.53 5.06 2.22 6.51 50 6.96 40 11.68 5.31 4.57 4.13 2.80 4.66 45 4.33 64 6.79 3.10 2.55 2.04 1.32 2.77 39 2.43 57 -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% w 1 w 1 w 1 w 1 w 1 w 1 w 1 186 City of Clearwater December 31, 2011 Cumulative Performance Comparison Total Returns of Fixed Income Portfolios High 1st Qt Median 3rd Qt Low w Western Asset Management Co. Return Rank 1 BC Agg Return Rank 12/11 9/11 6/11 3/11 12/10 19.64 10.52 7.87 5.89 1.78 7.85 50 6.77 65 14.93 9.97 8.19 6.06 0.44 9.20 37 7.97 54 11.79 8.53 6.80 5.23 0.44 7.36 39 6.46 56 11.69 7.54 5.83 4.29 0.55 6.23 42 5.30 60 9.65 7.59 6.11 4.65 0.67 6.73 37 5.91 55 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% w 1 w 1 w 1 w 1 w 1 Western Asset Management Co. Value Added Analysis -Net of Fee 3/07 6/07 9/07 12/07 3/08 6/08 9/08 12/08 3/09 6/09 9/09 12/09 3/10 6/10 9/10 12/10 3/11 6/11 9/11 12/11 -2.5% -2.0% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 0.1 -0.4 0.0 -0.2 -0 . 2 0.1 -1.7 0.6 -0.2 2.3 0.9 0.1 0.2 -0.1 0.3 0.2 0.1 0.0 -0.8 0.2 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. BC Agg 187 City of Clearwater Risk Measure Summary Western Asset Management Co. Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 04 0.92 0.50 0.52 2.94 7.23 7.23 04 0.42 3.82 7.84 7.84 2 10 1.14 0.84 0.67 -1.09 4.64 4.46 11.40 3.51 0.99 0.27 0.82 2.19 7.75 1.54 0.67 1 11 -1.30 3.82 3.90 9.50 3.22 2.06 5 15 1.09 1.53 0.60 -2.17 5.22 1.56 14.60 4.06 1.12 -0.07 0.89 1.30 4.75 1.50 0.19 4 16 -1.30 4.57 3.13 10.56 3.46 1.45 9 20 1.08 1.23 0.62 -2.17 5.22 -0.46 14.60 3.82 1.07 0.01 0.91 0.96 3.42 1.25 0.24 8 21 -1.30 4.57 -0.81 10.56 3.41 0.99 188 City of Clearwater Return vs Risk Total Returns of Fixed Income Portfolios Annualized Rate of Return 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 w 1 Median Risk Median Return Historical Standard Deviation of Return 3 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank w Western Asset Management Co. 1 BC Agg Median 7.85 50 3.51 44 6.77 65 3.22 35 7.87 3.78 Annualized Rate of Return 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 2.0 2.9 3.8 4.7 5.6 6.5 7.4 8.3 9.2 10.0 10.9 1 w Median Risk Median Return Historical Standard Deviation of Return 5 Years Ending 12/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank w Western Asset Management Co. 1 BC Agg Median 6.78 40 4.06 49 6.50 52 3.46 31 6.55 4.23 189 City of Clearwater Fixed Income, Mortgage and Municipals Summary Statistics Western Asset Management Co. Quarter Ending 12/11 Total Number Of Securities Total Market Value Yield to Maturity Time to Maturity Current Coupon Duration Effective Convexity Effective Duration Effective Maturity Portfolio BC Agg 262 67,122,890 2.34 20.19 4.99 6.76 1.01 6.04 10.17 7,829 2.24 7.13 4.01 5.18 -0.45 4.95 7.13 Yield to Maturity 5+ 10.2% 4 -5 7.7% 3 -4 13.3% 2 -3 24.1% 1 -2 12.3% 0 -1 32.4% Time to Maturity 10+ 63.7% 7 -10 11.4% 5 -7 8.1% 3 -5 8.8% 1 -3 5.3% 0 -1 2.8% Coupon 11+ 0.1% 9 -11 1.7% 7 -9 4.2% 5 -7 49.0% 3 -5 35.7% 0 -3 9.3% Quality NR 1.6% B 0.3% BA 1.1% BAA 15.6% A 14.4% AA 5.2% AAA 43.9% GOVT 18.0% Duration 8+ 27.0% 6 -8 6.4% 4 -6 13.3% 3 -4 9.6% 1 -3 40.9% 0 -1 2.8% Effective Duration 8+ 25.9% 6 -8 5.9% 4 -6 12.0% 3 -4 8.3% 1 -3 33.9% 0 -1 14.1% 190 City of Clearwater Percent Invested by Sector and Quality Western Asset Management Co. As of 12/31/11 Name Moody’s Quality Ratings Aaa Aa A Baa Ba B Other NR Total Government Treasury Agency Corporate Industrial Utility Finance Yankee Transportation Mortgage GNMA FHLMC FNMA Other Mortgage Municipals Cash Other Total 20.20 14.61 5.59 0.17 ---------0.17 ---41.37 13.61 7.01 18.82 1.93 ------0.15 61.88 0.27 ---0.27 4.16 1.28 ---2.88 ---0.22 0.60 ---------0.60 ---------5.24 0.10 ---0.10 14.25 6.36 0.74 6.83 0.32 ---------------------------14.35 0.19 ---0.19 15.14 9.67 0.18 4.73 0.56 0.23 ------------------------15.57 ---------0.61 0.45 ---0.16 ---------------------------0.48 1.09 ---------0.28 ------0.28 ------------------------------0.28 ---------------------------------------------------------------0.88 0.02 ---0.86 ------0.72 0.41 ------0.31 ---------1.60 20.76 14.61 6.15 35.49 17.78 0.92 15.74 1.05 0.45 42.69 14.02 7.01 18.82 2.84 ------0.63 100.00 191 City of Clearwater Fixed Income Sector Attribution Analysis Western Asset Management Co. Quarter Ending 12/11 Weight Portfolio Index Return Portfolio Index Selection Security Sector Total Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous 14.70 15.08 15.18 52.14 0.30 0.98 0.00 0.97 0.65 100.00 9.53 40.01 10.07 36.55 0.36 1.60 0.00 1.85 0.02 100.00 1.62 3.32 2.49 1.82 0.74 5.68 0.00 2.51 2.15 1.06 1.28 2.04 1.33 1.42 2.55 1.77 0.25 1.18 1.35 0.08 0.31 0.07 0.25 -0.00 0.03 -0.00 0.02 0.00 0.76 -0.02 0.02 0.04 -0.00 -0.00 -0.01 -0.00 0.01 -0.00 0.04 0.07 0.33 0.10 0.25 -0.00 0.02 -0.00 0.03 -0.00 0.80 Index -Wilshire GCM Index Security Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfolio Sector Return -Index Sector Return ] Sector Selection Return Attribution [ Portfolio Sector Percentage -Index Sector Percentage ] * [ Index Sector Return -Index Total Return ] Trading Effect -0.46% [ Actual Return 1.69% ] -[ Buy Hold Return 2.15% ] 192 City of Clearwater Real Estate Comp as of 12/31/11 Simon Ppty Group Inc Equity Residential P Hcp Inc Prologis Inc Avalonbay Cmntys Inc Ventas Inc General Growth Pptys Host Marriott Corp N Sl Green Rlty Corp Apartment Invt & Mgm GICS Sector % Port Financials Financials Financials Financials Financials Financials Financials Financials Financials Financials 8.70 8.20 7.69 6.66 5.67 5.36 5.05 4.94 4.48 4.48 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 0.00 0.00 0.00 1.67 0.00 0.00 98.33 0.00 0.00 0.00 -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 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Real Estate Comp Policy Index Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Real Estate Comp Policy Index Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 9.65 11.30 62,471 -1 6,029 68,499 8.85 11.62 62,823 110 5,566 68,499 8.85 11.62 62,823 110 5,566 68,499 20.99 21.69 27,416 -1,890 42,973 68,499 0.04 0.06 19,347 -1,890 51,042 68,499 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 193 City of Clearwater Real Estate Comp as of 12/31/11 Cash & Equiv $390 0.57% Domestic Equity $41,572 60.69% Real Estate $26,537 38.74% Periods from 4/08 to 12/11 Alpha Beta R-Squared 0.05 1.00 0.99 Annualized Return% -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0 0.0 0.1 0.2 0.3 0.4 0.5 R1 T Annualized Standard Deviation% R Real Estate Comp 1 Policy Index T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 0.04 0.06 0.40 37.58 37.81 0.21 -0.01 -0.01 0.00 0.03 Asset Allocation ($000) Risk/Return Analysis 194 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low R Real Estate Comp Net Ret Rank 1 Policy Index Net Ret Rank Last Qtr Last 2 Qtrs Last 3 Qtrs Last 4 Qtrs 15.92 5.35 2.84 1.10 -5.30 9.65 14 11.30 13 12.11 6.48 4.88 -1.56 -13.27 -0.10 67 1.35 63 18.83 12.03 9.41 1.98 -11.37 3.26 67 5.53 59 24.97 16.67 12.52 5.59 -12.85 8.85 62 11.62 54 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% R 1 R 1 R 1 R 1 195 City of Clearwater Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December High 1st Qt Median 3rd Qt Low R Real Estate Comp Net Ret Rank 1 Policy Index Net Ret Rank 2011 2010 2009 24.97 16.67 12.52 5.59 -12.85 8.85 62 11.62 54 30.69 18.42 13.91 3.68 -23.52 30.515 24.96 12 38.04 -3.23 -28.19 -31.21 -45.86 24.68 14 29.20 11 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% R 1 R 1 R 1 196 City of Clearwater Risk Measure Summary Real Estate Comp Quarterly Periods Ending 12/31/11 Risk Measures 1 Year Portfolio Bench 3 Years Portfolio Bench 5 Years Portfolio Bench Inception Portfolio Bench Negative Periods Positive Periods Up Market Capture Down Market Capture Batting Average Worst Quarter Best Quarter Worst 4 Quarters Best 4 Quarters Standard Deviation Beta Alpha R-Squared Sharpe Ratio Treynor Ratio Tracking Error Information Ratio 13 0.86 1.00 0.25 -8.90 9.65 8.85 8.85 13 -8.94 11.30 11.62 11.62 39 1.01 1.03 0.50 -36.65 33.98 6.21 118.01 36.99 1.02 -0.17 0.99 0.56 20.38 3.39 -0.03 39 -33.85 35.93 7.43 115.40 36.00 0.60 4 10 0.99 0.99 0.50 -37.93 33.98 -45.85 118.01 41.48 1.00 0.05 0.99 0.08 3.21 3.54 0.03 4 10 -40.40 35.93 -45.65 115.40 41.52 0.07 197 City of Clearwater Return vs Risk Total Returns of Real Estate Portfolios 3 Years Ending 12/31/11 Annualized Rate of Return 0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0 36.0 40.0 -35.0 -28.5 -22.0 -15.5 -9.0 -2.5 4.0 10.5 17.0 23.5 30.0 1 R Median Risk Median Return Historical Standard Deviation of Return Annualized Return Standard Deviation Value Rank Value Rank R Real Estate Comp 1 Policy Index Median 20.99 8 36.99 94 21.69 7 36.00 93 -1.82 14.99 198 City of Clearwater Security Capital as of 12/31/11 Simon Ppty Group Inc Equity Residential P Hcp Inc Prologis Inc Avalonbay Cmntys Inc Ventas Inc General Growth Pptys Host Marriott Corp N Sl Green Rlty Corp Apartment Invt & Mgm GICS Sector % Port Financials Financials Financials Financials Financials Financials Financials Financials Financials Financials 8.70 8.20 7.69 6.66 5.67 5.36 5.05 4.94 4.48 4.48 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 0.00 0.00 0.00 1.67 0.00 0.00 98.33 0.00 0.00 0.00 -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 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Security Capital Wilshire RESI Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Security Capital Wilshire RESI Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 14.90 15.40 36,928 -457 5,489 41,960 6.86 8.56 41,879 -2,809 2,890 41,960 6.86 8.56 41,879 -2,809 2,890 41,960 20.59 21.89 27,416 -24,809 39,353 41,960 -0.24 0.15 19,347 -24,809 47,423 41,960 Portfolio Performance (%) Top Equity Holdings GICS Sector Allocation 199 City of Clearwater Security Capital as of 12/31/11 Cash & Equiv $388 0.93% Domestic Equity $41,572 99.07% Periods from 4/08 to 12/11 Alpha Beta R-Squared -0.06 0.99 0.99 Annualized Return% -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0 45.0 -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3 0.4 0.5 s1 T Annualized Standard Deviation% s Security Capital 1 Wilshire RESI T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio -0.24 0.15 0.40 38.79 39.10 0.21 -0.02 -0.01 0.00 -0.11 Asset Allocation ($000) Risk/Return Analysis 200 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low s Security Capital Net Ret Rank 1 Wilshire RESI Net Ret Rank Last Qtr Last Year Last 2 Years Last 3 Years 15.92 5.35 2.84 1.10 -5.30 14.90 12 15.406 24.97 16.67 12.52 5.59 -12.85 6.86 70 8.56 66 22.78 17.16 13.44 5.96 -6.88 18.59 19 18.39 20 22.23 4.92 -1.82 -4.62 -13.68 20.599 21.897 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% s 1 s 1 s 1 s 1 201 City of Clearwater Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December High 1st Qt Median 3rd Qt Low s Security Capital Net Ret Rank 1 Wilshire RESI Net Ret Rank 2011 2010 2009 24.97 16.67 12.52 5.59 -12.85 6.86 70 8.56 66 30.69 18.42 13.91 3.68 -23.52 31.624 29.127 38.04 -3.23 -28.19 -31.21 -45.86 24.68 14 29.20 11 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% s 1 s 1 s 1 202 City of Clearwater Multi Employer Property Trust as of 12/31/11 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/10 Multi Employer Property Trust NCREIF ODCE Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 9/30/10 Multi Employer Property Trust NCREIF ODCE Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value 2.50 2.97 23,0870 577 23,665 12.99 15.99 20,9440 2,721 23,665 12.99 15.99 20,9440 2,721 23,665 14.41 17.070 20,000 3,665 23,665 Portfolio Performance (%) 203 City of Clearwater Multi Employer Property Trust as of 12/31/11 Cash & Equiv $2 0.01% Real Estate $23,662 99.99% Periods from 9/10 to 12/11 Alpha Beta R-Squared N/A N/A N/A Annualized Return% 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 M1 T Annualized Standard Deviation% M Multi Employer Property 1 NCREIF ODCE T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 14.41 17.07 0.11 1.62 1.63 0.04 8.85 10.41 0.00 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 204 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low M Multi Employer Property Trust Net Ret Rank O NCREIF ODCE Fund Index Net Ret Rank Last Qtr Last 2 Qtrs Last 3 Qtrs Last 4 Qtrs 15.92 5.35 2.84 1.10 -5.30 2.50 62 2.97 48 12.11 6.48 4.88 -1.56 -13.27 5.86 38 6.59 24 18.83 12.03 9.41 1.98 -11.37 9.51 46 11.52 28 24.97 16.67 12.52 5.59 -12.85 12.99 46 15.99 26 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% M O M O M O M O 205 City of Clearwater Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December High 1st Qt Median 3rd Qt Low M Multi Employer Property Trust Net Ret Rank O NCREIF ODCE Fund Index Net Ret Rank 2011 24.97 16.67 12.52 5.59 -12.85 12.99 46 15.99 26 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% M O 206 City of Clearwater Molpus Woodlands Group as of 12/31/11 -2.2 -2.0 -1.8 -1.6 -1.4 -1.2 -1.0 -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/11 Molpus Woodlands Group NCREIF Timberland Index Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 6/30/11 Molpus Woodlands Group NCREIF Timberland Index Asset Growth ($000) Beginning Market Value Net Contributions & Withdrawals Gain/Loss + Income Ending Market Value -1.35 0.51 2,455 456 -37 2,874 -2.03 0.16 111 2,808 -45 2,874 Portfolio Performance (%) 207 City of Clearwater Molpus Woodlands Group as of 12/31/11 Real Estate $2,874 100.00% Periods from 6/11 to 12/11 Alpha Beta R-Squared N/A N/A N/A Annualized Return% 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 2.2 -2.2 -2.0 -1.8 -1.6 -1.4 -1.2 -1.0 -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 M T 1 Annualized Standard Deviation% M Molpus Woodlands Group 1 NCREIF Timberland Index T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio -2.03 0.16 0.02 1.96 0.95 0.03 -1.04 0.15 0.00 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 208 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/11 High 1st Qt Median 3rd Qt Low M Molpus Woodlands Group Net Ret Rank 1 NCREIF Timberland Index Net Ret Rank Last Qtr Last 2 Qtrs 15.92 5.35 2.84 1.10 -5.30 -1.35 90 0.51 81 12.11 6.48 4.88 -1.56 -13.27 -2.03 79 0.16 67 -15% -10% -5% 0% 5% 10% 15% 20% M 1 M 1 209 210 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 a price-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 listed on the NASDAQ Stock Market (National Association of Securities Dealers Automated Quote system). S&P 500: A broad-based measurement of changes in stock market conditions based on the average performance of 500 widely held common stocks. This index does not contain the 500 largest companies or the most expensive stocks traded in the US. While many of the stocks are among the largest, this index also includes many relatively small companies. This index consists of approximately 380 industrial, 40 utility, 10 transportation, and 70 financial companies listed on the US market exchanges. It is a capitalization-weighted index (stock price times number of shares outstanding), calculated on a total return basis with dividend reinvested. 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-to-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 1000 Growth 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-to-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 1000 Growth index. Russell Mid-Cap: This index consists of the bottom 800 securities in the Russell 1000 as ranked by total market capitalization, and represents over 35% of the Russell 1000 total market cap. Russell Mid-Cap Growth: The Russell Mid-cap Growth Index offers investors access to the mid-cap growth segment of the U.S. equity universe. The Russell Midcap Growth Index is constructed to provide a comprehensive and unbiased barometer of the mid-cap growth market. Based on ongoing empirical research of investment manager behavior, the methodology used to determine growth probability approximates the aggregate mid-cap growth manager's opportunity set. Russell Mid-Cap Value: Measures the performance of the Russell 3000 Index extended to include micro-cap securities of the Russell Micro-cap Index. The index represents approximately 99% of the U.S. Equity Market. As of the latest reconstitution, the average market capitalization was approximately $3.8 billion; the median market capitalization was approximately $612 million. The index had a total market capitalization range of approximately $368.5 billion to $67.3 million. 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-to-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 2000 Value index. City of Clearwater Employees Pension Fund Appendix 211 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-to-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 2000 Growth index. Russell 2500: This index consists 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 to be used as a measure of small to medium/small stock performance. Russell 2500 Growth: A segment of the Russell 2500 with a greater-than-average growth orientation. Companies in this index have higher price-to book and price-to-earnings ratios, lower dividend yields and higher forecasted growth values than the Russell 2500 Value index. Russell 2500 Value: A segment of the Russell 2500 with a less-than-average growth orientation. Companies in this index have low price-to-book and price-to-earnings ratios, higher dividend yields and lower forecasted growth values than the Russell 2500 Growth index. Russell 3000: is composed of the 3,000 largest U.S. securities, as determined by total market capitalization. Russell 3000 Growth: This index measures the performance of those Russell 3000 Index companies with higher price-to-book ratios and higher forecasted growth values. The stocks in this index are also members of either the Russell 1000 Growth or the Russell 2000 Growth indexes. Russell 3000 Value: This index measures the performance of those Russell 3000 Index companies with lower price-to-book ratios and lower forecasted growth values. The stocks in this index are also members of either the Russell 1000Value or the Russell 2000 Value indexes. 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 of which are created separately. MSCI World: A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. As of June 2007 the MSCI World Index consisted of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. MSCI World ex U.S.: The MSCI World index excluding the U.S. portion of the index. MSCI All Country World Index: a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. As of January 2009 the MSCI ACWI consisted of 46 country indices comprising 23 developed and 23 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices included are: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Israel, Korea, Malaysia, Mexico, Morocco, Peru, City of Clearwater Employees Pension Fund Appendix 212 MSCI All Country World Index ex U.S.: The MSCI All Country World Index excluding the U.S. portion of the index. MSCI Emerging Markets Free (EMF): A market capitalization-weighted index representing 2 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 of which are created separately. Barclays Capital U.S. Aggregate Bond: This index is made up of the Barclays Capital U.S. 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 on year maturity, and have an outstanding par value of at least $100 million. Barclays Capital U.S. Government/Credit: This index includes all bonds that are in the Barclays Capital U.S. Government Bond and the Barclays Capital U.S. Credit Bond indices. Barclays Capital U.S. Government/Credit Intermediate: All bonds by the Barclays Capital U.S. Government/Credit Bond index with maturities of 1 to 10 years. Barclays Capital Municipal Bond: This market capitalization-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. Barclays Capital U.S. Treasury Index: This index includes public obligations of the U.S. Treasury. Treasury bills are excluded by the maturity constraint, but are part of a separate Short Treasury Index. In addition, certain special issues, such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS, are excluded. STRIPS are excluded from the index because their inclusion would result in double-counting. Securities in the Index roll up to the U.S. Aggregate, U.S. Universal and Global Aggregate Indices. Barclays Capital U.S. TIPS: This index measures the performance of U.S. Treasury Inflation Protection Securities. 