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EMPLOYEES PENSION PLAN - PERFORMANCE REVIEW - FIRST QUARTER 102 W. Whiting Street, Suite 400, Tampa, FL 33602-5140 ♦ Tel: 813/218-5000 ♦ www.captrustadv.com CITY OF CLEARWATER EMPLOYEES PENSION PLAN PERFORMANCE REVIEW MARCH 31, 2011 Eric W. Bailey, CFA John J. Griffith, JD, CPC Managing Principal Senior Investment Consultant 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. Any 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 –MARCH 31, 2011 This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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. IndexQTRYTD1 Yr3 Yr5 Yr10 Yr Domestic Fixed Income 3 Month T-Bill0.03%0.03%0.15%0.43%2.08%2.14% Barclays Capital 1-3 year Gov't0.06%0.06%1.73%2.48%4.24%3.79% Barclays Capital Interm Gov't0.02%0.02%3.83%3.54%5.48%4.81% Barclays Capital Interm Credit0.99%0.99%6.32%6.59%6.36%5.91% Barclays Capital Interm Govt/Cred0.34%0.34%4.63%4.49%5.68%5.20% Barclays Capital Aggregate Bond0.42%0.42%5.12%5.30%6.03%5.57% Domestic Equity Standard & Poor's 5005.92%5.92%15.65%2.36%2.62%3.29% Dow Jones Industrial Average7.07%7.07%16.51%3.12%4.87%4.73% Dow Jones US Total Full Cap6.06%6.06%17.50%3.83%3.27%4.62% Dow Jones US Select REIT 6.70%6.70%24.44%1.48%0.66%11.25% Russell 1000 - Large Cap6.24%6.24%16.69%2.98%2.93%3.83% Russell 1000 Growth - Large Cap6.03%6.03%18.26%5.19%4.34%2.99% Russell 1000 Value - Large Cap6.46%6.46%15.15%0.60%1.38%4.54% Russell Midcap7.63%7.63%24.27%7.25%4.67%8.52% Russell Midcap Growth7.85%7.85%26.60%7.63%4.93%6.94% Russell Midcap Value7.43%7.43%22.26%6.62%4.04%9.24% Russell 2000 - Small Cap7.94%7.94%25.79%8.57%3.35%7.87% Russell 2000 Growth - Small Cap9.24%9.24%31.04%10.16%4.34%6.44% Russell 2000 Value - Small Cap6.60%6.60%20.63%6.76%2.23%9.01% International Equity MSCI EAFE3.37%3.37%10.42%-3.02%1.30%5.39% MSCI World4.80%4.80%13.45%-0.25%2.08%4.21% MSCI EM 1.69%1.69%15.89%1.96%8.25%14.10% Blended Benchmarks 30% S&P 500 / 70% Barclays Agg2.07%2.07%8.28%4.42%5.01%4.89% 40% S&P 500 / 60% Barclays Agg2.62%2.62%9.33%4.12%4.67%4.66% 50% S&P 500 / 50% Barclays Agg3.17%3.17%10.39%3.83%4.33%4.43% 60% S&P 500 / 40% Barclays Agg3.72%3.72%11.44%3.54%3.98%4.20% 70% S&P 500 / 30% Barclays Agg4.27%4.27%12.49%3.24%3.64%3.97% 3 CAPITAL MARKETS REVIEW –MARCH 31, 2011 This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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 Summary Price volatility, consolidation, and even reversals are considered normal following periods of strong market performance. Generally, these market actions are triggered by an unforeseen or unpredictable event with price volatility and consolidation often the result of tactical risk management. The first quarter of 2011 provided several triggering mechanisms. Inflation, in the form of rising food (agricultural/livestock commodities) and materials (metal/lumber) prices threaten to slow global growth. Geo-political events in the Middle East and North Africa threaten to disrupt adequate oil supplies and inflate energy costs. The earthquake and resulting tsunami that devastated Japan late in the quarter threaten the regional economies leading some economists to predict a global economic slowdown. Domestically, the Federal Reserve has stated its comfort with the current level of inflation (presumably ex-energy), but recent commentary from several Federal Reserve BankPresidents would indicate not all decision makers fully agree with this position. Chinese and European leaders are already taking steps to slow economic growth and manage inflationary pressures.Investors wary of impending interest rate hikes chose to begin reducing security positions of interest rate sensitive economies. Investors then had to evaluate the economic impact of the political unrest in the Middle East and Libya. Protracted unrest or the threat of more widespread unrestin this region would likely disrupt oil supplies and further increase prices which could drain consumer resources and further stymie economic growth. Investors responded to this uncertainty by tactically managing risk and sold assets considered at political, regional, or supply risk. MCG Equities SC Equities MC Equities MCV Equities SCV Equities Intl Emerging Equities LCG Equities LC Equities S&P 500 LCV Equities High Yield Bonds Intl Developed Equities Corporate Bonds Long Term Treasury Bonds Foreign Bonds Intl Frontier Equities Mortgage Backed Bonds Municipal Bonds 3-Month T-Bill 26.6% 25.8% 24.3% 22.3% 20.6% 18.8% 18.3% 16.7% 15.7% 15.2% 14.1% 10.9% 7.5% 7.3% 6.5% 5.5% 4.4% 1.6% 0.2% One Year Performance of Asset ClassesAs Of March 31, 2011 4 CAPITAL MARKETS REVIEW –MARCH 31, 2011 This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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 Summary The earthquake and tsunami that hit Japan on March 11 created immeasurable hardship for its people, and grabbed the world’s attention for two reasons. First and foremost is the human tragedy. Second is the damage caused to the Japanese economy that has struggled with anemic growth for the past two decades. The infrastructure damage caused by this disaster has threatened Japan’s manufacturing capacity and the effects have already been felt in the electronic and automotive sectors. Investors managed risk by reducing exposure to companies strongly tied to the Japanese economy. Despite these triggers and the resulting volatility the domesticmarkets continued to move cautiously higher this quarter. The Dow Jones Industrial Average (DJIA) wasup 7.07% and the S&P 500 Index ended the quarter with a gain of 5.92%, its best quarter in 13 years. The NASDAQ Composite Index gained 5.02%. The S&P400 Mid-cap Index gained 9.36%, and the S&P 600 Small Cap Index was up 7.71%for the quarter. Domestic growth is slow, but steady. Manufacturing is expanding, albeit very slowly. The labor market is showing gradual improvement. Wage growth is slow and inflation is low. After having adjusted to post-recession estimates and predictions, investors had little to getexcited about this earnings season. Investor confidence was encouraged by the number of companies that initiated, reinstated or increased dividends. With the economy remaining sluggish and upside earnings surprises likely peaked, some institutional investors now consider profit forecasts for the S&P to be the best case scenario. Mergers and acquisitions remained strong during the quarter as company executives continued to pursue large acquisitions. Global M&A activity for the first three months of the year totaled $716.3 billion. That is up 16% from $618.5 billion a year ago. In international markets, the most indebted countries in the Eurozoneare leading market returns. Italy, Greece and Spain were each up better than 7.0% this quarter despite fears the European debt crisis is worsening. The European market is struggling with many of the same issues as the U.S. domestic market. Expansion is slow. The job market is weak and unemployment remains high. Inflation is a concern. Debt is growing. The French CAC40 was up 5.6% and kept pace with Western markets. The German DAX was up 3.0%. BC Agg BC Int GC R 1000 R Mid R 2000 MSCI EAFE MSCI EM T‐Bills ML HYM 0 2 4 6 8 10 12 051015202530 Return (%) Risk (Standard Deviation %) Risk/Return Comparison Five Years Ending March 31, 2011 5 CAPITAL MARKETS REVIEW –MARCH 31, 2011 This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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 Summary Japan was the focal point in Asian markets. It will be some timebefore the full impact of the devastation to the world’s third largest economy is known. Japan must first provide services to its affected people and deal with a potential nuclear disaster. The rebuilding process will be lengthy, and require considerable capital and resources. The Nikkei 225 Indexdropped immediately following the disaster, but was making a modest recovery by the end of the quarter finishing down 5.0%. China’s manufacturing growth accelerated for the first time in four months easing concerns that monetary tightening would lead to a slowdown in the world’s second largest economy. Although volatile, the China CSI 300 Index gained 4.6% for the quarter. In the domestic fixed income markets the Federal Reserve kept interest rates unchanged during the quarter, however, comments from several regional Fed Presidents indicate differing opinions on this position. This dissention supported the opinion of many investors who have been liquidating U.S. debt in advance of an anticipated rate hike. PIMCO, the world’s largest bond fund, announced this quarter that it had sold all of its long-term U.S. debt holdings in search of higher yields elsewhere. Corporations continued to take advantage of the low interest rate environment by issuing a record $259.4 billion in new issuance for the quarter. Unlike the U.S. market, European economic leaders have the additional burden of managing an interest rate that must accommodate and foster growth for weak economies and not overheat stronger economies. Portugal, Ireland, and Greece need rates to remain low to avoid a sovereign debt crisis. By not raising rates, the European Central Bank risks inflationary damage to the German and French economies. Nervous bond investors hedged positions ahead of a scheduled ECB meeting in early April. Less risk adverse investors actively sought higher yieldsin emerging market country debt. On a final note of interest; Last quarter China expressed its financial support for Spain and other European country debt. This quarter the Financial Times reportedthat China surpassed the World Bank in providing loans to developing countries. 6 CAPITAL MARKETS REVIEW –MARCH 31, 2011 This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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. Domestic Equity The U.S. equity market remained resilient during the first quarter despite a number of event-driven risks. All major U.S. equity indices rose over 5% led by the Dow Jones Industrial Average, which posted a 7.07% return for its best first quarter since 1998. In a quarter where disaster struck Japan, social unrest escalated in the Middle East, oil and gas prices increased significantly, and the threat of a federal government shutdown the major indices ended each month of the quarter 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 1Q111 year3 years5 years10 years Return (%) Broad Domestic Equity Performance Large Cap Mid Cap Small Cap Russell 1000 6.24 Russell Midcap 7.63 Russell 2000 7.94 -10-50510 9.246.60 7.42 6.46 First Quarter Domestic Equity Returns ValueGrowth 6.03 7.85 higher than they began. While February was particularly strong (with all indices up over 3% in the month), January and March also added to a strong start to the year. Small cap stocks again outperformed large caps as the Russell 2000 rose 7.94% and the Russell 1000 rose 6.24%. Style results were mixed as the Russell 1000 Value (up 6.46%) outpaced the Russell 1000 Growth (6.03%) while the Russell 2000 Growth (9.24%) significantly outperformed the Russell 2000 Value (6.60%). 7 CAPITAL MARKETS REVIEW –MARCH 31, 2011 This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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. Domestic Equity In sector returns, the S&P 500 Energy sector continued its blistering pace as it posted a 16.80% gain for the quarter, easily outpacing the runner-up Industrial sector’s 8.75% return. Though it did slow down to 1.54% in March, Energy had six straight months of returns eclipsing 5% from September 2010 to February 2011. The sector has now posted a 60.25% cumulative return over the past 3 quarters. Energy and Industrials were the big winners of the first three months of 2011, as all other sectors trailed the overall S&P 500 but were still all able to post positive gains for the quarter. In U.S. mergers and acquisitions, while the total number of deals announced in first quarter 2011 declined from the first quarter of 2010, the dollar value of those deals more than doubled. Notable deals announced during the quarter were AT&T’s (T) proposed acquisition of T-Mobile USA 0 50 100 150 200 250 300 Style Performance 10 Year Growth of $100 R1000 ValueR1000 GrowthR2000 ValueR2000 Growth 2.52 2.74 3.04 3.47 4.54 4.71 4.85 5.62 5.92 8.75 16.80 Consumer Staples Utilities Financials Information Technology Materials Consumer Discretionary Telecommunication Services Health Care S&P 500 Industrials Energy S&P 500 1Q 2011 Sector Returns for $39 billion from Deutsche Telekom, and Duke Energy’s (DUK) bid for Progress Energy (PGN) at slightly more than $26 billion. Additionally, in February, the NYSE Euronext(NYX) agreed to be acquired by Deutsche Boersefor a friendly all-stock offer valued at nearly $10 billion ($35.75/ share). (However, it was announced on April 1st that NASDAQ (NDAQ) and Intercontinental Exchange (ICE) jointly made an unsolicited bid for NYSE that valued the companyat $42.50/ share ($11.3 billion) and included a cash payout of $14.24 per share. The NYSE rejected this unsolicited bid in favor of keeping its deal with Deutsche Boerse(which also carries a $362 million breakup fee), though the speculation of further overtures from NDAQ and ICE remained as of this writing.) In IPOs, first quarter 2011 proceeds were $12.4 billion, a sizeable increase from the $4.2 billion received during the same quarter in 2010. HCA Holdings (HCA), Kinder Morgan (KMI), and Nielsen Holdings (NLSN) each recorded proceeds greater than $1 billion from their IPOs. 8 CAPITAL MARKETS REVIEW –MARCH 31, 2011 This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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. International Markets The international markets started the quarter full of uncertainty as investors tried to gauge the impact of regional unrest in the Middle East and North Africa. Demonstrations that started in Tunisia have spread through most of the region. In three months we have witnessed the overthrow of governments in Egypt and Tunisia, civil war in Libya and half a dozen other countries facing protest. Some governments have promised reform, while others have used military, police and Marshall Law in attempts to stop the protests. Saudi Arabia is being watched closely, as any major unrest there will affect oil prices and possibly broader markets. The political upheaval has put a premium on oil prices that have recently traded above $110 per barrel compared to $91 at the beginning of the quarter. The turmoil has slashed over 23% from Egypt’s index as the Middle East returns trail all other regional returns for the quarter. Economists believe prolonged increasedoil prices will impact world growth during the recovery. The second major event this past quarter was the earthquake and resulting tsunami in Japan. The March 11th event has left over 12,000 confirmed dead with estimates that could go well above 20,000. The tsunami washed over the northern part of Japan causing devastation in its manufacturing sector as well as the lives and homes lost. Besides the quake, tsunami, and power outage Japan is also dealing with a nuclear reactor crises that rivals Chernobyl. In the days following the event the Japan index lost roughly 15% of its value and ended the quarter down 4.85%. Japan’s auto and electronics manufacturing was severely impaired as Sony, Toyota, Nissan, Honda and Mazda have all been impacted. All auto plants in Japan were shut down for at least a week to conserve energy and assess damage to plants and suppliers. The largest supplier of auto safety devices AutolivInc. was in the affected area as well as many global suppliers of parts that will affect all major auto supply chains. Some economists believe world auto production will be down 30% or 100,000 units per day in the near term. The international central banks have pledged to interveneto maintain stable Yen prices as Japan recovers and global companies headquartered in Japan bring moneyhome to rebuild. Japan India China Brazil United Kingdom Australia Mexico Germany South Africa Russia 1.6% 9.5% 9.6% 9.7% 13.6% 15.0% 19.1% 20.7% 26.0% 30.1% One Year International (Gross) Returns As Of March 31, 2011 9 CAPITAL MARKETS REVIEW –MARCH 31, 2011 This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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. International Markets With Japan and the Middle East grabbing headlines this quarter, less attention has been paid to debt and banking problems of Europe. After denying the need for a bailout for quite some time, Portugal has finally officially requested assistance from the EU and IMF.Portugal has been trying to clean up its own fiscal problems and to avoid the austerity measures thatcome attached to a bailout. The Portuguese government has not been able to agree on any meaningful moves to balance the budget, and the interest rate on its debt is too high to support long term. After a downgrade from Moody’s, the annual interest on its one year note jumped 1.6% to 5.9%, addinghuge costs for the government. Spain and Italy are the only two remaining infamous “PIIGS”countries that have not received a bailout. Both Spain and Italy have declared their finances are good enough to avoid external assistance. Greece, Ireland and Portugal all declared the same for months until debt markets proved otherwise. The EU has also declared its first interest rate hike since the great recession. While Europe’s inflation is not nearly as high as China’s it must delicately balance the inflation problems of its core manufacturing countries , such as Germany and the slow growth and fiscal problems of countries such as Portugal. Despite the economic problems in Europe, the MSCI Europe Index gained 6.56% this quarter. Germany, considered Europe’s current economic leader, posted market declines during the final month of the quarter, however, the MSCI Germany Index still managed a gain of 7.57%. Higher energy prices and political stability are moving the Russian markets higher. The MSCI Russia Index advanced 16.29% this quarter. The trailing one year return is 30.06%. China continued monetary tightening and chose to raise interest rates again this quarter. The MSCI ChinaIndex advanced 2.88% this quarter and is up 9.58% year over year. Fixed Income All things considered, the fixed income market managed to navigate a difficult first quarter with most sectors posting moderate gains. The Barclays Capital U.S. Aggregate Bond index was up 0.42% for the quarter with monthly returns of 0.12%, 0.25%, and 0.05%. The Barclays Capital U.S. Government Intermediate index was barely up at 0.01% for the quarter with monthly returns of 0.28%, -0.23%, and -0.04%. The Barclays Capital U.S. Corporate Investment Grade index increased 0.86% for the quarter with monthly returns of 0.20%, 0.79%, and -0.13%. 