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 on year. The coupon range must be equal to or greater than zero and all equity 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 Corp/Govt 1-3 Years A or Better: An unmanaged index of government and corporate fixed-rate debt issues with maturities between one and 3 years. Merrill Lynch High Yield Master: Market capitalization 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 Wilshire REIT: 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 City of Clearwater Employees Pension Fund Appendix 213 Alpha: A risk-adjusted measure of 'excess return' on an investment. That is, it measures an active manager's performance in excess of a benchmark index or 'risk-free' investment. An alpha of 1.0 means the manager outperformed the market 1.0%. A positive alpha is the extra return awarded to the investor for taking additional risk rather than accepting the market return. Batting Average: The percent of periods the manager has beaten the benchmark. A high average for the fund (e.g. over 50) is desirable, indicating the fund has beaten the policy frequently. Beta: A measure of systematic risk, or the sensitivity of a manager to movements in the benchmark. A beta of 1 implies that you can expect the movement of a manager's return series to match that of the benchmark used to measure beta. Down Market Capture Ratio: A measure of a manager's performance in down markets. A down-market is defined as those periods (months or quarters) in which market return is less than 0. It tells you what percentage of the down-market was captured by the manager. Information Ratio: The Information Ratio measures the consistency with which a manager beats a benchmark. R-squared: The R-Squared (R2) of a manager versus a benchmark is a measure of how closely related the variance of the manager returns and the variance of the benchmark returns are. Sharpe Ratio: The Sharpe Ratio is a risk-adjusted measure of return which uses standard deviation to represent risk. It is calculated by subtracting the risk-free rate from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns. Standard Deviation: Standard deviation of return measures the average deviations of a return series from its mean, and is often used as a measure of risk. A large standard deviation implies that there have been large swings in the return series of the manager. Tracking Error: A divergence between the price behavior of a position or a portfolio and the price behavior of a benchmark. Treynor Ratio: The Treynor Ratio is a risk-adjusted measure of return which uses beta to represent risk. It is calculated by subtracting the risk-free rate from the rate of return for a portfolio and dividing the result by the portfolio's beta value. Up Market Capture Ratio: A measure of a manager's performance in up markets. An up-market is defined as those periods (months or quarters) in which market return is greater than 0. It tells you what percentage of the up-market was captured by the manager. City of Clearwater Employees Pension Fund Appendix 214 This material is for information only and for the use of the recipient. It is not to be reproduced or copied or made available to others. Any opinions expressed are our current opinions only. Assumptions, opinions and estimates constitute CapTrust's judgment as of the date of this material and are subject to change without notice. While the information contained herein is from sources believed reliable, we do not represent that it is accurate or complete and it should not be relied upon as such. CapTrust accepts no liability for loss arising from the use of this material. Performance Comparison Page Information: Shaded Areas represent where the investment objective was achieved either by: 1)The investment return vs the index; 2)The investment return universe ranking (the lower the number the better the ranking) Manager performance begins on the last day of the inception month. Any investment results depicted represent historical net performance. Past performance is no guarantee of future performance. City of Clearwater Employees Pension Fund Appendix Disclaimer Page 215 CAPITAL MARKETS REVIEW –DECEMBER 31, 2011 Consumer confidence jumps to eight month high Consumer Confidence Index Conference Board 160160 Investor sentiment improves 140140 Jobs and employment numbers improve 120120 100100 8080 6060 Confidence Yr/Yr % Chg: Dec @ 1.8% 4040 Confidence: Dec @ 64.5 12-Month Moving Average: Dec @ 58.1 2020 87899193959799010305070911 October rally sparks U.S. equities in fourth quarter October marks best month for S&P 500 since 1991 Energy and Industrials lead S&P 500 to 11.82% return in quarter Dow Jones Industrial Average rallies more than 1000 points in October Major market caps post gains better than 10% for the quarter, led by small caps (Russell 2000) up 15.47% Broad Domestic Equity Performance {µt v {;-·š©w;·Ò©“­ 25.00% Energy u Industrials u 20.00% Materials u  ConsumerDiscretionary u 15.00% S&P500 u Large Cap 10.00% Mid Cap Financials u Small Cap ConsumerStaples u  5.00% HealthCare u InformationTechnology u 0.00% Utilities u  Telecommunication u -5.00% 4Q111 year3 years5 years10 years 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 –DECEMBER 31, 2011 Most sectors of the fixed income markets see gains during the quarter Corporate, High Yield and Preferred sectors all rise Yields remain at near historically low levels 25.00% AAA 20.00% AA A 15.00% BBB 10.00% BB 5.00% 0.00% 4Q11YTD1YR3YR5YR Long Treasuries see moderate declines > Benchmark 30-year Treasury yield drops to 2.89% from 2.91% > International developed fixed income markets trended lower —;©©zŒz“m©;­Ò©ääz;Œ7­ 6 5 4 1yr 3 5yr 2 10yr 30yr 1 0 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 –DECEMBER 31, 2011 Global economy still threatened by debt and engineered slowdown China in the midst of engineered economic slowdown to slow inflation Emerging markets improved, but still pressured by slow growth Europe struggling to contain debt crisis and calm fears Eurozone Real GDP Bars = Compound Annual Rate Line = Yr/Yr % Change 8%8% Compound Annual Growth: Q3 @ 0.6% Year-over-Year Percent Change: Q3 @ 1.4% Forecast 4%4% 0%0% -4%-4% -8%-8% -12%-12% 20022004200620082010 Real Global GDP Growth Percentage estimates for 4quarter th Year-over-Year Percent Change, PPP Weights Source: HIS Global Insight 7.5%7.5% 6.0%6.0% Period Average 4.5%4.5% 3.0%3.0% 1.5%1.5% 0.0%0.0% -1.5%-1.5% 197019751980198519901995200020052010 Percentage estimates for 4quarter th Source: International Monetary Fund 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 –DECEMBER 31, 2011 CAPITAL MARKET INDEX RETURNS 19921993199419951996199719981999200020012002200320042005200620072008200920102011 Russell Russell DJ Russell Russell Russell DJ Russell BarclaysRussell DJ DJ DJ Russell BarclaysRussell Russell DJ MSCI MSCI 20001000Wilshire 100010002000Wilshire 2000Agg2000Wilshire Wilshire Wilshire 1000Agg10002000Wilshire BEST EAFEEAFE ValueValueREITValueGrowthGrowthREITValueBondGrowthREITREITREITGrowthBondGrowthGrowthREIT 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%9.37% DJ Russell Russell Russell Russell Russell DJ DJ Russell Russell Russell Russell DJ Barclays S&P S&P S&P MSCI MSCI MSCI Wilshire 20001000100010002000Wilshire Wilshire 2000200020002000Wilshire Agg 500500500EAFEEAFEEAFE REITValueGrowthGrowthGrowthValueREITREITValueValueValueGrowthREITBond 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%7.84% 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%2.64% 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%2.11% 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%0.39% BarclaysRussell BarclaysRussell Russell Russell DJ Russell Russell Russell Russell Russell Russell Russell S&P MSCI S&P S&P S&P S&P Agg1000Agg200020002000Wilshire 1000200020001000200020002000 500EAFE500500500500 BondValueBondGrowthGrowthGrowthREITGrowthValueGrowthValueGrowthValueGrowth 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%-2.91% Russell BarclaysRussell DJ BarclaysRussell BarclaysRussell Russell Russell Russell Russell Russell Russell DJ Russell Russell MSCI S&P MSCI 1000Agg2000Wilshire Agg2000Agg1000100010001000200010002000Wilshire 10002000 EAFE500EAFE GrowthBondGrowthREITBondValueBondGrowthGrowthGrowthGrowthGrowthGrowthValueREITValueValue 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%-5.50% Russell BarclaysBarclaysDJ Russell Russell Russell BarclaysBarclaysBarclaysBarclaysDJ BarclaysBarclays MSCI MSCI MSCI MSCI MSCI MSCI 1000AggAggWilshire 200020002000AggAggAggAggWilshire AggAgg EAFEEAFEEAFEEAFEEAFEEAFE GrowthBondBondREITValueGrowthGrowthBondBondBondBondREITBondBond 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%-12.14% 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. 8 CAPITAL MARKETS REVIEW –DECEMBER 31, 2011 RELATIVE PERFORMANCE OF KEY INDICES Black Monday -Oct '87Asian Crisis 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. 9 CAPITAL MARKETS REVIEW –DECEMBER 31, 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. 10 CAPITAL MARKETS REVIEW –DECEMBER 31, 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. 11 CAPITAL MARKETS REVIEW –DECEMBER 31, 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. 12 CAPITAL MARKETS REVIEW –DECEMBER 31, 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. 13 CAPITAL MARKETS REVIEW –DECEMBER 31, 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. 14 CAPITAL MARKETS REVIEW –DECEMBER 31, 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. 15 16 City of Clearwater Asset Allocation vs Target & Policy Total Fund As of 12/31/11 Market ManagerValueActual %Policy % ING Investment Mgmt92,197,899.9114.22 Aletheia Research26,335,621.204.06 NTGI-QM R1000V53,021,835.248.18 Artisan Partners35,728,704.385.51 Wedge Capital Mgmt36,401,291.975.62 Atlanta Capital Mgmt12,687,788.721.96 Systematic Financial Mgt10,283,687.471.59 Riverbridge Partners20,478,456.383.16 Total Domestic Equity287,135,285.2744.2942.00 Earnest Partners33,508,295.175.17 Wentworth & Violich27,087,331.584.18 Eaton Vance Mgmt25,011,469.433.86 Wellington Mgmt6,942,220.921.07 Total International Equity92,549,317.1014.2818.00 Dodge & Cox111,072,566.0317.13 Western Asset Management Co.87,331,156.3613.47 Security Lending Income Account183,827.370.03 In House Account1,499,923.220.23 Total Domestic Fixed Income200,087,472.9830.8630.00 Multi Employer Property Trust23,664,524.953.65 Security Capital41,960,078.376.47 Molpus Woodlands Group2,874,303.000.44 Total Real Estate68,498,906.3210.5710.00 Total Fund648,270,981.67100.00 17 City of Clearwater Sources of Fund Growth Total Fund 9/30/11 - 12/31/11 BeginningNetInvestInvestEnding Manager NameValueContribFeesGain/LossValue ING Investment Mgmt84,055,687-94108,143,15492,197,900 Aletheia Research24,192,988-70802,143,34226,335,621 NTGI-QM R1000V38,066,5059,499,33005,456,00153,021,835 Artisan Partners33,681,696-1,32602,048,33535,728,704 Wedge Capital Mgmt32,037,173-67704,364,79636,401,292 Atlanta Capital Mgmt10,898,733-33401,789,38912,687,789 Systematic Financial Mgt8,501,150-25901,782,79610,283,687 Riverbridge Partners18,102,181-37202,376,64720,478,456 Managed Equity249,536,1129,494,713028,104,460287,135,285 Earnest Partners25,710,6865,493,08702,304,52333,508,295 Wentworth & Violich24,580,309-4,71902,511,74227,087,332 Eaton Vance Mgmt24,473,26200538,20825,011,469 Wellington Mgmt21,764,693-15,000,0000177,5286,942,221 International EQ Comp96,528,950-9,511,63305,532,00092,549,317 Dodge & Cox109,892,456-1,84201,181,953111,072,566 Western Asset Management Co.86,180,127-13,80201,164,83287,331,156 Security Lending Income Account39,931143,7920105183,827 In House Account806,813693,110001,499,923 Fixed Income Comp196,919,327821,25702,346,890200,087,473 Multi Employer Property Trust23,087,47000577,05523,664,525 Security Capital36,928,196-456,63705,488,52041,960,078 Molpus Woodlands Group2,455,219456,0000-36,9162,874,303 Real Estate Comp62,470,885-63706,028,65968,498,906 Total Fund605,455,273803,700042,012,008648,270,982 18 City of Clearwater Executive Summary Table Periods Ending December 31, 2011 Net of Fee Return ValuePeriods Ending 12/31/11Since Inception Name$(000)Cur Qtr1 Year3 Yrs5 Yrs7 Yrs10 Yrs15 YrsRetDate Total Fund648,2716.95-0.3615.193.625.185.516.448.9612/31/87 Policy Index7.531.8113.492.425.166.376.859.2212/31/87 Domestic Equity Comp287,13510.89-0.2117.341.514.014.616.2410.3412/31/87 S&P 50011.822.1214.10-0.252.642.925.459.4512/31/87 Large Cap Equity Comp171,55510.17-0.9013.000.142.883.355.229.44 3/31/88 R100011.851.5114.81-0.022.953.345.679.43 3/31/88 Aletheia Research26,3368.86-13.1811.50-4.58 6/30/07 R1000V13.110.3911.55-4.22 6/30/07 ING Investment Mgmt92,1989.693.0414.513.285.034.636.8510.7412/31/87 R1000G10.602.6318.022.503.812.604.458.8612/31/87 NTGI-QM R1000V53,02211.68-0.7711.40-4.29 6/30/07 R1000V13.110.3911.55-4.22 6/30/07 Mid Cap Equity Comp72,1309.76-0.1022.953.595.436.327.7611.75 3/31/88 R Mid Cap12.31-1.5620.171.414.856.998.4410.98 3/31/88 Artisan Partners35,7296.080.0726.357.108.087.457.44 7/31/01 R Mid Cap G11.23-1.6622.062.444.915.284.90 7/31/01 Wedge Capital Mgmt36,40113.62-0.3319.401.57 2/28/07 R Mid Cap V13.36-1.3818.20-0.71 2/28/07 Small Cap Equity Comp43,45015.862.0720.772.234.987.12 8/31/03 R200015.48-4.1715.630.153.206.26 8/31/03 Atlanta Capital Mgmt12,68816.4210.2020.768.669.3610.98 8/31/03 R2000V15.97-5.5012.36-1.872.346.22 8/31/03 Riverbridge Partners20,47813.134.2716.74 9/30/10 R2000G14.99-2.9210.81 9/30/10 Systematic Financial Mgt10,28420.97-9.9118.33-0.263.455.70 8/31/03 R2000V15.97-5.5012.36-1.872.346.22 8/31/03 International EQ Comp92,5496.36-15.0416.67-1.704.115.924.58 5/31/01 MSCI EAFE3.38-11.738.16-4.262.185.123.61 5/31/01 Earnest Partners33,5087.59-6.8819.09-1.26 4/30/08 MSCI EAFE3.38-11.738.16-7.59 4/30/08 Eaton Vance Mgmt25,0112.20-19.2718.48-4.02 4/30/08 MSCI Emg Mkts4.45-18.1720.42-4.37 4/30/08 Wellington Mgmt6,9421.87-22.9715.94-3.27 3/31/08 MSCI Emg Mkts4.45-18.1720.42-2.26 3/31/08 Wentworth & Violich27,08710.22-13.6416.56-5.15 4/30/08 MSCI EAFE3.38-11.738.16-7.59 4/30/08 Fixed Income Comp200,0871.195.948.536.795.935.726.086.9612/31/87 BC Agg1.127.846.776.505.605.786.337.3712/31/87 19 City of Clearwater Executive Summary Table Periods Ending December 31, 2011 Net of Fee Return ValuePeriods Ending 12/31/11Since Inception Name$(000)Cur Qtr1 Year3 Yrs5 Yrs7 Yrs10 Yrs15 YrsRetDate Dodge & Cox111,0731.085.108.986.715.935.60 2/29/04 BC Agg1.127.846.776.505.605.31 2/29/04 In House Account1,5000.000.000.000.000.000.000.000.7612/31/87 3-month T-Bill0.010.080.121.362.081.862.903.9212/31/87 Security Lending Income Account1840.122.8513.719.627.986.75 6/30/03 3-month T-Bill0.010.080.121.362.081.91 6/30/03 Western Asset Management Co.87,3311.357.237.856.785.895.84 9/30/04 BC Agg1.127.846.776.505.605.54 9/30/04 Real Estate Comp68,4999.658.8520.990.04 4/30/08 Policy Index11.3011.6221.690.06 4/30/08 Molpus Woodlands Group2,874-1.35-2.03 6/30/11 NCREIF Timberland Index0.510.16 6/30/11 Multi Employer Property Trust23,6652.5012.9914.41 9/30/10 NCREIF ODCE2.9715.9917.07 9/30/10 Security Capital41,96014.906.8620.59-0.24 4/30/08 Wilshire RESI15.408.5621.890.15 4/30/08 20 City of Clearwater Executive Summary Table December 31, 2011 Net of Fee Return ValueCalendar Years Name$(000)201120102009200820072006 Total Fund648,271-0.3617.7330.28-27.107.2011.76 Policy Index1.8113.9626.00-27.736.6916.59 Domestic Equity Comp287,135-0.2122.5332.14-37.767.1813.01 S&P 5002.1215.0526.45-36.995.5215.81 Large Cap Equity Comp171,555-0.9016.8724.59-35.237.7611.52 R10001.5116.1028.42-37.605.7715.46 Aletheia Research26,336-13.1816.9836.50-37.97 R1000V0.3915.5119.69-36.85 ING Investment Mgmt92,1983.0417.1024.43-33.1817.107.14 R1000G2.6316.7237.21-38.4311.829.09 NTGI-QM R1000V53,022-0.7715.7520.35-36.86 R1000V0.3915.5119.69-36.85 Mid Cap Equity Comp72,130-0.1028.0345.33-41.7910.2612.53 R Mid Cap-1.5625.4940.47-41.465.5915.27 Artisan Partners35,7290.0733.1551.38-42.8722.3110.94 R Mid Cap G-1.6626.3946.30-44.3211.4110.64 Wedge Capital Mgmt36,401-0.3323.3038.51-34.89 R Mid Cap V-1.3824.7634.20-38.45 Small Cap Equity Comp43,4502.0729.2733.51-38.633.2717.40 R2000-4.1726.8527.19-33.80-1.5518.35 Atlanta Capital Mgmt12,68810.2025.9826.83-19.526.9116.22 R2000V-5.5024.5120.57-28.92-9.7723.48 Riverbridge Partners20,4784.27 R2000G-2.92 Systematic Financial Mgt10,284-9.9135.5035.72-40.710.4918.61 R2000V-5.5024.5120.57-28.92-9.7723.48 International EQ Comp92,549-15.0418.3757.93-47.9411.0227.62 MSCI EAFE-11.738.2132.46-43.0611.6326.85 Earnest Partners33,508-6.8816.6155.54 MSCI EAFE-11.738.2132.46 Eaton Vance Mgmt25,011-19.2723.3367.01 MSCI Emg Mkts-18.1719.1979.02 Wellington Mgmt6,942-22.9715.9974.44 MSCI Emg Mkts-18.1719.1979.02 Wentworth & Violich27,087-13.6417.5855.98 MSCI EAFE-11.738.2132.46 Fixed Income Comp200,0875.947.3712.372.545.945.05 BC Agg7.846.545.935.246.964.33 21 City of Clearwater Executive Summary Table December 31, 2011 Net of Fee Return ValueCalendar Years Name$(000)201120102009200820072006 Dodge & Cox111,0735.107.5314.531.375.475.62 BC Agg7.846.545.935.246.964.33 In House Account1,5000.000.000.000.000.000.00 3-month T-Bill0.080.130.161.804.744.76 Security Lending Income Account1842.8521.7017.482.435.104.87 3-month T-Bill0.080.130.161.804.744.76 Western Asset Management Co.87,3317.237.099.243.926.514.66 BC Agg7.846.545.935.246.964.33 Real Estate Comp68,4998.8530.5124.68 Policy Index11.6224.9629.20 Molpus Woodlands Group2,874 NCREIF Timberland Index Multi Employer Property Trust23,66512.99 NCREIF ODCE15.99 Security Capital41,9606.8631.6224.68 Wilshire RESI8.5629.1229.20 22 City of Clearwater Cumulative Performance Comparison Total Returns of Total Fund Public Sponsors Periods Ending 12/11 16% T 14% 1 12% 10% T 8% 1 1 1 T T 1 6% 1 T T T 1 T 1 4% T T 1 2% 1 1 0% T -2% -4% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High8.004.549.5614.563.634.505.615.836.698.526.65 1st Qt6.701.867.5911.982.413.514.715.025.737.215.78 Median5.791.046.7710.701.182.474.064.415.046.535.16 3rd Qt4.960.025.829.380.201.703.513.914.576.024.67 Low3.53-1.834.657.29-1.250.622.693.193.795.123.89 T Total Fund Net Ret6.95-0.368.3115.192.743.624.935.185.767.225.51 Rank197911316221719232437 1 Policy Index Net Ret7.531.817.7113.491.382.424.665.166.178.126.37 Rank8282274652251910912 23 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% 1 0% T -5% 1 T -10% -15% -20% -25% T 1 -30% -35% 2011201020092008200720062005200420032002 High4.5416.7427.92-10.1411.1716.4310.7514.3827.271.46 1st Qt1.8614.0522.24-20.658.9514.338.4612.0723.21-5.91 Median1.0412.6719.53-24.737.7112.476.6210.1620.26-8.13 3rd Qt0.0211.4316.01-27.306.4010.615.368.5617.46-9.63 Low-1.838.9210.11-30.384.617.464.025.7611.64-12.74 T Total Fund Net Ret-0.3617.7330.28-27.107.2011.766.719.9019.63-8.74 Rank793373605849555562 1 Policy Index Net Ret1.8113.9626.00-27.736.6916.598.2513.4825.03-8.11 Rank28278796942781249 24 City of Clearwater Performance Summary Total Fund December 31, 2011 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 QtrYTD1 Year3 Year5 YearIncept 12/31/87 Total FundPolicy Index Cur QtrYTD1 Year3 Yrs5 YrsInceptIncept DateCur Assets Total Fund6.95-0.36-0.3615.203.628.9612/31/87$648,270,982 Policy Index7.531.811.8113.492.429.22 Rank197979322 ING Investment Mgmt9.693.043.0414.513.2810.7412/31/87$92,197,900 R1000G10.602.632.6318.022.508.86 Rank5017177224 Aletheia Research8.86-13.18-13.1811.50-4.58 6/30/07$26,335,621 R1000V13.110.390.3911.55-4.22 Rank85989878 NTGI-QM R1000V11.68-0.77-0.7711.40-4.29 6/30/07$53,021,835 R1000V13.110.390.3911.55-4.22 Rank59626279 Artisan Partners6.080.070.0726.357.107.44 7/31/01$35,728,704 R Mid Cap G11.23-1.66-1.6622.062.444.90 Rank98313125 Wedge Capital Mgmt13.62-0.33-0.3319.401.57 2/28/07$36,401,292 R Mid Cap V13.36-1.38-1.3818.20-0.71 Rank84404026 Atlanta Capital Mgmt16.4210.2010.2020.768.6610.98 8/31/03$12,687,789 R2000V15.97-5.50-5.5012.36-1.876.22 Rank421181 25 City of Clearwater Performance Summary Total Fund December 31, 2011 Cur QtrYTD1 Year3 Yrs5 YrsInceptIncept DateCur Assets Systematic Financial Mgt20.97-9.91-9.9118.33-0.265.70 8/31/03$10,283,687 R2000V15.97-5.50-5.5012.36-1.876.22 Rank196963078 Riverbridge Partners13.134.274.2716.74 9/30/10$20,478,456 R2000G14.99-2.92-2.9210.81 Rank651414 Earnest Partners7.59-6.88-6.8819.09-1.26 4/30/08$33,508,295 MSCI EAFE3.38-11.73-11.738.16-7.59 Rank6131310 Wentworth & Violich10.22-13.64-13.6416.56-5.15 4/30/08$27,087,332 MSCI EAFE3.38-11.73-11.738.16-7.59 Rank3565615 Eaton Vance Mgmt2.20-19.27-19.2718.72-3.86 4/30/08$25,011,469 MSCI Emg Mkts4.45-18.17-18.1720.42-4.37 Rank85767675 Wellington Mgmt1.87-22.97-22.9715.94-3.27 3/31/08$6,942,221 MSCI Emg Mkts4.45-18.17-18.1720.42-2.26 Rank87838378 Dodge & Cox1.085.105.108.986.715.60 2/29/04$111,072,566 BC Agg1.127.847.846.776.505.31 Rank6362623743 Western Asset Management Co.1.357.237.237.856.785.84 9/30/04$87,331,156 BC Agg1.127.847.846.776.505.54 Rank4735355040 Security Lending Income Account0.122.852.8514.7110.197.07 6/30/03$183,827 3-month T-Bill0.010.080.080.121.361.91 In House Account0.000.000.000.000.000.7612/31/87$1,499,923 3-month T-Bill0.010.080.080.121.363.92 26 City of Clearwater Performance Summary Total Fund December 31, 2011 Cur QtrYTD1 Year3 Yrs5 YrsInceptIncept DateCur Assets Multi Employer Property Trust2.5012.9912.9914.41 9/30/10$23,664,525 NCREIF ODCE2.9715.9915.9917.07 Rank624646 Security Capital14.906.866.8620.59-0.24 4/30/08$41,960,078 Wilshire RESI15.408.568.5621.890.15 Rank1270709 Molpus Woodlands Group-1.35-2.03 6/30/11$2,874,303 NCREIF Timberland Index0.510.16 27 28 City of Clearwater Domestic Equity Comp as of 12/31/11 Portfolio Performance (%) 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 12/31/87 Domestic Equity CompS&P 500 Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year12/31/87 Domestic Equity Comp10.89-0.21-0.2117.341.514.6110.34 S&P 50011.812.122.1214.10-0.252.929.45 Asset Growth ($000) Beginning Market Value249,536287,057287,057165,993308,565225,74732,236 Net Contributions & Withdrawals9,495489489-4,644-4,644-4,644-4,644 Gain/Loss + Income28,104-411-411125,786-16,78666,032259,543 Ending Market Value287,135287,135287,135287,135287,135287,135287,135 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Apple IncInformation Technology2.82Energy10.30 Exxon Mobil CorpEnergy2.77Materials5.99 Microsoft CorpInformation Technology1.61Industrials14.76 Google IncInformation Technology1.58Consumer Discretionary15.40 Philip Morris Intl IConsumer Staples1.45Consumer Staples7.94 Wyndham Worldwide CoConsumer Discretionary1.05Health Care10.96 Monsanto Co NewMaterials1.05Financials10.28 Qualcomm IncInformation Technology1.04Information Technology22.55 Wal Mart Stores Inc Consumer Staples0.99Telecom Services0.00 Johnson & JohnsonHealth Care0.98Utilities1.83 Holdings and allocations only include SMA accounts. 29 City of Clearwater Domestic Equity Comp as of 12/31/11 Asset Allocation ($000) Cash & Equiv $5,761 2.01% Domestic EquityOther $280,209 97.59%$1,165 0.41% Risk/Return Analysis Periods from 12/87 to 12/11 Alpha0.15 Beta1.09 R-Squared0.94 11.0 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 3.5 0.02.04.06.08.010.012.014.016.018.020.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio E Domestic Equity Comp 10.34 18.13 0.35 0.22 1 S&P 500 9.45 16.13 0.33 T 91-Day Treasury Bill 4.06 1.19 0.00 Holdings and allocations only include SMA accounts. 30 City of Clearwater Cumulative Performance Comparison Total Returns of Equity Portfolios Periods Ending 12/11 25% 20% E 15% 1 1 E E 10% 1 E 1 5% E E E 1 E 1 1 1 1 E 0% E E 1 1 -5% -10% -15% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High17.287.9315.7124.095.926.938.038.299.5712.3010.02 1st Qt13.512.2111.0118.852.083.185.055.706.9710.187.17 Median11.81-0.028.5715.31-0.411.103.113.895.098.004.85 3rd Qt9.39-4.076.6713.54-1.87-0.312.142.723.776.313.16 Low1.57-10.980.208.47-4.72-3.03-0.031.212.614.872.00 E Domestic Equity Comp Net Ret10.89-0.2110.5717.340.141.513.344.015.117.974.61 Rank6351283445454648495053 1 S&P 500 Net Ret11.812.128.3914.10-1.64-0.252.272.643.636.162.92 Rank5127556971737280838283 31 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 1 0% E -10% -20% E 1 -30% 1 E -40% -50% -60% 2011201020092008200720062005200420032002 High7.9332.5354.34-16.2622.3023.1615.8325.3958.56-3.34 1st Qt2.2125.0536.66-33.4510.2317.5510.4918.1339.20-14.43 Median-0.0216.9228.73-37.015.4314.636.9513.0431.40-20.82 3rd Qt-4.0713.5524.10-41.040.4110.144.579.9727.48-24.65 Low-10.984.098.68-49.21-7.241.75-0.103.3217.66-35.37 E Domestic Equity Comp Net Ret-0.2122.5332.14-37.767.1813.018.1213.1833.74-21.30 Rank51313857366141494153 1 S&P 500 Net Ret2.1215.0526.45-36.995.5215.814.8910.8728.69-22.12 Rank27656449473870686663 32 City of Clearwater Risk Measure Summary Domestic Equity Comp Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods1133783127 Positive Periods339913126569 Up Market Capture1.031.111.111.09 Down Market Capture1.170.981.001.05 Batting Average0.500.750.650.54 Worst Quarter-16.27-13.86-16.27-13.86-23.59-21.93-23.59-21.93 Best Quarter10.8911.8118.1415.9318.1415.9322.0821.32 Worst 4 Quarters-0.212.12-0.211.15-37.76-38.07-37.76-38.07 Best 4 Quarters-0.212.1255.8649.7555.8649.7555.8649.75 Standard Deviation22.2321.2722.5221.1418.1316.13 Beta1.041.061.09 Alpha0.620.510.15 R-Squared0.990.990.94 Sharpe Ratio0.770.660.00-0.080.350.33 Treynor Ratio16.550.025.77 Tracking Error2.752.784.82 Information Ratio1.120.730.22 33 City of Clearwater Return vs Risk Total Returns of Equity Portfolios 3 Years Ending 12/31/11 28.0 25.4 22.8 20.2 17.6 E Median 15.0 S Return 12.4 9.7 7.2 4.6 2.0 14.015.817.619.421.223.024.826.628.430.232.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank E Domestic Equity Comp17.343422.2346 S Standard & Poors 50014.106921.2732 Median15.3122.98 5 Years Ending 12/31/11 10.0 8.0 6.0 4.0 2.0 E Median Return 0.0 S -2.0 -4.0 -6.0 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 Comp1.514522.5251 S Standard & Poors 500-0.257321.1427 Median1.1022.63 34 City of Clearwater Large Cap Equity Comp as of 12/31/11 Portfolio Performance (%) 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 3/31/88 Large Cap Equity CompR1000 Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 3/31/88 Large Cap Equity Comp10.17-0.90-0.9013.000.143.359.44 R100011.851.511.5114.81-0.023.349.43 Asset Growth ($000) Beginning Market Value146,315162,657162,65784,606161,257149,39118,032 Net Contributions & Withdrawals9,4989,4969,49643,36643,36643,36643,366 Gain/Loss + Income15,742-598-59843,584-33,068-21,201110,157 Ending Market Value171,555171,555171,555171,555171,555171,555171,555 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Apple IncInformation Technology5.54Energy14.07 Exxon Mobil CorpEnergy5.44Materials7.94 Microsoft CorpInformation Technology3.17Industrials10.50 Google IncInformation Technology3.11Consumer Discretionary15.19 Philip Morris Intl IConsumer Staples2.85Consumer Staples12.12 Monsanto Co NewMaterials2.06Health Care8.83 Qualcomm IncInformation Technology2.04Financials6.31 Wal Mart Stores Inc Consumer Staples1.94Information Technology23.80 Johnson & JohnsonHealth Care1.92Telecom Services0.00 Oracle Systems Corp Information Technology1.91Utilities1.24 Holdings and allocations only include SMA accounts. 35 City of Clearwater Large Cap Equity Comp as of 12/31/11 Asset Allocation ($000) Cash & Equiv $1,727 1.01% Domestic EquityOther $168,663 98.31%$1,165 0.68% Risk/Return Analysis Periods from 3/88 to 12/11 Alpha0.04 Beta0.98 R-Squared0.96 10.0 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 3.5 0.02.04.06.08.010.012.014.016.018.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio L Large Cap Equity Comp 9.44 16.57 0.33 -0.01 1 R1000 9.43 16.60 0.32 T 91-Day Treasury Bill 4.04 1.20 0.00 Holdings and allocations only include SMA accounts. 36 City of Clearwater Large Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 20% 18% 16% 1 14% L 12% 1 10% L 1 8% L L 1 6% 4% 1 L L 1 1 L 1 2% L 1 0% L 1 L 1 L -2% -4% -6% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High13.286.1911.0817.952.523.605.545.026.679.267.21 1st Qt12.102.208.8615.15-0.940.492.723.374.457.174.02 Median11.812.088.4114.24-1.50-0.152.322.823.806.483.20 3rd Qt11.641.097.9114.07-1.61-0.232.232.653.656.172.94 Low8.23-5.694.3911.81-3.24-1.431.222.083.325.812.86 L Large Cap Equity Comp Net Ret10.17-0.907.6213.00-1.680.141.952.883.896.643.35 Rank9187788880378144464448 1 R1000 Net Ret11.851.518.5614.81-1.42-0.022.412.953.976.573.34 Rank3966343446424043424648 37 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 1 0% L -10% -20% 1 L -30% L 1 -40% -50% 2011201020092008200720062005200420032002 High6.1921.2239.27-27.8010.9319.9311.9819.8141.03-6.83 1st Qt2.2017.0729.85-35.896.1415.938.4012.5631.54-20.89 Median2.0815.1326.78-36.955.5415.785.1010.9228.73-22.00 3rd Qt1.0914.9426.47-37.195.2515.464.9010.8228.60-22.08 Low-5.6912.1621.28-41.460.6511.163.978.9924.65-23.79 L Large Cap Equity Comp Net Ret-0.9016.8724.59-35.237.7611.528.6311.2431.37-22.02 Rank87268922129323412754 1 R1000 Net Ret1.5116.1028.42-37.605.7715.466.2711.3929.90-21.65 Rank66333781327538403942 38 City of Clearwater Risk Measure Summary Large Cap Equity Comp Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods2143983127 Positive Periods238911126468 Up Market Capture0.880.950.960.99 Down Market Capture1.031.040.970.98 Batting Average0.000.500.650.52 Worst Quarter-15.13-14.68-15.13-14.68-20.96-22.48-20.96-22.48 Best Quarter10.1711.8516.9116.4916.9116.4920.1221.88 Worst 4 Quarters-0.901.51-0.900.91-37.57-38.26-37.57-38.26 Best 4 Quarters-0.901.5149.3151.5749.3151.5749.3151.57 Standard Deviation21.6221.7120.9321.6416.5716.60 Beta0.990.960.98 Alpha-0.370.010.04 R-Squared0.990.990.96 Sharpe Ratio0.590.68-0.06-0.070.330.32 Treynor Ratio12.99-1.395.53 Tracking Error2.012.113.17 Information Ratio-0.82-0.00-0.01 39 City of Clearwater Return vs Risk Total Returns of Large Neutral Portfolios 3 Years Ending 12/31/11 18.9 18.0 17.1 16.2 15.3 1 14.4 Median Return 13.5 L 12.6 11.7 10.9 10.0 15.016.217.418.619.821.022.223.424.625.827.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank L Large Cap Equity Comp13.008821.6264 1 R100014.813421.7165 Median14.2421.28 5 Years Ending 12/31/11 2.5 2.0 1.5 1.0 0.5 L 0.0 1 Median Return -0.5 -1.0 -1.5 -2.0 -2.5 17.018.019.020.021.022.023.024.025.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank L Large Cap Equity Comp0.143720.9322 1 R1000-0.024221.6469 Median-0.1521.14 40 City of Clearwater ING Investment Mgmt as of 12/31/11 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 12/31/87 ING Investment MgmtR1000G Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year12/31/87 ING Investment Mgmt9.693.043.0414.513.284.6310.74 R1000G10.602.632.6318.022.502.608.86 Asset Growth ($000) Beginning Market Value84,05689,48189,48142,41654,19249,83217,469 Net Contributions & Withdrawals-1-2-223,38523,38523,38523,385 Gain/Loss + Income8,1432,7192,71926,39714,62118,98151,344 Ending Market Value92,19892,19892,19892,19892,19892,19892,198 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Apple IncInformation Technology7.07Energy12.71 Exxon Mobil CorpEnergy6.23Materials4.04 Microsoft CorpInformation Technology4.04Industrials11.82 Google IncInformation Technology3.97Consumer Discretionary16.19 Philip Morris Intl IConsumer Staples3.64Consumer Staples11.52 Monsanto Co NewMaterials2.62Health Care9.86 Qualcomm IncInformation Technology2.60Financials5.23 Oracle Systems Corp Information Technology2.44Information Technology28.64 Danaher CorpIndustrials2.41Telecom Services0.00 Starbucks CorpConsumer Discretionary2.20Utilities0.00 41 City of Clearwater ING Investment Mgmt as of 12/31/11 Asset Allocation ($000) Cash & Equiv $1,629 1.77% Domestic Equity $90,569 98.23% Risk/Return Analysis Periods from 12/87 to 12/11 Alpha0.59 Beta0.83 R-Squared0.93 11.0 i 10.0 9.0 1 8.0 7.0 6.0 5.0 T 4.0 3.0 0.02.04.06.08.010.012.014.016.018.020.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio i ING Investment Mgmt 10.74 16.49 0.40 0.21 1 R1000G 8.86 18.94 0.25 T 91-Day Treasury Bill 4.06 1.19 0.00 42 City of Clearwater Large Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 30% 25% 20% 1 15% i 1 10% i i 1 i 1 i 5% i i 1 i 1 1 i i 1 1 1 0% 1 i -5% -10% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High13.366.7312.7524.263.115.485.915.956.939.996.98 1st Qt10.872.029.6917.490.533.184.504.965.718.114.74 Median9.73-0.357.3015.57-0.682.233.294.104.797.243.67 3rd Qt8.29-4.065.9714.39-2.870.902.243.154.026.272.76 Low6.71-8.862.7411.34-4.31-1.040.081.302.345.131.88 i ING Investment Mgmt Net Ret9.693.049.8414.510.083.283.915.035.678.134.63 Rank5017217240243423272328 1 R1000G Net Ret10.602.639.4518.020.302.503.573.814.126.702.60 Rank3120292233414360706278 43 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 i 1 0% -10% -20% i 1 -30% i 1 -40% -50% -60% 2011201020092008200720062005200420032002 High6.7326.1254.26-28.7826.9318.0719.4219.3148.42-9.80 1st Qt2.0219.2340.87-35.3719.4711.8412.7012.9833.05-20.08 Median-0.3516.9034.60-38.4713.788.698.6710.3329.80-24.48 3rd Qt-4.0613.3830.98-42.2010.955.025.606.3925.94-27.67 Low-8.869.6624.07-49.176.24-3.094.004.7619.03-33.45 i ING Investment Mgmt Net Ret3.0417.1024.43-33.1817.107.1412.0210.2730.00-22.22 Rank17469311336432514830 1 R1000G Net Ret2.6316.7237.21-38.4311.829.095.276.3029.75-27.89 Rank20533549684981795176 44 City of Clearwater December 31, 2011 45 City of Clearwater Risk Measure Summary ING Investment Mgmt Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods1133772831 Positive Periods339913136865 Up Market Capture1.010.920.930.94 Down Market Capture0.981.110.910.79 Batting Average0.750.500.550.54 Worst Quarter-12.86-13.14-12.86-13.14-18.51-22.79-18.51-22.79 Best Quarter9.6910.6014.6516.3214.6516.3223.2626.75 Worst 4 Quarters3.042.633.042.63-33.18-38.43-33.74-45.64 Best 4 Quarters3.042.6343.3849.7543.3849.7544.3849.75 Standard Deviation19.2319.7219.3321.2616.4918.94 Beta0.950.890.83 Alpha-0.570.180.59 R-Squared0.960.960.93 Sharpe Ratio0.750.910.090.050.400.25 Treynor Ratio15.112.028.00 Tracking Error4.164.645.44 Information Ratio-0.780.050.21 46 City of Clearwater Return vs Risk Total Returns of Large Growth Portfolios 3 Years Ending 12/31/11 26.0 24.0 22.0 20.0 1 18.0 16.0 Median i Return 14.0 12.0 10.0 8.0 6.0 13.014.516.017.519.020.522.023.525.026.528.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank i ING Investment Mgmt14.517219.2332 1 R1000G18.022219.7238 Median15.5720.35 5 Years Ending 12/31/11 7.0 6.0 5.0 4.0 i 3.0 1 Median 2.0 Return 1.0 0.0 -1.0 -2.0 -3.0 15.016.417.819.220.622.023.424.826.227.629.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank i ING Investment Mgmt3.282419.3313 1 R1000G2.504121.2646 Median2.2322.00 47 City of Clearwater Equity Summary Statistics ING Investment Mgmt Period Ending 12/11 PortfolioR1000G Total Number Of Securities60588 Equity Market Value90,569,237 Average Capitalization $(000)107,758,82296,512,033 Median Capitalization $(000)21,579,0855,590,219 Equity Segment Yield1.501.62 Equity Segment P/E - Average15.4016.25 Equity Segment P/E - Median15.5217.17 Equity Segment Beta1.091.00 Price/Book Ratio3.353.84 Debt/Equity Ratio33.5967.90 Five Year Earnings Growth11.5211.64 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Apple Inc6,394,9507.076.25 Exxon Mobil Corp5,640,7786.2317.39 Microsoft Corp3,657,2194.045.08 Google Inc3,588,6203.9725.57 Philip Morris Intl I3,295,8463.6427.07 Monsanto Co New2,374,6722.6217.23 Qualcomm Inc2,355,1632.6012.93 Oracle Systems Corp 2,209,7222.44-10.57 Danaher Corp2,184,1612.4112.22 Starbucks Corp1,994,0732.2023.86 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Seagate Technology P61.30Amazon Com Inc-19.95 Pall Corp35.29Watson Pharmaceutica-11.59 Wyndham Worldwide Co33.29Oracle Systems Corp -10.57 National-Oilwell Inc32.96St Jude Med Inc-4.64 Union Pac Corp30.51Lam Resh Corp-2.53 Philip Morris Intl I27.07Cardinal Health Inc -2.51 Roper Inds Inc New26.26Waste Connections In-1.75 Google Inc25.57Bed Bath & Beyond In1.15 Starbucks Corp23.86Directv1.21 Macys Inc.22.66Sigma Aldrich Corp1.38 48 City of Clearwater Equity Contribution to Return ING Investment Mgmt Period Ending 12/11 PortfolioR1000G Total Number Of Securities60588 Equity Market Value90,569,237 Average Capitalization $(000)107,758,82296,512,033 Median Capitalization $(000)21,579,0855,590,219 Equity Segment Yield1.501.62 Equity Segment P/E - Average15.4016.25 Equity Segment P/E - Median15.5217.17 Equity Segment Beta1.091.00 Price/Book Ratio3.353.84 Debt/Equity Ratio33.5967.90 Five Year Earnings Growth11.5211.64 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Exxon Mobil Corp5,640,7786.2317.39 Google Inc3,588,6203.9725.57 Philip Morris Intl I3,295,8463.6427.07 Seagate Technology P920,8601.0261.30 Wyndham Worldwide Co1,554,0561.7233.29 Starbucks Corp1,994,0732.2023.86 Union Pac Corp1,501,1701.6630.51 Monsanto Co New2,374,6722.6217.23 Roper Inds Inc New1,528,1301.6926.26 Apple Inc6,394,9507.076.25 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Oracle Systems Corp 2,209,7222.44-10.57 Amazon Com Inc913,9681.01-19.95 Watson Pharmaceutica1,012,5051.12-11.59 St Jude Med Inc936,7331.04-4.64 Cardinal Health Inc 1,067,6371.18-2.51 Lam Resh Corp1,030,6371.14-2.53 Waste Connections In852,3610.94-1.75 Michael Kors Hldgs L615,8500.68 Sigma Aldrich Corp519,8550.571.38 Directv840,0630.931.21 49 City of Clearwater Equity Sector Attribution Analysis ING Investment Mgmt Quarter Ending 12/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy11.2410.3417.2918.73-0.160.07-0.09 Materials4.925.1116.0215.610.02-0.010.01 Industrials11.7112.0815.4615.94-0.06-0.02-0.08 Consumer Discretionary16.7714.457.479.43-0.33-0.03-0.36 Consumer Staples12.3813.0312.168.970.390.010.41 Health Care10.0711.051.767.36-0.560.03-0.53 Financials4.123.7414.5912.180.100.010.10 Information Technology28.8028.876.507.11-0.180.00-0.17 Telecom. Services0.001.248.150.000.030.03 Utilities0.000.093.860.000.010.01 100.00100.009.9510.62-0.770.10-0.67 Index - R1000G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect -0.09% [ Actual Return 9.85% ] - [ Buy Hold Return 9.95% ] 50 City of Clearwater Equity Sector Attribution Chart ING Investment Mgmt Quarter Ending 12/11 % Allocation% Return% Variance 11.2417.29 Energy -0.09 10.3418.73 4.9216.02 Materials 0.01 5.1115.61 11.7115.46 Industrials -0.08 12.0815.94 16.777.47 -0.36 Con. Discretionary 14.459.43 12.3812.16 0.41 Consumer Staples 13.038.97 10.071.76 -0.53 Health Care 11.057.36 4.1214.59 0.10 Financials 3.7412.18 -0.17 28.806.50 Infomation Tech. 28.877.11 0.03 0.00 Telecom. Services 1.248.15 0.01 0.00 Utilities 0.093.86 ING Investment MgmtR1000G 51 City of Clearwater Aletheia Research as of 12/31/11 Portfolio Performance (%) 14.0 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 6/30/07 Aletheia ResearchR1000V Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 6/30/07 Aletheia Research8.86-13.18-13.1811.50-4.58 R1000V13.110.390.3911.55-4.22 Asset Growth ($000) Beginning Market Value24,19330,33630,33611,43919,365 Net Contributions & Withdrawals-1-1-110,48110,481 Gain/Loss + Income2,143-3,999-3,9994,416-3,511 Ending Market Value26,33626,33626,33626,33626,336 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Exxon Mobil CorpEnergy2.56Energy18.95 Noble Energy IncEnergy2.54Materials22.05 Intl Business McHnInformation Technology2.34Industrials5.75 Kraft Foods IncConsumer Staples2.26Consumer Discretionary11.60 McDonalds CorpConsumer Discretionary2.18Consumer Staples14.30 Wal Mart Stores Inc Consumer Staples2.02Health Care5.12 Caterpillar IncIndustrials2.01Financials10.20 Boeing CoIndustrials1.97Information Technology6.29 Barrick Gold CorpMaterials1.97Telecom Services0.00 Peabody Energy Corp Energy1.95Utilities5.74 52 City of Clearwater Aletheia Research as of 12/31/11 Asset Allocation ($000) Cash & Equiv $98 0.37% Domestic EquityOther $25,072 95.20%$1,165 4.43% Risk/Return Analysis Periods from 6/07 to 12/11 Alpha0.05 Beta1.02 R-Squared0.91 1.5 T 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 -3.0 -3.5 -4.0 1 -4.5 a -5.0 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 -4.58 25.81 -0.22 -0.02 1 R1000V -4.22 23.94 -0.22 T 91-Day Treasury Bill 1.08 0.83 0.00 53 City of Clearwater Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 20% 15% 1 1 a 10% a 1 5% a 0% 1 1 a -5% -10% a -15% LastLastLast 2Last 3Last 4 QtrYearYearsYearsYears High14.8611.5912.3318.951.76 1st Qt13.103.628.9614.35-1.09 Median12.160.367.3612.63-2.55 3rd Qt11.01-2.825.6111.59-3.35 Low6.66-7.482.898.53-5.10 a Aletheia Research Net Ret8.86-13.180.7811.50-3.70 Rank8598987882 1 R1000V Net Ret13.110.397.6811.55-3.24 Rank2349437573 54 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% 1 -10% a -20% -30% 1 a -40% -50% 2011201020092008 High11.5922.8642.52-26.75 1st Qt3.6216.5429.44-33.62 Median0.3614.4624.33-36.24 3rd Qt-2.8212.6020.58-38.45 Low-7.489.9114.71-43.31 a Aletheia Research Net Ret-13.1816.9836.50-37.97 Rank98201269 1 R1000V Net Ret0.3915.5119.69-36.85 Rank49398360 55 City of Clearwater December 31, 2011 56 City of Clearwater Risk Measure Summary Aletheia Research Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods2244910 Positive Periods228898 Up Market Capture0.671.021.02 Down Market Capture1.421.021.02 Batting Average0.000.500.50 Worst Quarter-20.78-16.21-20.78-16.77-26.26-22.17 Best Quarter8.8613.1121.4718.2421.4718.24 Worst 4 Quarters-13.180.39-13.18-1.90-42.20-42.42 Best 4 Quarters-13.180.3959.1253.5759.1253.57 Standard Deviation25.3624.3225.8123.94 Beta1.011.02 Alpha0.030.05 R-Squared0.930.91 Sharpe Ratio0.450.47-0.22-0.22 Treynor Ratio11.30-5.52 Tracking Error6.718.00 Information Ratio-0.00-0.02 57 City of Clearwater Return vs Risk Total Returns of Large Value Portfolios 3 Years Ending 12/31/11 21.9 20.1 18.4 16.6 14.8 13.0 Median Return 1 a 11.2 9.4 7.6 5.8 4.0 12.014.416.819.221.624.026.428.831.233.636.