10 CAPITAL MARKETS REVIEW –MARCH 31, 2011 This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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. Fixed Income Revolution in the Middle East, destruction in Japan, and uncertainty in Europe over sovereign debt all led investors to the safety of Treasury bonds, even as U.S. economic news pressured yields higher. The benchmark 10 Year Treasury rose 15 bps during the quarter, and the 5 Year climbed 22 bps plumping up the belly of the yield curve the Fed has been fighting to keep down during QE2. Fear of rising inflation built during the quarter, even as increasing food and fuel prices have yet to materialize in the headline CPI numbers. Agencies continue to perform somewhat better than Treasuries. Demand has easily absorbed the relatively low levels of issuance in Agency mortgage-backed securities. Corporate bond returns continue to be driven by healthy earnings, solid credit fundamentals, and strong demand for new issuance. Also, the Moody’s speculative grade default rate 12 month trailing number is below3% compared to 11.7 % this time last year, and they reported no defaults in the month of January for the first time since June 2007. High Yield bonds were the big performer of the quarter with a return of 3.88% according to the Barclays Capital U.S. Corporate High Yield index. All high yield sectorswere positive, with food and drug retailers, technology, and energy gaining the most. 0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 3 MO6 MO2 YR5 YR10 YR30 YR Treasury Yield Curve 12/31/200812/31/200912/31/20103/31/2011 0.00% 5.00% 10.00% 15.00% 1Q11YTD1 YR3 YR5 YR Credit Performance AAA AA A BBB BB ‐2.00% 0.00% 2.00% 4.00% 6.00% 8.00% 1Q11YTD1 YR3 YR5 YR10 YR Sector Performance GovtsCorpsMortgagesMunis 11 CAPITAL MARKETS REVIEW –MARCH 31, 2011 This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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. Commodities Commodity prices were mixed during the quarter. Oil grabbed the most attention as it closed at a two and half year high above $106 per/bbl and advanced 16.8% for thequarter. Gold closed above $1,438, but only advanced 1.3%, the second weakest quarter since 2008. Silver increased 22.5%, closing above $37. Silver is now up more than 100% from the first quarter of last year. Aluminum advanced 6.6% during the quarter. In addition to oil and metals, inflationary concerns helped agricultural commodities post strong gains for the quarter. Cotton was up more than 38% (up 17% in February), and corn rose more than 10%. Wheat, which was up more than 47% last year, declined slightly less than 4% during the quarter. Currency In March, the New York Federal Reserve Bank took the extraordinary measure of intervening in the currency markets following the earthquake and tsunami that devastated Japan and threaten to hyper- inflate the Japanese Yen. A Fed spokesperson confirmed the intervention, supported by the Group of seven major industrialized nations, but refused any specific details, saying the action was necessary as the Yen surged to post-war levels and threatened to depress the country’s exports. The action proved effective as the Yen stabilized and allowed the Dollar and Euro to advance. A lack of monetary policy change in the U.S. and a change in investor opinion helped the Euro gain on the dollar. Much of this gain is attributed to the current U.S. monetary policy and economic stimulus program. However, there appears to have been a change in investor opinion on the status of the dollar’s value as a safe-haven. Typically, the dollar has been sought by investors duringtimes of political or financial turmoil. The Dollar Index lost 3.8% versus a basket of six major currencies this quarter. Recently, investors have been shunning the dollar and buying the Swiss franc, Japanese Yen and Euro. The Euro closed the quarter above $1.41 with a 6% move upward from its February 14 low of $1.34. 0.00%5.00%10.00%15.00%20.00%25.00% U.K. Japan Europe Canada Australia 13.6% 1.6% 13.1% 23.1% 15.0% 11.3% 14.9% 3.6% 9.2% 19.8% 1 Year Country And Currency Returns As of March 31, 2011 CurrencyCountry Return 12 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 Growthcontains 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 EAFEis the Morgan Stanley Capital International Europe, Australia, Far East Index designed to measure the performance of developed stock markets in these areas. Barclays AggBondis 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 500is a representative sample of 500 leading companies in leading industries of the U.S. economy. DJ Wilshire REITis 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. CAPITAL MARKETS REVIEW –MARCH 31, 2011 CAPITAL MARKET INDEX RETURNS This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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. 19921993199419951996199719981999200020012002200320042005200620072008200920102011 Russell Russell DJ Russell Russell Russell DJ Russell BarclaysRussell DJ DJ DJ Russell BarclaysRussell Russell Russell BEST 20001000Wilshire 100010002000Wilshire 2000Agg2000Wilshire Wilshire Wilshire 1000Agg100020002000 ValueValueREITValueGrowthGrowthREITValueBondGrowthREITREITREITGrowthBondGrowthGrowthGrowth 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%9.24% DJ Russell Russell Russell Russell Russell DJ DJ Russell Russell Russell Russell DJ DJ Wilshire 20001000100010002000Wilshire Wilshire 2000200020002000Wilshire Wilshire REITValueGrowthGrowthGrowthValueREITREITValueValueValueGrowthREITREIT 15.13%23.84%2.66%37.53%23.12%33.35%28.57%33.16%22.83%12.36%3.60%46.02%22.25%13.54%26.34%11.17%-28.92%34.47%28.07%6.70% Russell Russell DJ Russell Russell BarclaysBarclaysRussell Russell Russell Russell Russell Russell Russell 10001000Wilshire 10002000AggAgg2000100020002000100020002000 ValueValueREITGrowthValueBondBondValueValueValueGrowthValueValueValue 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%6.60% Russell DJ Russell Russell Russell Russell Russell Russell Russell DJ Russell Russell Russell BarclaysDJ Russell Russell 2000Wilshire 2000100010001000100010001000Wilshire 100010001000AggWilshire 10001000 GrowthREITGrowthValueGrowthValueValueValueValueREITValueGrowthValueBondREITGrowthValue 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%6.46% Russell Russell Russell Russell DJ BarclaysRussell Russell Russell Russell Russell Russell Russell 2000200020002000Wilshire Agg1000200010002000100010001000 GrowthValueValueValueREITBondValueGrowthValueGrowthGrowthValueGrowth 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%6.03% BarclaysRussell BarclaysRussell Russell Russell DJ Russell Russell Russell Russell Russell Russell Agg1000Agg200020002000Wilshire 100020002000100020002000 BondValueBondGrowthGrowthGrowthREITGrowthValueGrowthValueGrowthValue 7.40%10.06%-1.99%18.48%11.26%12.95%1.23%-2.57%-13.96%-11.88%-22.09%29.76%10.87%4.71%13.35%-0.17%-38.54%20.58%15.06%5.92% Russell BarclaysRussell DJ BarclaysRussell BarclaysRussell Russell Russell Russell Russell Russell Russell DJ Russell 1000Agg2000Wilshire Agg2000Agg1000100010001000200010002000Wilshire 1000 GrowthBondGrowthREITBondValueBondGrowthGrowthGrowthGrowthGrowthGrowthValueREITValue 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%3.37% Russell BarclaysBarclaysDJ Russell Russell Russell BarclaysBarclaysBarclaysBarclaysDJ BarclaysBarclaysBarclays 1000AggAggWilshire 200020002000AggAggAggAggWilshire AggAggAgg WORST GrowthBondBondREITValueGrowthGrowthBondBondBondBondREITBondBondBond -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%0.42% S&P 500 S&P 500 MSCI EAFE S&P 500 MSCI EAFE S&P 500 MSCI EAFE MSCI EAFE S&P 500 S&P 500 S&P 500 MSCI EAFE MSCI EAFE S&P 500 S&P 500 S&P 500 MSCI EAFE MSCI EAFE S&P 500 MSCI EAFE S&P 500 MSCI EAFE S&P 500 S&P 500 MSCI EAFE S&P 500 MSCI EAFE MSCI EAFE S&P 500 MSCI EAFE S&P 500 MSCI EAFE MSCI EAFE S&P 500 MSCI EAFE S&P 500 MSCI EAFE MSCI EAFE MSCI EAFE S&P 500 13 Equity vs. Fixed -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/10 Equity vs. FixedMean1 Standard Deviation2 Standard Deviations Equity Outperforming Fixed Outperforming Domestic vs. Foreign -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/10 Domestic vs. ForeignMean1 Standard Deviation2 Standard Deviations Foreign Outperforming Domestic Outperforming CAPITAL MARKETS REVIEW –MARCH 31, 2011 RELATIVE PERFORMANCE OF KEY INDICES This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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 14 CAPITAL MARKETS REVIEW –MARCH 31, 2011 RELATIVE PERFORMANCE OF KEY INDICES This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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. Large vs. Small -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/10 Large vs. SmallMean1 Standard Deviation2 Standard Deviations Large Outperforming Small Outperforming Large Value vs. Large Growth -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/10 Large Value vs. Large GrowthMean1 Std Deviation2 Std Deviations Value Outperforming Growth Outperforming 15 CAPITAL MARKETS REVIEW –MARCH 31, 2011 RELATIVE PERFORMANCE OF KEY INDICES This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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. Small Value vs. Small Growth -60 -40 -20 0 20 40 60 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/10 Small Value vs. Small GrowthMean1 Standard Deviation2 Standard Deviations Value Outperforming Growth Outperforming Equity vs. REIT -80 -60 -40 -20 0 20 40 60 80 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/10 Equity vs. REITMean1 Standard Deviation2 Standard Deviations Equity Outperforming REIT Outperforming 16 CAPITAL MARKETS REVIEW –MARCH 31, 2011 RELATIVE PERFORMANCE OF KEY INDICES This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof 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. Fixed Income vs. REIT -120 -80 -40 0 40 80 120 12/79 - 12/8012/80 - 12/8112/81 - 12/8212/82 - 12/8312/83 - 12/8412/84 - 12/8512/85 - 12/8612/86 - 12/8712/87 - 12/8812/88 - 12/8912/89 - 12/9012/90 - 12/9112/91 - 12/9212/92 - 12/9312/93 - 12/9412/94 - 12/9512/95 - 12/9612/96 - 12/9712/97 - 12/9812/98 - 12/9912/99 - 12/0012/00 - 12/0112/01 - 12/0212/02 - 12/0312/03 - 12/0412/04 - 12/0512/05 - 12/0612/06 - 12/0712/07 - 12/0812/08 - 12/0912/09 - 12/10 Fixed Income vs. REITMean1 Standard Deviation2 Standard Deviations Fixed Income Outperforming REIT Outperforming 17 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. CAPITAL MARKETS REVIEW –MARCH 31, 2011 GENERAL DISCLOSURE STATEMENT This and/or the accompanying information was prepared by or obtained from sources which are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof this report. Past performance is not indicative of future results. 18 CAPITAL MARKETS REVIEW –MARCH 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 are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof this report. Past performance is not indicative of future results. 19 CAPITAL MARKETS REVIEW –MARCH 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 are believed to be reliable but does notguarantee its accuracy. Please see important disclosure and reference information at the conclusionof this report. Past performance is not indicative of future results. 20 City of Clearwater Asset Allocation vs Target & Policy Total Fund As of 3/31/11 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 Dodge & Cox Western Asset Management Co. Security Lending Income Account In House Account Total Domestic Fixed Income Earnest Partners Wentworth & Violich Eaton Vance Mgmt Wellington Mgmt Total International Equity Multi Employer Property Trust Security Capital Total Real Estate Total Fund 95,161,511.49 31,660,257.73 45,616,112.54 43,997,798.67 44,718,948.76 12,607,215.88 12,288,520.97 21,449,301.01 307,499,667.05 106,949,121.49 81,903,044.23 216,755.29 6,260,535.69 195,329,456.70 31,933,073.90 33,402,629.43 31,184,019.66 28,323,892.80 124,843,615.79 21,609,855.18 44,610,779.14 66,220,634.32 693,893,373.86 13.71 4.56 6.57 6.34 6.44 1.82 1.77 3.09 44.32 15.41 11.80 0.03 0.90 28.15 4.60 4.81 4.49 4.08 17.99 3.11 6.43 9.54 100.00 42.00 30.00 18.00 10.00 21 City of Clearwater Sources of Fund Growth Total Fund 12/31/10 - 3/31/11 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 Dodge & Cox Western Asset Management Co. Security Lending Income Account In House Account Fixed Income Comp Earnest Partners Wentworth & Violich Eaton Vance Mgmt Wellington Mgmt International EQ Comp Multi Employer Property Trust Security Capital Real Estate Comp Total Fund 89,481,396 30,335,955 42,840,069 40,885,652 40,943,329 11,513,747 11,415,579 19,641,532 287,057,260 105,689,606 81,482,274 137,548 4,973,934 192,283,362 29,711,160 31,374,115 30,980,329 28,784,020 120,849,625 20,943,622 41,879,497 62,823,119 663,013,366 -9 0 0 -67 0 0 -75 0 -150 0 0 79,148 1,286,602 1,365,750 -940 -606 0 0 -1,546 0 0 0 1,364,053 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 5,680,124 1,324,303 2,776,044 3,112,213 3,775,620 1,093,469 873,016 1,807,769 20,442,558 1,259,515 420,771 59 0 1,680,345 2,222,854 2,029,121 203,691 -460,128 3,995,538 666,233 2,731,282 3,397,515 29,515,955 95,161,511 31,660,258 45,616,113 43,997,799 44,718,949 12,607,216 12,288,521 21,449,301 307,499,667 106,949,121 81,903,044 216,755 6,260,536 195,329,457 31,933,074 33,402,629 31,184,020 28,323,893 124,843,616 21,609,855 44,610,779 66,220,634 693,893,374 22 City of Clearwater Executive Summary Table Periods Ending March 31, 2011 Net of Fee Return Name Value $(000) Periods Ending 3/31/11 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 693,893 307,500 172,438 31,660 95,162 45,616 88,717 43,998 44,719 46,345 12,607 21,449 12,289 124,844 31,933 31,184 28,324 33,403 195,329 4.45 3.79 7.12 5.92 6.01 6.24 4.37 6.46 6.35 6.02 6.48 6.46 8.42 7.63 7.61 7.86 9.22 7.44 8.87 7.93 9.50 6.59 9.20 9.24 7.65 6.59 3.31 3.45 7.48 3.45 0.66 2.10 -1.60 2.10 6.47 3.45 0.87 0.42 17.13 13.60 22.97 15.64 17.10 16.70 16.68 15.16 18.18 18.25 15.29 15.16 30.82 24.30 34.27 26.62 27.59 22.29 29.44 25.78 28.68 20.63 29.26 20.63 18.66 10.90 21.69 10.90 17.81 18.78 12.97 18.78 21.80 10.90 6.01 5.12 7.55 4.22 6.54 2.36 2.96 2.98 2.38 0.61 4.59 5.19 0.87 0.61 9.64 7.26 12.35 7.64 10.00 6.62 10.51 8.56 13.98 6.76 10.12 6.76 3.24 -2.53 4.09 4.62 7.11 5.30 5.94 4.99 4.09 2.63 2.91 2.93 4.57 4.34 5.99 4.67 9.29 4.93 4.55 3.35 9.65 2.23 4.27 2.23 5.23 1.78 6.85 6.02 6.84 6.79 6.36 4.46 5.05 4.95 6.62 5.09 7.97 8.25 10.73 7.78 7.46 6.60 11.50 6.13 6.97 6.13 9.13 6.71 5.43 4.77 6.18 6.87 5.50 3.29 3.88 3.83 4.33 2.99 8.09 8.53 5.50 5.57 7.51 7.79 7.75 6.80 6.83 7.05 8.20 5.77 9.14 9.93 6.08 6.20 9.49 9.62 11.03 9.95 10.09 9.97 -0.71 -3.55 11.26 9.31 -3.33 -3.55 12.55 11.79 8.86 6.30 4.17 1.26 8.78 8.59 12.03 8.57 27.10 27.92 8.80 8.57 7.05 5.58 3.38 -4.39 2.43 1.98 4.09 4.62 0.53 -4.39 6.96 7.28 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 23 City of Clearwater Executive Summary Table Periods Ending March 31, 2011 Net of Fee Return Name Value $(000) Periods Ending 3/31/11 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 Multi Employer Property Trust NCREIF ODCE Security Capital Wilshire RESI 106,949 6,261 217 81,903 66,221 21,610 44,611 1.19 0.42 0.00 0.04 0.03 0.04 0.52 0.42 5.41 5.77 3.18 4.01 6.52 6.63 6.26 5.12 0.00 0.15 15.16 0.15 5.58 5.12 24.19 19.85 26.56 24.85 7.67 5.30 0.00 0.47 13.23 0.47 6.23 5.30 7.06 6.02 0.00 2.09 9.82 2.09 6.49 6.02 5.63 4.77 0.00 2.22 7.70 2.22 0.00 2.12 0.00 3.16 5.65 4.83 0.79 4.05 7.04 2.10 5.48 5.04 -1.05 -1.78 8.05 9.20 -0.41 -0.43 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 9/30/10 9/30/10 4/30/08 4/30/08 24 City of Clearwater Executive Summary Table March 31, 2011 Net of Fee Return Name Value $(000) Calendar Years YTD 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 693,893 307,500 172,438 31,660 95,162 45,616 88,717 43,998 44,719 46,345 12,607 21,449 12,289 124,844 31,933 31,184 28,324 33,403 195,329 4.45 3.79 7.12 5.92 6.01 6.24 4.37 6.46 6.35 6.02 6.48 6.46 8.42 7.63 7.61 7.86 9.22 7.44 8.87 7.93 9.50 6.59 9.20 9.24 7.65 6.59 3.31 3.45 7.48 3.45 0.66 2.10 -1.60 2.10 6.47 3.45 0.87 0.42 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 25 City of Clearwater Executive Summary Table March 31, 2011 Net of Fee Return Name Value $(000) Calendar Years YTD 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 Multi Employer Property Trust NCREIF ODCE Security Capital Wilshire RESI 106,949 6,261 217 81,903 66,221 21,610 44,611 1.19 0.42 0.00 0.04 0.03 0.04 0.52 0.42 5.41 5.77 3.18 4.01 6.52 6.63 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 26 City of Clearwater Cumulative Performance Comparison Total Returns of Total Fund Public Sponsors Periods Ending 3/11 