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank a Aletheia Research11.507825.3681 1 R1000V11.557524.3268 Median12.6323.51 58 City of Clearwater Equity Summary Statistics Aletheia Research Period Ending 12/11 PortfolioR1000V Total Number Of Securities75656 Equity Market Value25,071,853 Average Capitalization $(000)51,455,60073,654,796 Median Capitalization $(000)14,695,0404,607,184 Equity Segment Yield1.902.64 Equity Segment P/E - Average15.0713.63 Equity Segment P/E - Median13.6314.53 Equity Segment Beta1.201.07 Price/Book Ratio1.561.36 Debt/Equity Ratio65.5675.15 Five Year Earnings Growth-0.600.41 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Exxon Mobil Corp641,6332.5617.39 Noble Energy Inc635,2452.5433.64 Intl Business McHn585,6582.345.48 Kraft Foods Inc566,1912.2612.12 McDonalds Corp546,7992.1815.10 Wal Mart Stores Inc 505,2712.0215.86 Caterpillar Inc503,7362.0123.37 Boeing Co492,9121.9721.98 Barrick Gold Corp492,7731.97-2.71 Peabody Energy Corp 487,2141.95-2.07 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Cemex S A70.57Molycorp Inc Del-27.05 Lennar Corp- Cl A45.52Sunpower Corp-22.99 Goodyear Tire & Rubr40.44Kinross Gold Corp-22.87 Continental Resource37.92Overseas Shipholdng -19.09 Noble Energy Inc33.64Dole Food Co Inc New-13.50 Novagold Res Inc31.47Chesapeake Energy Co-12.76 Union Pac Corp30.51Alcoa Inc-9.36 Dow Chem Co29.19Bank Amer Corp-8.98 Canadian Nat Res Ltd28.01Market Vectors Etf T-6.55 Dean Foods Co New26.27Atp Oil & Gas Corp-4.54 59 City of Clearwater Equity Contribution to Return Aletheia Research Period Ending 12/11 PortfolioR1000V Total Number Of Securities75656 Equity Market Value25,071,853 Average Capitalization $(000)51,455,60073,654,796 Median Capitalization $(000)14,695,0404,607,184 Equity Segment Yield1.902.64 Equity Segment P/E - Average15.0713.63 Equity Segment P/E - Median13.6314.53 Equity Segment Beta1.201.07 Price/Book Ratio1.561.36 Debt/Equity Ratio65.5675.15 Five Year Earnings Growth-0.600.41 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Noble Energy Inc635,2452.5433.64 Continental Resource455,2961.8237.92 Lennar Corp- Cl A311,7471.2545.52 Goodyear Tire & Rubr328,3191.3140.44 Canadian Nat Res Ltd470,8621.8828.01 Novagold Res Inc408,3971.6331.47 Caterpillar Inc503,7362.0123.37 Exxon Mobil Corp641,6332.5617.39 Boeing Co492,9121.9721.98 Canadian Oil Sands L471,4831.8822.04 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Molycorp Inc Del402,0251.61-27.05 Kinross Gold Corp360,0121.44-22.87 Sunpower Corp331,0001.32-22.99 Dole Food Co Inc New322,4291.29-13.50 Chesapeake Energy Co307,1561.23-12.76 Bank Amer Corp232,8080.93-8.98 Overseas Shipholdng 107,1690.43-19.09 Newmont Mng Corp Hld432,0721.73-4.10 Market Vectors Etf T268,7221.07-6.55 Atp Oil & Gas Corp384,5601.54-4.54 60 City of Clearwater Equity Sector Attribution Analysis Aletheia Research Quarter Ending 12/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy16.5411.8113.7418.45-0.780.25-0.53 Materials23.032.567.8417.75-2.280.94-1.34 Industrials7.078.7910.2618.14-0.56-0.09-0.64 Consumer Discretionary11.068.6017.3017.51-0.020.110.08 Consumer Staples13.388.339.4910.85-0.18-0.12-0.30 Health Care5.2713.2011.5411.64-0.010.120.11 Financials11.2524.725.7911.02-0.590.29-0.30 Information Technology6.158.807.8913.29-0.33-0.00-0.34 Telecom. Services0.005.077.280.000.300.30 Utilities6.258.129.348.620.050.080.13 100.00100.0010.3213.14-4.701.88-2.82 Index - R1000V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect -0.53% [ Actual Return 9.79% ] - [ Buy Hold Return 10.32% ] 61 City of Clearwater Equity Sector Attribution Chart Aletheia Research Quarter Ending 12/11 % Allocation% Return% Variance 16.5413.74 Energy -0.53 11.8118.45 23.037.84 Materials -1.34 2.5617.75 7.0710.26 Industrials -0.64 8.7918.14 11.0617.30 0.08 Con. Discretionary 8.6017.51 13.389.49 -0.30 Consumer Staples 8.3310.85 5.2711.54 0.11 Health Care 13.2011.64 11.255.79 -0.30 Financials 24.7211.02 -0.34 6.157.89 Infomation Tech. 8.8013.29 0.30 0.00 Telecom. Services 5.077.28 0.13 6.259.34 Utilities 8.128.62 Aletheia ResearchR1000V 62 City of Clearwater NTGI-QM R1000V as of 12/31/11 Portfolio Performance (%) 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 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 R1000V11.68-0.77-0.7711.40-4.29 R1000V13.110.390.3911.55-4.22 Asset Growth ($000) Beginning Market Value38,06742,84042,84030,75126,197 Net Contributions & Withdrawals9,4999,4999,4999,4999,499 Gain/Loss + Income5,45668268212,77217,325 Ending Market Value53,02253,02253,02253,02253,022 63 City of Clearwater NTGI-QM R1000V as of 12/31/11 Asset Allocation ($000) Cash & Equiv $0 0.00% Domestic Equity $53,022 100.00% Risk/Return Analysis Periods from 6/07 to 12/11 Alpha-0.03 Beta0.99 R-Squared1.00 1.5 T 1.0 0.5 0.0 -0.5 -1.0 -1.5 -2.0 -2.5 -3.0 -3.5 -4.0 1 n -4.5 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 -4.29 23.77 -0.23 -0.15 1 R1000V -4.22 23.94 -0.22 T 91-Day Treasury Bill 1.08 0.83 0.00 64 City of Clearwater Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 20% 18% 16% 14% 1 12% n 1 n 10% 8% 1 n 6% 4% 2% 1 0% n -2% 1 n -4% -6% -8% LastLastLast 2Last 3Last 4 QtrYearYearsYearsYears High14.8611.5912.3318.951.76 1st Qt13.103.628.9614.35-1.09 Median12.160.367.3612.63-2.55 3rd Qt11.01-2.825.6111.59-3.35 Low6.66-7.482.898.53-5.10 n NTGI-QM R1000V Net Ret11.68-0.777.1811.40-3.34 Rank5962527974 1 R1000V Net Ret13.110.397.6811.55-3.24 Rank2349437573 65 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% 1 n -10% -20% -30% n1 -40% -50% 2011201020092008 High11.5922.8642.52-26.75 1st Qt3.6216.5429.44-33.62 Median0.3614.4624.33-36.24 3rd Qt-2.8212.6020.58-38.45 Low-7.489.9114.71-43.31 n NTGI-QM R1000V Net Ret-0.7715.7520.35-36.86 Rank62347760 1 R1000V Net Ret0.3915.5119.69-36.85 Rank49398360 66 City of Clearwater December 31, 2011 67 City of Clearwater Risk Measure Summary NTGI-QM R1000V Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods22441010 Positive Periods228888 Up Market Capture0.930.990.99 Down Market Capture0.991.001.00 Batting Average0.750.920.83 Worst Quarter-16.15-16.21-16.63-16.77-22.13-22.17 Best Quarter11.6813.1118.2918.2418.2918.24 Worst 4 Quarters-0.770.39-1.78-1.90-42.31-42.42 Best 4 Quarters-0.770.3954.3353.5754.3353.57 Standard Deviation24.1124.3223.7723.94 Beta0.990.99 Alpha-0.01-0.03 R-Squared1.001.00 Sharpe Ratio0.470.47-0.23-0.22 Treynor Ratio11.36-5.41 Tracking Error0.890.72 Information Ratio-0.21-0.15 68 City of Clearwater Return vs Risk Total Returns of Equity Portfolios 3 Years Ending 12/31/11 28.0 25.4 22.8 20.2 17.6 Median 15.0 Return 12.4 1 n 9.7 7.2 4.6 2.0 14.015.817.619.421.223.024.826.628.430.232.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank n NTGI-QM R1000V11.408824.1161 1 R1000V11.558724.3264 Median15.3122.98 69 City of Clearwater Mid Cap Equity Comp as of 12/31/11 Portfolio Performance (%) 24.0 22.0 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 3/31/88 Mid Cap Equity CompR Mid Cap Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 3/31/88 Mid Cap Equity Comp9.76-0.10-0.1022.953.596.3211.75 R Mid Cap12.31-1.56-1.5620.171.416.9910.98 Asset Growth ($000) Beginning Market Value65,71981,82981,82934,30282,91876,36715,585 Net Contributions & Withdrawals-2-9,005-9,005-9,005-9,005-9,005-9,005 Gain/Loss + Income6,413-694-69446,833-1,7834,76965,550 Ending Market Value72,13072,13072,13072,13072,13072,13072,130 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Allstate CorpFinancials2.19Energy8.38 Transdigm Group Inc Industrials2.15Materials4.68 Duke-Weeks Realty CoFinancials2.11Industrials18.68 Sonoco Prods CoMaterials2.00Consumer Discretionary16.11 Lincoln Natl Corp InFinancials1.98Consumer Staples3.39 Computer Sciences CoInformation Technology1.92Health Care11.61 Donnelley R R & SonsIndustrials1.78Financials15.99 Brunswick CorpConsumer Discretionary1.77Information Technology17.58 Carlisle CorpIndustrials1.75Telecom Services0.00 Dover CorpIndustrials1.66Utilities3.57 Holdings and allocations only include SMA accounts. 70 City of Clearwater Mid Cap Equity Comp as of 12/31/11 Asset Allocation ($000) Cash & Equiv $2,828 3.92% Domestic Equity $69,302 96.08% Risk/Return Analysis Periods from 3/88 to 12/11 Alpha0.10 Beta1.14 R-Squared0.82 12.0 M 1 11.0 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 11.75 23.59 0.33 0.11 1 R Mid Cap 10.98 18.68 0.37 T 91-Day Treasury Bill 4.04 1.20 0.00 Holdings and allocations only include SMA accounts. 71 City of Clearwater Midcap Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 30% 25% M 20% 1 15% M 1 1 10% 1 M M 1 1 M M 5% M M 1 M1 M 1 0% 1 M 1 -5% -10% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High20.226.4414.6624.888.927.4710.4411.0411.3713.2310.57 1st Qt16.355.4213.8821.687.016.688.618.9310.3613.0210.24 Median14.54-1.5711.5920.402.824.015.776.768.7211.438.52 3rd Qt12.34-4.359.3318.780.911.404.055.297.0410.497.17 Low5.46-9.245.4113.32-2.20-0.081.703.895.919.416.50 M Mid Cap Equity Comp Net Ret9.76-0.1013.0922.951.993.595.035.436.529.716.32 Rank8941311969525568879299 1 R Mid Cap Net Ret12.31-1.5611.1520.170.391.413.604.856.669.946.99 Rank7548565178728081798384 72 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% M 1 -10% 1 -20% M -30% -40% 1 M -50% 2011201020092008200720062005200420032002 High6.4431.9963.14-21.0714.9527.4017.4726.8244.04-4.15 1st Qt5.4227.0441.17-26.718.6718.7512.7321.3139.21-9.81 Median-1.5723.6937.16-35.943.4614.4311.7020.5335.67-12.33 3rd Qt-4.3522.1934.77-37.68-0.5210.569.2217.4533.40-14.56 Low-9.2415.8619.11-44.82-2.178.242.2915.0127.16-16.55 M Mid Cap Equity Comp Net Ret-0.1028.0345.33-41.7910.2612.537.8514.4838.95-19.87 Rank41191891155679962899 1 R Mid Cap Net Ret-1.5625.4940.47-41.465.5915.2712.6520.2340.08-16.19 Rank48392788444627521287 73 City of Clearwater Risk Measure Summary Mid Cap Equity Comp Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods1133783031 Positive Periods339913126564 Up Market Capture0.960.990.991.16 Down Market Capture0.910.830.911.17 Batting Average0.750.750.700.57 Worst Quarter-17.17-18.90-17.17-18.90-26.78-27.28-26.78-27.28 Best Quarter9.7612.3123.0520.8023.0520.8049.2420.80 Worst 4 Quarters-0.10-1.56-0.10-1.56-41.79-41.46-41.79-41.46 Best 4 Quarters-0.10-1.5665.8067.7265.8067.7277.7467.72 Standard Deviation23.2324.9324.8125.6023.5918.68 Beta0.930.961.14 Alpha0.900.510.10 R-Squared0.980.980.82 Sharpe Ratio0.980.800.09-0.000.330.37 Treynor Ratio24.652.206.74 Tracking Error3.723.4610.28 Information Ratio0.520.540.11 74 City of Clearwater Artisan Partners as of 12/31/11 Portfolio Performance (%) 30.0 25.0 20.0 15.0 10.0 5.0 0.0 -5.0 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 Partners6.080.070.0726.357.107.457.44 R Mid Cap G11.23-1.66-1.6622.062.445.284.90 Asset Growth ($000) Beginning Market Value33,68240,88640,88615,06436,46830,81129,914 Net Contributions & Withdrawals-1-5,004-5,004-5,004-5,004-5,004-5,004 Gain/Loss + Income2,048-153-15325,6684,2659,92110,819 Ending Market Value35,72935,72935,72935,72935,72935,72935,729 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Ihs IncIndustrials3.36Energy9.80 Regeneron PharmaceutHealth Care2.93Materials0.00 Agilent TechnologiesHealth Care2.77Industrials13.56 Dresser-Rand Group IEnergy2.72Consumer Discretionary21.53 Coach IncConsumer Discretionary2.71Consumer Staples2.48 Salesforce Com IncInformation Technology2.62Health Care21.61 Trimble Navigation LInformation Technology2.57Financials4.01 Cameron InternationaEnergy2.54Information Technology27.00 Cerner CorpHealth Care2.52Telecom Services0.00 Precision Castparts Industrials2.52Utilities0.00 75 City of Clearwater Artisan Partners as of 12/31/11 Asset Allocation ($000) Cash & Equiv $1,644 4.60% Domestic Equity $34,085 95.40% Risk/Return Analysis Periods from 7/01 to 12/11 Alpha0.58 Beta0.92 R-Squared0.95 8.0 7.5 r 7.0 6.5 6.0 5.5 5.0 1 4.5 4.0 3.5 3.0 2.5 T 2.0 1.5 0.02.04.06.08.010.012.014.016.018.020.022.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio r Artisan Partners 7.44 20.22 0.27 0.31 1 R Mid Cap G 4.90 20.53 0.14 T 91-Day Treasury Bill 2.01 0.52 0.00 76 City of Clearwater Midcap Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 30% r 25% 1 20% 15% r r 1 1 10% 1 r r r r r 1 r 5% 1 1 1 r 1 0% 1 r 1 -5% -10% -15% -20% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High16.626.7616.8426.004.867.108.039.049.4712.229.53 1st Qt13.690.7113.3222.522.325.486.137.658.3611.018.22 Median12.13-1.9910.9620.180.223.184.416.257.2110.577.34 3rd Qt10.55-5.918.9118.48-1.701.823.745.086.189.375.76 Low7.28-16.275.4115.08-3.83-1.901.394.465.639.164.67 r Artisan Partners Net Ret6.080.0715.4326.353.617.107.738.089.0511.567.45 Rank98311121158198945 1 R Mid Cap G Net Ret11.23-1.6611.4922.060.312.443.764.916.189.735.28 Rank6345443049607381756779 77 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 1 -10% -20% r 1 -30% -40% r 1 -50% -60% 2011201020092008200720062005200420032002 High6.7635.5057.39-33.1325.0120.9023.2021.8251.00-2.74 1st Qt0.7129.9646.22-37.5421.0214.9514.8418.9844.86-13.31 Median-1.9926.8039.68-40.9016.4813.3413.0416.3537.89-20.35 3rd Qt-5.9124.9836.32-44.998.669.9510.1913.1333.38-24.78 Low-16.2718.5626.78-50.494.305.975.7310.5929.41-30.09 r Artisan Partners Net Ret0.0733.1551.38-42.8722.3110.9410.1916.0733.84-23.37 Rank31121562176575607267 1 R Mid Cap G Net Ret-1.6626.3946.30-44.3211.4110.6412.1015.4842.72-27.41 Rank45572470656565602585 78 City of Clearwater December 31, 2011 79 City of Clearwater Risk Measure Summary Artisan Partners Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods1123671314 Positive Periods3310914132827 Up Market Capture0.790.961.020.99 Down Market Capture0.760.670.840.88 Batting Average0.500.500.500.41 Worst Quarter-14.74-19.33-14.74-19.33-27.54-27.36-27.54-27.36 Best Quarter7.6111.2320.5020.6720.5020.6726.7027.06 Worst 4 Quarters0.07-1.660.07-1.66-42.87-44.32-42.87-44.32 Best 4 Quarters0.07-1.6658.5962.9858.5962.9858.5962.98 Standard Deviation20.9723.6124.4425.8021.7623.19 Beta0.870.920.92 Alpha1.501.120.58 R-Squared0.950.950.95 Sharpe Ratio1.250.930.230.040.360.24 Treynor Ratio30.146.118.50 Tracking Error5.846.045.03 Information Ratio0.500.670.31 80 City of Clearwater Return vs Risk Total Returns of Midcap Growth Portfolios 3 Years Ending 12/31/11 29.9 28.1 26.3 r 24.5 22.7 1 20.9 Median Return 19.1 17.4 15.6 13.8 12.0 12.014.216.418.620.823.025.227.429.631.834.0 Historical Standard Deviation of Return Annualized ReturnStandard Deviation ValueRankValueRank r Artisan Partners26.35220.9717 1 R Mid Cap G22.063023.6153 Median20.1823.55 5 Years Ending 12/31/11 12.0 10.0 8.0 r 6.0 4.0 Median 1 Return 2.0 0.0 -2.0 -4.0 16.017.819.621.423.225.026.828.630.432.234.0 Historical Standard Deviation of Return Annualized ReturnStandard Deviation ValueRankValueRank r Artisan Partners7.10524.4436 1 R Mid Cap G2.446025.8059 Median3.1825.42 81 City of Clearwater Equity Summary Statistics Artisan Partners Period Ending 12/11 PortfolioR Mid Cap G Total Number Of Securities70466 Equity Market Value34,084,552 Average Capitalization $(000)9,028,3687,914,950 Median Capitalization $(000)5,696,6904,185,386 Equity Segment Yield0.391.06 Equity Segment P/E - Average28.6120.13 Equity Segment P/E - Median25.7917.87 Equity Segment Beta1.181.22 Price/Book Ratio4.593.72 Debt/Equity Ratio23.7378.53 Five Year Earnings Growth11.448.10 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Ihs Inc1,145,9283.3615.17 Regeneron Pharmaceut997,7402.93-4.76 Agilent Technologies943,1102.7711.78 Dresser-Rand Group I928,3262.7223.14 Coach Inc921,7042.7118.19 Salesforce Com Inc892,8482.62-11.22 Trimble Navigation L876,6802.5729.36 Cameron Internationa865,7442.5418.42 Cerner Corp857,5002.52-10.61 Precision Castparts 856,9082.526.02 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Akamai Technologies 62.37Green Mtn Coffee Roa-51.74 Amerigroup Corp51.45Netflix Com Inc-38.77 Woodward Governor Co49.64Sina Com-27.38 Mercadolibre Inc48.13Ctrip Com Intl Ltd-27.24 Concur Technologies 36.46Universal Display Co-23.47 Pall Corp35.29Ipg Photonics Corp-22.03 Noble Energy Inc33.64Athenahealth Inc-17.51 Trimble Navigation L29.36Opentable Inc-14.95 Core Laboratories N 27.16Broadcom Corp-11.54 Intuitive Surgical I27.10Aruba Networks Inc-11.43 82 City of Clearwater Equity Contribution to Return Artisan Partners Period Ending 12/11 PortfolioR Mid Cap G Total Number Of Securities70466 Equity Market Value34,084,552 Average Capitalization $(000)9,028,3687,914,950 Median Capitalization $(000)5,696,6904,185,386 Equity Segment Yield0.391.06 Equity Segment P/E - Average28.6120.13 Equity Segment P/E - Median25.7917.87 Equity Segment Beta1.181.22 Price/Book Ratio4.593.72 Debt/Equity Ratio23.7378.53 Five Year Earnings Growth11.448.10 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Amerigroup Corp543,5361.6051.45 Trimble Navigation L876,6802.5729.36 Dresser-Rand Group I928,3262.7223.14 Noble Energy Inc585,2181.7233.64 Mercadolibre Inc365,8841.0748.13 Ihs Inc1,145,9283.3615.17 Coach Inc921,7042.7118.19 Cameron Internationa865,7442.5418.42 Core Laboratories N 581,1451.7127.16 Lkq Corp640,7041.8824.50 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Athenahealth Inc751,5362.21-17.51 Salesforce Com Inc892,8482.62-11.22 Ctrip Com Intl Ltd339,3001.00-27.24 Cerner Corp857,5002.52-10.61 Universal Display Co385,2451.13-23.47 Cepheid Inc705,4052.07-11.38 Broadcom Corp629,7721.85-11.54 Green Mtn Coffee Roa125,5800.37-51.74 Sina Com228,8000.67-27.38 Ipg Photonics Corp267,5730.79-22.03 83 City of Clearwater Equity Sector Attribution Analysis Artisan Partners Quarter Ending 12/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy7.888.9823.0322.930.01-0.13-0.12 Materials0.008.2515.360.00-0.33-0.33 Industrials13.1514.1916.7417.11-0.05-0.06-0.11 Consumer Discretionary20.2120.485.3910.37-1.010.00-1.00 Consumer Staples2.656.68-16.58-0.23-0.430.460.03 Health Care23.6814.291.006.23-1.24-0.48-1.72 Financials5.306.513.4412.87-0.50-0.02-0.52 Information Technology27.1318.653.618.67-1.37-0.22-1.60 Telecom. Services0.001.656.130.000.090.09 Utilities0.000.323.860.000.020.02 100.00100.006.0611.32-4.59-0.67-5.26 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 0.29% [ Actual Return 6.36% ] - [ Buy Hold Return 6.06% ] 84 City of Clearwater Equity Sector Attribution Chart Artisan Partners Quarter Ending 12/11 % Allocation% Return% Variance 7.8823.03 Energy -0.12 8.9822.93 0.00 Materials -0.33 8.2515.36 13.1516.74 Industrials -0.11 14.1917.11 20.215.39 -1.00 Con. Discretionary 20.4810.37 2.65-16.58 0.03 Consumer Staples 6.68-0.23 23.681.00 -1.72 Health Care 14.296.23 5.303.44 -0.52 Financials 6.5112.87 -1.60 27.133.61 Infomation Tech. 18.658.67 0.09 0.00 Telecom. Services 1.656.13 0.02 0.00 Utilities 0.323.86 Artisan PartnersR Mid Cap G 85 City of Clearwater Wedge Capital Mgmt as of 12/31/11 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 2/28/07 Wedge Capital MgmtR Mid Cap V Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 2/28/07 Wedge Capital Mgmt13.62-0.33-0.3319.401.57 R Mid Cap V13.36-1.38-1.3818.20-0.71 Asset Growth ($000) Beginning Market Value32,03740,94340,94319,23830,365 Net Contributions & Withdrawals-1-4,001-4,001-4,001-4,001 Gain/Loss + Income4,365-541-54121,16410,037 Ending Market Value36,40136,40136,40136,40136,401 