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 5.20 4.41 3.85 3.24 2.37 4.45 23 3.79 51 16.76 14.38 12.98 11.44 9.20 17.13 4 13.60 38 29.40 23.67 21.33 19.02 13.66 31.06 3 28.17 6 7.01 5.21 4.32 3.41 1.22 7.55 2 4.22 54 5.47 4.38 3.43 2.53 0.70 5.28 9 3.10 60 6.17 5.29 4.63 3.99 2.78 5.94 9 4.99 35 7.23 6.18 5.80 5.19 4.15 7.21 5 6.67 16 7.29 6.25 5.76 5.20 4.34 6.84 10 6.79 10 9.85 8.66 7.89 7.11 6.04 8.87 20 9.73 6 7.43 6.53 5.98 5.22 4.75 6.64 22 7.09 10 7.14 6.37 5.75 5.07 4.37 6.18 32 6.87 9 0% 5% 10% 15% 20% 25% 30% 35% T1 T 1 T 1 T 1 T 1 T1 T1 T1 T1 T1 T1 27 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 3/31/11 YTD2010200920082007200620052004200320022001 5.20 4.41 3.85 3.24 2.37 4.45 23 3.79 51 17.24 13.97 12.67 11.23 9.33 17.73 3 13.96 25 27.37 21.60 19.11 15.60 9.61 30.28 3 26.00 7 -9.71 -20.20 -24.04 -27.21 -30.38 -27.10 74 -27.73 79 10.77 8.69 7.52 6.38 4.36 7.20 59 6.69 66 16.32 14.05 12.08 10.28 6.63 11.76 54 16.59 4 10.34 8.11 6.52 5.33 3.91 6.71 46 8.25 23 13.91 11.79 9.90 8.40 5.70 9.90 50 13.48 6 26.04 22.56 19.72 17.04 11.34 19.63 51 25.03 10 1.58 -5.91 -8.28 -9.76 -12.76 -8.74 60 -8.11 48 4.40 -0.68 -2.68 -4.76 -8.99 -5.35 81 -3.38 59 -35% -30% -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% T1 T 1 T 1 T1 T1 T 1 T1 T 1 T 1 T1 T1 28 City of Clearwater Performance Summary Total Fund March 31, 2011 -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 Incept 12/31/87 Total FundPolicy 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 4.45 3.79 23 6.35 6.02 34 4.37 6.46 82 6.48 6.46 43 7.61 7.86 61 9.22 7.44 20 9.50 6.59 9 4.45 3.79 23 6.35 6.02 34 4.37 6.46 82 6.48 6.46 43 7.61 7.86 61 9.22 7.44 20 9.50 6.59 9 17.15 13.60 4 18.18 18.25 41 16.68 15.16 28 15.29 15.16 40 34.27 26.62 11 27.59 22.29 10 28.68 20.63 9 7.56 4.22 1 4.59 5.19 43 2.38 0.61 44 0.87 0.61 78 12.35 7.64 10 10.00 6.62 32 13.98 6.76 5 5.95 4.99 9 4.57 4.34 40 9.29 4.93 7 9.65 2.23 1 9.49 9.62 11.26 9.31 -0.71 -3.55 -3.33 -3.55 8.86 6.30 4.17 1.26 12.03 8.57 12/31/87 12/31/87 6/30/07 6/30/07 7/31/01 2/28/07 8/31/03 $693,893,374 $95,161,511 $31,660,258 $45,616,113 $43,997,799 $44,718,949 $12,607,216 29 City of Clearwater Performance Summary Total Fund March 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 7.65 6.59 45 9.20 9.24 47 7.48 3.45 3 6.47 3.45 5 0.66 2.10 50 -1.60 2.10 92 1.19 0.42 34 0.52 0.42 65 0.03 0.04 0.00 0.04 7.65 6.59 45 9.20 9.24 47 7.48 3.45 3 6.47 3.45 5 0.66 2.10 50 -1.60 2.10 92 1.19 0.42 34 0.52 0.42 65 0.03 0.04 0.00 0.04 29.26 20.63 9 21.69 10.90 9 21.80 10.90 9 18.17 18.78 50 12.97 18.78 83 6.26 5.12 46 5.58 5.12 54 15.16 0.15 0.00 0.15 10.12 6.76 42 4.09 4.62 67 7.67 5.30 20 6.23 5.30 40 14.22 0.47 0.00 0.47 4.27 2.23 70 7.06 6.02 24 6.49 6.02 43 10.39 2.09 0.00 2.09 8.80 8.57 27.10 27.92 3.38 -4.39 0.53 -4.39 2.65 1.98 4.09 4.62 67 5.65 4.83 5.48 5.04 7.40 2.10 0.79 4.05 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 $12,288,521 $21,449,301 $31,933,074 $33,402,629 $31,184,020 $28,323,893 $106,949,121 $81,903,044 $216,755 $6,260,536 30 City of Clearwater Performance Summary Total Fund March 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 3.18 4.01 56 6.52 6.63 15 3.18 4.01 56 6.52 6.63 15 26.56 24.85 6 8.05 9.20 56 -0.41 -0.43 9/30/10 4/30/08 $21,609,855 $44,610,779 31 32 City of Clearwater Domestic Equity Comp as of 3/31/11 Exxon Mobil Corp Apple Computer Inc Microsoft Corp Google Inc Oracle Systems Corp Philip Morris Intl I Roper Inds Inc New McDonalds Corp Qualcomm Inc Directv GICS Sector% Port Energy Information Technology Information Technology Information Technology Information Technology Consumer Staples Industrials Consumer Discretionary Information Technology Consumer Discretionary 2.48 2.16 1.18 1.16 1.12 1.08 1.03 0.93 0.93 0.88 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 9.00 7.27 16.04 14.20 6.24 10.08 12.15 22.65 0.02 2.34 -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 12/31/87 Domestic Equity CompS&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 7.12 5.92 287,057 0 20,443 307,500 7.12 5.92 287,057 0 20,443 307,500 22.97 15.64 255,585 -5,133 57,047 307,500 6.54 2.36 266,580 -5,133 46,053 307,500 4.09 2.63 297,129 -5,133 15,504 307,500 5.50 3.29 266,275 -5,133 46,357 307,500 11.03 9.95 32,236 -5,133 280,397 307,500 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 33 City of Clearwater Domestic Equity Comp as of 3/31/11 Cash & Equiv $6,519 2.12% Domestic Equity $300,562 97.74% Other $419 0.14% Periods from 12/87 to 3/11 Alpha Beta R-Squared 0.18 1.09 0.93 Annualized Return% 0.02.04.06.08.010.012.014.016.018.020.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 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 11.03 9.95 4.19 17.90 15.90 1.16 0.38 0.36 0.00 0.25 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 34 City of Clearwater Cumulative Performance Comparison Total Returns of Equity Portfolios Periods Ending 3/11 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 10.91 7.98 6.28 5.09 0.91 7.12 36 5.92 60 33.77 24.72 17.66 14.34 6.17 22.97 30 15.64 64 51.76 41.94 34.08 30.85 18.64 38.44 36 31.59 70 13.84 8.60 4.36 2.40 -1.18 6.54 37 2.36 76 9.04 4.94 2.12 0.47 -2.54 3.31 39 0.45 75 9.32 5.85 3.74 2.64 0.07 4.09 45 2.63 75 11.49 8.27 5.83 4.18 2.47 6.43 43 4.09 82 11.50 8.43 6.26 4.67 2.84 6.36 48 4.46 85 16.47 13.32 10.24 8.16 6.61 10.13 50 7.87 84 11.19 8.69 6.08 3.98 3.09 5.85 52 3.64 86 12.48 9.01 5.75 3.67 2.78 5.50 52 3.29 86 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% E1 E 1 E 1 E 1 E 1 E1 E 1 E1 E 1 E 1 E 1 35 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 3/31/11 YTD2010200920082007200620052004200320022001 10.91 7.98 6.28 5.09 0.91 7.12 36 5.92 60 32.04 25.09 17.09 14.11 6.38 22.53 32 15.05 67 54.50 36.65 28.69 24.08 8.75 32.14 38 26.45 64 -15.88 -33.44 -37.01 -41.10 -49.27 -37.76 57 -36.99 49 22.16 10.18 5.41 0.28 -7.56 7.18 35 5.52 47 23.16 17.52 14.59 9.99 1.64 13.01 61 15.81 38 16.04 10.49 6.90 4.56 -0.10 8.12 41 4.89 70 25.38 18.13 13.02 9.97 3.32 13.18 48 10.87 67 58.79 39.38 31.40 27.52 17.91 33.74 41 28.69 66 -3.46 -14.46 -20.85 -24.74 -35.43 -21.30 53 -22.12 62 19.83 3.14 -8.39 -14.06 -30.94 -10.98 56 -11.88 63 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% E1 E 1 E 1 E1 E1 E1 E1 E1 E 1 E1 E1 36 City of Clearwater Risk Measure Summary Domestic Equity Comp Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 1.17 0.82 0.75 -9.36 12.68 22.97 22.97 1 3 -11.43 11.30 15.64 15.64 4 8 1.14 0.94 0.58 -23.59 18.14 -36.90 55.86 25.60 1.05 1.03 0.99 0.24 5.76 2.58 1.70 5 7 -21.93 15.93 -38.07 49.75 24.36 0.08 7 13 1.08 0.99 0.60 -23.59 18.14 -37.76 55.86 20.81 1.05 0.38 0.98 0.09 1.78 3.04 0.53 8 12 -21.93 15.93 -38.07 49.75 19.73 0.02 30 63 1.09 1.04 0.72 -23.59 22.08 -37.76 55.86 17.90 1.09 0.18 0.93 0.38 6.28 4.85 0.25 26 67 -21.93 21.32 -38.07 49.75 15.90 0.36 37 City of Clearwater Return vs Risk Total Returns of Equity Portfolios Annualized Rate of Return 18.020.022.024.026.028.030.032.034.0 -4.0 -2.2 -0.4 1.3 3.1 5.0 6.8 8.6 10.4 12.2 14.0 E S MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank E Domestic Equity Comp S Standard & Poors 500 Median 6.543725.6053 2.367624.3634 4.3625.43 Annualized Rate of Return 15.016.217.418.619.821.022.223.424.625.827.0 -3.0 -1.6 -0.2 1.1 2.6 4.0 5.4 6.8 8.2 9.5 10.9 E S MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 3/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank E Domestic Equity Comp S Standard & Poors 500 Median 4.094520.8152 2.637519.7331 3.7420.77 38 City of Clearwater Large Cap Equity Comp as of 3/31/11 Exxon Mobil Corp Apple Computer Inc Microsoft Corp Google Inc Oracle Systems Corp Philip Morris Intl I McDonalds Corp Qualcomm Inc Directv Boeing Co GICS Sector% Port Energy Information Technology Information Technology Information Technology Information Technology Consumer Staples Consumer Discretionary Information Technology Consumer Discretionary Industrials 5.09 4.43 2.41 2.38 2.30 2.22 1.91 1.90 1.80 1.56 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 13.60 10.32 11.54 13.60 9.90 8.04 7.09 24.61 0.00 1.30 -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 3/31/88 Large Cap Equity CompR1000 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 6.01 6.24 162,657 0 9,780 172,438 6.01 6.24 162,657 0 9,780 172,438 17.10 16.70 111,514 33,870 27,054 172,438 2.96 2.98 119,642 33,870 18,926 172,438 2.91 2.93 153,473 33,870 -14,905 172,438 3.88 3.83 191,901 33,870 -53,333 172,438 10.09 9.97 18,032 33,870 120,536 172,438 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 39 City of Clearwater Large Cap Equity Comp as of 3/31/11 Cash & Equiv $2,052 1.19% Domestic Equity $169,966 98.57% Other $419 0.24% Periods from 3/88 to 3/11 Alpha Beta R-Squared 0.07 0.98 0.96 Annualized Return% 0.02.04.06.08.010.012.014.016.018.0 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 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 10.09 9.97 4.17 16.34 16.35 1.16 0.36 0.35 0.00 0.02 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 40 City of Clearwater Large Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 3/11 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 7.83 6.41 5.94 5.88 3.07 6.01 42 6.24 37 21.07 17.15 15.65 14.79 11.23 17.10 25 16.70 30 38.86 33.39 31.68 31.33 26.95 32.23 35 33.00 29 6.77 3.80 2.59 2.40 0.85 2.96 41 2.98 41 4.33 1.52 0.60 0.47 -1.25 1.79 21 0.81 44 5.87 3.31 2.74 2.64 1.60 2.91 41 2.93 40 6.95 5.08 4.24 4.10 3.63 4.77 37 4.57 43 7.23 5.77 4.84 4.47 4.05 5.05 45 4.95 48 11.37 9.53 8.48 7.89 7.38 8.66 43 8.44 50 7.06 5.09 4.21 3.66 3.58 4.41 44 4.16 50 7.62 4.65 3.70 3.31 3.22 3.88 48 3.83 48 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% L1 L1 L1 L1 L1 L1 L1 L1 L1 L1 L1 41 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 3/31/11 YTD2010200920082007200620052004200320022001 7.83 6.41 5.94 5.88 3.07 6.01 42 6.24 37 20.21 16.64 15.09 14.51 11.23 16.87 23 16.10 28 38.93 29.44 26.70 26.29 18.60 24.59 85 28.42 35 -27.87 -35.51 -36.93 -37.21 -42.02 -35.23 24 -37.60 80 12.44 5.91 5.51 5.01 -0.20 7.76 12 5.77 29 20.50 16.48 15.80 15.60 11.42 11.52 94 15.46 79 12.80 9.09 5.04 4.88 3.44 8.63 28 6.27 41 19.97 12.84 10.93 10.82 8.16 11.24 42 11.39 40 39.49 31.48 28.73 28.59 24.60 31.37 26 29.90 35 -11.66 -20.66 -22.00 -22.08 -23.79 -22.02 55 -21.65 41 8.89 -6.89 -11.77 -11.93 -12.38 -12.65 97 -12.46 96 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% L1 L1 L 1 L1 L1 L 1 L1 L1 L1 L1 L1 42 City of Clearwater Risk Measure Summary Large Cap Equity Comp Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 1.00 0.98 0.75 -11.23 11.90 17.10 17.10 1 3 -11.45 11.56 16.70 16.70 5 7 0.98 0.98 0.58 -20.96 16.91 -37.57 49.31 24.20 0.97 -0.01 0.99 0.10 2.53 2.13 -0.10 5 7 -22.48 16.49 -38.26 51.57 24.92 0.10 8 12 0.95 0.96 0.60 -20.96 16.91 -37.57 49.31 19.37 0.96 -0.01 0.99 0.04 0.73 2.13 -0.09 8 12 -22.48 16.49 -38.26 51.57 20.11 0.04 29 63 0.99 0.97 0.72 -20.96 20.12 -37.57 49.31 16.34 0.98 0.07 0.96 0.36 6.06 3.20 0.02 26 66 -22.48 21.88 -38.26 51.57 16.35 0.35 43 City of Clearwater Return vs Risk Total Returns of Large Neutral Portfolios Annualized Rate of Return 19.020.021.022.023.024.025.026.027.028.029.0 -2.0 -1.1 -0.2 0.6 1.5 2.5 3.4 4.3 5.2 6.1 7.0 L1 MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank L Large Cap Equity Comp 1 R1000 Median 2.964124.2033 2.984124.9275 2.5924.35 Annualized Rate of Return 16.017.018.019.020.021.022.023.024.0 0.5 0.9 1.4 1.8 2.3 2.7 3.2 3.6 4.1 4.5 4.9 L1 MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 3/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank L Large Cap Equity Comp 1 R1000 Median 2.914119.3721 2.934020.1171 2.7419.73 44 City of Clearwater ING Investment Mgmt as of 3/31/11 Exxon Mobil Corp Apple Computer Inc Microsoft Corp Google Inc Oracle Systems Corp Philip Morris Intl I Qualcomm Inc Directv United Technologies American Express Co GICS Sector% Port Energy Information Technology Information Technology Information Technology Information Technology Consumer Staples Information Technology Consumer Discretionary Industrials Financials 5.99 5.85 3.18 3.14 3.04 2.93 2.51 2.37 2.03 2.03 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 12.07 5.21 12.55 15.39 9.61 9.67 5.24 30.25 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 MgmtR1000G 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 6.35 6.02 89,481 0 5,680 95,162 6.35 6.02 89,481 0 5,680 95,162 18.18 18.25 55,612 23,387 16,163 95,162 4.59 5.19 57,437 23,387 14,338 95,162 4.57 4.34 53,563 23,387 18,211 95,162 4.33 2.99 86,635 23,387 -14,860 95,162 11.26 9.31 17,469 23,387 54,306 95,162 Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 45 City of Clearwater ING Investment Mgmt as of 3/31/11 Cash & Equiv $1,039 1.09% Domestic Equity $94,122 98.91% Periods from 12/87 to 3/11 Alpha Beta R-Squared 0.62 0.83 0.92 Annualized Return% 0.02.04.06.08.010.012.014.016.018.020.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 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 11.26 9.31 4.19 16.36 18.89 1.16 0.43 0.27 0.00 0.22 Asset Allocation ($000) Risk/Return Analysis 46 City of Clearwater Large Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 3/11 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 8.21 6.73 5.88 4.68 2.64 6.35 34 6.02 47 27.01 20.64 17.25 13.83 6.24 18.18 41 18.25 40 40.54 33.46 30.64 28.61 23.40 30.18 54 33.07 30 8.88 5.80 3.94 2.44 -1.30 4.59 43 5.19 33 7.32 4.86 3.15 1.78 -0.46 4.80 28 3.67 43 6.80 5.23 4.11 3.17 0.95 4.57 40 4.34 44 8.49 7.02 6.00 4.95 3.16 6.66 33 5.76 62 8.23 7.08 6.03 5.09 3.16 6.62 33 5.09 75 12.00 10.12 9.04 7.90 6.70 9.53 38 8.15 68 7.90 6.31 4.78 3.75 1.56 5.46 38 3.56 81 7.44 5.48 3.89 3.16 1.05 4.33 37 2.99 75 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% i1 i1 i 1 i1 i1 i1 i1 i1 i1 i 1 i1 47 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 3/31/11 YTD2010200920082007200620052004200320022001 8.21 6.73 5.88 4.68 2.64 6.35 34 6.02 47 26.45 18.69 15.50 12.65 7.14 17.10 37 16.72 43 54.26 39.38 34.43 29.68 20.58 24.43 90 37.21 33 -29.47 -35.21 -38.55 -42.41 -49.09 -33.18 12 -38.43 49 25.99 19.47 14.13 11.04 5.11 17.10 33 11.82 67 15.78 11.25 8.67 4.80 -3.09 7.14 64 9.09 49 17.71 12.52 8.64 5.36 2.63 12.02 29 5.27 77 21.30 13.68 11.01 7.03 4.67 10.27 53 6.30 81 50.58 33.26 29.82 26.33 18.63 30.00 49 29.75 53 -15.71 -20.78 -23.85 -27.67 -33.45 -22.22 30 -27.89 79 -5.52 -12.60 -16.75 -20.69 -26.21 -21.29 80 -20.42 73 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% i1 i1 i 1 i 1 i 1 i1 i 1 i1 i1 i 1 i1 48 City of Clearwater March 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 3/11 12/10 9/10 6/10 3/10 13.84 8.60 4.36 2.40 -1.18 4.59 49 5.19 45 8.20 2.72 -0.85 -2.95 -6.58 -0.88 50 -0.47 47 3.05 -2.36 -5.39 -7.22 -10.88 -3.32 32 -4.36 41 1.76 -5.50 -8.50 -10.37 -14.70 -5.32 23 -6.91 36 4.85 -0.34 -3.20 -5.11 -9.86 0.68 17 -0.78 28 -20% -15% -10% -5% 0% 5% 10% 15% i 1 i 1 i1i 1 i 1 ING Investment Mgmt Value Added Analysis - Net of Fee 6/069/0612/063/076/079/0712/073/086/089/0812/083/096/099/0912/093/106/109/1012/103/11 -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% -1.3 0.2 -1.5 -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 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R1000G 49 City of Clearwater Risk Measure Summary ING Investment Mgmt Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 0.98 0.96 0.75 -11.27 12.84 18.18 18.18 1 3 -11.74 13.00 18.25 18.25 5 7 0.90 0.94 0.67 -18.51 14.65 -32.48 43.38 22.00 0.87 -0.07 0.96 0.19 4.67 5.45 -0.25 4 8 -22.79 16.32 -34.27 49.75 24.65 0.19 7 13 0.92 0.91 0.65 -18.51 14.65 -33.18 43.38 18.14 0.88 0.08 0.95 0.13 2.67 4.71 -0.06 7 13 -22.79 16.32 -38.43 49.75 20.03 0.11 27 66 0.94 0.77 0.68 -18.51 23.26 -33.74 44.38 16.36 0.83 0.62 0.92 0.43 8.51 5.52 0.22 30 63 -22.79 26.75 -45.64 49.75 18.89 0.27 50 City of Clearwater Return vs Risk Total Returns of Large Growth Portfolios Annualized Rate of Return 16.017.819.621.423.225.026.828.630.432.234.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 i 1 MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank i ING Investment Mgmt 1 R1000G Median 4.594322.0015 5.193324.6550 3.9424.87 Annualized Rate of Return 12.014.016.018.020.022.024.026.028.