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Allstate CorpFinancials4.31Energy7.00 Transdigm Group Inc Industrials4.24Materials9.23 Duke-Weeks Realty CoFinancials4.16Industrials23.64 Sonoco Prods CoMaterials3.93Consumer Discretionary10.86 Lincoln Natl Corp InFinancials3.90Consumer Staples4.28 Computer Sciences CoInformation Technology3.79Health Care1.90 Donnelley R R & SonsIndustrials3.50Financials27.61 Brunswick CorpConsumer Discretionary3.49Information Technology8.45 Carlisle CorpIndustrials3.45Telecom Services0.00 Dover CorpIndustrials3.27Utilities7.03 86 City of Clearwater Wedge Capital Mgmt as of 12/31/11 Asset Allocation ($000) Cash & Equiv $1,184 3.25% Domestic Equity $35,217 96.75% Risk/Return Analysis Periods from 2/07 to 12/11 Alpha0.57 Beta0.98 R-Squared0.97 1.8 1.6 w 1.4 T 1.2 1.0 0.8 0.6 0.4 0.2 0.0 -0.2 -0.4 -0.6 1 -0.8 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 1.57 23.40 0.01 0.47 1 R Mid Cap V -0.71 23.59 -0.09 T 91-Day Treasury Bill 1.36 0.57 0.00 87 City of Clearwater Midcap Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 30% 25% 20% w 1 15% w 1 1 w 10% 5% w 0% 1 w 1 -5% -10% -15% LastLastLast 2Last 3Last 4 QtrYearYearsYearsYears High20.6012.2719.1625.323.19 1st Qt15.737.1213.3119.402.34 Median14.69-1.8110.3417.540.87 3rd Qt13.90-6.208.4015.56-0.50 Low8.30-11.293.247.76-5.25 w Wedge Capital Mgmt Net Ret13.62-0.3310.8619.402.60 Rank8440452616 1 R Mid Cap V Net Ret13.36-1.3810.9318.200.41 Rank8743414269 88 City of Clearwater Midcap Value Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December 60% 50% 40% w 1 30% 1 w 20% 10% 0% w 1 -10% -20% -30% w 1 -40% -50% -60% 2011201020092008 High12.2730.8857.20-31.72 1st Qt7.1225.8445.34-33.94 Median-1.8123.3035.12-36.61 3rd Qt-6.2019.7830.58-43.71 Low-11.2914.6219.07-51.14 w Wedge Capital Mgmt Net Ret-0.3323.3038.51-34.89 Rank40503531 1 R Mid Cap V Net Ret-1.3824.7634.20-38.45 Rank43435053 89 City of Clearwater December 31, 2011 90 City of Clearwater Risk Measure Summary Wedge Capital Mgmt Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods22449999 Positive Periods228810101010 Up Market Capture1.111.001.03 Down Market Capture1.040.950.94 Batting Average0.750.580.680.68 Worst Quarter-19.63-18.47-19.63-18.47-26.40-27.19-26.40-27.19 Best Quarter13.6213.3625.6523.6225.6523.6225.6523.62 Worst 4 Quarters-0.33-1.38-0.63-2.36-39.75-42.51-39.75-42.51 Best 4 Quarters-0.33-1.3873.1572.4173.1572.4173.1572.41 Standard Deviation27.2026.8626.7126.75 Beta0.990.98 Alpha0.330.57 R-Squared0.960.97 Sharpe Ratio0.710.670.00-0.08 Treynor Ratio19.420.03 Tracking Error5.604.62 Information Ratio0.180.47 91 City of Clearwater Return vs Risk Total Returns of Midcap Value Portfolios 3 Years Ending 12/31/11 35.0 30.0 25.0 20.0 w 1 Median Return 15.0 10.0 5.0 0.0 14.016.418.821.223.626.028.430.833.235.638.0 Historical Standard Deviation of Return Annualized ReturnStandard Deviation ValueRankValueRank w Wedge Capital Mgmt19.402627.2065 1 R Mid Cap V18.204226.8664 Median17.5426.04 92 City of Clearwater Equity Summary Statistics Wedge Capital Mgmt Period Ending 12/11 PortfolioR Mid Cap V Total Number Of Securities41527 Equity Market Value35,216,997 Average Capitalization $(000)5,368,7087,801,385 Median Capitalization $(000)3,295,4073,707,206 Equity Segment Yield2.712.42 Equity Segment P/E - Average18.6116.60 Equity Segment P/E - Median14.5514.94 Equity Segment Beta1.191.27 Price/Book Ratio1.321.37 Debt/Equity Ratio62.4776.84 Five Year Earnings Growth0.52-0.45 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Allstate Corp1,515,7734.3116.66 Transdigm Group Inc 1,490,2164.2417.15 Duke-Weeks Realty Co1,461,3884.1616.47 Sonoco Prods Co1,381,0243.9317.85 Lincoln Natl Corp In1,371,2463.9024.64 Computer Sciences Co1,330,5423.79-11.04 Donnelley R R & Sons1,230,2733.503.82 Brunswick Corp1,228,0803.4929.02 Carlisle Corp1,213,8203.4539.54 Dover Corp1,149,3903.2725.33 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Carlisle Corp39.54Phh Corp-33.46 Convergys Corp36.14Computer Sciences Co-11.04 Solutia Inc34.47First Niagara Finl G-3.98 Wyndham Worldwide Co33.29Pg&E Corp-1.49 Brunswick Corp29.02Life Technologies Co1.25 Murphy Oil Corp26.85HCC Ins Hldgs Inc2.24 Dover Corp25.33Comtech Telecommunic2.77 Lincoln Natl Corp In24.64Bemis Inc3.50 Bank Hawaii Corp23.60Donnelley R R & Sons3.82 Energen Corp22.61V F Corp5.05 93 City of Clearwater Equity Contribution to Return Wedge Capital Mgmt Period Ending 12/11 PortfolioR Mid Cap V Total Number Of Securities41527 Equity Market Value35,216,997 Average Capitalization $(000)5,368,7087,801,385 Median Capitalization $(000)3,295,4073,707,206 Equity Segment Yield2.712.42 Equity Segment P/E - Average18.6116.60 Equity Segment P/E - Median14.5514.94 Equity Segment Beta1.191.27 Price/Book Ratio1.321.37 Debt/Equity Ratio62.4776.84 Five Year Earnings Growth0.52-0.45 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Carlisle Corp1,213,8203.4539.54 Brunswick Corp1,228,0803.4929.02 Lincoln Natl Corp In1,371,2463.9024.64 Convergys Corp913,0552.6036.14 Dover Corp1,149,3903.2725.33 Wyndham Worldwide Co836,0432.3833.29 Transdigm Group Inc 1,490,2164.2417.15 Allstate Corp1,515,7734.3116.66 Sonoco Prods Co1,381,0243.9317.85 Duke-Weeks Realty Co1,461,3884.1616.47 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Computer Sciences Co1,330,5423.79-11.04 Phh Corp211,8600.60-33.46 Pg&E Corp993,4022.83-1.49 First Niagara Finl G318,4470.91-3.98 Life Technologies Co669,2521.901.25 Comtech Telecommunic727,0052.072.77 HCC Ins Hldgs Inc1,006,5002.862.24 Bemis Inc1,022,7202.913.50 Capstead Mtg Corp374,4441.0711.49 UGI Corp New355,7401.0112.97 94 City of Clearwater Equity Sector Attribution Analysis Wedge Capital Mgmt Quarter Ending 12/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy6.656.0716.8721.43-0.300.05-0.26 Materials8.984.3212.7122.93-0.920.44-0.47 Industrials21.619.9919.1816.830.510.400.90 Consumer Discretionary12.0410.8616.1916.010.020.030.05 Consumer Staples4.217.2612.999.760.140.110.25 Health Care2.086.761.255.97-0.100.350.25 Financials27.7830.6514.0013.700.08-0.010.07 Information Technology9.038.254.3110.87-0.59-0.02-0.61 Telecom. Services0.000.86-6.030.000.170.17 Utilities7.6114.986.8010.38-0.270.22-0.05 100.00100.0013.7313.42-1.441.740.30 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 0.04% [ Actual Return 13.76% ] - [ Buy Hold Return 13.73% ] 95 City of Clearwater Equity Sector Attribution Chart Wedge Capital Mgmt Quarter Ending 12/11 % Allocation% Return% Variance 6.6516.87 Energy -0.26 6.0721.43 8.9812.71 Materials -0.47 4.3222.93 21.6119.18 Industrials 0.90 9.9916.83 12.0416.19 0.05 Con. Discretionary 10.8616.01 4.2112.99 0.25 Consumer Staples 7.269.76 2.081.25 0.25 Health Care 6.765.97 27.7814.00 0.07 Financials 30.6513.70 -0.61 9.034.31 Infomation Tech. 8.2510.87 0.17 0.00 Telecom. Services 0.86-6.03 -0.05 7.616.80 Utilities 14.9810.38 Wedge Capital MgmtR Mid Cap V 96 City of Clearwater Small Cap Equity Comp as of 12/31/11 Portfolio Performance (%) 22.0 20.0 18.0 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 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 Comp15.862.072.0720.772.237.12 R200015.48-4.17-4.1715.630.156.26 Asset Growth ($000) Beginning Market Value37,50242,57142,57147,08664,40129,988 Net Contributions & Withdrawals-1-2-2-39,005-39,005-39,005 Gain/Loss + Income5,94988188135,36818,05452,466 Ending Market Value43,45043,45043,45043,45043,45043,450 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Lkq CorpConsumer Discretionary2.43Energy3.13 Ultimate Software GrInformation Technology2.14Materials2.77 Rollins IncIndustrials2.08Industrials20.01 National Instrs CorpInformation Technology1.94Consumer Discretionary14.81 Cepheid IncHealth Care1.68Consumer Staples3.96 Semtech CorpInformation Technology1.44Health Care15.72 Mednax IncHealth Care1.41Financials11.76 Chemed Corp NewHealth Care1.36Information Technology27.28 United Nat Foods IncConsumer Staples1.31Telecom Services0.00 Gentex CorpConsumer Discretionary1.31Utilities0.56 Holdings and allocations only include SMA accounts. 97 City of Clearwater Small Cap Equity Comp as of 12/31/11 Asset Allocation ($000) Cash & Equiv $1,206 2.77% Domestic Equity $42,244 97.23% Risk/Return Analysis Periods from 8/03 to 12/11 Alpha0.32 Beta0.91 R-Squared0.96 7.5 S 7.0 6.5 1 6.0 5.5 5.0 4.5 4.0 3.5 3.0 2.5 T 2.0 1.5 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 7.12 20.08 0.25 0.13 1 R2000 6.26 20.91 0.20 T 91-Day Treasury Bill 2.03 0.57 0.00 Holdings and allocations only include SMA accounts. 98 City of Clearwater Small Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 30% 25% S 20% S 1 15% 1 S 10% 1 S 5% S1 S 1 1 S S S 1 0% 1 1 -5% -10% -15% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8 QtrYearYearsYearsYearsYearsYearsYearsYears High19.446.5415.6224.505.575.607.447.758.75 1st Qt17.09-0.9312.8720.064.053.255.756.117.88 Median15.47-3.0511.3017.031.801.884.104.726.57 3rd Qt13.65-4.839.6615.520.720.383.144.065.94 Low11.22-11.495.0811.90-1.32-1.161.792.064.46 S Small Cap Equity Comp Net Ret15.862.0714.8720.771.972.234.614.986.26 Rank341212224844454860 1 R2000 Net Ret15.48-4.1710.2515.630.580.152.983.204.98 Rank497065717778778787 99 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 S 0% 1 1 -10% -20% -30% 1 -40%S -50% 20112010200920082007200620052004 High6.5436.3253.35-22.1511.3925.5714.0326.61 1st Qt-0.9329.6436.35-29.873.4419.6310.0222.75 Median-3.0526.9929.15-33.240.6517.588.3620.68 3rd Qt-4.8325.1026.09-36.09-2.6015.755.6918.42 Low-11.4920.9719.50-42.48-8.4012.802.7915.47 S Small Cap Equity Comp Net Ret2.0729.2733.51-38.633.2717.407.2115.69 Rank1229318527527191 1 R2000 Net Ret-4.1726.8527.19-33.80-1.5518.354.5618.32 Rank7052665965388678 100 City of Clearwater Risk Measure Summary Small Cap Equity Comp Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods2244891112 Positive Periods228812112221 Up Market Capture1.060.991.030.96 Down Market Capture0.830.790.940.90 Batting Average1.000.830.750.64 Worst Quarter-18.74-21.86-18.74-21.86-25.65-26.12-25.65-26.12 Best Quarter15.8615.4820.7420.6820.7420.6820.7420.68 Worst 4 Quarters2.07-4.172.07-4.17-38.63-37.50-38.63-37.50 Best 4 Quarters2.07-4.1757.5562.7757.5562.7757.5562.77 Standard Deviation24.3627.8624.8326.0020.5622.05 Beta0.870.940.91 Alpha1.510.470.32 R-Squared0.980.960.96 Sharpe Ratio0.850.560.03-0.050.270.21 Treynor Ratio23.780.806.14 Tracking Error5.265.404.71 Information Ratio0.670.300.13 101 City of Clearwater Return vs Risk Total Returns of Small Neutral Portfolios 3 Years Ending 12/31/11 25.9 24.1 22.3 S 20.5 18.8 Median 17.0 Return 1 15.2 13.4 11.6 9.8 8.0 21.022.323.624.926.227.528.830.131.432.734.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank S Small Cap Equity Comp20.772224.3617 1 R200015.637127.8658 Median17.0327.43 5 Years Ending 12/31/11 6.0 5.0 4.0 3.0 S 2.0 Median Return 1.0 1 0.0 -1.0 -2.0 19.020.421.823.224.626.027.428.830.231.633.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank S Small Cap Equity Comp2.234424.8330 1 R20000.157826.0051 Median1.8826.00 102 City of Clearwater Riverbridge Partners as of 12/31/11 Portfolio Performance (%) 18.0 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 QtrYTD1 Year3 Year5 Year10 YearIncept 9/30/10 Riverbridge PartnersR2000G Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 9/30/10 Riverbridge Partners13.134.274.2716.74 R2000G14.99-2.92-2.9210.81 Asset Growth ($000) Beginning Market Value18,10219,64219,64216,876 Net Contributions & Withdrawals0-1-1-1 Gain/Loss + Income2,3778388383,603 Ending Market Value20,47820,47820,47820,478 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Ultimate Software GrInformation Technology4.53Energy0.00 Rollins IncIndustrials4.40Materials0.00 Cepheid IncHealth Care3.55Industrials17.99 National Instrs CorpInformation Technology3.48Consumer Discretionary10.78 Lkq CorpConsumer Discretionary3.32Consumer Staples4.45 Semtech CorpInformation Technology3.04Health Care25.52 Mednax IncHealth Care2.99Financials1.50 Chemed Corp NewHealth Care2.88Information Technology39.76 United Nat Foods IncConsumer Staples2.77Telecom Services0.00 Gentex CorpConsumer Discretionary2.76Utilities0.00 103 City of Clearwater Riverbridge Partners as of 12/31/11 Asset Allocation ($000) Cash & Equiv $518 2.53% Domestic Equity $19,960 97.47% Risk/Return Analysis (Number of returns < 12) Periods from 9/10 to 12/11 AlphaN/A BetaN/A R-SquaredN/A 18.0 R 16.0 14.0 12.0 1 10.0 8.0 6.0 4.0 2.0 T 0.0 -2.0 -2.00.02.04.06.08.010.012.014.016.018.020.022.024.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio R Riverbridge Partners 16.74 17.66 0.94 1 R2000G 10.81 23.08 0.46 T 91-Day Treasury Bill 0.11 0.03 0.00 104 City of Clearwater Small Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 20% 15% 1 R 10% 5% R 0% 1 -5%R R -10% 1 1 -15% -20% LastLast 2Last 3Last 4 QtrQtrsQtrsQtrs High17.86-3.95-2.307.94 1st Qt15.33-7.31-6.902.26 Median13.82-9.51-9.90-1.11 3rd Qt12.42-11.65-11.98-3.87 Low9.98-16.66-17.47-8.91 R Riverbridge Partners Return13.13-4.85-4.524.27 Rank65141114 1 R2000G Return14.99-10.60-11.13-2.92 Rank32636462 105 City of Clearwater Small Growth Consecutive Performance Comparisons Total Returns of Equity Portfolios Years Ending December 10% 8% 6% R 4% 2% 0% -2% 1 -4% -6% -8% -10% 2011 High7.94 1st Qt2.26 Median-1.11 3rd Qt-3.87 Low-8.91 R Riverbridge Partners Return4.27 Rank14 1 R2000G Return-2.92 Rank62 106 City of Clearwater Equity Summary Statistics Riverbridge Partners Period Ending 12/11 PortfolioR2000G Total Number Of Securities521,162 Equity Market Value19,960,289 Average Capitalization $(000)1,666,5941,391,346 Median Capitalization $(000)974,908533,139 Equity Segment Yield0.410.72 Equity Segment P/E - Average29.0730.34 Equity Segment P/E - Median29.0514.60 Equity Segment Beta1.051.43 Price/Book Ratio3.523.08 Debt/Equity Ratio12.4649.50 Five Year Earnings Growth6.018.44 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Ultimate Software Gr903,2144.5339.38 Rollins Inc878,0684.4019.13 Cepheid Inc708,6403.55-11.38 National Instrs Corp693,8253.4813.93 Lkq Corp662,9633.3224.50 Semtech Corp606,6013.0417.63 Mednax Inc597,3232.9914.96 Chemed Corp New574,3202.88-6.56 United Nat Foods Inc552,9382.778.02 Gentex Corp551,7062.7623.61 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Dealertrack Hldgs In73.96Echelon Corp-30.53 Stratasys Inc64.02Quality Sys Inc-23.35 Sps Comm Inc59.30Athenahealth Inc-17.51 Ebix Com Inc50.70Neogen Corp-11.75 Faro Technologies In45.80Bio-Reference Labs I-11.62 Ultimate Software Gr39.38Cepheid Inc-11.38 Cabot Microelectroni37.39Chemed Corp New-6.56 Concur Technologies 36.46Sciquest Inc New-4.48 Constant Contact Inc34.24Pegasystems Inc-3.85 Cass Information Sys29.54Grand Canyon Ed Inc -1.18 107 City of Clearwater Equity Contribution to Return Riverbridge Partners Period Ending 12/11 PortfolioRussell 2000 Growth Total Number Of Securities521,162 Equity Market Value19,960,289 Average Capitalization $(000)1,666,5941,391,346 Median Capitalization $(000)974,908533,139 Equity Segment Yield0.410.72 Equity Segment P/E - Average29.0730.34 Equity Segment P/E - Median29.0514.60 Equity Segment Beta1.051.43 Price/Book Ratio3.523.08 Debt/Equity Ratio12.4649.50 Five Year Earnings Growth6.018.44 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Ultimate Software Gr903,2144.5339.38 Dealertrack Hldgs In386,9561.9473.96 Sps Comm Inc333,3801.6759.30 Ebix Com Inc375,8551.8850.70 Rollins Inc878,0684.4019.13 Cabot Microelectroni445,6152.2337.39 Lkq Corp662,9633.3224.50 Faro Technologies In339,9401.7045.80 Stratasys Inc237,5021.1964.02 Concur Technologies 373,3571.8736.46 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Cepheid Inc708,6403.55-11.38 Quality Sys Inc266,6981.34-23.35 Athenahealth Inc344,8721.73-17.51 Neogen Corp389,0051.95-11.75 Echelon Corp135,8050.68-30.53 Chemed Corp New574,3202.88-6.56 Bio-Reference Labs I308,5771.55-11.62 Pegasystems Inc259,0431.30-3.85 Sciquest Inc New189,1060.95-4.48 Grand Canyon Ed Inc 331,4731.66-1.18 108 City of Clearwater Equity Sector Attribution Analysis Riverbridge Partners Quarter Ending 12/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy0.007.7228.150.00-1.02-1.02 Materials0.004.0415.220.00-0.01-0.01 Industrials14.8915.8016.8720.63-0.56-0.05-0.61 Consumer Discretionary10.2314.7318.5311.850.680.140.82 Consumer Staples4.694.556.696.88-0.01-0.01-0.02 Health Care30.5020.52-2.2511.37-4.16-0.36-4.52 Financials3.808.0023.3012.240.420.120.54 Information Technology35.9023.3223.5914.823.15-0.023.13 Telecom. Services0.001.237.690.000.090.09 Utilities0.000.0911.870.000.000.00 100.00100.0013.3914.98-0.47-1.12-1.59 Index - R2000G Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect 0.04% [ Actual Return 13.43% ] - [ Buy Hold Return 13.39% ] 109 City of Clearwater Equity Sector Attribution Chart Riverbridge Partners Quarter Ending 12/11 % Allocation% Return% Variance 0.00 Energy -1.02 7.7228.15 0.00 Materials -0.01 4.0415.22 14.8916.87 Industrials -0.61 15.8020.63 10.2318.53 0.82 Con. Discretionary 14.7311.85 4.696.69 -0.02 Consumer Staples 4.556.88 30.50-2.25 -4.52 Health Care 20.5211.37 3.8023.30 0.54 Financials 8.0012.24 3.13 35.9023.59 Infomation Tech. 23.3214.82 0.09 0.00 Telecom. Services 1.237.69 0.00 0.00 Utilities 0.0911.87 Riverbridge PartnersR2000G 110 City of Clearwater Atlanta Capital Mgmt as of 12/31/11 Portfolio Performance (%) 22.0 20.0 18.0 16.0 14.0 12.0 10.0 8.0 6.0 4.0 2.0 0.0 -2.0 -4.0 -6.0 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 Mgmt16.4210.2010.2020.768.6610.98 R2000V15.97-5.50-5.5012.36-1.876.22 Asset Growth ($000) Beginning Market Value10,89911,51411,51414,68932,04914,990 Net Contributions & Withdrawals0-1-1-10,001-10,001-10,001 Gain/Loss + Income1,7891,1751,1758,000-9,3607,699 Ending Market Value12,68812,68812,68812,68812,68812,688 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Kirby Expl Co.Industrials3.56Energy2.76 Morningstar IncConsumer Discretionary3.44Materials3.64 Lkq CorpConsumer Discretionary3.01Industrials27.36 Henry Jack & Assoc IInformation Technology2.96Consumer Discretionary20.96 Blackbaud IncInformation Technology2.81Consumer Staples3.62 Sally Beauty Hldgs IConsumer Discretionary2.79Health Care8.57 Bio Rad Labs IncHealth Care2.77Financials13.75 Dril-Quip IncEnergy2.76Information Technology19.34 Aptargroup IncMaterials2.38Telecom Services0.00 Fair Isaac CorpInformation Technology2.31Utilities0.00 111 City of Clearwater Atlanta Capital Mgmt as of 12/31/11 Asset Allocation ($000) Cash & Equiv $576 4.54% Domestic Equity $12,112 95.46% Risk/Return Analysis Periods from 8/03 to 12/11 Alpha1.38 Beta0.72 R-Squared0.92 12.0 t 11.0 10.0 9.0 8.0 7.0 1 6.0 5.0 4.0 3.0 T 2.0 1.0 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 10.98 17.77 0.50 0.44 1 R2000V 6.22 20.92 0.20 T 91-Day Treasury Bill 2.03 0.57 0.00 112 City of Clearwater Small Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 25% t 20% t t 1 15% 1 t 10% t t t t t 1 5% 1 1 1 0% 1 1 -5% 1 -10% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8 QtrYearYearsYearsYearsYearsYearsYearsYears High19.251.9514.5621.206.164.937.788.5910.66 1st Qt17.88-0.6313.0519.044.773.215.686.268.49 Median16.19-4.0311.1317.382.852.214.825.407.48 3rd Qt15.13-6.219.2115.770.940.033.674.126.25 Low13.81-8.967.6613.120.42-1.821.752.624.92 t Atlanta Capital Mgmt Net Ret16.4210.2017.8320.769.118.669.899.3610.66 Rank4211811116 1 R2000V Net Ret15.97-5.508.4712.360.21-1.871.962.344.64 Rank5568859996978910099 113 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 t 1 0% 1 -10% 1 -20% t -30% 1 -40% -50% 20112010200920082007200620052004 High1.9533.5855.19-23.175.0125.0813.6327.20 1st Qt-0.6330.9036.04-28.210.7921.5310.3125.39 Median-4.0327.6232.28-30.75-2.5919.908.2221.40 3rd Qt-6.2124.8225.37-33.26-7.8216.575.8518.37 Low-8.9621.4020.58-38.96-11.3013.062.1612.52 t Atlanta Capital Mgmt Net Ret10.2025.9826.83-19.526.9116.226.2320.24 Rank1656213787059 1 R2000V Net Ret-5.5024.5120.57-28.92-9.7723.484.7022.25 Rank687996278388343 114 City of Clearwater December 31, 2011 115 City of Clearwater Risk Measure Summary Atlanta Capital Mgmt Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods1234791011 Positive Periods329813112322 Up Market Capture1.160.940.960.88 Down Market Capture0.580.640.580.59 Batting Average1.000.750.800.64 Worst Quarter-15.76-21.47-15.76-21.47-16.60-24.89-16.60-24.89 Best Quarter16.4215.9718.0022.7018.0022.7018.0022.70 Worst 4 Quarters10.20-5.508.57-6.00-24.55-38.89-24.55-38.89 Best 4 Quarters10.20-5.5052.5365.0552.5365.0552.5365.05 Standard Deviation22.6429.2820.4426.5316.8122.38 Beta0.760.750.72 Alpha2.392.211.38 R-Squared0.960.950.92 Sharpe Ratio0.910.420.35-0.130.570.20 Treynor Ratio27.069.5713.14 Tracking Error8.408.147.81 Information Ratio0.661.080.44 116 City of Clearwater Return vs Risk Total Returns of Small Value Portfolios 3 Years Ending 12/31/11 25.9 24.1 22.3 t 20.5 18.8 Median 17.0 Return 15.2 13.4 1 11.6 9.8 8.0 18.020.222.424.626.829.031.233.435.637.840.