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 i 1 MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 3/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank i ING Investment Mgmt 1 R1000G Median 4.574018.1413 4.344420.0350 4.1120.05 51 City of Clearwater Equity Summary Statistics ING Investment Mgmt Period Ending 3/11 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 PortfolioR1000G 65 94,122,384 94,035,076 19,305,768 1.35 19.28 18.75 1.04 3.64 35.31 9.64 626 91,252,482 6,491,236 1.43 18.66 19.83 1.00 3.74 38.15 9.64 Ten Largest Holdings Exxon Mobil Corp Apple Computer Inc Microsoft Corp Google Inc Oracle Systems Corp Philip Morris Intl I Qualcomm Inc Directv United Technologies American Express Co Market Value% of PortfolioQuarterly Ret 5,633,345 5,502,026 2,993,976 2,958,016 2,858,775 2,756,197 2,360,760 2,231,705 1,910,889 1,909,293 5.99 5.85 3.18 3.14 3.04 2.93 2.51 2.37 2.03 2.03 15.67 8.03 -8.63 -1.31 6.78 13.26 11.16 17.21 8.07 5.73 Ten Best Performers Whole Foods Mkt Inc Range Res Corp Blackstone Group L P Priceline Com Inc KLA Instrs Corp Harley Davidson Inc St Jude Med Inc Herbalife Ltd National-Oilwell Inc Suncor Energy Inc Ne Quarterly Ret 30.53 30.08 28.70 26.75 23.21 22.84 20.39 19.39 18.04 17.36 Ten Worst Performers Marvell Technology G Cisco Sys Inc Marriott Intl Inc Ne Netapp Inc Broadcom Corp Microsoft Corp Freeport-McMoran Cop Coach Inc Sigma Aldrich Corp Verisk Analytics Inc Quarterly Ret -16.17 -14.93 -14.15 -12.34 -9.38 -8.63 -7.11 -5.66 -4.11 -3.87 52 City of Clearwater Equity Contribution to Return ING Investment Mgmt Period Ending 3/11 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 PortfolioR1000G 65 94,122,384 94,035,076 19,305,768 1.35 19.28 18.75 1.04 3.64 35.31 9.64 626 91,252,482 6,491,236 1.43 18.66 19.83 1.00 3.74 38.15 9.64 Ten Best Contributors Exxon Mobil Corp Apple Computer Inc Directv Philip Morris Intl I Range Res Corp Priceline Com Inc St Jude Med Inc Blackstone Group L P Harley Davidson Inc Qualcomm Inc Market Value% of PortfolioQuarterly Ret 5,633,345 5,502,026 2,231,705 2,756,197 1,158,093 1,299,019 1,592,648 1,120,772 1,185,344 2,360,760 5.99 5.85 2.37 2.93 1.23 1.38 1.69 1.19 1.26 2.51 15.67 8.03 17.21 13.26 30.08 26.75 20.39 28.70 22.84 11.16 Ten Worst Contributors Microsoft Corp Cisco Sys Inc Netapp Inc Marvell Technology G Marriott Intl Inc Ne Broadcom Corp Freeport-McMoran Cop Procter & Gamble Co Coach Inc Google Inc Market Value% of PortfolioQuarterly Ret 2,993,976 1,331,132 1,413,119 1,002,617 835,418 1,087,400 1,157,662 1,264,032 742,090 2,958,016 3.18 1.42 1.50 1.07 0.89 1.16 1.23 1.34 0.79 3.14 -8.63 -14.93 -12.34 -16.17 -14.15 -9.38 -7.11 -3.54 -5.66 -1.31 53 City of Clearwater Equity Sector Attribution Analysis ING Investment Mgmt Quarter Ending 3/11 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 9.86 4.43 12.25 15.37 9.83 10.55 5.31 31.54 0.86 0.00 100.00 10.87 5.26 13.31 14.69 9.40 9.92 4.77 30.86 0.85 0.08 100.00 13.72 0.71 9.29 6.75 7.64 8.36 10.64 0.64 9.69 6.04 16.60 2.58 8.35 2.70 4.41 6.73 6.17 3.88 -0.68 14.11 6.03 -0.28 -0.08 0.12 0.62 0.32 0.17 0.24 -1.02 0.09 0.00 0.17 -0.11 0.03 -0.02 -0.02 -0.01 0.00 0.00 -0.01 -0.00 -0.01 -0.15 -0.39 -0.05 0.09 0.60 0.31 0.18 0.24 -1.04 0.09 -0.01 0.02 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 0.38% [ Actual Return 6.43% ] - [ Buy Hold Return 6.04% ] 54 City of Clearwater Equity Sector Attribution Chart ING Investment Mgmt Quarter Ending 3/11 % Allocation Energy 9.86 10.87 Materials 4.43 5.26 Industrials 12.25 13.31 Con. Discretionary 15.37 14.69 Consumer Staples 9.83 9.40 Health Care 10.55 9.92 Financials 5.31 4.77 Infomation Tech. 31.54 30.86 Telecom. Services 0.86 0.85 Utilities 0.00 0.08 ING Investment MgmtR1000G % Return 13.72 16.60 0.71 2.58 9.29 8.35 6.75 2.70 7.64 4.41 8.36 6.73 10.64 6.17 0.64 3.88 9.69 -0.68 14.11 % Variance -0.39 -0.05 0.09 0.60 0.31 0.18 0.24 -1.04 0.09 -0.01 55 City of Clearwater Aletheia Research as of 3/31/11 Continental Resource Ishares Silver Trust Silver Wheaton Corp Atp Oil & Gas Corp Canadian Nat Res Ltd Exxon Mobil Corp Hess Corp Suncor Energy Inc Ne Caterpillar Inc Freeport-McMoran Cop GICS Sector% Port Energy Financials Materials Energy Energy Energy Energy Energy Industrials Materials 2.58 2.55 2.42 2.35 2.31 2.30 2.30 2.29 2.15 2.09 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 18.38 26.25 8.39 8.01 10.78 2.94 12.85 7.06 0.00 5.34 -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 6/30/07 Aletheia ResearchR1000V 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 4.37 6.46 30,336 0 1,324 31,660 4.37 6.46 30,336 0 1,324 31,660 16.68 15.16 16,337 10,483 4,841 31,660 2.38 0.61 17,765 10,483 3,413 31,660 -0.71 -3.55 19,365 10,483 1,812 31,660 Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 56 City of Clearwater Aletheia Research as of 3/31/11 Cash & Equiv $1,013 3.20% Domestic Equity $30,228 95.48% Other $419 1.32% Periods from 6/07 to 3/11 Alpha Beta R-Squared 0.84 1.02 0.91 Annualized Return% 0.02.04.06.08.010.012.014.016.018.020.022.024.026.028.0 -4.0 -3.5 -3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 a 1 T Annualized Standard Deviation% a Aletheia Research 1 R1000V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio -0.71 -3.55 1.28 25.67 23.92 0.88 -0.08 -0.20 0.00 0.39 Asset Allocation ($000) Risk/Return Analysis 57 City of Clearwater Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 3/11 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 9.51 7.20 6.36 5.10 1.92 4.37 82 6.46 46 21.21 16.88 14.72 12.80 8.36 16.68 28 15.16 43 43.67 36.72 33.09 29.99 25.82 36.26 26 32.98 52 5.77 3.48 2.18 1.03 -1.07 2.38 44 0.61 83 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% a 1 a 1 a 1 a 1 58 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 3/31/11 YTD201020092008 9.51 7.20 6.36 5.10 1.92 4.37 82 6.46 46 21.22 16.34 13.95 11.84 9.48 16.98 20 15.51 32 41.44 29.54 24.49 20.94 16.32 36.50 14 19.69 86 -26.51 -34.31 -36.88 -39.77 -44.44 -37.97 61 -36.85 49 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% a 1 a 1 a 1 a 1 59 City of Clearwater March 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 3/11 12/10 9/10 6/10 3/10 13.84 8.60 4.36 2.40 -1.18 2.38 75 0.61 90 8.20 2.72 -0.85 -2.95 -6.58 -0.32 46 -4.42 87 3.05 -2.36 -5.39 -7.22 -10.88 -5.69 52 -9.39 90 1.76 -5.50 -8.50 -10.37 -14.70 -9.57 62 -12.33 89 4.85 -0.34 -3.20 -5.11 -9.86 -20% -15% -10% -5% 0% 5% 10% 15% a 1 a 1 a 1 a 1 Aletheia Research Value Added Analysis - Net of Fee 9/0712/073/086/089/0812/083/096/099/0912/093/106/109/1012/103/11 -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 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R1000V 60 City of Clearwater Risk Measure Summary Aletheia Research Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 1.07 1.02 0.75 -11.37 12.75 16.68 16.68 1 3 -11.14 10.54 4 8 1.09 1.00 0.58 -26.26 21.47 -42.20 59.12 28.58 1.05 0.56 0.92 0.07 1.79 8.33 0.25 5 7 -22.17 18.24 26.16 0.00 7 8 1.09 0.94 0.47 -26.26 21.47 -42.20 59.12 25.67 1.02 0.84 0.91 -0.08 -1.95 7.81 0.39 8 7 -22.17 18.24 23.92 -0.20 61 City of Clearwater Return vs Risk Total Returns of Large Value Portfolios 3 Years Ending 3/31/11 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 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 a 1 MedianRisk Median Return Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank a Aletheia Research 1 R1000V Median 2.384428.5881 0.618326.1655 2.1826.07 62 City of Clearwater Equity Summary Statistics Aletheia Research Period Ending 3/11 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 PortfolioR1000V 68 30,227,895 52,893,102 16,911,019 1.39 50.20 15.51 1.19 1.94 61.43 -1.60 666 73,692,381 5,293,233 2.21 16.94 16.76 1.03 1.58 56.14 -1.17 Ten Largest Holdings Continental Resource Ishares Silver Trust Silver Wheaton Corp Atp Oil & Gas Corp Canadian Nat Res Ltd Exxon Mobil Corp Hess Corp Suncor Energy Inc Ne Caterpillar Inc Freeport-McMoran Cop Market Value% of PortfolioQuarterly Ret 779,023 770,883 729,749 708,554 698,940 695,755 693,183 692,554 650,841 631,881 2.58 2.55 2.42 2.35 2.31 2.30 2.30 2.29 2.15 2.09 21.44 21.84 11.15 8.18 11.50 15.67 11.47 17.36 19.43 -7.11 Ten Best Performers Sunpower Corp Canadian Oil Sands L Goodyear Tire & Rubr Cliffs Natural Resou Ishares Silver Trust Continental Resource Archer Daniels Midla Caterpillar Inc Plum Creek Timber Co Suncor Energy Inc Ne Quarterly Ret 33.59 27.44 26.41 26.19 21.84 21.44 20.24 19.43 17.60 17.36 Ten Worst Performers Barnes & Nobles Inc Aol Inc AMR Corp General Motors Corp. Cemex S A SJW Corp MGM Grand Inc M D C Corp Colo Newmont Mng Corp Hld Novagold Res Inc Quarterly Ret -35.05 -17.63 -17.07 -15.82 -13.28 -11.93 -11.45 -11.17 -10.90 -8.90 63 City of Clearwater Equity Contribution to Return Aletheia Research Period Ending 3/11 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 PortfolioR1000V 68 30,227,895 52,893,102 16,911,019 1.39 50.20 15.51 1.19 1.94 61.43 -1.60 666 73,692,381 5,293,233 2.21 16.94 16.76 1.03 1.58 56.14 -1.17 Ten Best Contributors Ishares Silver Trust Continental Resource Canadian Oil Sands L Cliffs Natural Resou Caterpillar Inc Suncor Energy Inc Ne Sunpower Corp Exxon Mobil Corp Archer Daniels Midla Goodyear Tire & Rubr Market Value% of PortfolioQuarterly Ret 770,883 779,023 533,372 485,995 650,841 692,554 328,060 695,755 468,850 314,580 2.55 2.58 1.77 1.61 2.15 2.29 1.09 2.30 1.55 1.04 21.84 21.44 27.44 26.19 19.43 17.36 33.59 15.67 20.24 26.41 Ten Worst Contributors Barnes & Nobles Inc General Motors Corp. Newmont Mng Corp Hld Aol Inc AMR Corp Novagold Res Inc MGM Grand Inc Freeport-McMoran Cop SJW Corp United States Stl Co Market Value% of PortfolioQuarterly Ret 224,420 326,125 446,192 271,662 273,549 524,485 392,791 631,881 370,655 573,113 0.74 1.08 1.48 0.90 0.91 1.74 1.30 2.09 1.23 1.90 -35.05 -15.82 -10.90 -17.63 -17.07 -8.90 -11.45 -7.11 -11.93 -7.59 64 City of Clearwater Equity Sector Attribution Analysis Aletheia Research Quarter Ending 3/11 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 17.34 22.65 12.50 10.28 7.61 2.08 14.04 7.70 0.00 5.80 100.00 12.41 3.08 9.12 7.58 9.73 12.35 27.36 6.52 5.10 6.76 100.00 9.99 2.13 7.20 -4.87 2.12 0.67 5.40 9.36 -0.79 4.22 16.92 9.12 9.65 9.47 1.48 6.17 3.02 3.86 5.34 3.87 6.49 -1.20 -1.58 -0.31 -1.47 0.05 -0.11 0.33 0.42 0.00 -0.27 -4.14 0.51 0.51 0.11 0.08 0.11 0.03 0.46 -0.03 0.06 0.03 1.87 -0.69 -1.07 -0.20 -1.39 0.15 -0.08 0.80 0.39 0.06 -0.24 -2.27 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 -1.05% [ Actual Return 3.17% ] - [ Buy Hold Return 4.22% ] 65 City of Clearwater Equity Sector Attribution Chart Aletheia Research Quarter Ending 3/11 % Allocation Energy 17.34 12.41 Materials 22.65 3.08 Industrials 12.50 9.12 Con. Discretionary 10.28 7.58 Consumer Staples 7.61 9.73 Health Care 2.08 12.35 Financials 14.04 27.36 Infomation Tech. 7.70 6.52 Telecom. Services 0.00 5.10 Utilities 5.80 6.76 Aletheia ResearchR1000V % Return 9.99 16.92 2.13 9.12 7.20 9.65 -4.87 9.47 2.12 1.48 0.67 6.17 5.40 3.02 9.36 3.86 5.34 -0.79 3.87 % Variance -0.69 -1.07 -0.20 -1.39 0.15 -0.08 0.80 0.39 0.06 -0.24 66 City of Clearwater NTGI-QM R1000V as of 3/31/11 -4.0 -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 6/30/07 NTGI-QM R1000VR1000V 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 6.48 6.46 42,840 0 2,776 45,616 6.48 6.46 42,840 0 2,776 45,616 15.29 15.16 39,566 0 6,050 45,616 0.87 0.61 44,437 0 1,179 45,616 -3.33 -3.55 26,197 0 19,419 45,616 Portfolio Performance (%) 67 City of Clearwater NTGI-QM R1000V as of 3/31/11 Domestic Equity $45,616 100.00% Periods from 6/07 to 3/11 Alpha Beta R-Squared 0.06 1.00 1.00 Annualized Return% 0.02.04.06.08.010.012.014.016.018.020.022.024.026.0 -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 -3.33 -3.55 1.28 23.94 23.92 0.88 -0.19 -0.20 0.00 1.24 Asset Allocation ($000) Risk/Return Analysis 68 City of Clearwater Large Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 3/11 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 9.51 7.20 6.36 5.10 1.92 6.48 43 6.46 46 21.21 16.88 14.72 12.80 8.36 15.29 40 15.16 43 43.67 36.72 33.09 29.99 25.82 33.39 45 32.98 52 5.77 3.48 2.18 1.03 -1.07 0.87 78 0.61 83 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% n1 n1 n 1 n 1 69 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 3/31/11 YTD201020092008 9.51 7.20 6.36 5.10 1.92 6.48 43 6.46 46 21.22 16.34 13.95 11.84 9.48 15.75 29 15.51 32 41.44 29.54 24.49 20.94 16.32 20.35 80 19.69 86 -26.51 -34.31 -36.88 -39.77 -44.44 -36.86 49 -36.85 49 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% n1 n 1 n 1 n1 70 City of Clearwater March 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 3/11 12/10 9/10 6/10 3/10 13.84 8.60 4.36 2.40 -1.18 0.87 88 0.61 90 8.20 2.72 -0.85 -2.95 -6.58 -4.19 86 -4.42 87 3.05 -2.36 -5.39 -7.22 -10.88 -9.15 89 -9.39 90 1.76 -5.50 -8.50 -10.37 -14.70 -12.10 87 -12.33 89 4.85 -0.34 -3.20 -5.11 -9.86 -20% -15% -10% -5% 0% 5% 10% 15% n1 n 1 n 1 n 1 NTGI-QM R1000V Value Added Analysis - Net of Fee 9/0712/073/086/089/0812/083/096/099/0912/093/106/109/1012/103/11 -0.2% -0.1% 0.0% 0.1% 0.2% 0.3% 0.4% 0.5% 0.6% 0.7% 0.8% 0.9% 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 0.00.0 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R1000V 71 City of Clearwater Risk Measure Summary NTGI-QM R1000V Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 1.00 1.00 0.75 -11.12 10.54 15.29 15.29 1 3 -11.14 10.54 15.16 15.16 5 7 1.01 1.00 0.58 -22.13 18.29 -42.31 54.33 26.18 1.00 0.07 1.00 0.01 0.36 0.20 1.33 5 7 -22.17 18.24 -42.42 53.57 26.16 0.00 8 7 1.01 1.00 0.47 -22.13 18.29 -42.31 54.33 23.94 1.00 0.06 1.00 -0.19 -4.60 0.19 1.24 8 7 -22.17 18.24 -42.42 53.57 23.92 -0.20 72 City of Clearwater Return vs Risk Total Returns of Equity Portfolios 3 Years Ending 3/31/11 Annualized Rate of Return 18.0 20.0 22.0 24.0 26.0 28.0 30.0 32.0 34.0 -4.0 -2.2 -0.4 1.3 3.1 5.0 6.8 8.6 10.4 12.2 14.0 n1 MedianRisk Median Return Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank n NTGI-QM R1000V 1 R1000V Median 0.878826.1859 0.619026.1658 4.3625.43 73 City of Clearwater Mid Cap Equity Comp as of 3/31/11 Allstate Corp Computer Sciences Co Duke Realty Corp. Sonoco Prods Co Lincoln Natl Corp In Donnelley R R & Sons Dover Corp Brunswick Corp Cooper Industries Pl Trimble Navigation L GICS Sector% Port Financials Information Technology Financials Materials Financials Industrials Industrials Consumer Discretionary Industrials Information Technology 2.05 2.05 2.03 2.02 2.01 2.00 1.98 1.78 1.70 1.69 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 5.54 4.94 20.61 15.13 2.26 9.67 18.72 18.34 0.00 4.79 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 3/31/88 Mid Cap Equity CompR 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 8.42 7.63 81,829 0 6,888 88,717 8.42 7.63 81,829 0 6,888 88,717 30.82 24.30 67,818 0 20,899 88,717 9.64 7.26 81,383 0 7,334 88,717 5.99 4.67 80,255 0 8,462 88,717 8.09 8.53 74,423 0 14,294 88,717 12.55 11.79 15,585 0 73,132 88,717 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 74 City of Clearwater Mid Cap Equity Comp as of 3/31/11 Cash & Equiv $2,966 3.34% Domestic Equity $85,751 96.66% Periods from 3/88 to 3/11 Alpha Beta R-Squared 0.06 1.16 0.82 Annualized Return% 0.02.04.06.08.010.012.014.016.018.020.022.024.026.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 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 12.55 11.79 4.17 23.54 18.30 1.16 0.36 0.42 0.00 0.11 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 75 City of Clearwater Midcap Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 3/11 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 11.88 9.29 7.55 6.82 5.12 8.42 32 7.63 48 31.53 27.00 24.54 21.18 19.20 30.82 8 24.30 50 53.58 45.10 42.64 40.05 31.11 47.27 16 44.38 36 13.45 10.95 8.81 7.11 1.71 9.64 40 7.26 72 7.69 6.48 4.29 2.96 0.43 5.90 30 2.96 76 9.39 7.84 5.47 4.52 3.40 5.99 42 4.67 69 11.84 10.69 8.62 6.85 5.91 8.73 41 7.31 63 11.81 11.35 8.91 7.61 6.88 7.97 65 8.25 65 16.05 13.78 13.10 12.09 10.66 12.11 70 12.83 50 11.19 9.16 8.46 8.03 6.82 7.90 80 8.37 59 13.43 10.32 9.51 9.35 7.33 8.09 94 8.53 88 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% M1 M 1 M 1 M 1 M 1 M1 M1 M1 M1 M1 M1 76 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 3/31/11 YTD2010200920082007200620052004200320022001 11.88 9.29 7.55 6.82 5.12 8.42 32 7.63 48 34.81 26.97 24.84 23.04 20.57 28.03 20 25.49 46 61.89 42.82 37.59 35.51 26.66 45.33 21 40.47 34 -21.07 -32.73 -36.93 -41.77 -50.25 -41.79 78 -41.46 72 16.98 9.26 5.92 -0.06 -2.86 10.26 15 5.59 50 24.57 18.61 14.01 10.56 8.21 12.53 58 15.27 41 17.47 12.60 11.35 8.53 1.24 7.85 79 12.65 23 24.59 21.17 19.93 16.71 13.80 14.48 93 20.23 45 43.43 39.40 36.44 34.16 27.16 38.95 35 40.08 12 -4.52 -9.81 -12.33 -14.56 -16.55 -19.87 99 -16.19 91 26.71 15.75 0.43 -3.06 -5.61 -7.30 99 -5.62 99 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% M1 M1 M 1 M1 M 1 M1 M 1 M 1 M1 M1 M1 77 City of Clearwater Risk Measure Summary Mid Cap Equity Comp Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 1.05 0.66 0.75 -6.47 13.73 30.82 30.82 1 3 -9.87 13.32 24.30 24.30 4 8 0.99 0.92 0.67 -26.78 23.05 -39.23 65.80 28.58 0.97 0.58 0.99 0.32 9.44 3.29 0.59 4 8 -27.28 20.80 -40.81 67.72 29.39 0.23 7 13 1.00 0.94 0.60 -26.78 23.05 -41.79 65.80 23.34 0.98 0.33 0.98 0.16 3.84 3.50 0.33 8 12 -27.28 20.80 -41.46 67.72 23.54 0.10 29 63 1.16 1.19 0.67 -26.78 49.24 -41.79 77.74 23.54 1.16 0.06 0.82 0.36 7.22 10.42 0.11 30 62 -27.28 20.80 -41.46 67.72 18.30 0.42 78 City of Clearwater Return vs Risk Total Returns of Midcap Neutral Portfolios Annualized Rate of Return 14.016.819.622.425.228.030.833.636.439.242.0 0.0 1.8 3.6 5.3 7.2 9.0 10.8 12.6 14.4 16.2 18.0 M 1 MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized ReturnStandard Deviation ValueRankValueRank M Mid Cap Equity Comp 1 R Mid Cap Median 9.644028.5869 7.267229.3982 8.8127.88 Annualized Rate of Return 12.014.216.418.620.823.025.227.429.631.834.0 1.0 1.9 2.8 3.7 4.6 5.5 6.4 7.3 8.2 9.0 9.9 M 1 MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 3/31/11 Annualized Return Standard Deviation Value Rank Value Rank M Mid Cap Equity Comp 1 R Mid Cap Median 5.994223.3480 4.676923.5482 5.4722.49 79 City of Clearwater Artisan Partners as of 3/31/11 Cooper Industries Pl Trimble Navigation L Cerner Corp Agilent Technologies Precision Castparts Cameron Internationa Roper Inds Inc New Juniper Networks Fossil Inc Gardner Denver Machy GICS Sector% Port Industrials Information Technology Health Care Health Care Industrials Energy Industrials Information Technology Consumer Discretionary Industrials 3.51 3.49 3.46 3.26 3.09 2.99 2.69 2.67 2.64 2.39 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 7.22 0.83 18.42 17.42 0.00 18.93 7.24 29.95 0.00 0.00 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 40.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 7/31/01 Artisan PartnersR 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 7.61 7.86 40,886 0 3,112 43,998 7.61 7.86 40,886 0 3,112 43,998 34.27 26.62 32,767 0 11,230 43,998 12.35 7.64 23,039 0 20,959 43,998 9.29 4.93 35,441 0 8,557 43,998 8.86 6.30 29,914 0 14,085 43,998 Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 80 City of Clearwater Artisan Partners as of 3/31/11 Cash & Equiv $2,525 5.74% Domestic Equity $41,473 94.26% Periods from 7/01 to 3/11 Alpha Beta R-Squared 0.58 0.94 0.96 Annualized Return% 0.02.04.06.08.010.012.014.016.018.020.022.