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank t Atlanta Capital Mgmt20.76822.644 1 R2000V12.369929.2857 Median17.3828.84 5 Years Ending 12/31/11 12.0 10.2 t 8.4 6.6 4.8 3.0 Median Return 1.2 -0.5 1 -2.3 -4.2 -6.0 16.018.220.422.624.827.029.231.433.635.838.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank t Atlanta Capital Mgmt8.66120.441 1 R2000V-1.879726.5351 Median2.2126.77 117 City of Clearwater Equity Summary Statistics Atlanta Capital Mgmt Period Ending 12/11 PortfolioR2000V Total Number Of Securities621,354 Equity Market Value12,111,637 Average Capitalization $(000)1,966,5531,082,047 Median Capitalization $(000)1,551,275406,698 Equity Segment Yield1.002.19 Equity Segment P/E - Average20.3622.74 Equity Segment P/E - Median20.2612.98 Equity Segment Beta1.081.46 Price/Book Ratio2.921.16 Debt/Equity Ratio18.4654.75 Five Year Earnings Growth4.74-0.29 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Kirby Expl Co.430,5943.5625.08 Morningstar Inc416,7453.445.42 Lkq Corp363,9683.0124.50 Henry Jack & Assoc I358,2832.9616.34 Blackbaud Inc340,4332.8124.95 Sally Beauty Hldgs I337,2352.7927.29 Bio Rad Labs Inc335,1802.775.81 Dril-Quip Inc334,3662.7622.09 Aptargroup Inc287,9782.3817.32 Fair Isaac Corp279,5522.3164.27 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Fair Isaac Corp64.27Owens & Minor Inc Ne-1.72 Acuity Brands Inc47.48Columbia Sportswear 0.75 Wright Express Corp 42.69Techne Corp0.77 Umpqua Hldgs Corp41.76Hittite Microwave Co1.40 Carlisle Corp39.54HCC Ins Hldgs Inc2.24 Simpson Manufacturin35.65II VI Inc4.91 Moog Inc 'a'34.67Landauer Inc5.06 Hibbett Sports Inc33.31Morningstar Inc5.42 Aaon Inc30.88Iberiabank Corp5.47 Raven Inds Inc28.81Aaron Rents Inc5.73 118 City of Clearwater Equity Contribution to Return Atlanta Capital Mgmt Period Ending 12/11 PortfolioR2000V Total Number Of Securities621,354 Equity Market Value12,111,637 Average Capitalization $(000)1,966,5531,082,047 Median Capitalization $(000)1,551,275406,698 Equity Segment Yield1.002.19 Equity Segment P/E - Average20.3622.74 Equity Segment P/E - Median20.2612.98 Equity Segment Beta1.081.46 Price/Book Ratio2.921.16 Debt/Equity Ratio18.4654.75 Five Year Earnings Growth4.74-0.29 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Fair Isaac Corp279,5522.3164.27 Acuity Brands Inc234,2601.9447.48 Kirby Expl Co.430,5943.5625.08 Moog Inc 'a'275,4412.2834.67 Sally Beauty Hldgs I337,2352.7927.29 Lkq Corp363,9683.0124.50 Umpqua Hldgs Corp208,6481.7241.76 Blackbaud Inc340,4332.8124.95 Dril-Quip Inc334,3662.7622.09 Carlisle Corp177,2001.4639.54 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Owens & Minor Inc Ne152,8451.26-1.72 Columbia Sportswear 146,7721.210.75 Techne Corp170,6501.410.77 Hittite Microwave Co119,5000.991.40 HCC Ins Hldgs Inc159,2251.322.24 Landauer Inc102,4850.855.06 Young Innovations In81,4830.677.70 Iberiabank Corp114,8690.955.47 II VI Inc155,1421.284.91 Aaron Rents Inc154,6111.285.73 119 City of Clearwater Equity Sector Attribution Analysis Atlanta Capital Mgmt Quarter Ending 12/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy2.634.7622.0913.930.210.040.26 Materials3.714.9814.3616.64-0.08-0.01-0.09 Industrials25.7014.3524.0120.280.960.491.45 Consumer Discretionary21.1811.4116.3018.01-0.360.20-0.16 Consumer Staples6.203.11-15.8612.83-1.78-0.10-1.87 Health Care9.965.387.8814.22-0.63-0.08-0.71 Financials12.7136.2418.9916.230.35-0.060.29 Information Technology17.9311.1222.9414.151.58-0.121.45 Telecom. Services0.000.729.220.000.050.05 Utilities0.007.9310.360.000.440.44 100.00100.0017.0615.960.240.851.10 Index - R2000V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect 0.20% [ Actual Return 17.26% ] - [ Buy Hold Return 17.06% ] 120 City of Clearwater Equity Sector Attribution Chart Atlanta Capital Mgmt Quarter Ending 12/11 % Allocation% Return% Variance 2.6322.09 Energy 0.26 4.7613.93 3.7114.36 Materials -0.09 4.9816.64 25.7024.01 Industrials 1.45 14.3520.28 21.1816.30 -0.16 Con. Discretionary 11.4118.01 6.20-15.86 -1.87 Consumer Staples 3.1112.83 9.967.88 -0.71 Health Care 5.3814.22 12.7118.99 0.29 Financials 36.2416.23 1.45 17.9322.94 Infomation Tech. 11.1214.15 0.05 0.00 Telecom. Services 0.729.22 0.44 0.00 Utilities 7.9310.36 Atlanta Capital MgmtR2000V 121 City of Clearwater Systematic Financial Mgt as of 12/31/11 Portfolio Performance (%) 25.0 20.0 15.0 10.0 5.0 0.0 -5.0 -10.0 -15.0 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 Mgt20.97-9.91-9.9118.33-0.265.70 R2000V15.97-5.50-5.5012.36-1.876.22 Asset Growth ($000) Beginning Market Value8,50111,41611,41610,36232,36015,001 Net Contributions & Withdrawals0-1-1-6,001-6,001-6,001 Gain/Loss + Income1,783-1,131-1,1315,922-16,0761,283 Ending Market Value10,28410,28410,28410,28410,28410,284 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Cbl & Assoc Pptys InFinancials3.63Energy9.72 Dupont Fabros TechnoFinancials3.58Materials7.18 Pier I Imports IncConsumer Discretionary3.32Industrials15.21 Cno Finl Group IncFinancials2.35Consumer Discretionary15.38 Hain Celestial GroupConsumer Staples2.15Consumer Staples3.38 Polyone CorpMaterials2.06Health Care5.00 Webster Finl Corp CoFinancials1.93Financials29.57 Waddell & Reed Finl Financials1.90Information Technology12.24 Dana Holding CorpConsumer Discretionary1.81Telecom Services0.00 Triumph Group Inc NeIndustrials1.64Utilities2.32 122 City of Clearwater Systematic Financial Mgt as of 12/31/11 Asset Allocation ($000) Cash & Equiv $111 1.08% Domestic Equity $10,172 98.92% Risk/Return Analysis Periods from 8/03 to 12/11 Alpha0.04 Beta1.04 R-Squared0.86 6.5 1 6.0 s 5.5 5.0 4.5 4.0 3.5 3.0 2.5 T 2.0 1.5 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 5.70 22.75 0.16 -0.01 1 R2000V 6.22 20.92 0.20 T 91-Day Treasury Bill 2.03 0.57 0.00 123 City of Clearwater Small Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 12/11 25% s 20% s 1 15% 1 s 10% 1 5% 1 s s s 1 1 0% 1 s s 1 -5% 1 -10% s -15% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8 QtrYearYearsYearsYearsYearsYearsYearsYears High19.251.9514.5621.206.164.937.788.5910.66 1st Qt17.88-0.6313.0519.044.773.215.686.268.49 Median16.19-4.0311.1317.382.852.214.825.407.48 3rd Qt15.13-6.219.2115.770.940.033.674.126.25 Low13.81-8.967.6613.120.42-1.821.752.624.92 s Systematic Financial Mgt Net Ret20.97-9.9110.4918.33-0.44-0.262.663.454.41 Rank1965730100788785100 1 R2000V Net Ret15.97-5.508.4712.360.21-1.871.962.344.64 Rank5568859996978910099 124 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 1 -10% 1 s -20% -30% 1 -40% s -50% 20112010200920082007200620052004 High1.9533.5855.19-23.175.0125.0813.6327.20 1st Qt-0.6330.9036.04-28.210.7921.5310.3125.39 Median-4.0327.6232.28-30.75-2.5919.908.2221.40 3rd Qt-6.2124.8225.37-33.26-7.8216.575.8518.37 Low-8.9621.4020.58-38.96-11.3013.062.1612.52 s Systematic Financial Mgt Net Ret-9.9135.5035.72-40.710.4918.618.2711.42 Rank9613197306247100 1 R2000V Net Ret-5.5024.5120.57-28.92-9.7723.484.7022.25 Rank687996278388343 125 City of Clearwater December 31, 2011 126 City of Clearwater Risk Measure Summary Systematic Financial Mgt Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods2244991311 Positive Periods228811112022 Up Market Capture1.281.241.070.97 Down Market Capture1.311.020.990.99 Batting Average0.500.750.650.55 Worst Quarter-27.29-21.47-27.29-21.47-27.29-24.89-27.29-24.89 Best Quarter20.9715.9725.3722.7025.3722.7025.3722.70 Worst 4 Quarters-9.91-5.50-11.58-6.00-40.88-38.89-40.88-38.89 Best 4 Quarters-9.91-5.5074.7365.0574.7365.0574.7365.05 Standard Deviation32.4329.2830.3526.5325.1322.38 Beta1.091.061.04 Alpha1.230.670.04 R-Squared0.960.860.86 Sharpe Ratio0.560.42-0.06-0.130.170.20 Treynor Ratio16.74-1.644.00 Tracking Error6.9811.679.58 Information Ratio0.890.17-0.01 127 City of Clearwater Return vs Risk Total Returns of Small Value Portfolios 3 Years Ending 12/31/11 25.9 24.1 22.3 20.5 18.8 s Median 17.0 Return 15.2 13.4 1 11.6 9.8 8.0 18.020.222.424.626.829.031.233.435.637.840.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank s Systematic Financial Mgt18.333032.4384 1 R2000V12.369929.2857 Median17.3828.84 5 Years Ending 12/31/11 7.0 6.1 5.2 4.3 3.4 2.5 Median Return 1.5 0.6 -0.2 s -1.1 1 -2.0 16.018.220.422.624.827.029.231.433.635.838.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank s Systematic Financial Mgt-0.267830.3578 1 R2000V-1.879726.5351 Median2.2126.77 128 City of Clearwater Equity Summary Statistics Systematic Financial Mgt Period Ending 12/11 PortfolioR2000V Total Number Of Securities1041,354 Equity Market Value10,172,449 Average Capitalization $(000)1,524,3931,082,047 Median Capitalization $(000)1,283,558406,698 Equity Segment Yield1.162.19 Equity Segment P/E - Average15.6222.74 Equity Segment P/E - Median14.2012.98 Equity Segment Beta1.691.46 Price/Book Ratio1.521.16 Debt/Equity Ratio51.0754.75 Five Year Earnings Growth-2.37-0.29 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Cbl & Assoc Pptys In368,9503.6340.07 Dupont Fabros Techno363,3003.5824.37 Pier I Imports Inc336,8273.3242.43 Cno Finl Group Inc239,1492.3516.64 Hain Celestial Group218,1272.1520.00 Polyone Corp209,0552.068.22 Webster Finl Corp Co195,7441.9333.61 Waddell & Reed Finl 193,2061.900.03 Dana Holding Corp183,4651.8115.71 Triumph Group Inc Ne166,5831.6420.01 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret FSI Int Inc93.65Silicon Image Inc-19.93 Kodiak Oil & Gas Cor82.34Veeco Instrs Inc Del-14.75 United Rentals Inc75.48U S Airways Group In-7.82 Ethan Allen Interior75.07Finish Line Inc-3.28 Wabash Natl Corp64.36Express Inc-1.73 Fair Isaac Corp64.27Mastec Inc-1.36 Newpark Res Inc55.99Waddell & Reed Finl 0.03 Bbcn Bancorp Inc55.68Home Pptys N Y Inc2.56 Arctic Cat Inc55.62Orbotech Ltd3.10 Hercules Offshore In52.05Dillards Inc3.33 129 City of Clearwater Equity Contribution to Return Systematic Financial Mgt Period Ending 12/11 PortfolioR2000V Total Number Of Securities1041,354 Equity Market Value10,172,449 Average Capitalization $(000)1,524,3931,082,047 Median Capitalization $(000)1,283,558406,698 Equity Segment Yield1.162.19 Equity Segment P/E - Average15.6222.74 Equity Segment P/E - Median14.2012.98 Equity Segment Beta1.691.46 Price/Book Ratio1.521.16 Debt/Equity Ratio51.0754.75 Five Year Earnings Growth-2.37-0.29 Ten Best Contributors Market Value% of PortfolioQuarterly Ret Cbl & Assoc Pptys In368,9503.6340.07 Pier I Imports Inc336,8273.3242.43 Kodiak Oil & Gas Cor114,9501.1382.34 Dupont Fabros Techno363,3003.5824.37 Hercules Offshore In146,5201.4452.05 Wabash Natl Corp114,4641.1364.36 Ryder Sys Inc159,4201.5742.47 Webster Finl Corp Co195,7441.9333.61 Universal Stainless 138,2321.3646.97 United Rentals Inc82,7400.8175.48 Ten Worst Contributors Market Value% of PortfolioQuarterly Ret Silicon Image Inc61,1000.60-19.93 U S Airways Group In119,1451.17-7.82 Veeco Instrs Inc Del37,4400.37-14.75 Finish Line Inc138,8521.37-3.28 Express Inc69,7900.69-1.73 Mastec Inc85,1130.84-1.36 Waddell & Reed Finl 193,2061.900.03 Orbotech Ltd54,8900.543.10 Home Pptys N Y Inc69,0840.682.56 Dillards Inc65,0760.643.33 130 City of Clearwater Equity Sector Attribution Analysis Systematic Financial Mgt Quarter Ending 12/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy8.134.7626.8213.931.05-0.070.98 Materials5.274.9821.5416.640.260.000.26 Industrials15.8314.3523.2320.280.470.060.53 Consumer Discretionary14.8611.4116.4018.01-0.240.07-0.17 Consumer Staples4.733.1124.1012.830.53-0.050.48 Health Care6.345.3814.9714.220.05-0.020.03 Financials29.4336.2423.1616.232.04-0.022.02 Information Technology13.1011.1215.7214.150.21-0.040.17 Telecom. Services0.340.72-5.779.22-0.050.03-0.03 Utilities1.977.9314.3010.360.080.330.41 100.00100.0020.6615.964.380.314.69 Index - R2000V Stock Selection Return Attribution [ Portfolio Market Value Sector Percentage ] * [ Portfol Sector Selection Return Attribution [ Portfolio Sector Percentage - Index Sector Percentage ] Trading Effect 0.78% [ Actual Return 21.44% ] - [ Buy Hold Return 20.66% ] 131 City of Clearwater Equity Sector Attribution Chart Systematic Financial Mgt Quarter Ending 12/11 % Allocation% Return% Variance 8.1326.82 Energy 0.98 4.7613.93 5.2721.54 Materials 0.26 4.9816.64 15.8323.23 Industrials 0.53 14.3520.28 14.8616.40 -0.17 Con. Discretionary 11.4118.01 4.7324.10 0.48 Consumer Staples 3.1112.83 6.3414.97 0.03 Health Care 5.3814.22 29.4323.16 2.02 Financials 36.2416.23 0.17 13.1015.72 Infomation Tech. 11.1214.15 -0.03 0.34-5.77 Telecom. Services 0.729.22 0.41 1.9714.30 Utilities 7.9310.36 Systematic Financial MgtR2000V 132 City of Clearwater International EQ Comp as of 12/31/11 Portfolio Performance (%) 20.0 15.0 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 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 Comp6.36-15.04-15.0416.67-1.705.924.58 MSCI EAFE3.38-11.73-11.738.16-4.265.123.61 Asset Growth ($000) Beginning Market Value96,529120,850120,85051,82367,12636,40120,000 Net Contributions & Withdrawals-9,512-9,518-9,518-9,682-9,682-9,682-9,682 Gain/Loss + Income5,532-18,782-18,78250,40835,10565,83082,231 Ending Market Value92,54992,54992,54992,54992,54992,54992,549 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Bhp Billiton LtdMaterials4.04Energy23.41 Core Laboratories N Energy3.86Materials19.03 Rio Tinto PlcMaterials2.68Industrials12.34 Arm Hldgs PlcInformation Technology2.56Consumer Discretionary3.23 Potash Corp Sask IncMaterials2.38Consumer Staples8.85 Novartis A GHealth Care2.26Health Care8.61 ShireHealth Care2.21Financials17.11 Agrium IncMaterials2.20Information Technology5.16 Schlumberger LtdEnergy2.19Telecom Services2.26 Nestle S AConsumer Staples2.14Utilities0.00 Holdings and allocations only include SMA accounts. 133 City of Clearwater International EQ Comp as of 12/31/11 Asset Allocation ($000) Cash & Equiv $4,914 5.31% Intl Equity $87,635 94.69% Risk/Return Analysis Periods from 5/01 to 12/11 Alpha0.26 Beta1.03 R-Squared0.95 4.8 4.6 I 4.4 4.2 4.0 3.8 1 3.6 3.4 3.2 3.0 2.8 2.6 2.4 2.2 T 2.0 0.02.04.06.08.010.012.014.016.018.020.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio I International EQ Comp 4.58 19.35 0.13 0.21 1 MSCI EAFE 3.61 18.64 0.08 T 91-Day Treasury Bill 2.04 0.52 0.00 Holdings and allocations only include SMA accounts. 134 City of Clearwater Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 12/11 25% 20% I 15% 10% I 1 1 I I I 5% 1 1 I 1 I 1 0% 1 I I 1 1 -5% I 1 -10% 1 -15% I -20% -25% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High9.09-3.136.4821.051.644.558.0810.7512.9617.0814.64 1st Qt5.31-10.561.3113.80-4.74-0.353.976.147.7911.339.16 Median4.19-13.30-1.5210.46-6.29-2.351.963.916.319.086.60 3rd Qt2.79-15.59-2.728.08-7.94-4.200.362.154.387.765.25 Low-0.74-21.74-5.544.04-10.76-6.46-1.370.852.636.323.98 I International EQ Comp Net Ret6.36-15.040.2816.67-4.64-1.702.674.115.718.275.92 Rank1570311524433449536663 1 MSCI EAFE Net Ret3.38-11.73-2.278.16-7.87-4.260.332.184.337.725.12 Rank6635657373767574757579 135 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% 1 I I 1 -20% -30% -40% 1 I -50% -60% 2011201020092008200720062005200420032002 High-3.1325.2276.36-24.1539.1835.4136.7131.9058.534.02 1st Qt-10.5617.1142.27-40.2118.1329.3920.8423.5843.10-9.37 Median-13.3011.9835.69-43.3311.8826.0915.2519.9837.76-14.30 3rd Qt-15.598.4826.24-47.447.7622.2911.5817.1532.58-17.04 Low-21.742.379.83-57.070.7411.416.4510.2424.09-22.59 I International EQ Comp Net Ret-15.0418.3757.93-47.9411.0227.6213.1517.6631.06-13.03 Rank70201177583764728140 1 MSCI EAFE Net Ret-11.738.2132.46-43.0611.6326.8514.0120.6939.16-15.66 Rank35765946524157404062 136 City of Clearwater Risk Measure Summary International EQ Comp Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods2143881515 Positive Periods238912122727 Up Market Capture0.951.221.181.05 Down Market Capture1.140.851.001.00 Batting Average0.250.670.600.50 Worst Quarter-21.66-18.95-21.66-18.95-26.42-20.50-26.42-20.50 Best Quarter6.363.4531.0525.8531.0525.8531.0525.85 Worst 4 Quarters-15.04-11.73-15.04-11.73-47.94-46.20-47.94-46.20 Best 4 Quarters-15.04-11.7371.8155.2071.8155.2071.8158.14 Standard Deviation28.2727.2628.6025.5623.5422.26 Beta1.011.091.03 Alpha1.990.940.26 R-Squared0.940.950.95 Sharpe Ratio0.590.29-0.11-0.220.120.09 Treynor Ratio16.41-2.882.81 Tracking Error6.626.805.11 Information Ratio1.220.490.21 137 City of Clearwater Return vs Risk Total Returns of International Equity Portfolios 3 Years Ending 12/31/11 20.0 18.0 I 16.0 14.0 12.0 Median 10.0 Return 1 8.0 6.0 4.0 2.0 0.0 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 Comp16.671528.2958 1 MSCI EAFE8.167327.2648 Median10.4627.48 5 Years Ending 12/31/11 6.0 4.0 2.0 0.0 I -2.0 Median Return -4.0 1 -6.0 -8.0 -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-1.704328.6078 1 MSCI EAFE-4.267625.5641 Median-2.3526.15 138 City of Clearwater Earnest Partners as of 12/31/11 Portfolio Performance (%) 20.0 15.0 10.0 5.0 0.0 -5.0 -10.0 -15.0 QtrYTD1 Year3 Year5 Year10 YearIncept 4/30/08 Earnest PartnersMSCI EAFE Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 4/30/08 Earnest Partners7.59-6.88-6.8819.09-1.26 MSCI EAFE3.38-11.73-11.738.16-7.59 Asset Growth ($000) Beginning Market Value25,71129,71129,71116,39229,002 Net Contributions & Withdrawals5,4935,4885,4885,4845,484 Gain/Loss + Income2,305-1,691-1,69111,633-978 Ending Market Value33,50833,50833,50833,50833,508 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Arm Hldgs PlcInformation Technology4.64Energy16.08 Core Laboratories N Energy4.13Materials11.18 ShireHealth Care4.01Industrials9.84 Schoeller Bleckmann Energy3.87Consumer Discretionary5.86 United Industrial CoFinancials3.75Consumer Staples2.57 Weichai Power CoIndustrials2.91Health Care13.21 Rio Tinto PlcMaterials2.63Financials27.82 Bhp Billiton LtdMaterials2.63Information Technology9.36 DiageoConsumer Staples2.57Telecom Services4.10 Is MSCI EafeIndustrials2.55Utilities0.00 139 City of Clearwater Earnest Partners as of 12/31/11 Asset Allocation ($000) Cash & Equiv $2,828 8.44% Intl Equity $30,680 91.56% Risk/Return Analysis Periods from 4/08 to 12/11 Alpha2.01 Beta1.09 R-Squared0.98 1.0 T 0.0 -1.0 e -2.0 -3.0 -4.0 -5.0 -6.0 -7.0 1 -8.0 -5.00.05.010.015.020.025.030.