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 r 1 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 8.86 6.30 2.16 20.31 20.38 0.52 0.33 0.20 0.00 0.34 Asset Allocation ($000) Risk/Return Analysis 81 City of Clearwater Midcap Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 3/11 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 14.70 9.94 8.04 7.21 5.07 7.61 61 7.86 53 37.49 31.57 28.57 25.55 19.08 34.27 11 26.62 70 52.57 44.84 41.68 38.47 32.98 45.92 19 43.66 31 13.60 10.86 8.43 6.81 2.83 12.35 10 7.64 67 10.31 7.37 5.99 4.50 0.33 10.05 8 4.45 76 9.55 7.64 5.98 5.32 3.63 9.29 7 4.93 85 12.73 10.94 9.15 8.67 6.58 11.36 13 7.70 89 11.43 10.87 9.24 8.41 8.25 10.73 30 7.78 99 15.15 14.50 13.56 12.02 11.62 14.56 21 12.30 71 10.04 9.47 8.98 7.70 7.28 9.40 32 7.19 99 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% r1 r 1 r 1 r 1 r 1 r 1 r 1 r 1 r 1 r 1 82 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 3/31/11 YTD201020092008200720062005200420032002 14.70 9.94 8.04 7.21 5.07 7.61 61 7.86 53 35.44 29.55 26.96 24.34 18.44 33.15 8 26.39 57 58.21 46.06 38.63 36.32 28.46 51.38 14 46.30 24 -33.13 -36.97 -40.90 -44.28 -49.08 -42.87 62 -44.32 75 25.51 21.55 16.68 10.39 4.90 22.31 17 11.41 71 30.32 16.20 13.34 10.41 5.33 10.94 68 10.64 68 23.20 14.83 12.36 9.85 5.70 10.19 64 12.10 52 24.98 18.39 16.35 12.67 10.86 16.07 61 15.48 61 51.00 39.45 37.89 32.91 29.41 33.84 67 42.72 15 -8.61 -19.46 -21.96 -25.52 -31.39 -23.37 61 -27.41 85 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% r1 r 1 r 1 r1 r 1r1 r1 r1 r 1 r1 83 City of Clearwater March 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 3/11 12/10 9/10 6/10 3/10 13.84 8.60 4.36 2.40 -1.18 12.35 9 7.64 31 8.20 2.72 -0.85 -2.95 -6.58 4.81 13 0.97 36 3.05 -2.36 -5.39 -7.22 -10.88 0.23 11 -3.90 36 1.76 -5.50 -8.50 -10.37 -14.70 -3.50 13 -7.53 40 4.85 -0.34 -3.20 -5.11 -9.86 2.98 8 -2.05 39 -20% -15% -10% -5% 0% 5% 10% 15% r 1 r 1 r 1 r 1 r 1 Artisan Partners Value Added Analysis - Net of Fee 6/069/0612/063/076/079/0712/073/086/089/0812/083/096/099/0912/093/106/109/1012/103/11 -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% 24.0% 0.2 -0.1 0.0 -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 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R Mid Cap G 84 City of Clearwater Risk Measure Summary Artisan Partners Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 1.12 0.78 0.75 -7.95 18.73 34.27 34.27 1 3 -10.19 14.65 3 9 0.97 0.83 0.67 -27.54 20.50 -33.41 58.59 28.06 0.93 1.17 0.96 0.42 12.69 5.65 0.68 4 8 -27.36 20.67 29.61 0.24 6 14 1.06 0.86 0.65 -27.54 20.50 -42.87 58.59 23.37 0.96 1.06 0.95 0.30 7.39 5.14 0.77 7 13 -27.36 20.67 23.84 0.11 12 26 1.01 0.90 0.66 -27.54 26.70 -42.87 58.59 21.83 0.94 0.58 0.96 0.43 9.94 4.70 0.34 13 25 -27.36 27.06 22.82 0.32 85 City of Clearwater Return vs Risk Total Returns of Midcap Growth Portfolios Annualized Rate of Return 18.019.821.623.425.227.028.830.632.434.236.0 0.0 1.8 3.6 5.3 7.2 9.0 10.8 12.6 14.4 16.2 18.0 r 1 MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized ReturnStandard Deviation ValueRankValueRank r Artisan Partners 1 R Mid Cap G Median 12.351028.0655 7.646729.6172 8.4327.73 Annualized Rate of Return 17.018.219.420.621.823.024.225.426.627.829.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 r 1 MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 3/31/11 Annualized Return Standard Deviation Value Rank Value Rank r Artisan Partners 1 R Mid Cap G Median 9.29723.3758 4.938523.8461 5.9822.86 86 City of Clearwater Equity Summary Statistics Artisan Partners Period Ending 3/11 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 PortfolioR Mid Cap G 76 41,473,026 10,708,586 7,773,494 0.41 31.35 29.67 1.20 4.06 23.78 9.54 492 8,719,034 4,962,671 0.84 25.21 20.72 1.15 3.89 42.22 7.13 Ten Largest Holdings Cooper Industries Pl Trimble Navigation L Cerner Corp Agilent Technologies Precision Castparts Cameron Internationa Roper Inds Inc New Juniper Networks Fossil Inc Gardner Denver Machy Market Value% of PortfolioQuarterly Ret 1,453,760 1,445,444 1,434,480 1,352,356 1,280,466 1,239,070 1,115,334 1,106,704 1,095,705 990,981 3.51 3.49 3.46 3.26 3.09 2.99 2.69 2.67 2.64 2.39 11.86 26.57 17.37 8.09 5.75 12.56 13.29 13.98 32.87 13.46 Ten Best Performers Universal Display Co Opentable Inc Helmerich & Payne In Regeneron Pharmaceut Arm Hldgs Plc Netflix Com Inc Fossil Inc Varian Semiconductor Discover Finl Svcs Lululemon Athletica Quarterly Ret 79.58 50.89 41.83 36.89 35.76 35.08 32.87 31.65 30.17 30.15 Ten Worst Performers Cree Inc Marvell Technology G Firstmerit Corp Comerica Inc Netapp Inc Blackboard Inc Broadcom Corp Vanceinfo Technologi Paccar Inc Vmware Inc Quarterly Ret -29.94 -16.17 -12.96 -12.85 -12.34 -12.25 -9.38 -9.06 -8.62 -8.29 87 City of Clearwater Equity Contribution to Return Artisan Partners Period Ending 3/11 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 PortfolioR Mid Cap G 76 41,473,026 10,708,586 7,773,494 0.41 31.35 29.67 1.20 4.06 23.78 9.54 492 8,719,034 4,962,671 0.84 25.21 20.72 1.15 3.89 42.22 7.13 Ten Best Contributors Trimble Navigation L Fossil Inc Cerner Corp Dresser-Rand Group I Regeneron Pharmaceut Arm Hldgs Plc Cooper Industries Pl Varian Semiconductor Discover Finl Svcs Cameron Internationa Market Value% of PortfolioQuarterly Ret 1,445,444 1,095,705 1,434,480 943,712 660,618 574,668 1,453,760 525,636 533,052 1,239,070 3.49 2.64 3.46 2.28 1.59 1.39 3.51 1.27 1.29 2.99 26.57 32.87 17.37 25.90 36.89 35.76 11.86 31.65 30.17 12.56 Ten Worst Contributors Cree Inc Netapp Inc Comerica Inc Paccar Inc Vmware Inc Coach Inc Cme Group Inc Blackboard Inc Broadcom Corp Expeditors Intl Wash Market Value% of PortfolioQuarterly Ret 212,336 501,072 425,952 633,435 652,320 837,844 804,837 369,648 458,777 501,400 0.51 1.21 1.03 1.53 1.57 2.02 1.94 0.89 1.11 1.21 -29.94 -12.34 -12.85 -8.62 -8.29 -5.66 -5.85 -12.25 -9.38 -8.17 88 City of Clearwater Equity Sector Attribution Analysis Artisan Partners Quarter Ending 3/11 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 5.26 0.00 21.26 20.70 0.00 16.34 7.37 29.07 0.00 0.00 100.00 6.13 6.91 16.05 20.02 4.86 13.25 7.32 23.31 1.88 0.28 100.00 22.12 4.12 11.30 11.92 -5.95 6.52 7.79 16.72 8.57 7.02 6.63 11.32 10.07 8.60 5.49 -1.28 14.11 7.88 0.28 0.00 -0.62 0.97 0.00 0.30 -1.07 0.30 0.00 0.00 0.17 -0.08 -0.05 -0.04 -0.01 -0.17 0.07 0.00 -0.14 0.17 -0.02 -0.26 0.21 -0.05 -0.66 0.96 -0.17 0.37 -1.07 0.16 0.17 -0.02 -0.09 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 0.30% [ Actual Return 8.08% ] - [ Buy Hold Return 7.79% ] 89 City of Clearwater Equity Sector Attribution Chart Artisan Partners Quarter Ending 3/11 % Allocation Energy 5.26 6.13 Materials 0.00 6.91 Industrials 21.26 16.05 Con. Discretionary 20.70 20.02 Consumer Staples 0.00 4.86 Health Care 16.34 13.25 Financials 7.37 7.32 Infomation Tech. 29.07 23.31 Telecom. Services 0.00 1.88 Utilities 0.00 0.28 Artisan PartnersR Mid Cap G % Return 22.12 16.72 8.57 4.12 7.02 11.30 6.63 11.32 11.92 10.07 -5.95 8.60 6.52 5.49 -1.28 14.11 % Variance 0.21 -0.05 -0.66 0.96 -0.17 0.37 -1.07 0.16 0.17 -0.02 90 City of Clearwater Wedge Capital Mgmt as of 3/31/11 Allstate Corp Computer Sciences Co Duke Realty Corp. Sonoco Prods Co Lincoln Natl Corp In Donnelley R R & Sons Dover Corp Brunswick Corp Transdigm Group Inc Werner Enterprises I GICS Sector% Port Financials Information Technology Financials Materials Financials Industrials Industrials Consumer Discretionary Industrials Industrials 3.97 3.97 3.93 3.92 3.90 3.88 3.84 3.46 3.22 3.07 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 3.96 8.79 22.66 12.98 4.39 0.98 29.49 7.46 0.00 9.29 -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 2/28/07 Wedge Capital MgmtR 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 9.22 7.44 40,943 0 3,776 44,719 9.22 7.44 40,943 0 3,776 44,719 27.59 22.29 35,050 0 9,669 44,719 10.00 6.62 26,958 0 17,761 44,719 4.17 1.26 30,365 0 14,354 44,719 Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 91 City of Clearwater Wedge Capital Mgmt as of 3/31/11 Cash & Equiv $441 0.99% Domestic Equity $44,278 99.01% Periods from 2/07 to 3/11 Alpha Beta R-Squared 0.71 0.97 0.97 Annualized Return% 0.02.04.06.08.010.012.014.016.018.020.022.024.026.0 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 w 1 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 4.17 1.26 1.60 23.56 24.10 0.60 0.11 -0.01 0.00 0.53 Asset Allocation ($000) Risk/Return Analysis 92 City of Clearwater Midcap Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 3/11 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 10.26 8.90 7.59 5.91 3.32 9.22 20 7.44 52 27.88 24.97 23.61 21.59 15.42 27.59 10 22.29 61 56.65 49.82 45.48 38.59 36.33 48.63 28 45.20 50 14.14 11.04 9.23 7.90 4.64 10.00 32 6.62 79 11.69 5.38 2.76 1.18 -1.27 3.92 33 1.01 75 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% w 1 w 1 w 1 w 1 w 1 93 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 3/31/11 YTD201020092008 10.26 8.90 7.59 5.91 3.32 9.22 20 7.44 52 32.41 25.76 24.29 21.45 14.39 23.30 58 24.76 36 63.14 45.34 34.08 28.00 16.38 38.51 33 34.20 47 -26.24 -31.89 -34.45 -37.68 -51.14 -34.89 59 -38.45 81 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% w 1 w 1 w 1 w 1 94 City of Clearwater March 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 3/11 12/10 9/10 6/10 3/10 13.84 8.60 4.36 2.40 -1.18 10.00 17 6.62 37 8.20 2.72 -0.85 -2.95 -6.58 3.60 19 1.01 36 3.05 -2.36 -5.39 -7.22 -10.88 -2.50 25 -4.78 44 1.76 -5.50 -8.50 -10.37 -14.70 -6.09 29 -9.44 60 4.85 -0.34 -3.20 -5.11 -9.86 -2.95 47 -5.23 76 -20% -15% -10% -5% 0% 5% 10% 15% w 1 w 1 w 1 w 1 w 1 Wedge Capital Mgmt Value Added Analysis - Net of Fee 6/079/0712/073/086/089/0812/083/096/099/0912/093/106/109/1012/103/11 -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 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R Mid Cap V 95 City of Clearwater Risk Measure Summary Wedge Capital Mgmt Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 0.98 0.53 0.75 -5.09 13.29 27.59 27.59 1 3 -9.57 12.24 4 8 1.01 0.91 0.67 -26.40 25.65 -39.75 73.15 29.45 0.96 0.84 0.96 0.32 9.86 5.78 0.49 4 8 -27.19 23.62 30.06 0.20 7 9 1.03 0.91 0.56 -26.40 25.65 -39.75 73.15 26.40 0.97 0.71 0.97 0.09 2.47 4.97 0.53 7 9 -27.19 23.62 26.77 -0.02 96 City of Clearwater Return vs Risk Total Returns of Midcap Value Portfolios Annualized Rate of Return 16.018.621.223.826.429.031.634.236.839.442.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 w 1 MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized ReturnStandard Deviation ValueRankValueRank w Wedge Capital Mgmt 1 R Mid Cap V Median 10.003229.4562 6.627930.0669 9.2328.45 97 City of Clearwater Equity Summary Statistics Wedge Capital Mgmt Period Ending 3/11 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 PortfolioR Mid Cap V 41 44,278,008 6,516,383 3,713,011 2.14 19.23 15.67 1.11 1.69 57.22 1.14 537 8,418,817 4,197,779 1.94 21.12 17.27 1.18 1.51 64.84 -1.74 Ten Largest Holdings Allstate Corp Computer Sciences Co Duke Realty Corp. Sonoco Prods Co Lincoln Natl Corp In Donnelley R R & Sons Dover Corp Brunswick Corp Transdigm Group Inc Werner Enterprises I Market Value% of PortfolioQuarterly Ret 1,757,434 1,756,278 1,736,918 1,731,794 1,724,596 1,713,357 1,696,092 1,528,343 1,423,014 1,357,911 3.97 3.97 3.93 3.92 3.90 3.88 3.84 3.46 3.22 3.07 0.34 -1.34 13.84 8.43 8.20 9.86 12.96 35.70 16.41 17.38 Ten Best Performers United Rentals Inc Brunswick Corp Energen Corp Werner Enterprises I Transdigm Group Inc V F Corp Duke Realty Corp. Dover Corp Arch Cap Group Ltd Carlisle Corp Quarterly Ret 46.29 35.70 31.10 17.38 16.41 15.07 13.84 12.96 12.65 12.54 Ten Worst Performers Seacor Hldgs Inc Pg&E Corp Phh Corp Computer Sciences Co Comtech Telecommunic Allstate Corp Bemis Inc Sara Lee Corp Bank Hawaii Corp Entertainment Pptys Quarterly Ret -8.54 -6.69 -5.96 -1.34 -1.08 0.34 1.19 1.59 2.26 2.79 98 City of Clearwater Equity Contribution to Return Wedge Capital Mgmt Period Ending 3/11 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 PortfolioR Mid Cap V 41 44,278,008 6,516,383 3,713,011 2.14 19.23 15.67 1.11 1.69 57.22 1.14 537 8,418,817 4,197,779 1.94 21.12 17.27 1.18 1.51 64.84 -1.74 Ten Best Contributors Brunswick Corp Energen Corp Duke Realty Corp. Werner Enterprises I Transdigm Group Inc Dover Corp United Rentals Inc V F Corp Carlisle Corp Donnelley R R & Sons Market Value% of PortfolioQuarterly Ret 1,528,343 1,079,352 1,736,918 1,357,911 1,423,014 1,696,092 445,253 1,349,861 1,349,865 1,713,357 3.46 2.44 3.93 3.07 3.22 3.84 1.01 3.05 3.05 3.88 35.70 31.10 13.84 17.38 16.41 12.96 46.29 15.07 12.54 9.86 Ten Worst Contributors Pg&E Corp Seacor Hldgs Inc Computer Sciences Co Phh Corp Comtech Telecommunic Allstate Corp Entertainment Pptys Family Dlr Stores In Bemis Inc Sara Lee Corp Market Value% of PortfolioQuarterly Ret 1,259,130 832,140 1,756,278 367,913 513,702 1,757,434 430,744 405,428 1,305,838 1,002,490 2.85 1.88 3.97 0.83 1.16 3.97 0.97 0.92 2.95 2.27 -6.69 -8.54 -1.34 -5.96 -1.08 0.34 2.79 3.60 1.19 1.59 99 City of Clearwater Equity Sector Attribution Analysis Wedge Capital Mgmt Quarter Ending 3/11 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 2.08 9.05 22.08 10.96 5.68 3.14 25.71 12.10 0.00 9.21 100.00 11.28 5.33 10.80 10.68 6.69 5.32 29.43 6.37 2.22 11.89 100.00 11.71 5.47 15.83 9.56 2.94 10.67 7.07 6.00 6.49 8.93 17.23 7.47 9.16 6.46 4.35 12.21 4.88 7.56 -5.56 6.08 7.48 -0.11 -0.18 1.47 0.34 -0.08 -0.05 0.56 -0.19 0.00 0.04 1.80 -0.90 -0.00 0.19 -0.00 0.03 -0.10 0.10 0.00 0.29 0.04 -0.35 -1.01 -0.18 1.66 0.34 -0.05 -0.15 0.66 -0.18 0.29 0.08 1.45 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 0.57% [ Actual Return 9.50% ] - [ Buy Hold Return 8.93% ] 100 City of Clearwater Equity Sector Attribution Chart Wedge Capital Mgmt Quarter Ending 3/11 % Allocation Energy 2.08 11.28 Materials 9.05 5.33 Industrials 22.08 10.80 Con. Discretionary 10.96 10.68 Consumer Staples 5.68 6.68 Health Care 3.14 5.32 Financials 25.71 29.43 Infomation Tech. 12.10 6.37 Telecom. Services 0.00 2.22 Utilities 9.21 11.89 Wedge Capital MgmtR Mid Cap V % Return 11.71 17.23 5.47 7.47 15.83 9.16 9.56 6.46 2.94 4.35 10.67 12.21 7.07 4.88 6.00 7.56 -5.56 6.49 6.08 % Variance -1.01 -0.18 1.66 0.34 -0.05 -0.15 0.66 -0.18 0.29 0.08 101 City of Clearwater Small Cap Equity Comp as of 3/31/11 National Instrs Corp Cepheid Inc Gentex Corp Lkq Corp Ultimate Software Gr Rollins Inc Chemed Corp New Ritchie Bros Auction United Nat Foods Inc Semtech Corp GICS Sector% Port Information Technology Health Care Consumer Discretionary Consumer Discretionary Information Technology Industrials Health Care Industrials Consumer Staples Information Technology 2.38 2.24 1.90 1.84 1.82 1.79 1.67 1.49 1.38 1.36 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 2.85 3.29 19.81 14.08 3.69 16.56 13.64 25.45 0.11 0.53 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 8/31/03 Small Cap Equity CompR2000 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 8.87 7.93 42,571 0 3,774 46,345 8.87 7.93 42,571 0 3,774 46,345 29.44 25.78 76,253 -39,003 9,094 46,345 10.51 8.56 65,559 -39,003 19,789 46,345 4.55 3.35 63,411 -39,003 21,937 46,345 8.78 8.59 29,988 -39,003 55,359 46,345 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 102 City of Clearwater Small Cap Equity Comp as of 3/31/11 Cash & Equiv $1,501 3.24% Domestic Equity $44,844 96.76% Periods from 8/03 to 3/11 Alpha Beta R-Squared 0.22 0.92 0.95 Annualized Return% 0.02.04.06.08.010.012.014.016.018.020.022.0 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 8.5 9.0 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 8.78 8.59 2.23 19.84 20.41 0.57 0.33 0.31 0.00 0.01 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 103 City of Clearwater Small Neutral Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 3/11 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 10.37 9.28 8.12 6.95 4.96 8.87 29 7.93 61 31.73 28.47 25.92 23.35 17.80 29.44 15 25.78 53 57.96 47.22 43.37 40.16 34.12 42.81 56 43.08 54 15.45 12.14 9.92 8.57 4.43 10.51 40 8.56 76 9.77 5.73 4.09 2.81 0.43 3.71 55 2.72 78 9.80 6.23 5.04 3.80 2.40 4.55 56 3.35 84 12.39 9.45 8.24 7.01 5.28 7.51 70 6.80 79 10.80 9.86 8.40 7.61 6.03 7.46 78 6.60 92 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% S1 S 1 S1 S1 S1 S1 S 1 S1 104 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 3/31/11 YTD2010200920082007200620052004 10.37 9.28 8.12 6.95 4.96 8.87 29 7.93 61 32.78 28.80 26.73 24.07 17.69 29.27 21 26.85 48 52.91 37.35 30.06 26.61 18.82 33.51 38 27.19 68 -22.15 -29.40 -33.10 -36.70 -44.05 -38.63 84 -33.80 59 11.23 3.52 -0.17 -3.12 -8.12 3.27 28 -1.55 59 22.94 19.63 17.30 15.59 12.80 17.40 48 18.35 38 12.47 10.49 8.84 6.13 3.50 7.21 71 4.56 88 25.69 22.55 20.82 18.65 15.58 15.69 93 18.32 79 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% S1 S1 S 1 S 1 S 1 S1 S 1 S1 105 City of Clearwater Risk Measure Summary Small Cap Equity Comp Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 1.07 0.93 0.75 -9.19 16.53 29.44 29.44 1 3 -9.93 16.25 25.78 25.78 4 8 1.00 0.93 0.67 -25.65 20.74 -33.83 57.55 26.60 0.92 0.57 0.96 0.38 10.91 5.79 0.20 4 8 -26.12 20.68 -37.50 62.77 28.55 0.28 7 13 1.01 0.95 0.60 -25.65 20.74 -38.63 57.55 22.25 0.93 0.30 0.95 0.10 2.50 5.45 0.15 8 12 -26.12 20.68 -37.50 62.77 23.24 0.05 9 21 0.96 0.92 0.67 -25.65 20.74 -38.63 57.55 19.45 0.92 0.22 0.95 0.37 7.80 4.80 0.01 10 20 -26.12 20.68 -37.50 62.77 20.72 0.32 106 City of Clearwater Return vs Risk Total Returns of Small Neutral Portfolios Annualized Rate of Return 18.020.022.024.026.028.030.032.034.036.038.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 S 1 MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank S Small Cap Equity Comp 1 R2000 Median 10.514026.6032 8.567628.5558 9.9228.20 Annualized Rate of Return 17.018.219.420.621.823.024.225.426.627.829.