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio e Earnest Partners -1.26 27.06 -0.06 1.40 1 MSCI EAFE -7.59 25.37 -0.32 T 91-Day Treasury Bill 0.40 0.21 0.00 140 City of Clearwater Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 12/11 25% 20% e 15% 10% 1 e 5% e 1 0% 1 -5% e -10% 1 -15% -20% -25% LastLastLast 2Last 3 QtrYearYearsYears High9.09-3.136.4821.05 1st Qt5.31-10.561.3113.80 Median4.19-13.30-1.5210.46 3rd Qt2.79-15.59-2.728.08 Low-0.74-21.74-5.544.04 e Earnest Partners Net Ret7.59-6.884.2019.09 Rank613910 1 MSCI EAFE Net Ret3.38-11.73-2.278.16 Rank66356573 141 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% e -10% 1 -20% -30% 201120102009 High-3.1325.2276.36 1st Qt-10.5617.1142.27 Median-13.3011.9835.69 3rd Qt-15.598.4826.24 Low-21.742.379.83 e Earnest Partners Net Ret-6.8816.6155.54 Rank132712 1 MSCI EAFE Net Ret-11.738.2132.46 Rank357659 142 City of Clearwater Return vs Risk Total Returns of International Equity Portfolios 3 Years Ending 12/31/11 20.0 e 18.0 16.0 14.0 12.0 Median 10.0 Return 1 8.0 6.0 4.0 2.0 0.0 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 Earnest Partners19.091028.9668 1 MSCI EAFE8.167327.2648 Median10.4627.48 143 City of Clearwater Global Equity Summary Statistics Earnest Partners Period Ending 12/11 PortfolioMSCI EAFE Total Number Of Securities52924 Equity Market Value30,680,300 Average Capitalization $(000)28,453,69247,148,032 Median Capitalization $(000)14,624,1746,284,282 Equity Segment Yield2.533.78 Equity Segment P/E - Average12.9512.01 Equity Segment P/E - Median12.3513.23 Equity Segment Beta1.031.00 Price/Book Ratio1.541.28 Debt/Equity Ratio79.6687.03 Five Year Earnings Growth5.65-1.63 Five Year Dividend Growth1.733.18 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Arm Hldgs Plc1,422,2384.648.51 Core Laboratories N 1,264,8454.1327.16 Shire1,230,5044.0111.33 Schoeller Bleckmann 1,186,7013.8727.52 United Industrial Co1,149,7733.753.14 Weichai Power Co892,8062.916.80 Rio Tinto Plc807,1802.6310.98 Bhp Billiton Ltd805,1822.636.31 Diageo787,0562.5713.89 Is MSCI Eafe782,5742.554.87 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret China Shipping Conta46.62Erste Group Bank Ag -32.11 Orient Overseas Int 43.39Icici Bk Ltd-23.88 China Merchants Bank31.36Ceragon Networks Ltd-19.37 Grupo Elektra(New)29.79Transocean Ltd Zug-18.19 Schoeller Bleckmann 27.52Societe Generale-16.77 Core Laboratories N 27.16Denso Corp-15.18 China Oilfield Servi21.91Nippon Steel Corp-14.13 Industrial & Commerc20.96Credit Suisse Group -10.52 Itau Unibanco Banco 20.64Koninklijke Kpn Nv-9.66 Royal Dutch Shell19.00Komercni Banka-9.13 144 City of Clearwater Global Performance Attribution Analysis Earnest Partners Quarter Ending 12/11 BenchmarkPortfolioReturn Attribution Countries/ActiveCurrencyLocalUS $ActiveCurrencyLocalUS $MarketCurrencySecurity CurrenciesWeightWeightReturnReturnWeightWeightReturnReturnSelectSelectSelectTotal Australia8.438.432.257.862.560.006.316.310.11-0.540.10-0.32 Austria0.260.26-1.93-5.115.345.209.826.26-0.31-0.120.630.20 Belgium0.960.965.582.150.000.00-0.010.030.01 Bermuda0.000.000.000.00 Brazil0.000.004.850.0016.5716.57-0.200.800.60 Canada0.000.002.040.0013.6713.67-0.090.280.19 Cayman Islands0.000.000.000.00 Channel Islands0.060.06-2.71-2.940.000.000.00-0.000.00 China0.000.0010.390.0015.2315.50-0.431.581.15 Colombia0.000.002.790.007.577.57-0.120.210.09 Cyprus0.000.000.000.00 Czech Republic0.000.000.730.71-3.09-9.13-0.030.01-0.02-0.05 Denmark1.001.0011.748.250.000.00-0.080.03-0.05 Finland0.890.891.08-2.200.000.000.030.020.05 France9.079.076.222.772.192.14-4.23-7.34-0.140.18-0.23-0.19 Germany7.747.747.564.070.000.00-0.260.21-0.05 Greece0.150.15-23.50-25.990.000.000.040.000.04 Hong Kong2.702.705.766.001.5911.6843.0643.39-0.020.090.590.67 India0.000.001.800.00-23.88-23.88-0.08-0.43-0.51 Ireland0.250.2525.8521.771.760.006.416.410.330.01-0.34-0.01 Isle of Man0.080.08-1.95-1.460.000.000.00-0.000.00 Israel0.650.656.784.850.940.00-19.37-19.370.010.01-0.25-0.23 Italy2.332.332.94-0.400.000.000.030.060.09 Japan23.0923.09-4.09-3.918.097.88-8.16-7.991.24-0.15-0.330.76 Kazakhstan0.000.000.000.00 Luxembourg0.000.000.000.00 Mexico0.000.002.252.1930.9729.79-0.090.020.700.62 Netherlands2.422.4210.076.565.161.8516.9313.600.160.020.350.53 New Zealand0.140.14-5.67-3.740.000.000.01-0.000.01 Norway0.890.8910.668.865.373.391.455.450.29-0.02-0.49-0.23 Benchmark : MSCI EAFE Index Gross Dividend 145 City of Clearwater Global Performance Attribution Analysis Earnest Partners Quarter Ending 12/11 BenchmarkPortfolioReturn Attribution Countries/ActiveCurrencyLocalUS $ActiveCurrencyLocalUS $MarketCurrencySecurity CurrenciesWeightWeightReturnReturnWeightWeightReturnReturnSelectSelectSelectTotal Panama0.000.001.650.008.588.58-0.070.140.07 Portugal0.250.25-6.11-9.150.000.000.030.010.03 Scotland0.080.0822.8422.550.000.00-0.02-0.00-0.02 Singapore1.721.72-1.06-0.624.023.912.633.14-0.120.030.150.06 South Korea0.000.002.190.006.946.94-0.090.150.06 Spain3.483.481.24-2.052.172.118.234.710.040.030.150.22 Sweden2.862.868.869.072.192.1415.5715.79-0.03-0.010.150.11 Switzerland8.558.557.244.177.592.59-3.13-3.85-0.030.14-0.79-0.68 Taiwan0.000.002.180.002.842.84-0.090.06-0.03 United Kingdom22.1622.169.389.1217.258.6910.9110.62-0.26-0.070.26-0.07 United States0.000.002.9045.527.827.82-0.120.360.230.47 100.00100.004.183.38100.00100.007.487.08-0.360.333.673.63 Benchmark : MSCI EAFE Index Gross Dividend Market Selection [Portfolio Active Weight - Benchmark Active Weight] x [Bench Currency Selection [Portfolio Currency Weight - Benchmark Currency Weight] x [ (Benchmark US$ Return - Benchmark Local Return) - ( Security Selection [Portfolio Active Weight] x [Portfolio Local Return - Bench 146 City of Clearwater International Equity Sector Attribution Analysis Earnest Partners Quarter Ending 12/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy13.528.1818.1915.050.420.621.05 Materials10.8810.064.224.40-0.020.01-0.01 Industrials8.8212.3112.324.320.71-0.030.67 Consumer Discretionary6.1410.147.071.070.370.090.46 Consumer Staples2.3111.4113.895.700.19-0.21-0.02 Health Care13.289.748.785.760.400.080.48 Financials30.6022.021.89-0.120.61-0.300.31 Information Technology9.574.973.85-0.480.41-0.180.24 Telecom. Services4.886.263.152.120.050.020.07 Utilities0.004.91-4.460.000.390.39 100.00100.007.023.393.140.493.63 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 1.21% [ Actual Return 8.24% ] - [ Buy Hold Return 7.02% ] 147 City of Clearwater Wentworth & Violich as of 12/31/11 Portfolio Performance (%) 20.0 15.0 10.0 5.0 0.0 -5.0 -10.0 -15.0 QtrYTD1 Year3 Year5 Year10 YearIncept 4/30/08 Wentworth & ViolichMSCI EAFE Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 4/30/08 Wentworth & Violich10.22-13.64-13.6416.56-5.15 MSCI EAFE3.38-11.73-11.738.16-7.59 Asset Growth ($000) Beginning Market Value24,58031,37431,37415,08329,002 Net Contributions & Withdrawals-5-7-7-9-9 Gain/Loss + Income2,512-4,280-4,28012,013-1,906 Ending Market Value27,08727,08727,08727,08727,087 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Bhp Billiton LtdMaterials5.79Energy32.41 Potash Corp Sask IncMaterials5.31Materials28.67 Agrium IncMaterials4.90Industrials15.41 Schlumberger LtdEnergy4.88Consumer Discretionary0.00 Nestle S AConsumer Staples4.76Consumer Staples16.56 Noble Corporation BaEnergy4.55Health Care2.98 Canadian Pac RailwayIndustrials4.42Financials3.97 Canadian Natl Ry Co Industrials4.35Information Technology0.00 Weatherford InternatEnergy4.20Telecom Services0.00 Cooper Industries PlIndustrials4.19Utilities0.00 148 City of Clearwater Wentworth & Violich as of 12/31/11 Asset Allocation ($000) Cash & Equiv $2,097 7.74% Intl Equity $24,990 92.26% Risk/Return Analysis Periods from 4/08 to 12/11 Alpha0.46 Beta1.15 R-Squared0.89 1.0 T 0.0 -1.0 -2.0 -3.0 -4.0 -5.0 w -6.0 -7.0 1 -8.0 -5.00.05.010.015.020.025.030.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio w Wentworth & Violich -5.15 28.96 -0.19 0.06 1 MSCI EAFE -7.59 25.37 -0.32 T 91-Day Treasury Bill 0.40 0.21 0.00 149 City of Clearwater Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 12/11 25% 20% w 15% 10% w 1 5% 1 w 0% 1 -5% -10% 1 w -15% -20% -25% LastLastLast 2Last 3 QtrYearYearsYears High9.09-3.136.4821.05 1st Qt5.31-10.561.3113.80 Median4.19-13.30-1.5210.46 3rd Qt2.79-15.59-2.728.08 Low-0.74-21.74-5.544.04 w Wentworth & Violich Net Ret10.22-13.640.7716.56 Rank3562715 1 MSCI EAFE Net Ret3.38-11.73-2.278.16 Rank66356573 150 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 w -20% -30% 201120102009 High-3.1325.2276.36 1st Qt-10.5617.1142.27 Median-13.3011.9835.69 3rd Qt-15.598.4826.24 Low-21.742.379.83 w Wentworth & Violich Net Ret-13.6417.5855.98 Rank562312 1 MSCI EAFE Net Ret-11.738.2132.46 Rank357659 151 City of Clearwater Return vs Risk Total Returns of International Equity Portfolios 3 Years Ending 12/31/11 20.0 18.0 w 16.0 14.0 12.0 Median 10.0 Return 1 8.0 6.0 4.0 2.0 0.0 14.016.619.221.824.427.029.632.234.837.440.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank w Wentworth & Violich16.561528.9368 1 MSCI EAFE8.167327.2648 Median10.4627.48 152 City of Clearwater Global Equity Summary Statistics Wentworth & Violich Period Ending 12/11 PortfolioMSCI EAFE Total Number Of Securities36924 Equity Market Value24,990,191 Average Capitalization $(000)49,495,20047,148,032 Median Capitalization $(000)21,166,9566,284,282 Equity Segment Yield2.003.78 Equity Segment P/E - Average16.1812.01 Equity Segment P/E - Median16.1913.23 Equity Segment Beta0.001.00 Price/Book Ratio1.941.28 Debt/Equity Ratio47.2487.03 Five Year Earnings Growth11.82-1.63 Five Year Dividend Growth5.413.18 Ten Largest Holdings Market Value% of PortfolioQuarterly Ret Bhp Billiton Ltd1,444,3845.796.31 Potash Corp Sask Inc1,326,3265.31-4.35 Agrium Inc1,223,4154.901.01 Schlumberger Ltd1,219,3344.8814.77 Nestle S A1,188,8264.764.74 Noble Corporation Ba1,134,7614.553.38 Canadian Pac Railway1,103,0214.4241.35 Canadian Natl Ry Co 1,086,0924.3518.48 Weatherford Internat1,049,3224.2019.90 Cooper Industries Pl1,046,4494.1918.04 Ten Best PerformersTen Worst Performers Quarterly RetQuarterly Ret Tenaris S A47.23Transocean Ltd Zug-18.19 Nabors Industries Lt41.44Manulife Finl Corp-5.25 Canadian Pac Railway41.35Potash Corp Sask Inc-4.35 Canadian Nat Res Ltd28.01Vale S A-3.80 Core Laboratories N 27.16Axa Sa-2.21 Partnerre Hldgs Ltd 23.98Bunge Limited-1.48 Teck Resources Ltd21.97Brookfield Asset Mgm0.19 Weatherford Internat19.90Agrium Inc1.01 Canadian Natl Ry Co 18.48Novartis A G2.51 Cooper Industries Pl18.04Fibria Celulose S A 2.64 153 City of Clearwater Global Performance Attribution Analysis Wentworth & Violich Quarter Ending 12/11 BenchmarkPortfolioReturn Attribution Countries/ActiveCurrencyLocalUS $ActiveCurrencyLocalUS $MarketCurrencySecurity CurrenciesWeightWeightReturnReturnWeightWeightReturnReturnSelectSelectSelectTotal Australia8.438.432.257.866.150.006.316.310.04-0.540.25-0.25 Austria0.260.26-1.93-5.110.000.000.020.010.02 Belgium0.960.965.582.150.000.00-0.010.030.01 Bermuda0.000.009.170.0020.8120.81-0.381.911.53 Brazil0.000.003.720.00-3.65-3.65-0.16-0.14-0.29 Canada0.000.0028.590.1911.6011.61-1.190.003.322.12 Cayman Islands0.000.004.990.003.383.38-0.210.17-0.04 Channel Islands0.060.06-2.71-2.940.000.000.00-0.000.00 China0.000.000.000.00 Cyprus0.000.000.000.00 Denmark1.001.0011.748.250.000.00-0.080.03-0.05 Finland0.890.891.08-2.200.000.000.030.020.05 France9.079.076.222.770.520.00-2.21-2.21-0.170.24-0.040.02 Germany7.747.747.564.072.550.0014.5414.54-0.180.210.180.21 Greece0.150.15-23.50-25.990.000.000.040.000.04 Hong Kong2.702.705.766.000.000.00-0.04-0.03-0.07 Ireland0.250.2525.8521.772.340.008.888.880.450.01-0.400.06 Isle of Man0.080.08-1.95-1.460.000.000.00-0.000.00 Israel0.650.656.784.850.000.00-0.020.01-0.01 Italy2.332.332.94-0.400.000.000.030.060.09 Japan23.0923.09-4.09-3.910.000.001.91-0.221.68 Kazakhstan0.000.000.000.00 Luxembourg0.000.002.730.0047.2347.23-0.111.291.17 Netherland Antilles0.000.004.830.0014.7714.77-0.200.710.51 Netherlands2.422.4210.076.566.290.0018.5818.580.230.070.540.83 New Zealand0.140.14-5.67-3.740.000.000.01-0.000.01 Norway0.890.8910.668.860.160.002.972.97-0.050.01-0.01-0.05 Portugal0.250.25-6.11-9.150.000.000.030.010.03 Scotland0.080.0822.8422.550.000.00-0.02-0.00-0.02 Singapore1.721.72-1.06-0.620.000.000.09-0.020.07 Benchmark : MSCI EAFE Index Gross Dividend 154 City of Clearwater Global Performance Attribution Analysis Wentworth & Violich Quarter Ending 12/11 BenchmarkPortfolioReturn Attribution Countries/ActiveCurrencyLocalUS $ActiveCurrencyLocalUS $MarketCurrencySecurity CurrenciesWeightWeightReturnReturnWeightWeightReturnReturnSelectSelectSelectTotal Spain3.483.481.24-2.050.000.000.100.090.19 Sweden2.862.868.869.070.000.00-0.13-0.03-0.16 Switzerland8.558.557.244.1717.990.003.733.730.290.19-0.63-0.15 United Kingdom22.1622.169.389.129.980.0012.7912.79-0.63-0.120.34-0.41 United States0.000.000.0099.810.800.80 100.00100.004.183.38100.00100.0011.3311.34-0.310.807.477.96 Benchmark : MSCI EAFE Index Gross Dividend Market Selection [Portfolio Active Weight - Benchmark Active Weight] x [Bench Currency Selection [Portfolio Currency Weight - Benchmark Currency Weight] x [ (Benchmark US$ Return - Benchmark Local Return) - ( Security Selection [Portfolio Active Weight] x [Portfolio Local Return - Bench 155 City of Clearwater International Equity Sector Attribution Analysis Wentworth & Violich Quarter Ending 12/11 WeightReturnSelection GICS SectorsPortfolioIndexPortfolioIndexStockSectorTotal Energy30.208.1816.4015.050.412.572.97 Materials31.1210.064.534.400.040.210.25 Industrials13.8912.3122.604.322.540.012.55 Consumer Discretionary0.0010.141.070.000.230.23 Consumer Staples17.2511.418.695.700.520.130.65 Health Care3.289.742.515.76-0.11-0.15-0.26 Financials4.2622.025.95-0.120.260.620.88 Information Technology0.004.97-0.480.000.190.19 Telecom. Services0.006.262.120.000.080.08 Utilities0.004.91-4.460.000.390.39 100.00100.0011.343.393.654.297.95 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 0.00% [ Actual Return 11.34% ] - [ Buy Hold Return 11.34% ] 156 City of Clearwater Eaton Vance Mgmt as of 12/31/11 Portfolio Performance (%) 25.0 20.0 15.0 10.0 5.0 0.0 -5.0 -10.0 -15.0 -20.0 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 Mgmt2.20-19.27-19.2718.48-4.02 MSCI Emg Mkts4.45-18.17-18.1720.42-4.37 Asset Growth ($000) Beginning Market Value24,47330,98030,9804,2448,277 Net Contributions & Withdrawals000-157-157 Gain/Loss + Income538-5,969-5,96920,92416,891 Ending Market Value25,01125,01125,01125,01125,011 157 City of Clearwater Eaton Vance Mgmt as of 12/31/11 Asset Allocation ($000) Intl Equity $25,011 100.00% Risk/Return Analysis Periods from 4/08 to 12/11 Alpha-0.04 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 v -4.0 1 -4.5 -5.00.05.010.015.020.025.030.035.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio v Eaton Vance Mgmt -4.02 29.78 -0.15 -0.06 1 MSCI Emg Mkts -4.37 31.09 -0.15 T 91-Day Treasury Bill 0.40 0.21 0.00 158 City of Clearwater Cumulative Performance Comparison Total Returns of Emerging Markets Portfolios Periods Ending 12/11 30% 25% 20% 1 v 15% 10% 5% 1 v 0% v 1 -5% -10% -15% 1 -20%v -25% -30% LastLastLast 2Last 3 QtrYearYearsYears High10.44-1.8012.9625.89 1st Qt5.86-11.051.6722.17 Median4.01-17.410.3019.75 3rd Qt3.54-19.16-2.1018.72 Low-2.05-25.62-6.058.13 v Eaton Vance Mgmt Net Ret2.20-19.27-0.2118.48 Rank85765378 1 MSCI Emg Mkts Net Ret4.45-18.17-1.2420.42 Rank43646038 159 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% 1 -20% v -30% 201120102009 High-1.8029.8988.13 1st Qt-11.0523.8377.73 Median-17.4120.4771.34 3rd Qt-19.1618.4363.20 Low-25.627.4127.05 v Eaton Vance Mgmt Net Ret-19.2723.3367.01 Rank763069 1 MSCI Emg Mkts Net Ret-18.1719.1979.02 Rank646019 160 City of Clearwater Return vs Risk Total Returns of Emerging Markets Portfolios 3 Years Ending 12/31/11 33.9 31.1 28.3 25.5 22.8 1 20.0 Median Return v 17.2 14.4 11.6 8.8 6.0 10.015.020.025.030.035.040.045.050.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank v Eaton Vance Mgmt18.487830.6484 1 MSCI Emg Mkts20.423829.1249 Median19.7529.26 161 City of Clearwater Wellington Mgmt as of 12/31/11 Portfolio Performance (%) 25.0 20.0 15.0 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 Mgmt1.87-22.97-22.9715.94-3.27 MSCI Emg Mkts4.45-18.17-18.1720.42-2.26 Asset Growth ($000) Beginning Market Value21,76528,78428,7848,9028,000 Net Contributions & Withdrawals-15,000-15,000-15,000-15,000-15,000 Gain/Loss + Income178-6,842-6,84213,04013,942 Ending Market Value6,9426,9426,9426,9426,942 162 City of Clearwater Wellington Mgmt as of 12/31/11 Asset Allocation ($000) Cash & Equiv $-11 -0.16% Intl Equity $6,953 100.16% Risk/Return Analysis Periods from 3/08 to 12/11 Alpha-0.33 Beta0.97 R-Squared0.99 1.0 0.5 T 0.0 -0.5 -1.0 -1.5 -2.0 1 -2.5 -3.0 l -3.5 -5.00.05.010.015.020.025.030.035.040.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio l Wellington Mgmt -3.27 33.65 -0.11 -0.42 1 MSCI Emg Mkts -2.26 34.60 -0.08 T 91-Day Treasury Bill 0.42 0.33 0.00 163 City of Clearwater Cumulative Performance Comparison Total Returns of Emerging Markets Portfolios Periods Ending 12/11 30% 25% 20% 1 l 15% 10% 5% 1 l 0% 1 -5% l -10% -15% 1 -20% l -25% -30% LastLastLast 2Last 3 QtrYearYearsYears High10.44-1.8012.9625.89 1st Qt5.86-11.051.6722.17 Median4.01-17.410.3019.75 3rd Qt3.54-19.16-2.1018.72 Low-2.05-25.62-6.058.13 l Wellington Mgmt Net Ret1.87-22.97-5.4815.94 Rank87839178 1 MSCI Emg Mkts Net Ret4.45-18.17-1.2420.42 Rank43646038 164 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% 1 -20% l -30% 201120102009 High-1.8029.8988.13 1st Qt-11.0523.8377.73 Median-17.4120.4771.34 3rd Qt-19.1618.4363.20 Low-25.627.4127.05 l Wellington Mgmt Net Ret-22.9715.9974.44 Rank838835 1 MSCI Emg Mkts Net Ret-18.1719.1979.02 Rank646019 165 City of Clearwater Return vs Risk Total Returns of Emerging Markets Portfolios 3 Years Ending 12/31/11 33.9 31.1 28.3 25.5 22.8 1 20.0 Median Return 17.2 l 14.4 11.6 8.8 6.0 10.015.020.025.030.035.040.045.050.0 Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank l Wellington Mgmt15.947829.3659 1 MSCI Emg Mkts20.423829.1249 Median19.7529.26 166 City of Clearwater Fixed Income Comp as of 12/31/11 Portfolio Performance (%) 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 Comp1.195.945.948.536.795.726.96 BC Agg1.127.847.846.776.505.787.37 Asset Growth ($000) Beginning Market Value196,919192,283192,283198,649210,399178,03259,224 Net Contributions & Withdrawals821-3,476-3,476-4,414-4,414-4,414-4,414 Gain/Loss + Income2,34711,28011,2805,852-5,89726,470145,277 Ending Market Value200,087200,087200,087200,087200,087200,087200,087 Top Fixed Income HoldingsSector Allocation Sector% Port% Port FNMA Cl 30 - Tba JanMortgage2.09Finance18.97 United States TreasGovernment1.64Government14.38 United States TreasGovernment1.41Industrials17.18 United States TreasGovernment1.40Mortgage41.89 FNMA Cl 30 - Tba JanMortgage1.37Transportation1.67 FNMA Pool #ad0494Mortgage1.31Utilities0.87 FNMA Pool Al0851Mortgage1.28Municipals4.09 United States TreasGovernment1.03Foreign0.55 FNMA Pool #ad0217Mortgage0.94Miscellaneous0.41 Xerox Corp Sr Nt 6.4Industrials0.89 Holdings and allocations only include SMA accounts. 167 City of Clearwater Fixed Income Comp as of 12/31/11 Asset Allocation ($000) Domestic FixedOther $175,749 87.84%$0 0.00% Cash & Equiv $24,339 12.16% Risk/Return Analysis Periods from 12/87 to 12/11 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 6.96 3.13 0.92 -0.17 1 BC Agg 7.37 4.11 0.80 T 91-Day Treasury Bill 4.06 1.19 0.00 Holdings and allocations only include SMA accounts. 