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 S 1 MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 3/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank S Small Cap Equity Comp 1 R2000 Median 4.555622.2538 3.358423.2459 5.0423.00 107 City of Clearwater Riverbridge Partners as of 3/31/11 Cepheid Inc National Instrs Corp Gentex Corp Ultimate Software Gr Rollins Inc Chemed Corp New Ritchie Bros Auction United Nat Foods Inc Semtech Corp Portfolio Recovery A GICS Sector% Port Health Care Information Technology Consumer Discretionary Information Technology Industrials Health Care Industrials Consumer Staples Information Technology Financials 4.88 4.25 4.13 3.96 3.90 3.63 3.24 3.01 2.97 2.87 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 0.00 0.67 16.55 11.52 3.49 27.16 3.28 37.33 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 9/30/10 Riverbridge PartnersR2000G 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 9.20 9.24 19,642 0 1,808 21,449 9.20 9.24 19,642 0 1,808 21,449 27.10 27.92 16,876 0 4,573 21,449 Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 108 City of Clearwater Riverbridge Partners as of 3/31/11 Cash & Equiv $853 3.98% Domestic Equity $20,596 96.02% Periods from 9/10 to 3/11 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -1.00.01.02.03.04.05.06.07.08.09.010.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 R1 T Annualized Standard Deviation% R Riverbridge Partners 1 R2000G T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 27.10 27.92 0.09 9.14 9.45 0.03 2.95 2.95 0.00 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 109 City of Clearwater Small Growth Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 3/11 High 1st Qt Median 3rd Qt Low R Riverbridge Partners Return Rank 1 R2000G Return Rank Last Qtr Last 2 Qtrs 13.79 10.77 9.07 7.98 5.66 9.20 47 9.24 45 39.41 30.47 27.30 24.82 20.47 27.10 52 27.92 41 5% 10% 15% 20% 25% 30% 35% 40% 45% R1 R 1 110 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 3/31/11 YTD 13.79 10.77 9.07 7.98 5.66 9.20 47 9.24 45 5% 6% 7% 8% 9% 10% 11% 12% 13% 14% R 1 111 City of Clearwater Equity Summary Statistics Riverbridge Partners Period Ending 3/11 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 PortfolioR2000G 54 20,596,008 1,730,570 976,301 0.38 35.47 27.03 1.00 3.49 10.69 5.00 1,269 1,620,950 594,636 0.47 39.45 16.63 1.27 3.34 22.94 5.83 Ten Largest Holdings Cepheid Inc National Instrs Corp Gentex Corp Ultimate Software Gr Rollins Inc Chemed Corp New Ritchie Bros Auction United Nat Foods Inc Semtech Corp Portfolio Recovery A Market Value% of PortfolioQuarterly Ret 1,005,274 876,171 851,084 814,863 802,195 747,031 667,324 619,412 611,489 591,654 4.88 4.25 4.13 3.96 3.90 3.63 3.24 3.01 2.97 2.87 23.16 31.02 2.71 20.81 3.15 5.11 22.62 22.19 10.51 13.20 Ten Best Performers Stratasys Inc Financial Engines In National Instrs Corp Napco Sec Sys Inc Cabot Microelectroni Medtox Scientific In Maximus Inc Cepheid Inc Ritchie Bros Auction United Nat Foods Inc Quarterly Ret 44.00 38.98 31.02 30.73 26.06 25.27 24.03 23.16 22.62 22.19 Ten Worst Performers Grand Canyon Ed Inc Capella Education Co Usana Inc Enernoc Inc Universal Technical Digi Intl Inc Power Integrations I Cheesecake Factory I Angiodynamics Inc Mednax Inc Quarterly Ret -25.98 -25.22 -20.58 -20.08 -11.67 -4.86 -4.39 -1.86 -1.63 -1.01 112 City of Clearwater Equity Contribution to Return Riverbridge Partners Period Ending 3/11 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 PortfolioRussell 2000 Growth 54 20,596,008 1,730,570 976,301 0.38 35.47 27.03 1.00 3.49 10.69 5.00 1,269 1,620,950 594,636 0.47 39.45 16.63 1.27 3.34 22.94 5.83 Ten Best Contributors National Instrs Corp Cepheid Inc Ultimate Software Gr Stratasys Inc Ritchie Bros Auction United Nat Foods Inc Cabot Microelectroni Maximus Inc Portfolio Recovery A Faro Technologies In Market Value% of PortfolioQuarterly Ret 876,171 1,005,274 814,863 367,070 667,324 619,412 492,770 520,706 591,654 295,600 4.25 4.88 3.96 1.78 3.24 3.01 2.39 2.53 2.87 1.44 31.02 23.16 20.81 44.00 22.62 22.19 26.06 24.03 13.20 21.80 Ten Worst Contributors Grand Canyon Ed Inc Capella Education Co Enernoc Inc Usana Inc Power Integrations I Digi Intl Inc Universal Technical Cheesecake Factory I Angiodynamics Inc Mednax Inc Market Value% of PortfolioQuarterly Ret 193,053 196,173 149,918 98,354 422,397 349,800 126,036 475,873 357,739 552,530 0.94 0.95 0.73 0.48 2.05 1.70 0.61 2.31 1.74 2.68 -25.98 -25.22 -20.08 -20.58 -4.39 -4.86 -11.67 -1.86 -1.63 -1.01 113 City of Clearwater Equity Sector Attribution Analysis Riverbridge Partners Quarter Ending 3/11 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 0.67 17.36 13.04 3.31 26.79 2.85 35.98 0.00 0.00 100.00 5.05 4.95 17.74 16.91 3.11 18.90 4.93 27.06 1.30 0.06 100.00 8.70 9.23 -4.29 13.80 8.96 14.18 14.32 9.51 19.71 10.52 8.41 4.15 4.52 6.90 8.04 13.51 3.60 1.56 9.25 0.00 -0.01 0.14 -1.10 0.31 0.55 0.18 0.29 0.00 0.00 0.35 -0.53 -0.05 0.00 0.20 -0.01 -0.19 0.03 0.38 0.07 0.00 -0.09 -0.53 -0.07 0.15 -0.90 0.30 0.37 0.20 0.67 0.07 0.00 0.26 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 -0.01% [ Actual Return 9.50% ] - [ Buy Hold Return 9.51% ] 114 City of Clearwater Equity Sector Attribution Chart Riverbridge Partners Quarter Ending 3/11 % Allocation Energy 0.00 5.05 Materials 0.67 4.95 Industrials 17.36 17.74 Con. Discretionary 13.04 16.91 Consumer Staples 3.31 3.11 Health Care 26.79 18.90 Financials 2.85 4.93 Infomation Tech. 35.98 27.06 Telecom. Services 0.00 1.30 Utilities 0.00 0.06 Riverbridge PartnersR2000G % Return 19.71 8.70 10.52 9.23 8.41 -4.29 4.15 13.80 4.52 8.96 6.90 14.18 8.04 14.32 13.51 3.60 1.56 % Variance -0.53 -0.07 0.15 -0.90 0.30 0.37 0.20 0.67 0.07 0.00 115 City of Clearwater Atlanta Capital Mgmt as of 3/31/11 Morningstar Inc Affiliated Managers Dril-Quip Inc Kirby Expl Co. Forest City Enterpri Bio Rad Labs Inc Henry Jack & Assoc I Lkq Corp Blackbaud Inc Aptargroup Inc GICS Sector% Port Consumer Discretionary Financials Energy Industrials Financials Health Care Information Technology Consumer Discretionary Information Technology Materials 3.92 3.32 3.20 3.08 3.04 2.99 2.64 2.39 2.33 2.27 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 3.20 3.43 25.44 18.86 6.27 9.92 16.85 16.03 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 8/31/03 Atlanta Capital MgmtR2000V 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 9.50 6.59 11,514 0 1,093 12,607 9.50 6.59 11,514 0 1,093 12,607 28.68 20.63 19,973 -10,000 2,634 12,607 13.98 6.76 17,353 -10,000 5,255 12,607 9.65 2.23 31,427 -10,000 -8,820 12,607 12.03 8.57 14,990 -10,000 7,618 12,607 Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 116 City of Clearwater Atlanta Capital Mgmt as of 3/31/11 Cash & Equiv $418 3.32% Domestic Equity $12,189 96.68% Periods from 8/03 to 3/11 Alpha Beta R-Squared 1.26 0.70 0.91 Annualized Return% 0.02.04.06.08.010.012.014.016.018.020.022.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 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 12.03 8.57 2.23 17.51 20.53 0.57 0.56 0.31 0.00 0.29 Asset Allocation ($000) Risk/Return Analysis 117 City of Clearwater Small Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 3/11 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 12.41 8.80 7.44 6.22 4.41 9.50 9 6.59 72 31.98 26.03 23.77 21.26 18.29 28.68 9 20.63 88 57.75 51.37 45.23 41.75 34.69 40.10 89 41.11 80 14.50 11.81 9.21 7.93 2.91 13.98 5 6.76 88 7.66 5.74 3.15 1.32 -1.33 10.15 1 0.28 91 8.99 6.75 5.05 3.70 1.26 9.65 1 2.23 93 10.81 9.27 8.14 6.66 4.17 11.31 1 5.54 90 12.25 9.55 8.97 7.49 5.96 11.50 5 6.13 94 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% t 1 t 1 t1 t 1 t 1 t 1 t 1 t 1 118 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 3/31/11 YTD2010200920082007200620052004 12.41 8.80 7.44 6.22 4.41 9.50 9 6.59 72 33.44 30.90 28.08 24.15 21.47 25.98 65 24.51 71 53.30 35.72 26.24 23.62 18.36 26.83 47 20.57 93 -23.21 -28.67 -30.43 -33.57 -38.47 -19.52 1 -28.92 28 7.22 -1.48 -5.10 -9.60 -11.83 6.91 6 -9.77 76 29.98 21.78 19.37 17.06 11.45 16.22 80 23.48 12 11.55 8.27 7.05 4.76 2.33 6.23 58 4.70 75 28.23 26.31 23.25 19.26 17.23 20.24 66 22.25 54 -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% t1 t1 t 1 t 1 t 1 t 1 t 1 t1 119 City of Clearwater March 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 3/11 12/10 9/10 6/10 3/10 13.84 8.60 4.36 2.40 -1.18 13.98 4 6.76 36 8.20 2.72 -0.85 -2.95 -6.58 8.75 3 2.19 29 3.05 -2.36 -5.39 -7.22 -10.88 2.96 5 -4.99 46 1.76 -5.50 -8.50 -10.37 -14.70 0.55 6 -9.85 70 4.85 -0.34 -3.20 -5.11 -9.86 4.59 5 -5.71 79 -20% -15% -10% -5% 0% 5% 10% 15% t 1 t 1 t 1 t 1 t 1 Atlanta Capital Mgmt Value Added Analysis - Net of Fee 6/069/0612/063/076/079/0712/073/086/089/0812/083/096/099/0912/093/106/109/1012/103/11 -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0% 45.0% 50.0% 0.1 -0.8 -2.5 0.8 1.5 10.3 5.0 1.71.5 -1.2 11.010.9 0.0 -6.0 0.9 -2.6 3.2 1.2 -0.6 2.7 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R2000V 120 City of Clearwater Risk Measure Summary Atlanta Capital Mgmt Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 1.13 0.73 0.75 -7.69 14.70 28.68 28.68 1 3 -10.59 15.36 4 8 0.92 0.69 0.67 -16.60 18.00 -24.55 52.53 22.15 0.74 1.87 0.96 0.61 18.20 8.81 0.51 4 8 -24.89 22.70 29.50 0.21 7 13 0.92 0.58 0.60 -16.60 18.00 -24.55 52.53 17.76 0.72 1.65 0.93 0.42 10.27 8.16 0.69 8 12 -24.89 22.70 23.79 0.00 9 21 0.87 0.58 0.70 -16.60 18.00 -24.55 52.53 15.43 0.70 1.26 0.91 0.68 14.86 7.81 0.29 9 21 -24.89 22.70 21.09 0.31 121 City of Clearwater Return vs Risk Total Returns of Small Value Portfolios Annualized Rate of Return 18.020.422.825.227.630.032.434.837.239.642.0 0.0 1.8 3.6 5.3 7.2 9.0 10.8 12.6 14.4 16.2 18.0 t 1 MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank t Atlanta Capital Mgmt 1 R2000V Median 13.98522.151 6.768829.5046 9.2129.76 Annualized Rate of Return 16.017.819.621.423.225.026.828.630.432.234.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 t 1 MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 3/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank t Atlanta Capital Mgmt 1 R2000V Median 9.65117.761 2.239323.7926 5.0524.72 122 City of Clearwater Equity Summary Statistics Atlanta Capital Mgmt Period Ending 3/11 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 PortfolioR2000V 63 12,189,107 2,150,025 1,613,131 0.81 25.10 24.17 1.08 2.92 21.23 4.54 1,296 1,256,473 507,737 1.86 32.92 15.05 1.23 1.37 50.48 -1.69 Ten Largest Holdings Morningstar Inc Affiliated Managers Dril-Quip Inc Kirby Expl Co. Forest City Enterpri Bio Rad Labs Inc Henry Jack & Assoc I Lkq Corp Blackbaud Inc Aptargroup Inc Market Value% of PortfolioQuarterly Ret 478,132 404,669 389,618 374,677 370,763 364,024 321,955 291,610 283,568 276,718 3.92 3.32 3.20 3.08 3.04 2.99 2.64 2.39 2.33 2.27 9.98 10.23 1.69 30.06 12.82 15.69 16.64 6.07 5.67 5.78 Ten Best Performers Ulta Salon Cosmetcs Fair Isaac Corp National Instrs Corp Kirby Expl Co. Raven Inds Inc Aaron Rents Inc Pinnacle Finl Partne Pss World Med Inc Scansource Inc Exponet Inc Quarterly Ret 41.56 35.36 31.02 30.06 29.18 24.45 21.80 20.13 19.09 18.86 Ten Worst Performers Daktronics Inc Caseys Gen Stores Westamerica Bancorp City Natl Corp Umpqua Hldgs Corp Monro Muffler Brake Power Integrations I Simpson Manufacturin Sally Beauty Hldgs I Hibbett Sports Inc Quarterly Ret -32.47 -7.97 -6.73 -6.70 -5.65 -4.42 -4.39 -4.38 -3.58 -2.95 123 City of Clearwater Equity Contribution to Return Atlanta Capital Mgmt Period Ending 3/11 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 PortfolioR2000V 63 12,189,107 2,150,025 1,613,131 0.81 25.10 24.17 1.08 2.92 21.23 4.54 1,296 1,256,473 507,737 1.86 32.92 15.05 1.23 1.37 50.48 -1.69 Ten Best Contributors Kirby Expl Co. Fair Isaac Corp Raven Inds Inc Ulta Salon Cosmetcs National Instrs Corp Bio Rad Labs Inc Henry Jack & Assoc I Aaron Rents Inc Morningstar Inc Forest City Enterpri Market Value% of PortfolioQuarterly Ret 374,677 246,558 248,751 168,455 191,705 364,024 321,955 215,433 478,132 370,763 3.08 2.02 2.04 1.38 1.57 2.99 2.64 1.77 3.92 3.04 30.06 35.36 29.18 41.56 31.02 15.69 16.64 24.45 9.98 12.82 Ten Worst Contributors Daktronics Inc City Natl Corp Westamerica Bancorp Umpqua Hldgs Corp Caseys Gen Stores Monro Muffler Brake Sally Beauty Hldgs I Power Integrations I Hibbett Sports Inc Simpson Manufacturin Market Value% of PortfolioQuarterly Ret 98,900 177,996 134,076 159,016 106,860 187,326 223,600 160,986 157,922 85,434 0.81 1.46 1.10 1.31 0.88 1.54 1.84 1.32 1.30 0.70 -32.47 -6.70 -6.73 -5.65 -7.97 -4.42 -3.58 -4.39 -2.95 -4.38 124 City of Clearwater Equity Sector Attribution Analysis Atlanta Capital Mgmt Quarter Ending 3/11 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 3.44 3.50 23.38 17.35 6.52 9.87 17.86 18.07 0.00 0.00 100.00 7.84 6.31 14.52 9.79 2.89 5.61 36.95 9.28 0.64 6.17 100.00 1.69 7.47 13.53 10.42 -0.42 10.41 8.33 9.64 9.52 19.16 9.79 8.34 1.54 4.97 16.90 2.60 8.51 1.57 5.85 6.69 -0.60 -0.08 1.21 1.54 -0.35 -0.64 1.02 0.20 0.00 0.00 2.31 -0.55 -0.09 0.15 -0.39 -0.06 0.44 0.78 0.16 0.03 0.05 0.52 -1.15 -0.17 1.36 1.15 -0.41 -0.20 1.80 0.36 0.03 0.05 2.83 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 0.35% [ Actual Return 9.87% ] - [ Buy Hold Return 9.52% ] 125 City of Clearwater Equity Sector Attribution Chart Atlanta Capital Mgmt Quarter Ending 3/11 % Allocation Energy 3.44 7.84 Materials 3.50 6.31 Industrials 23.38 14.52 Con. Discretionary 17.35 9.79 Consumer Staples 6.52 2.89 Health Care 9.87 5.61 Financials 17.86 36.95 Infomation Tech. 18.07 9.28 Telecom. Services 0.00 0.64 Utilities 0.00 6.17 Atlanta Capital MgmtR2000V % Return 1.69 19.16 7.47 9.79 13.53 8.34 10.42 1.54 -0.42 4.97 10.41 16.90 8.33 2.60 9.64 8.51 1.57 5.85 % Variance -1.15 -0.17 1.36 1.15 -0.41 -0.20 1.80 0.36 0.03 0.05 126 City of Clearwater Systematic Financial Mgt as of 3/31/11 Cbl & Assoc Pptys In Dupont Fabros Techno Polyone Corp Fpic Ins Group Inc Cno Finl Group Inc Home Pptys Inc U S Airways Group In Webster Finl Corp Co Pier I Imports Inc Dana Holding Corp GICS Sector% Port Financials Financials Materials Financials Financials Financials Industrials Financials Consumer Discretionary Consumer Discretionary 3.21 3.02 2.24 2.19 2.16 2.01 2.00 1.71 1.67 1.66 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 7.38 7.62 19.67 13.62 1.45 5.15 28.09 14.66 0.42 1.96 -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 8/31/03 Systematic Financial MgtR2000V 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 7.65 6.59 11,416 0 873 12,289 7.65 6.59 11,416 0 873 12,289 29.26 20.63 15,870 -6,000 2,418 12,289 10.12 6.76 15,364 -6,000 2,925 12,289 4.27 2.23 31,991 -6,000 -13,703 12,289 8.80 8.57 15,001 -6,000 3,287 12,289 Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 127 City of Clearwater Systematic Financial Mgt as of 3/31/11 Cash & Equiv $230 1.87% Domestic Equity $12,059 98.13% Periods from 8/03 to 3/11 Alpha Beta R-Squared 0.25 0.98 0.83 Annualized Return% 0.02.04.06.08.010.012.014.016.018.020.022.024.0 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 8.5 9.0 s1 T Annualized Standard Deviation% s Systematic Financial Mgt 1 R2000V T 91-Day Treasury Bill Annualized Net Ret Std. Dev. Sharpe Ratio Info Ratio 8.80 8.57 2.23 21.52 20.53 0.57 0.31 0.31 0.00 0.04 Asset Allocation ($000) Risk/Return Analysis 128 City of Clearwater Small Value Cumulative Performance Comparisons Total Returns of Equity Portfolios Periods Ending 3/11 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 12.41 8.80 7.44 6.22 4.41 7.65 45 6.59 72 31.98 26.03 23.77 21.26 18.29 29.26 9 20.63 88 57.75 51.37 45.23 41.75 34.69 50.28 31 41.11 80 14.50 11.81 9.21 7.93 2.91 10.12 42 6.76 88 7.66 5.74 3.15 1.32 -1.33 2.85 54 0.28 91 8.99 6.75 5.05 3.70 1.26 4.27 70 2.23 93 10.81 9.27 8.14 6.66 4.17 7.84 59 5.54 90 12.25 9.55 8.97 7.49 5.96 6.97 94 6.13 94 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% s1 s 1 s 1 s 1 s 1 s1 s 1 s1 129 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 3/31/11 YTD2010200920082007200620052004 12.41 8.80 7.44 6.22 4.41 7.65 45 6.59 72 33.44 30.90 28.08 24.15 21.47 35.50 1 24.51 71 53.30 35.72 26.24 23.62 18.36 35.72 25 20.57 93 -23.21 -28.67 -30.43 -33.57 -38.47 -40.71 98 -28.92 28 7.22 -1.48 -5.10 -9.60 -11.83 0.49 21 -9.77 76 29.98 21.78 19.37 17.06 11.45 18.61 63 23.48 12 11.55 8.27 7.05 4.76 2.33 8.27 27 4.70 75 28.23 26.31 23.25 19.26 17.23 11.42 100 22.25 54 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% s1 s 1 s 1 s 1 s 1 s 1 s1 s 1 130 City of Clearwater March 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 3/11 12/10 9/10 6/10 3/10 13.84 8.60 4.36 2.40 -1.18 10.12 16 6.76 36 8.20 2.72 -0.85 -2.95 -6.58 2.93 24 2.19 29 3.05 -2.36 -5.39 -7.22 -10.88 -5.41 50 -4.99 46 1.76 -5.50 -8.50 -10.37 -14.70 -10.45 75 -9.85 70 4.85 -0.34 -3.20 -5.11 -9.86 -4.70 72 -5.71 79 -20% -15% -10% -5% 0% 5% 10% 15% s 1 s 1 s 1 s 1 s1 Systematic Financial Mgt Value Added Analysis - Net of Fee 6/069/0612/063/076/079/0712/073/086/089/0812/083/096/099/0912/093/106/109/1012/103/11 -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% -0.2 -1.6 -2.2 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 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. R2000V 131 City of Clearwater Risk Measure Summary Systematic Financial Mgt Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 1.31 1.06 0.75 -11.27 18.74 29.26 29.26 1 3 -10.59 15.36 4 8 0.91 0.82 0.67 -25.14 25.37 -40.88 74.73 31.55 0.97 0.98 0.82 0.30 9.89 13.55 0.20 4 8 -24.89 22.70 29.50 0.21 8 12 0.98 0.89 0.60 -25.14 25.37 -40.88 74.73 25.85 0.98 0.62 0.82 0.08 2.08 11.18 0.16 8 12 -24.89 22.70 23.79 0.00 11 19 0.94 0.89 0.70 -25.14 25.37 -40.88 74.73 22.79 0.98 0.25 0.83 0.31 7.30 9.61 0.04 9 21 -24.89 22.70 21.09 0.31 132 City of Clearwater Return vs Risk Total Returns of Small Value Portfolios Annualized Rate of Return 18.020.422.825.227.630.032.434.837.239.642.0 0.0 1.8 3.6 5.3 7.2 9.0 10.8 12.6 14.4 16.2 18.0 s 1 MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank s Systematic Financial Mgt 1 R2000V Median 10.124231.5574 6.768829.5046 9.2129.76 Annualized Rate of Return 16.017.819.621.423.225.026.828.630.432.234.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 s 1 MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 3/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank s Systematic Financial Mgt 1 R2000V Median 4.277025.8573 2.239323.7926 5.0524.72 133 City of Clearwater Equity Summary Statistics Systematic Financial Mgt Period Ending 3/11 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 PortfolioR2000V 113 12,058,989 1,476,051 1,072,300 0.77 26.70 15.51 1.60 1.71 49.48 -2.24 1,296 1,256,473 507,737 1.86 32.92 15.05 1.23 1.37 50.48 -1.69 Ten Largest Holdings Cbl & Assoc Pptys In Dupont Fabros Techno Polyone Corp Fpic Ins Group Inc Cno Finl Group Inc Home Pptys Inc U S Airways Group In Webster Finl Corp Co Pier I Imports Inc Dana Holding Corp Market Value% of PortfolioQuarterly Ret 386,724 363,750 269,990 263,405 260,597 241,695 240,396 205,728 200,767 199,985 3.21 3.02 2.24 2.19 2.16 2.01 2.00 1.71 1.67 1.66 0.77 14.58 14.12 2.54 10.77 7.41 -12.99 8.83 -3.33 1.05 Ten Best Performers Vonage Hldgs Corp Hercules Offshore In Sauer-Danfoss Inc Powerwave Technologi Timberland Co Manitowoc Inc Western Refng Inc Pioneer Drilling Co Exfo Inc Brooks Automation In Quarterly Ret 103.57 91.04 80.28 77.56 67.91 66.90 60.21 56.64 54.60 51.38 Ten Worst Performers Anadigics Inc Mips Technologies In Entropic Communicati Axcelis Technologies Pacer Intl Inc Tenn Radian Group Inc U S Airways Group In Felcor Lodging Tr In Quiksilver Inc Mgic Invt Corp Wis Quarterly Ret -35.35 -30.80 -30.05 -23.41 -23.10 -15.59 -12.99 -12.93 -12.82 -12.76 134 City of Clearwater Equity Contribution to Return Systematic Financial Mgt Period Ending 3/11 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 PortfolioR2000V 113 12,058,989 1,476,051 1,072,300 0.77 26.70 15.51 1.60 1.71 49.48 -2.24 1,296 1,256,473 507,737 1.86 32.92 15.05 1.23 1.37 50.48 -1.69 Ten Best Contributors Manitowoc Inc Hercules Offshore In Sauer-Danfoss Inc Brooks Automation In Nn Inc Western Refng Inc Sfn Group Inc United Rentals Inc Timberland Co Holly Corp Market Value% of PortfolioQuarterly Ret 188,168 137,488 112,046 171,625 180,774 136,871 173,307 153,088 94,967 127,596 1.56 1.14 0.93 1.42 1.50 1.14 1.44 1.27 0.79 1.06 66.90 91.04 80.28 51.38 47.73 60.21 44.36 46.29 67.91 49.43 Ten Worst Contributors U S Airways Group In Mips Technologies In Anadigics Inc Axcelis Technologies Entropic Communicati Felcor Lodging Tr In Pacer Intl Inc Tenn Pier I Imports Inc Mgic Invt Corp Wis Popular Inc Market Value% of PortfolioQuarterly Ret 240,396 62,940 51,430 70,755 43,940 80,916 34,190 200,767 51,562 76,824 2.00 0.52 0.43 0.59 0.36 0.67 0.28 1.67 0.43 0.64 -12.99 -30.80 -35.35 -23.41 -30.05 -12.93 -23.10 -3.33 -12.76 -7.32 135 City of Clearwater Equity Sector Attribution Analysis Systematic Financial Mgt Quarter Ending 3/11 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 10.38 7.99 15.42 9.54 3.11 8.01 29.62 14.52 0.00 1.42 100.00 7.84 6.31 14.52 9.79 2.89 5.61 36.95 9.28 0.64 6.17 100.00 19.49 10.13 11.68 7.95 14.92 9.73 1.84 9.94 12.80 8.81 19.16 9.79 8.34 1.54 4.97 16.90 2.60 8.51 1.57 5.85 6.69 0.03 0.03 0.52 0.61 0.31 -0.57 -0.22 0.21 0.00 0.10 1.01 0.32 0.05 0.01 0.01 -0.00 0.25 0.30 0.10 0.03 0.04 1.11 0.35 0.08 0.53 0.62 0.31 -0.33 0.08 0.30 0.03 0.14 2.11 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 -1.01% [ Actual Return 7.79% ] - [ Buy Hold Return 8.81% ] 136 City of Clearwater Equity Sector Attribution Chart Systematic Financial Mgt Quarter Ending 3/11 % Allocation Energy 10.38 7.84 Materials 7.99 6.31 Industrials 15.42 14.52 Con. Discretionary 9.54 9.79 Consumer Staples 3.11 2.89 Health Care 8.01 5.61 Financials 29.62 36.95 Infomation Tech. 14.52 9.28 Telecom. Services 0.00 0.64 Utilities 1.42 6.17 Systematic Financial MgtR2000V % Return 19.49 19.16 10.13 9.79 11.68 8.34 7.95 1.54 14.92 4.97 9.73 16.90 1.84 2.60 9.94 8.51 1.57 12.80 5.85 % Variance 0.35 0.08 0.53 0.62 0.31 -0.33 0.08 0.30 0.03 0.14 137 138 City of Clearwater International EQ Comp as of 3/31/11 Bhp Billiton Ltd Potash Corp Sask Inc Rio Tinto Plc Noble Corporation Ba Schlumberger Ltd Core Laboratories N Transocean Ltd Zug Arm Hldgs Plc Weatherford Internat Suncor Energy Inc Ne GICS Sector% Port Materials Materials Materials Energy Energy Energy Energy Information Technology Energy Energy 4.67 3.14 3.12 2.84 2.76 2.74 2.62 2.24 2.13 2.13 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 25.76 21.72 12.17 1.77 7.41 6.56 18.83 3.46 2.32 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 20.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 5/31/01 International EQ CompMSCI 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 3.31 3.45 120,850 -2 3,996 124,844 3.31 3.45 120,850 -2 3,996 124,844 18.66 10.90 105,215 -86 19,715 124,844 3.24 -2.53 99,806 -165 25,202 124,844 5.23 1.78 58,064 -165 66,945 124,844 7.05 5.58 20,000 -165 105,009 124,844 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 139 City of Clearwater International EQ Comp as of 3/31/11 Cash & Equiv $4,984 3.99% Intl Equity $91,506 73.30% Domestic Equity $28,354 22.71% Periods from 5/01 to 3/11 Alpha Beta R-Squared 0.35 1.02 0.95 Annualized Return% 0.02.04.06.08.010.012.014.016.018.020.0 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 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 7.05 5.58 2.19 18.82 18.38 0.52 0.26 0.18 0.00 0.29 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 140 City of Clearwater Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 3/11 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 6.82 4.10 3.26 2.09 -0.81 3.31 48 3.45 42 23.63 16.59 13.10 11.49 6.38 18.66 16 10.90 78 48.87 40.29 33.18 29.70 20.69 42.73 15 31.19 63 7.14 1.74 0.02 -2.76 -6.82 3.24 16 -2.53 71 9.80 2.63 -0.20 -2.38 -5.43 1.62 38 -2.46 75 11.45 5.71 3.58 1.67 -0.17 5.23 28 1.78 72 16.47 9.31 7.06 5.30 3.65 8.37 39 5.32 74 17.35 10.42 8.33 6.79 5.48 9.13 41 6.71 77 24.23 15.82 13.96 12.25 10.16 13.25 57 12.09 77 19.23 11.38 9.19 7.62 6.35 8.54 57 7.52 76 -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% I1 I 1 I 1 I 1 I 1 I 1 I 1 I 1 I1 I1 141 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 3/31/11 YTD201020092008200720062005200420032002 6.82 4.10 3.26 2.09 -0.81 3.31 48 3.45 42 24.78 17.02 11.98 8.45 2.37 18.37 20 8.21 76 75.57 42.19 35.69 26.17 9.83 57.93 10 32.46 59 -24.16 -40.27 -43.33 -47.40 -57.57 -47.94 78 -43.06 47 39.16 17.91 11.75 7.70 0.74 11.02 57 11.63 51 35.41 29.44 26.09 22.36 12.12 27.62 37 26.85 41 36.39 20.77 15.15 11.56 6.44 13.15 64 14.01 56 31.43 23.55 19.98 17.16 10.24 17.66 72 20.69 40 57.98 43.10 37.49 32.40 24.03 31.06 81 39.16 40 4.02 -9.37 -14.21 -17.03 -22.65 -13.03 40 -15.66 63 -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% I1 I 1 I 1 I 1 I1 I1 I1 I1 I 1 I1 142 City of Clearwater Risk Measure Summary International EQ Comp Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 1.17 0.80 0.75 -11.01 18.42 18.76 18.76 1 3 -13.74 16.53 10.90 10.90 4 8 1.25 0.97 0.58 -26.42 31.05 -45.99 71.81 33.97 1.08 1.70 0.95 0.08 2.57 7.91 0.86 5 7 -20.50 25.85 -46.20 55.20 30.64 -0.10 6 14 1.17 0.97 0.65 -26.42 31.05 -47.94 71.81 26.78 1.07 0.96 0.95 0.11 2.83 6.31 0.62 7 13 -20.50 25.85 -46.20 55.20 24.41 -0.02 13 26 1.05 0.98 0.64 -26.42 31.05 -47.94 71.81 23.13 1.02 0.36 0.95 0.23 5.16 5.02 0.29 14 25 -20.50 25.85 -46.20 58.14 22.11 0.18 143 City of Clearwater Return vs Risk Total Returns of International Equity Portfolios Annualized Rate of Return 16.019.022.025.028.031.034.037.040.043.046.0 -8.0 -6.2 -4.3 -2.5 -0.7 1.0 2.8 4.6 6.4 8.2 10.0 I 1 MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank I International EQ Comp 1 MSCI EAFE Median 3.241633.9874 -2.537130.6448 0.0230.92 Annualized Rate of Return 12.014.416.819.221.624.026.428.831.233.636.0 -6.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 I 1 MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 3/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank I International EQ Comp 1 MSCI EAFE Median 5.232826.7877 1.787224.4153 3.5824.37 144 City of Clearwater Earnest Partners as of 3/31/11 Arm Hldgs Plc Weichai Power Co United Industrial Co Schoeller Bleckmann Orient Overseas Int Rio Tinto Plc Core Laboratories N Bhp Billiton Ltd Anhui Conch Cement Dnb Nor Asa GICS Sector% Port Information Technology Industrials Financials Energy Industrials Materials Energy Materials Materials Financials 4.58 3.75 3.48 3.41 3.23 3.00 2.92 2.90 2.89 2.79 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 14.16 13.04 10.60 3.62 1.85 11.02 33.90 7.08 4.74 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 24.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Earnest PartnersMSCI 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 7.48 3.45 29,711 -1 2,223 31,933 7.48 3.45 29,711 -1 2,223 31,933 21.69 10.90 26,246 -4 5,691 31,933 3.38 -4.39 29,002 -5 2,936 31,933 Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 145 City of Clearwater Earnest Partners as of 3/31/11 Cash & Equiv $2,437 7.63% Intl Equity $29,496 92.37% Periods from 6/08 to 3/11 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -5.00.05.010.015.020.025.030.0 -5.0 -4.0 -3.0 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 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 3.38 -4.39 0.49 28.05 26.41 0.23 0.10 -0.18 0.00 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 146 City of Clearwater Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 3/11 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 6.82 4.10 3.26 2.09 -0.81 7.48 3 3.45 42 23.63 16.59 13.10 11.49 6.38 21.69 9 10.90 78 48.87 40.29 33.18 29.70 20.69 45.74 10 31.19 63 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% e 1 e 1 e 1 147 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 3/31/11 YTD20102009 6.82 4.10 3.26 2.09 -0.81 7.48 3 3.45 42 24.78 17.02 11.98 8.45 2.37 16.61 27 8.21 76 75.57 42.19 35.69 26.17 9.83 55.54 12 32.46 59 -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% e 1 e 1 e 1 148 City of Clearwater Return vs Risk Total Returns of International Equity Portfolios 3 Years Ending 3/31/11 Annualized Rate of Return 16.0 19.0 22.0 25.0 28.0 31.0 34.0 37.0 40.0 43.0 46.0 -8.0 -6.2 -4.3 -2.5 -0.7 1.0 2.8 4.6 6.4 8.2 10.0 1 MedianRisk Median Return Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank 1 MSCI EAFE Median -2.537130.6448 0.0230.92 149 City of Clearwater Global Equity Summary Statistics Earnest Partners Period Ending 3/11 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 PortfolioMSCI EAFE 52 29,496,153 35,916,356 18,036,905 2.02 14.16 14.08 1.06 2.01 88.87 2.71 1.28 967 52,097,450 7,320,286 3.21 16.41 16.32 1.00 1.52 96.87 -2.24 4.18 Ten Largest Holdings Arm Hldgs Plc Weichai Power Co United Industrial Co Schoeller Bleckmann Orient Overseas Int Rio Tinto Plc Core Laboratories N Bhp Billiton Ltd Anhui Conch Cement Dnb Nor Asa Market Value% of PortfolioQuarterly Ret 1,349,343 1,102,674 1,025,374 1,004,118 950,004 881,888 858,228 853,332 850,634 822,156 4.58 3.75 3.48 3.41 3.23 3.00 2.92 2.90 2.89 2.79 35.76 -1.31 15.45 13.77 8.23 0.14 15.07 4.21 33.39 8.86 Ten Best Performers Arm Hldgs Plc Mapfre Sa Anhui Conch Cement Shire Societe Generale Getinge Industrier Koninklijke Kpn Nv Statoil Asa United Industrial Co Core Laboratories N Quarterly Ret 35.76 35.36 33.39 20.67 20.59 17.84 16.44 16.28 15.45 15.07 Ten Worst Performers Carnival Corp China Shipping Conta Nippon Steel Corp Ceragon Networks Ltd Kt Corporation Mindray Medical Intl Novartis A G Denso Corp Icici Bk Ltd Icon Pub Ltd Co Quarterly Ret -16.36 -10.52 -9.84 -8.35 -6.11 -4.55 -4.45 -2.81 -1.60 -1.42 150 City of Clearwater Global Performance Attribution Analysis Earnest Partners Quarter Ending 3/11 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 China Colombia Cyprus Czech Republic Denmark Ecuador Finland France Germany Greece Hong Kong India Ireland Isle of Man Israel Italy Japan Kazakhstan Luxembourg Mexico Netherlands New Zealand Norway 8.79 0.33 0.91 0.00 0.00 0.00 0.11 0.00 0.00 0.00 0.00 1.00 3.50 1.11 9.51 8.24 0.25 2.85 0.00 0.23 0.09 0.80 2.59 22.12 0.00 0.00 0.00 2.50 0.10 0.84 8.79 0.33 0.91 0.00 0.00 0.00 0.11 0.00 0.00 0.00 0.00 1.00 3.50 1.11 9.51 8.24 0.25 2.85 0.00 0.23 0.09 0.80 2.59 22.12 0.00 0.00 0.00 2.50 0.10 0.84 4.09 0.22 3.46 5.96 4.20 -3.16 4.35 1.72 10.03 -0.39 3.44 -6.39 -4.32 7.45 -2.77 4.82 6.74 2.21 5.01 6.01 9.44 5.90 10.17 2.43 10.38 7.60 16.39 -0.44 9.42 -4.87 -2.44 13.66 -4.85 10.88 4.21 7.40 3.08 6.33 0.00 0.00 6.33 1.78 0.00 12.82 2.68 0.00 0.80 0.00 0.00 0.00 3.28 0.00 0.00 3.27 2.27 2.07 0.00 0.22 0.00 7.45 0.00 0.00 1.07 4.60 0.00 6.17 0.00 6.16 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.77 0.00 0.00 0.00 3.19 0.00 0.00 15.66 0.00 0.00 0.00 0.00 0.00 7.25 0.00 0.00 1.05 1.76 0.00 4.26 4.21 5.66 3.45 6.22 8.32 1.79 -1.49 10.67 8.29 -1.60 -1.42 -8.35 -0.98 -1.96 13.44 5.39 4.21 11.77 3.45 6.22 8.26 1.79 6.47 17.07 8.23 -1.60 -1.42 -8.35 -3.10 1.55 15.61 11.77 1.57 -1.88 0.26 0.03 0.27 0.39 1.70 2.46 0.05 -0.14 -0.52 0.04 0.21 0.62 5.04 -0.56 0.02 -1.57 0.00 0.34 0.21 0.28 -0.10 -0.01 0.13 0.40 0.20 1.57 -1.54 0.26 0.03 0.27 0.39 1.90 2.46 0.05 0.15 -0.62 0.04 0.20 0.62 5.17 -0.16 0.02 -1.37 Benchmark : MSCI EAFE Index Gross Dividend 151 City of Clearwater Global Performance Attribution Analysis Earnest Partners Quarter Ending 3/11 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 United Kingdom United States 0.00 0.26 0.08 1.72 0.00 3.27 3.24 8.02 21.34 0.00 100.00 0.00 0.26 0.08 1.72 0.00 3.27 3.24 8.02 21.34 0.00 100.00 2.77 1.84 -1.96 8.13 -0.91 0.03 1.52 -348.74 8.71 4.27 -0.36 14.39 5.60 1.91 3.94 -346.34 0.91 0.00 0.00 3.31 2.67 1.66 1.81 5.78 16.88 2.75 100.00 0.00 0.00 0.00 3.22 0.00 1.61 1.76 2.03 7.19 44.10 100.00 -16.36 13.60 0.15 27.96 10.57 2.61 15.73 -1.21 7.05 -16.36 15.45 0.15 35.36 17.84 3.24 15.90 -1.21 8.45 0.07 0.02 -0.53 0.38 0.47 0.71 1.34 10.45 0.52 0.33 0.21 0.15 2.40 5.06 0.07 0.02 -0.02 0.71 0.67 0.86 3.74 15.50 Benchmark : MSCI EAFE Index Gross Dividend Market Selection [Portfolio Active Weight - Benchmark Active Weight] x [Benchmark Market Ret Premium - Benchmark Tot Ret Premium] Currency Selection [Portfolio Currency Weight - Benchmark Currency Weight] x [Currency Discount Rate - Total Currency Discount Rate] Security Selection [Portfolio Active Weight] x [Portfolio Market Return Premium - Benchmark Market Return Premium] 152 City of Clearwater International Equity Sector Attribution Analysis Earnest Partners Quarter Ending 3/11 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 13.53 12.99 11.24 4.08 1.93 11.26 33.43 6.79 4.76 0.00 100.00 7.75 11.59 12.78 10.46 10.06 8.17 23.80 4.97 5.41 5.01 100.00 12.03 7.75 1.23 -4.64 3.87 5.95 8.57 26.42 6.71 8.31 11.47 1.91 5.48 -0.51 0.56 2.31 4.72 -0.90 8.63 0.09 3.55 0.08 0.76 -0.48 -0.17 0.06 0.41 1.29 1.86 -0.09 0.00 3.71 0.46 -0.02 -0.03 0.26 0.24 -0.04 0.11 -0.08 -0.03 0.17 1.04 0.53 0.74 -0.51 0.09 0.31 0.37 1.40 1.77 -0.12 0.17 4.76 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 -0.23% [ Actual Return 8.08% ] - [ Buy Hold Return 8.31% ] 153 City of Clearwater Wentworth & Violich as of 3/31/11 Bhp Billiton Ltd Potash Corp Sask Inc Noble Corporation Ba Schlumberger Ltd Weatherford Internat Suncor Energy Inc Ne Nabors Industries Lt Cooper Industries Pl Transocean Ltd Zug Nestle S A GICS Sector% Port Materials Materials Energy Energy Energy Energy Energy Industrials Energy Consumer Staples 6.37 6.15 5.57 5.41 4.16 4.16 4.11 4.08 3.88 3.85 Energy Materials Industrials Consumer Discretionary Consumer Staples Health Care Financials Information Technology Telecom Services Utilities % Port 36.86 30.04 13.66 0.00 12.73 2.30 4.42 0.00 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 24.