168 City of Clearwater Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 12/11 22% 20% 18% 16% 14% 12% 10% F 8% 1 1 F F 1 F 1F 1 6% 1 F F 1 F F 1 F 1 1 4% 2% F 1 0% -2% LastLastLast 2Last 3Last 4Last 5Last 6Last 7Last 8Last 9Last 10 QtrYearYearsYearsYearsYearsYearsYearsYearsYearsYears High5.4913.8811.8519.649.118.588.217.697.818.698.60 1st Qt2.347.798.4110.527.537.306.876.316.156.316.60 Median1.286.166.897.876.436.556.235.705.525.405.86 3rd Qt0.893.875.795.895.155.425.284.994.804.785.20 Low0.000.091.721.780.831.972.572.822.893.263.64 F Fixed Income Comp Net Ret1.195.946.658.537.006.796.505.935.685.465.72 Rank5554554434393738424757 1 BC Agg Net Ret1.127.847.196.776.396.506.145.605.445.295.78 Rank5923426552525557565755 169 City of Clearwater Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December 25% 20% 15% F 10% 1 F 1 F 1 1 F1F 5% 1 F 11 1 F F F F 1 0% -5% -10% -15% -20% 2011201020092008200720062005200420032002 High13.8815.8221.099.769.7311.686.7910.7620.9112.61 1st Qt7.799.9313.375.427.485.313.105.256.1510.43 Median6.167.138.343.146.534.572.554.354.519.33 3rd Qt3.875.585.28-2.275.064.132.043.173.606.99 Low0.090.56-0.49-15.772.222.801.321.321.770.88 F Fixed Income Comp Net Ret5.947.3712.372.545.945.052.593.933.778.06 Rank54462854613048627166 1 BC Agg Net Ret7.846.545.935.246.964.332.434.344.1110.26 Rank23616928406457506329 170 City of Clearwater Risk Measure Summary Fixed Income Comp Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods0021541619 Positive Periods44101115168077 Up Market Capture0.761.201.060.88 Down Market Capture0.301.220.30 Batting Average0.500.670.550.47 Worst Quarter0.870.42-0.39-1.30-2.54-1.30-2.54-2.87 Best Quarter1.993.825.723.825.724.575.727.96 Worst 4 Quarters5.947.844.293.900.683.13-0.07-3.23 Best 4 Quarters5.947.8415.099.5015.8710.5615.8718.48 Standard Deviation3.813.224.033.463.134.11 Beta0.830.970.59 Alpha0.700.110.23 R-Squared0.490.670.57 Sharpe Ratio2.202.061.321.450.920.80 Treynor Ratio10.105.474.93 Tracking Error2.902.542.64 Information Ratio0.570.10-0.17 171 City of Clearwater Return vs Risk Total Returns of Fixed Income Portfolios 3 Years Ending 12/31/11 18.0 16.0 14.0 12.0 10.0 F Median 8.0 1 Return 6.0 4.0 2.0 0.0 -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 Comp8.53443.8152 1 BC Agg6.77653.2235 Median7.873.78 5 Years Ending 12/31/11 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 Comp6.79394.0348 1 BC Agg6.50523.4631 Median6.554.23 172 City of Clearwater Dodge & Cox as of 12/31/11 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 2/29/04 Dodge & CoxBC Agg Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 2/29/04 Dodge & Cox1.085.105.108.986.715.60 BC Agg1.127.847.846.776.505.31 Asset Growth ($000) Beginning Market Value109,892105,690105,69098,11896,43475,656 Net Contributions & Withdrawals-2-4-4-2,418-2,418-2,418 Gain/Loss + Income1,1825,3865,38615,37317,05737,835 Ending Market Value111,073111,073111,073111,073111,073111,073 Top Fixed Income HoldingsSector Allocation Sector% Port% Port United States TreasGovernment2.95Finance20.96 United States TreasGovernment2.53Government10.45 FNMA Pool #ad0494Mortgage2.36Industrials16.80 FNMA Pool Al0851Mortgage2.30Mortgage41.39 United States TreasGovernment1.85Transportation2.42 FNMA Pool #ad0217Mortgage1.70Utilities0.84 Xerox Corp Sr Nt 6.4Industrials1.61Municipals6.62 Fhgld Pool #g03771Mortgage1.54Foreign0.24 Aol Time Warner IncIndustrials1.49Miscellaneous0.27 FNMA Pool Ae0381Mortgage1.46 173 City of Clearwater Dodge & Cox as of 12/31/11 Asset Allocation ($000) Domestic FixedCash & Equiv $108,626 97.80%$2,447 2.20% Risk/Return Analysis Periods from 2/04 to 12/11 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 5.60 3.65 0.96 0.10 1 BC Agg 5.31 3.50 0.92 T 91-Day Treasury Bill 2.10 0.58 0.00 174 City of Clearwater Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 12/11 22% 20% 18% 16% 14% 12% 10% d 8% 1 1 d 1 d d 1 1 d 6% 1 d 1 d 4% 2% 1 d 0% -2% LastLastLast 2Last 3Last 4Last 5Last 6Last 7 QtrYearYearsYearsYearsYearsYearsYears High5.4913.8811.8519.649.118.588.217.69 1st Qt2.347.798.4110.527.537.306.876.31 Median1.286.166.897.876.436.556.235.70 3rd Qt0.893.875.795.895.155.425.284.99 Low0.000.091.721.780.831.972.572.82 d Dodge & Cox Net Ret1.085.106.318.987.036.716.535.93 Rank6362653734433738 1 BC Agg Net Ret1.127.847.196.776.396.506.145.60 Rank5923426552525557 175 City of Clearwater Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December 25% 20% 15% d 10% 1 d 1 1 1 d 5% d 1 d 1 1 d d 0% -5% -10% -15% -20% 2011201020092008200720062005 High13.8815.8221.099.769.7311.686.79 1st Qt7.799.9313.375.427.485.313.10 Median6.167.138.343.146.534.572.55 3rd Qt3.875.585.28-2.275.064.132.04 Low0.090.56-0.49-15.772.222.801.32 d Dodge & Cox Net Ret5.107.5314.531.375.475.622.40 Rank62441760672159 1 BC Agg Net Ret7.846.545.935.246.964.332.43 Rank23616928406457 176 City of Clearwater December 31, 2011 177 City of Clearwater Risk Measure Summary Dodge & Cox Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods00114479 Positive Periods44111116162422 Up Market Capture0.651.241.021.01 Down Market Capture-0.100.920.72 Batting Average0.250.500.450.52 Worst Quarter0.830.42-0.43-1.30-2.88-1.30-2.88-2.44 Best Quarter1.913.826.983.826.984.576.984.57 Worst 4 Quarters5.107.844.123.90-0.263.13-0.26-0.81 Best 4 Quarters5.107.8417.789.5017.7810.5617.7810.56 Standard Deviation4.313.224.233.463.943.63 Beta0.690.830.84 Alpha1.040.260.21 R-Squared0.270.440.58 Sharpe Ratio2.052.061.241.450.880.87 Treynor Ratio12.846.294.15 Tracking Error3.973.492.83 Information Ratio0.520.050.10 178 City of Clearwater Return vs Risk Total Returns of Fixed Income Portfolios 3 Years Ending 12/31/11 18.0 16.0 14.0 12.0 10.0 d Median 8.0 1 Return 6.0 4.0 2.0 0.0 -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 & Cox8.98374.3162 1 BC Agg6.77653.2235 Median7.873.78 5 Years Ending 12/31/11 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 & Cox6.71434.2351 1 BC Agg6.50523.4631 Median6.554.23 179 City of Clearwater Fixed Income, Mortgage and Municipals Summary Statistics Dodge & Cox Quarter Ending 12/11 PortfolioBC Agg Total Number Of Securities1787,829 Total Market Value108,625,945 Yield to Maturity2.632.24 Time to Maturity15.007.13 Current Coupon5.754.01 Duration4.905.18 Effective Convexity0.44-0.45 Effective Duration4.554.95 Effective Maturity6.807.13 Yield to Maturity Time to Maturity Coupon 0 - 112.8% 0 - 18.1% 0 - 38.7% 1 - 214.2% 1 - 32.9% 3 - 58.4% 2 - 321.0% 3 - 511.4% 5 - 765.0% 3 - 419.3% 5 - 710.6% 7 - 916.8% 4 - 513.1% 7 - 1011.3% 9 - 111.1% 5+ 19.5%10+ 55.8%11+ 0.0% Quality Duration Effective Duration GOVT 8.7% 0 - 18.8%0 - 110.9% AAA 42.2% 1 - 327.9%1 - 328.5% AA 5.4% 3 - 416.8%3 - 415.5% A 16.3% BAA 22.1% 4 - 623.7%4 - 623.6% BA 3.5% 6 - 85.3%6 - 85.5% B 0.4% 8+ 17.4%8+ 16.0% NR 1.4% 180 City of Clearwater Percent Invested by Sector and Quality Dodge & Cox As of 12/31/11 Moody's Quality Ratings NameAaaAaABaaBaBOtherNRTotal Government 10.45---------------------10.45 Treasury7.71---------------------7.71 Agency2.74---------------------2.74 Corporate ---3.7810.1121.023.550.39------38.85 Industrial---1.522.1810.682.43---------16.81 Utility---------0.46---0.39------0.85 Finance---2.277.709.881.12---------20.97 Yankee------0.24---------------0.24 Transportation ---0.540.811.07------------2.42 Mortgage 40.50------------------0.8941.39 GNMA--------------------------- FHLMC8.44---------------------8.44 FNMA29.70------------------0.8930.59 Other Mortgage2.36---------------------2.36 Municipals ---0.765.35------------0.526.63 Cash --------------------------- Other ---0.27------------------0.27 Total 50.955.3516.2722.093.550.39---1.41100.00 181 City of Clearwater Fixed Income Sector Attribution Analysis Dodge & Cox Quarter Ending 12/11 WeightReturnSelection PortfolioIndexPortfolioIndexSecuritySectorTotal Finance20.789.531.241.060.04-0.030.00 Government10.8440.010.361.28-0.100.02-0.08 Industrials17.8510.071.752.04-0.050.050.00 Mortgage40.0436.551.491.330.06-0.000.06 Transportation2.480.360.841.42-0.010.00-0.01 Utilities0.911.60-3.432.55-0.05-0.01-0.06 Municipals6.580.002.281.770.030.030.06 Foreign0.241.852.730.250.010.020.02 Miscellaneous0.280.021.180.00-0.00-0.00 100.00100.001.351.35-0.080.08-0.00 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 -0.27% [ Actual Return 1.08% ] - [ Buy Hold Return 1.35% ] 182 City of Clearwater Western Asset Management Co. as of 12/31/11 Portfolio Performance (%) 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.1.357.237.237.856.785.84 BC Agg1.127.847.846.776.505.54 Asset Growth ($000) Beginning Market Value86,18081,48281,48299,65594,63474,568 Net Contributions & Withdrawals-14-38-38-38-38-38 Gain/Loss + Income1,1655,8875,887-12,285-7,26412,801 Ending Market Value87,33187,33187,33187,33187,33187,331 Top Fixed Income HoldingsSector Allocation Sector% Port% Port FNMA Cl 30 - Tba JanMortgage4.79Finance15.74 United States TreasGovernment3.22Government20.76 FNMA Cl 30 - Tba JanMortgage3.13Industrials17.78 Freddie Mac GoldMortgage1.96Mortgage42.69 GNMA Ii Pool 004978Mortgage1.74Transportation0.45 Federal Home Ln MtgGovernment1.70Utilities0.91 United States TreasGovernment1.70Municipals0.00 GNMA Ii Pool 004772Mortgage1.62Foreign1.05 GNMA Ii Sf 30 - TbaMortgage1.62Miscellaneous0.62 Fhlm Pool A74793Mortgage1.52 183 City of Clearwater Western Asset Management Co. as of 12/31/11 Asset Allocation ($000) Domestic FixedOther $67,123 76.86%$0 0.00% Cash & Equiv $20,208 23.14% Risk/Return Analysis Periods from 9/04 to 12/11 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 5.84 3.82 0.96 0.24 1 BC Agg 5.54 3.41 0.99 T 91-Day Treasury Bill 2.17 1.02 0.00 184 City of Clearwater Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 12/11 22% 20% 18% 16% 14% 12% 10% 8% w 1 w 1 w w 1w 1 w 1 6% 1 w 1 4% 2% w 1 0% -2% LastLastLast 2Last 3Last 4Last 5Last 6Last 7 QtrYearYearsYearsYearsYearsYearsYears High5.4913.8811.8519.649.118.588.217.69 1st Qt2.347.798.4110.527.537.306.876.31 Median1.286.166.897.876.436.556.235.70 3rd Qt0.893.875.795.895.155.425.284.99 Low0.000.091.721.780.831.972.572.82 w Western Asset Management Co. Net Ret1.357.237.167.856.856.786.435.89 Rank4735435037404040 1 BC Agg Net Ret1.127.847.196.776.396.506.145.60 Rank5923426552525557 185 City of Clearwater Calendar Year Performance Comparison Total Returns of Fixed Income Portfolios Years Ending December 25% 20% 15% 10% w 1 w w 1 1 w 1 5% 1 w 1 w w 1 0% -5% -10% -15% -20% 2011201020092008200720062005 High13.8815.8221.099.769.7311.686.79 1st Qt7.799.9313.375.427.485.313.10 Median6.167.138.343.146.534.572.55 3rd Qt3.875.585.28-2.275.064.132.04 Low0.090.56-0.49-15.772.222.801.32 w Western Asset Management Co. Net Ret7.237.099.243.926.514.662.77 Rank35504444504539 1 BC Agg Net Ret7.846.545.935.246.964.332.43 Rank23616928406457 186 City of Clearwater December 31, 2011 187 City of Clearwater Risk Measure Summary Western Asset Management Co. Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods00215498 Positive Periods44101115162021 Up Market Capture0.921.141.091.08 Down Market Capture0.841.531.23 Batting Average0.500.670.600.62 Worst Quarter0.520.42-1.09-1.30-2.17-1.30-2.17-1.30 Best Quarter2.943.824.643.825.224.575.224.57 Worst 4 Quarters7.237.844.463.901.563.13-0.46-0.81 Best 4 Quarters7.237.8411.409.5014.6010.5614.6010.56 Standard Deviation3.513.224.063.463.823.41 Beta0.991.121.07 Alpha0.27-0.070.01 R-Squared0.820.890.91 Sharpe Ratio2.192.061.301.450.960.99 Treynor Ratio7.754.753.42 Tracking Error1.541.501.25 Information Ratio0.670.190.24 188 City of Clearwater Return vs Risk Total Returns of Fixed Income Portfolios 3 Years Ending 12/31/11 18.0 16.0 14.0 12.0 10.0 Median 8.0 w 1 Return 6.0 4.0 2.0 0.0 -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.7.85503.5144 1 BC Agg6.77653.2235 Median7.873.78 5 Years Ending 12/31/11 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.6.78404.0649 1 BC Agg6.50523.4631 Median6.554.23 189 City of Clearwater Fixed Income, Mortgage and Municipals Summary Statistics Western Asset Management Co. Quarter Ending 12/11 PortfolioBC Agg Total Number Of Securities2627,829 Total Market Value67,122,890 Yield to Maturity2.342.24 Time to Maturity20.197.13 Current Coupon4.994.01 Duration6.765.18 Effective Convexity1.01-0.45 Effective Duration6.044.95 Effective Maturity10.177.13 Yield to Maturity Time to Maturity Coupon 0 - 132.4% 0 - 12.8% 0 - 39.3% 1 - 212.3% 1 - 35.3% 3 - 535.7% 2 - 324.1% 3 - 58.8% 5 - 749.0% 3 - 413.3% 5 - 78.1% 7 - 94.2% 4 - 57.7% 7 - 1011.4% 9 - 111.7% 5+ 10.2%10+ 63.7%11+ 0.1% Quality Duration Effective Duration GOVT 18.0% 0 - 12.8%0 - 114.1% AAA 43.9% 1 - 340.9%1 - 333.9% AA 5.2% 3 - 49.6%3 - 48.3% A 14.4% BAA 15.6% 4 - 613.3%4 - 612.0% BA 1.1% 6 - 86.4%6 - 85.9% B 0.3% 8+ 27.0%8+ 25.9% NR 1.6% 190 City of Clearwater Percent Invested by Sector and Quality Western Asset Management Co. As of 12/31/11 Moody's Quality Ratings NameAaaAaABaaBaBOtherNRTotal Government 20.200.270.100.19------------20.76 Treasury14.61---------------------14.61 Agency5.590.270.100.19------------6.15 Corporate 0.174.1614.2515.140.610.28---0.8835.49 Industrial---1.286.369.670.45------0.0217.78 Utility------0.740.18------------0.92 Finance---2.886.834.730.160.28---0.8615.74 Yankee0.17---0.320.56------------1.05 Transportation ---0.22---0.23------------0.45 Mortgage 41.370.60---------------0.7242.69 GNMA13.61------------------0.4114.02 FHLMC7.01---------------------7.01 FNMA18.82---------------------18.82 Other Mortgage1.930.60---------------0.312.84 Municipals --------------------------- Cash --------------------------- Other 0.15---------0.48---------0.63 Total 61.885.2414.3515.571.090.28---1.60100.00 191 City of Clearwater Fixed Income Sector Attribution Analysis Western Asset Management Co. Quarter Ending 12/11 WeightReturnSelection PortfolioIndexPortfolioIndexSecuritySectorTotal Finance14.709.531.621.060.08-0.020.07 Government15.0840.013.321.280.310.020.33 Industrials15.1810.072.492.040.070.040.10 Mortgage52.1436.551.821.330.25-0.000.25 Transportation0.300.360.741.42-0.00-0.00-0.00 Utilities0.981.605.682.550.03-0.010.02 Municipals0.000.000.001.77-0.00-0.00-0.00 Foreign0.971.852.510.250.020.010.03 Miscellaneous0.650.021.180.00-0.00-0.00 100.00100.002.151.350.760.040.80 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 -0.46% [ Actual Return 1.69% ] - [ Buy Hold Return 2.15% ] 192 City of Clearwater Real Estate Comp as of 12/31/11 Portfolio Performance (%) 24.0 22.0 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 4/30/08 Real Estate CompPolicy Index Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 4/30/08 Real Estate Comp9.658.858.8520.990.04 Policy Index11.3011.6211.6221.690.06 Asset Growth ($000) Beginning Market Value62,47162,82362,82327,41619,347 Net Contributions & Withdrawals-1110110-1,890-1,890 Gain/Loss + Income6,0295,5665,56642,97351,042 Ending Market Value68,49968,49968,49968,49968,499 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Simon Ppty Group IncFinancials8.70Energy0.00 Equity Residential PFinancials8.20Materials0.00 Hcp IncFinancials7.69Industrials0.00 Prologis IncFinancials6.66Consumer Discretionary1.67 Avalonbay Cmntys IncFinancials5.67Consumer Staples0.00 Ventas IncFinancials5.36Health Care0.00 General Growth PptysFinancials5.05Financials98.33 Host Marriott Corp NFinancials4.94Information Technology0.00 Sl Green Rlty CorpFinancials4.48Telecom Services0.00 Apartment Invt & MgmFinancials4.48Utilities0.00 193 City of Clearwater Real Estate Comp as of 12/31/11 Asset Allocation ($000) Domestic Equity $41,572 60.69% Cash & Equiv $390 0.57% Real Estate $26,537 38.74% Risk/Return Analysis Periods from 4/08 to 12/11 Alpha0.05 Beta1.00 R-Squared0.99 0.5 T 0.4 0.3 0.2 0.1 1 R 0.0 -5.00.05.010.015.020.025.030.035.040.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio R Real Estate Comp 0.04 37.58 -0.01 0.03 1 Policy Index 0.06 37.81 -0.01 T 91-Day Treasury Bill 0.40 0.21 0.00 194 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/11 30% 25% 20% 15% 1 1 10% R R 5%1 R 1 0% R -5% -10% -15% LastLast 2Last 3Last 4 QtrQtrsQtrsQtrs High15.9212.1118.8324.97 1st Qt5.356.4812.0316.67 Median2.844.889.4112.52 3rd Qt1.10-1.561.985.59 Low-5.30-13.27-11.37-12.85 R Real Estate Comp Net Ret9.65-0.103.268.85 Rank14676762 1 Policy Index Net Ret11.301.355.5311.62 Rank13635954 195 City of Clearwater Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 50% 40% 30% R 1 1 R 20% 1 10% R 0% -10% -20% -30% -40% -50% 201120102009 High24.9730.6938.04 1st Qt16.6718.42-3.23 Median12.5213.91-28.19 3rd Qt5.593.68-31.21 Low-12.85-23.52-45.86 R Real Estate Comp Net Ret8.8530.5124.68 Rank62514 1 Policy Index Net Ret11.6224.9629.20 Rank541211 196 City of Clearwater Risk Measure Summary Real Estate Comp Quarterly Periods Ending 12/31/11 1 Year3 Years5 YearsInception Risk MeasuresPortfolioBenchPortfolioBenchPortfolioBenchPortfolioBench Negative Periods113344 Positive Periods33991010 Up Market Capture0.861.010.99 Down Market Capture1.001.030.99 Batting Average0.250.500.50 Worst Quarter-8.90-8.94-36.65-33.85-37.93-40.40 Best Quarter9.6511.3033.9835.9333.9835.93 Worst 4 Quarters8.8511.626.217.43-45.85-45.65 Best 4 Quarters8.8511.62118.01115.40118.01115.40 Standard Deviation36.9936.0041.4841.52 Beta1.021.00 Alpha-0.170.05 R-Squared0.990.99 Sharpe Ratio0.560.600.080.07 Treynor Ratio20.383.21 Tracking Error3.393.54 Information Ratio-0.030.03 197 City of Clearwater Return vs Risk Total Returns of Real Estate Portfolios 3 Years Ending 12/31/11 30.0 23.5 1 R 17.0 10.5 4.0 Median -2.5 Return -9.0 -15.5 -22.0 -28.5 -35.0 0.04.08.012.016.020.024.028.032.036.040.0 Historical Standard Deviation of Return Annualized ReturnStandard Deviation ValueRankValueRank R Real Estate Comp20.99836.9994 1 Policy Index21.69736.0093 Median-1.8214.99 198 City of Clearwater Security Capital as of 12/31/11 Portfolio Performance (%) 24.0 22.0 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 4/30/08 Security CapitalWilshire RESI Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 4/30/08 Security Capital14.906.866.8620.59-0.24 Wilshire RESI15.408.568.5621.890.15 Asset Growth ($000) Beginning Market Value36,92841,87941,87927,41619,347 Net Contributions & Withdrawals-457-2,809-2,809-24,809-24,809 Gain/Loss + Income5,4892,8902,89039,35347,423 Ending Market Value41,96041,96041,96041,96041,960 Top Equity HoldingsGICS Sector Allocation GICS Sector% Port% Port Simon Ppty Group IncFinancials8.70Energy0.00 Equity Residential PFinancials8.20Materials0.00 Hcp IncFinancials7.69Industrials0.00 Prologis IncFinancials6.66Consumer Discretionary1.67 Avalonbay Cmntys IncFinancials5.67Consumer Staples0.00 Ventas IncFinancials5.36Health Care0.00 General Growth PptysFinancials5.05Financials98.33 Host Marriott Corp NFinancials4.94Information Technology0.00 Sl Green Rlty CorpFinancials4.48Telecom Services0.00 Apartment Invt & MgmFinancials4.48Utilities0.00 199 City of Clearwater Security Capital as of 12/31/11 Asset Allocation ($000) Cash & Equiv $388 0.93% Domestic Equity $41,572 99.07% Risk/Return Analysis Periods from 4/08 to 12/11 Alpha-0.06 Beta0.99 R-Squared0.99 0.5 T 0.4 0.3 0.2 1 0.1 0.0 -0.1 -0.2 s -0.3 -5.00.05.010.015.020.025.030.035.040.045.0 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio s Security Capital -0.24 38.79 -0.02 -0.11 1 Wilshire RESI 0.15 39.10 -0.01 T 91-Day Treasury Bill 0.40 0.21 0.00 200 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/11 30% 25% 1 s 20% s 1 15% 1 s 10% 1 s 5% 0% -5% -10% -15% LastLastLast 2Last 3 QtrYearYearsYears High15.9224.9722.7822.23 1st Qt5.3516.6717.164.92 Median2.8412.5213.44-1.82 3rd Qt1.105.595.96-4.62 Low-5.30-12.85-6.88-13.68 s Security Capital Net Ret14.906.8618.5920.59 Rank1270199 1 Wilshire RESI Net Ret15.408.5618.3921.89 Rank666207 201 City of Clearwater Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 50% 40% s 30% 1 1 s 20% 10% 1 s 0% -10% -20% -30% -40% -50% 201120102009 High24.9730.6938.04 1st Qt16.6718.42-3.23 Median12.5213.91-28.19 3rd Qt5.593.68-31.21 Low-12.85-23.52-45.86 s Security Capital Net Ret6.8631.6224.68 Rank70414 1 Wilshire RESI Net Ret8.5629.1229.20 Rank66711 202 City of Clearwater Multi Employer Property Trust as of 12/31/11 Portfolio Performance (%) 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 Trust2.5012.9912.9914.41 NCREIF ODCE2.9715.9915.9917.07 Asset Growth ($000) Beginning Market Value23,08720,94420,9440 Net Contributions & Withdrawals00020,000 Gain/Loss + Income5772,7212,7213,665 Ending Market Value23,66523,66523,66523,665 203 City of Clearwater Multi Employer Property Trust as of 12/31/11 Asset Allocation ($000) Cash & Equiv $2 0.01% Real Estate $23,662 99.99% Risk/Return Analysis (Number of returns < 12) Periods from 9/10 to 12/11 AlphaN/A BetaN/A R-SquaredN/A 18.0 1 16.0 M 14.0 12.0 10.0 8.0 6.0 4.0 2.0 T 0.0 -2.0 0.00.20.40.60.81.01.21.41.61.8 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio M Multi Employer Property 14.41 1.62 8.85 1 NCREIF ODCE 17.07 1.63 10.41 T 91-Day Treasury Bill 0.11 0.04 0.00 204 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/11 30% 25% 20% O 15% M O 10% M O M 5% O M 0% -5% -10% -15% LastLast 2Last 3Last 4 QtrQtrsQtrsQtrs High15.9212.1118.8324.97 1st Qt5.356.4812.0316.67 Median2.844.889.4112.52 3rd Qt1.10-1.561.985.59 Low-5.30-13.27-11.37-12.85 M Multi Employer Property Trust Net Ret2.505.869.5112.99 Rank62384646 O NCREIF ODCE Fund Index Net Ret2.976.5911.5215.99 Rank48242826 205 City of Clearwater Calendar Year Performance Comparison Total Returns of Real Estate Portfolios Years Ending December 30% 25% 20% O 15% M 10% 5% 0% -5% -10% -15% 2011 High24.97 1st Qt16.67 Median12.52 3rd Qt5.59 Low-12.85 M Multi Employer Property Trust Net Ret12.99 Rank46 O NCREIF ODCE Fund Index Net Ret15.99 Rank26 206 City of Clearwater Molpus Woodlands Group as of 12/31/11 Portfolio Performance (%) 0.6 0.4 0.2 0.0 -0.2 -0.4 -0.6 -0.8 -1.0 -1.2 -1.4 -1.6 -1.8 -2.0 -2.2 QtrYTD1 Year3 Year5 Year10 YearIncept 6/30/11 Molpus Woodlands GroupNCREIF Timberland Index Incept Net of Fee ReturnsQtrYTD1 Year3 Year5 Year10 Year 6/30/11 Molpus Woodlands Group-1.35-2.03 NCREIF Timberland Index0.510.16 Asset Growth ($000) Beginning Market Value2,455111 Net Contributions & Withdrawals4562,808 Gain/Loss + Income-37-45 Ending Market Value2,8742,874 207 City of Clearwater Molpus Woodlands Group as of 12/31/11 Asset Allocation ($000) Real Estate $2,874 100.00% Risk/Return Analysis (Number of returns < 12) Periods from 6/11 to 12/11 AlphaN/A BetaN/A R-SquaredN/A 0.4 0.2 1 T 0.0 -0.2 -0.4 -0.6 -0.8 -1.0 -1.2 -1.4 -1.6 -1.8 -2.0 M -2.2 0.00.20.40.60.81.01.21.41.61.82.02.2 Annualized Standard Deviation% AnnualizedStd.SharpeInfo Net RetDev.RatioRatio M Molpus Woodlands Group -2.03 1.96 -1.04 1 NCREIF Timberland Index 0.16 0.95 0.15 T 91-Day Treasury Bill 0.02 0.03 0.00 208 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 12/11 20% 15% 10% 5% 1 0% 1 M M -5% -10% -15% LastLast 2 QtrQtrs High15.9212.11 1st Qt5.356.48 Median2.844.88 3rd Qt1.10-1.56 Low-5.30-13.27 M Molpus Woodlands Group Net Ret-1.35-2.03 Rank9079 1 NCREIF Timberland Index Net Ret0.510.16 Rank8167 209 210 211 212 213 214 215