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Wentworth & ViolichMSCI 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 6.47 3.45 31,374 -1 2,029 33,403 6.47 3.45 31,374 -1 2,029 33,403 21.80 10.90 27,427 -3 5,978 33,403 0.53 -4.39 29,002 -3 4,404 33,403 Portfolio Performance (%) Top Equity HoldingsGICS Sector Allocation 154 City of Clearwater Wentworth & Violich as of 3/31/11 Cash & Equiv $2,577 7.72% Intl Equity $30,825 92.28% Periods from 6/08 to 3/11 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -5.00.05.010.015.020.025.030.0 -4.5 -4.0 -3.5 -3.0 -2.5 -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 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 0.53 -4.39 0.49 29.08 26.41 0.23 0.00 -0.18 0.00 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 155 City of Clearwater Cumulative Performance Comparison Total Returns of International Equity Portfolios Periods Ending 3/11 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 6.82 4.10 3.26 2.09 -0.81 6.47 5 3.45 42 23.63 16.59 13.10 11.49 6.38 21.80 9 10.90 78 48.87 40.29 33.18 29.70 20.69 42.12 16 31.19 63 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% w 1 w 1 w 1 156 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 3/31/11 YTD20102009 6.82 4.10 3.26 2.09 -0.81 6.47 5 3.45 42 24.78 17.02 11.98 8.45 2.37 17.58 23 8.21 76 75.57 42.19 35.69 26.17 9.83 55.98 12 32.46 59 -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% w1 w 1 w 1 157 City of Clearwater Return vs Risk Total Returns of International Equity Portfolios 3 Years Ending 3/31/11 Annualized Rate of Return 16.0 19.0 22.0 25.0 28.0 31.0 34.0 37.0 40.0 43.0 46.0 -8.0 -6.2 -4.3 -2.5 -0.7 1.0 2.8 4.6 6.4 8.2 10.0 1 MedianRisk Median Return Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank 1 MSCI EAFE Median -2.537130.6448 0.0230.92 158 City of Clearwater Global Equity Summary Statistics Wentworth & Violich Period Ending 3/11 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 PortfolioMSCI EAFE 36 30,825,413 59,397,973 30,824,267 1.32 18.91 19.04 1.12 2.39 46.27 12.23 4.89 967 52,097,450 7,320,286 3.21 16.41 16.32 1.00 1.52 96.87 -2.24 4.18 Ten Largest Holdings Bhp Billiton Ltd Potash Corp Sask Inc Noble Corporation Ba Schlumberger Ltd Weatherford Internat Suncor Energy Inc Ne Nabors Industries Lt Cooper Industries Pl Transocean Ltd Zug Nestle S A Market Value% of PortfolioQuarterly Ret 1,960,746 1,893,421 1,713,031 1,664,691 1,280,855 1,280,182 1,265,327 1,254,193 1,194,584 1,184,088 6.37 6.15 5.57 5.41 4.16 4.16 4.11 4.08 3.88 3.85 4.21 14.25 27.99 11.99 -0.88 17.36 29.50 11.86 12.14 -2.28 Ten Best Performers Nabors Industries Lt Noble Corporation Ba Axa Sa Suncor Energy Inc Ne Core Laboratories N Potash Corp Sask Inc Canadian Natl Ry Co Transocean Ltd Zug Schlumberger Ltd Cooper Industries Pl Quarterly Ret 29.50 27.99 25.77 17.36 15.07 14.25 13.73 12.14 11.99 11.86 Ten Worst Performers Teck Resources Ltd Yara Intl Asa Novartis A G Vale S A Nestle S A Brookfield Asset Mgm Weatherford Internat Partnerre Hldgs Ltd Canadian Pac Railway Rio Tinto Plc Quarterly Ret -14.25 -12.41 -4.45 -3.06 -2.28 -2.10 -0.88 -0.71 -0.29 0.14 159 City of Clearwater Global Performance Attribution Analysis Wentworth & Violich Quarter Ending 3/11 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 China Cyprus Denmark Ecuador Finland France Germany Greece Hong Kong Ireland Isle of Man Israel Italy Japan Kazakhstan Luxembourg Netherland Antilles Netherlands New Zealand Norway Portugal Scotland Singapore 8.79 0.33 0.91 0.00 0.00 0.00 0.11 0.00 0.00 1.00 3.50 1.11 9.51 8.24 0.25 2.85 0.23 0.09 0.80 2.59 22.12 0.00 0.00 0.00 2.50 0.10 0.84 0.26 0.08 1.72 8.79 0.33 0.91 0.00 0.00 0.00 0.11 0.00 0.00 1.00 3.50 1.11 9.51 8.24 0.25 2.85 0.23 0.09 0.80 2.59 22.12 0.00 0.00 0.00 2.50 0.10 0.84 0.26 0.08 1.72 4.09 0.22 3.46 5.96 4.20 -3.16 4.35 1.72 10.03 -0.39 3.44 -6.39 -4.32 7.45 -2.77 4.82 6.74 2.21 2.77 1.84 -1.96 5.01 6.01 9.44 5.90 10.17 2.43 10.38 7.60 16.39 -0.44 9.42 -4.87 -2.44 13.66 -4.85 10.88 4.21 7.40 8.71 4.27 -0.36 6.60 0.00 0.00 10.07 4.37 27.30 4.67 0.00 0.00 0.00 0.00 0.00 0.51 2.57 0.00 0.00 3.01 0.00 0.00 0.00 0.00 0.00 4.03 5.18 4.80 0.00 0.18 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 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 4.21 16.10 -2.89 6.60 27.99 25.77 8.55 2.75 0.98 11.99 7.87 -12.41 4.21 16.10 -2.89 6.60 27.99 25.77 8.55 2.75 0.98 11.99 7.87 -12.41 0.60 0.10 0.26 -1.17 0.27 0.39 2.45 1.69 0.05 0.91 -0.78 0.04 0.29 0.62 7.60 -0.62 0.02 0.19 0.07 0.02 0.58 0.01 1.03 0.11 0.18 -0.02 0.15 -0.03 0.61 0.10 0.26 -0.14 0.27 0.39 2.56 1.87 0.05 0.91 -0.80 0.04 0.29 0.62 7.60 -0.47 0.02 0.17 0.07 0.02 0.58 Benchmark : MSCI EAFE Index Gross Dividend 160 City of Clearwater Global Performance Attribution Analysis Wentworth & Violich Quarter Ending 3/11 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 3.27 3.24 8.02 21.34 0.00 100.00 3.27 3.24 8.02 21.34 0.00 100.00 8.13 -0.91 0.03 1.52 -348.74 14.39 5.60 1.91 3.94 -346.34 0.00 0.00 18.02 8.70 0.00 100.00 0.00 0.00 0.00 0.00 100.00 100.00 2.79 3.51 7.14 2.79 3.51 7.14 0.77 1.05 -3.15 3.80 16.07 0.50 0.17 2.09 0.77 1.05 -2.66 3.97 18.16 Benchmark : MSCI EAFE Index Gross Dividend Market Selection [Portfolio Active Weight - Benchmark Active Weight] x [Benchmark Market Ret Premium - Benchmark Tot Ret Premium] Currency Selection [Portfolio Currency Weight - Benchmark Currency Weight] x [Currency Discount Rate - Total Currency Discount Rate] Security Selection [Portfolio Active Weight] x [Portfolio Market Return Premium - Benchmark Market Return Premium] 161 City of Clearwater International Equity Sector Attribution Analysis Wentworth & Violich Quarter Ending 3/11 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 30.91 31.26 17.28 0.00 13.37 2.66 4.52 0.00 0.00 0.00 100.00 7.75 11.59 12.78 10.46 10.06 8.17 23.80 4.97 5.41 5.01 100.00 13.68 3.09 6.92 2.89 -4.45 4.95 6.88 11.47 1.91 5.48 -0.51 0.56 2.31 4.72 -0.90 8.63 0.09 3.55 0.68 0.37 0.25 0.00 0.31 -0.18 0.01 0.00 0.00 0.00 1.44 1.83 -0.32 0.09 0.42 -0.10 0.07 -0.23 0.22 -0.27 0.17 1.89 2.52 0.04 0.34 0.42 0.21 -0.11 -0.21 0.22 -0.27 0.17 3.33 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 0.15% [ Actual Return 7.03% ] - [ Buy Hold Return 6.88% ] 162 City of Clearwater Eaton Vance Mgmt as of 3/31/11 -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 4/30/08 Eaton Vance MgmtMSCI 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 0.66 2.10 30,980 0 204 31,184 0.66 2.10 30,980 0 204 31,184 17.81 18.78 26,469 -78 4,793 31,184 2.43 1.98 8,277 -157 23,064 31,184 Portfolio Performance (%) 163 City of Clearwater Eaton Vance Mgmt as of 3/31/11 Intl Equity $31,184 100.00% Periods from 6/08 to 3/11 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -5.00.05.010.015.020.025.030.035.0 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 2.2 2.4 2.6 v 1 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 2.43 1.98 0.49 31.06 32.10 0.23 0.06 0.05 0.00 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 164 City of Clearwater Cumulative Performance Comparison Total Returns of Emerging Markets Portfolios Periods Ending 3/11 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 4.54 1.71 0.66 -0.53 -1.91 0.66 50 2.10 13 24.74 19.87 18.17 15.54 2.19 17.81 51 18.78 35 59.87 48.87 46.20 42.44 21.40 48.41 27 46.85 41 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% 65% v 1 v 1 v 1 165 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 3/31/11 YTD20102009 4.54 1.71 0.66 -0.53 -1.91 0.66 50 2.10 13 29.48 24.10 20.80 18.43 8.88 23.33 36 19.19 61 92.22 77.74 70.53 50.52 27.05 67.01 62 79.02 21 -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% v 1 v 1 v 1 166 City of Clearwater Return vs Risk Total Returns of Emerging Markets Portfolios 3 Years Ending 3/31/11 Annualized Rate of Return 15.0 20.0 25.0 30.0 35.0 40.0 45.0 50.0 55.0 -8.0 -5.2 -2.3 0.4 3.2 6.0 8.8 11.6 14.4 17.2 20.0 1 MedianRisk Median Return Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank 1 MSCI Emg Mkts Median 4.626036.1373 5.7435.28 167 City of Clearwater Wellington Mgmt as of 3/31/11 -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 3/31/08 Wellington MgmtMSCI 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 -1.60 2.10 28,784 0 -460 28,324 -1.60 2.10 28,784 0 -460 28,324 12.97 18.78 25,072 0 3,252 28,324 4.09 4.62 8,000 0 20,324 28,324 4.09 4.62 8,000 0 20,324 28,324 Portfolio Performance (%) 168 City of Clearwater Wellington Mgmt as of 3/31/11 Cash & Equiv $-30 -0.11% Domestic Equity $28,354 100.11% Periods from 3/08 to 3/11 Alpha Beta R-Squared -0.15 0.97 0.99 Annualized Return% -5.00.05.010.015.020.025.030.035.040.0 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 l 1 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 4.09 4.62 0.51 35.28 36.13 0.36 0.10 0.11 0.00 -0.26 Asset Allocation ($000) Risk/Return Analysis 169 City of Clearwater Cumulative Performance Comparison Total Returns of Emerging Markets Portfolios Periods Ending 3/11 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 4.54 1.71 0.66 -0.53 -1.91 -1.60 92 2.10 13 24.74 19.87 18.17 15.54 2.19 12.97 83 18.78 35 59.87 48.87 46.20 42.44 21.40 41.05 85 46.85 41 10.39 6.65 5.74 2.80 -3.04 4.09 67 4.62 60 -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% 65% l 1 l 1 l 1 l 1 170 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 3/31/11 YTD20102009 4.54 1.71 0.66 -0.53 -1.91 -1.60 92 2.10 13 29.48 24.10 20.80 18.43 8.88 15.99 87 19.19 61 92.22 77.74 70.53 50.52 27.05 74.44 31 79.02 21 -10% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% l1 l 1 l 1 171 City of Clearwater Return vs Risk Total Returns of Emerging Markets Portfolios 3 Years Ending 3/31/11 Annualized Rate of Return 15.0 20.0 25.0 30.0 35.0 40.0 45.0 50.0 55.0 -8.0 -5.2 -2.3 0.4 3.2 6.0 8.8 11.6 14.4 17.2 20.0 l 1 MedianRisk Median Return Historical Standard Deviation of Return Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank l Wellington Mgmt 1 MSCI Emg Mkts Median 4.096735.2851 4.626036.1373 5.7435.28 172 City of Clearwater Fixed Income Comp as of 3/31/11 FNMA Cl 30 - Tba Apr United States Treas FNMA Cl 30 - Tba Apr FNMA Cl 30 - Tba Apr FNMA Pool #ad0494 FNMA Cl 30 - Tba May GNMA Ii Sf 30 - Tba FNMA Cl 30 - Tba May FNMA Pool #ad0217 United States Treas Sector% Port Mortgage Government Mortgage Mortgage Mortgage Mortgage Mortgage Mortgage Mortgage Government 2.68 2.56 2.03 1.78 1.71 1.64 1.21 1.17 1.16 1.12 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous % Port 18.12 17.26 14.76 42.79 1.82 0.63 2.88 0.82 0.90 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 12/31/87 Fixed Income CompBC 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 0.87 0.42 192,283 1,366 1,680 195,329 0.87 0.42 192,283 1,366 1,680 195,329 6.01 5.12 185,442 -964 10,852 195,329 7.11 5.30 216,239 427 -21,337 195,329 6.85 6.02 201,404 427 -6,502 195,329 5.50 5.57 170,302 427 24,600 195,329 6.96 7.28 59,224 427 135,678 195,329 Holdings and allocations only include SMA accounts. Portfolio Performance (%) Top Fixed Income HoldingsSector Allocation 173 City of Clearwater Fixed Income Comp as of 3/31/11 Domestic Equity $86 0.04% Cash & Equiv $17,639 9.03% Domestic Fixed $177,605 90.93% Periods from 12/87 to 3/11 Alpha Beta R-Squared 0.23 0.59 0.57 Annualized Return% 1.01.52.02.53.03.54.04.5 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 7.28 4.19 3.18 4.15 1.16 0.87 0.74 0.00 -0.14 Asset Allocation ($000) Risk/Return Analysis Holdings and allocations only include SMA accounts. 174 City of Clearwater Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 3/11 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 4.27 1.75 0.80 0.38 -0.04 0.87 47 0.42 72 14.97 8.20 5.91 4.56 1.00 6.01 48 5.12 63 23.68 11.87 8.00 5.73 1.01 10.45 35 6.40 66 9.92 7.19 5.79 4.46 0.49 7.11 25 5.30 61 8.95 7.01 6.21 5.11 1.52 6.82 30 5.89 59 8.60 7.02 6.32 5.48 2.30 6.85 30 6.02 61 7.90 6.40 5.71 4.97 2.75 6.14 32 5.39 64 7.42 5.81 5.06 4.42 2.80 5.43 34 4.77 64 8.90 5.90 5.13 4.47 3.25 5.35 40 4.85 63 8.89 6.51 5.84 5.12 3.68 5.90 47 5.59 63 8.08 6.42 5.80 5.20 4.02 5.50 65 5.57 61 -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% 26% F1 F1 F 1 F 1 F1 F1 F1 F1 F1 F1 F1 175 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 3/31/11 YTD2010200920082007200620052004200320022001 4.27 1.75 0.80 0.38 -0.04 0.87 47 0.42 72 15.43 9.72 7.02 5.69 0.69 7.37 45 6.54 61 19.37 13.01 8.22 5.28 -0.27 12.37 26 5.93 69 9.60 5.50 3.47 -0.99 -10.58 2.54 57 5.24 29 9.65 7.47 6.51 5.04 2.16 5.94 60 6.96 39 11.38 5.30 4.57 4.13 2.89 5.05 30 4.33 65 6.67 3.07 2.54 2.03 1.32 2.59 47 2.43 56 10.46 5.20 4.34 3.16 1.32 3.93 61 4.34 50 17.31 5.78 4.44 3.55 1.77 3.77 70 4.11 62 12.25 10.41 9.31 6.98 0.95 8.06 66 10.26 28 10.59 9.12 8.38 7.17 2.54 5.57 86 8.43 48 -15% -10% -5% 0% 5% 10% 15% 20% 25% F1 F1 F 1 F 1 F1 F1 F1 F1 F1 F 1 F 1 176 City of Clearwater Risk Measure Summary Fixed Income Comp Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 0.99 0.30 0.75 -0.39 2.76 6.01 6.01 1 3 -1.30 3.49 5.12 5.12 4 8 1.34 1.26 0.75 -2.54 5.72 0.73 15.87 5.08 1.11 0.31 0.71 1.30 5.95 2.89 0.61 3 9 -1.30 4.57 3.13 10.56 3.91 1.23 5 15 1.14 1.17 0.75 -2.54 5.72 0.68 15.87 4.20 1.07 0.14 0.74 1.10 4.35 2.32 0.34 5 15 -1.30 4.57 3.13 10.56 3.52 1.08 16 77 0.89 0.30 0.80 -2.54 5.72 -0.07 15.87 3.18 0.59 0.23 0.57 0.87 4.68 2.65 -0.14 19 74 -2.87 7.96 -3.23 18.48 4.15 0.74 177 City of Clearwater Return vs Risk Total Returns of Fixed Income Portfolios Annualized Rate of Return 0.02.04.06.08.010.012.014.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 F 1 MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank F Fixed Income Comp 1 BC Agg Median 7.11255.0852 5.30613.9129 5.795.04 Annualized Rate of Return 0.01.22.43.64.86.07.28.49.610.812.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 F 1 MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 3/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank F Fixed Income Comp 1 BC Agg Median 6.85304.2054 6.02613.5231 6.324.06 178 City of Clearwater Dodge & Cox as of 3/31/11 United States Treas FNMA Pool #ad0494 FNMA Pool #ad0217 Fhgld Pool #g03771 FNMA Pool Ae0381 United States Treas United States Treas United States Treas FNMA Pool #ad0119 Xerox Corp Sr Nt 6.4 Sector% Port Government Mortgage Mortgage Mortgage Mortgage Government Government Government Mortgage Industrials 4.68 3.12 2.12 2.00 1.98 1.97 1.92 1.88 1.71 1.70 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous % Port 20.17 12.94 15.92 41.32 2.52 0.49 4.86 0.25 1.52 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 2/29/04 Dodge & CoxBC 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 1.19 0.42 105,690 0 1,260 106,949 1.19 0.42 105,690 0 1,260 106,949 6.26 5.12 100,646 0 6,303 106,949 7.67 5.30 102,928 -2,415 6,436 106,949 7.06 6.02 91,333 -2,415 18,031 106,949 5.65 4.83 75,656 -2,415 33,708 106,949 Portfolio Performance (%) Top Fixed Income HoldingsSector Allocation 179 City of Clearwater Dodge & Cox as of 3/31/11 Cash & Equiv $2,574 2.41% Domestic Fixed $104,375 97.59% Periods from 2/04 to 3/11 Alpha Beta R-Squared 0.25 0.93 0.63 Annualized Return% 0.51.01.52.02.53.03.54.0 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 5.65 4.83 2.31 3.72 3.58 0.58 0.90 0.70 0.00 0.30 Asset Allocation ($000) Risk/Return Analysis 180 City of Clearwater Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 3/11 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 4.27 1.75 0.80 0.38 -0.04 1.19 34 0.42 72 14.97 8.20 5.91 4.56 1.00 6.26 46 5.12 63 23.68 11.87 8.00 5.73 1.01 11.87 25 6.40 66 9.92 7.19 5.79 4.46 0.49 7.67 20 5.30 61 8.95 7.01 6.21 5.11 1.52 7.02 24 5.89 59 8.60 7.02 6.32 5.48 2.30 7.06 24 6.02 61 7.90 6.40 5.71 4.97 2.75 6.33 26 5.39 64 7.42 5.81 5.06 4.42 2.80 5.63 29 4.77 64 -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% 26% d1 d 1 d 1 d 1 d 1 d 1 d1 d1 181 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 3/31/11 YTD201020092008200720062005 4.27 1.75 0.80 0.38 -0.04 1.19 34 0.42 72 15.43 9.72 7.02 5.69 0.69 7.53 43 6.54 61 19.37 13.01 8.22 5.28 -0.27 14.53 15 5.93 69 9.60 5.50 3.47 -0.99 -10.58 1.37 63 5.24 29 9.65 7.47 6.51 5.04 2.16 5.47 67 6.96 39 11.38 5.30 4.57 4.13 2.89 5.62 20 4.33 65 6.67 3.07 2.54 2.03 1.32 2.40 58 2.43 56 -15% -10% -5% 0% 5% 10% 15% 20% 25% d 1 d 1 d 1 d 1 d 1d 1 d 1 182 City of Clearwater March 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 3/11 12/10 9/10 6/10 3/10 9.92 7.19 5.79 4.46 0.49 7.67 20 5.30 61 9.64 7.57 6.10 4.65 0.67 7.68 22 5.91 55 11.06 8.47 7.42 5.66 0.48 8.27 29 7.42 50 11.16 8.31 7.28 5.29 0.26 8.14 27 7.55 43 9.63 7.06 6.14 4.84 0.67 7.28 21 6.14 50 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% d 1 d 1 d 1 d 1 d 1 Dodge & Cox Value Added Analysis - Net of Fee 6/069/0612/063/076/079/0712/073/086/089/0812/083/096/099/0912/093/106/109/1012/103/11 -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% 0.3 -0.2 0.4 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 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. BC Agg 183 City of Clearwater Risk Measure Summary Dodge & Cox Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 0 4 0.94 -0.10 0.75 0.13 2.46 6.26 6.26 1 3 -1.30 3.49 3 9 1.40 1.06 0.75 -2.88 6.98 -0.26 17.78 5.38 1.01 0.56 0.53 1.33 7.06 3.89 0.59 3 9 -1.30 4.57 3.91 1.23 4 16 1.14 0.82 0.75 -2.88 6.98 -0.26 17.78 4.33 0.96 0.30 0.55 1.12 5.07 3.18 0.31 5 15 -1.30 4.57 3.52 1.08 7 21 1.09 0.72 0.68 -2.88 6.98 -0.26 17.78 4.14 0.93 0.25 0.63 0.80 3.56 2.71 0.30 9 19 -2.44 4.57 3.68 0.67 184 City of Clearwater Return vs Risk Total Returns of Fixed Income Portfolios Annualized Rate of Return 0.02.04.06.08.010.012.014.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 d 1 MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank d Dodge & Cox 1 BC Agg Median 7.67205.3861 5.30613.9129 5.795.04 Annualized Rate of Return 0.01.22.43.64.86.07.28.49.610.812.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 d 1 MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 3/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank d Dodge & Cox 1 BC Agg Median 7.06244.3356 6.02613.5231 6.324.06 185 City of Clearwater Fixed Income, Mortgage and Municipals Summary Statistics Dodge & Cox Quarter Ending 3/11 Total Number Of Securities Total Market Value Yield to Maturity Time to Maturity Current Coupon Duration Effective Convexity Effective Duration Effective Maturity PortfolioBC Agg 160 104,375,332 2.59 14.16 5.70 4.58 0.21 4.01 6.38 7,989 15,093,100,183,552 3.08 7.25 4.20 5.35 0.04 5.12 7.25 Yield to Maturity 5+ 18.7% 4 - 513.5% 3 - 416.1% 2 - 318.7% 1 - 218.3% 0 - 114.7% Time to Maturity 10+ 52.1% 7 - 1013.6% 5 - 79.2% 3 - 57.9% 1 - 32.0% 0 - 115.1% Coupon 11+ 0.0% 9 - 111.1% 7 - 918.4% 5 - 764.5% 3 - 53.7% 0 - 312.2% Quality NR 2.4% B 1.4% BA 4.6% BAA 19.5% A 12.9% AA 6.0% AAA 40.8% GOVT 12.3% Duration 8+ 16.3% 6 - 88.2% 4 - 616.3% 3 - 412.4% 1 - 331.7% 0 - 115.1% Effective Duration 8+ 14.3% 6 - 85.7% 4 - 618.7% 3 - 410.8% 1 - 331.0% 0 - 119.4% 186 City of Clearwater Percent Invested by Sector and Quality Dodge & Cox As of 3/31/11 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 12.94 10.97 1.97 --- --- --- --- --- --- 40.19 --- 6.08 30.52 3.59 --- --- --- 53.13 --- --- --- 4.80 1.01 --- 3.79 --- 0.46 --- --- --- --- --- 0.46 --- 0.30 6.02 --- --- --- 9.04 1.77 --- 7.02 0.25 0.82 --- --- --- --- --- 3.09 --- --- 12.94 --- --- --- 17.05 9.87 --- 7.18 --- 1.25 --- --- --- --- --- --- --- 1.22 19.52 --- --- --- 4.58 3.27 0.49 0.82 --- --- --- --- --- --- --- --- --- --- 4.58 --- --- --- 1.36 --- --- 1.36 --- --- --- --- --- --- --- --- --- --- 1.36 --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- 0.00 --- --- 0.00 --- --- 1.14 --- --- 1.14 --- 1.30 --- --- 2.44 12.94 10.97 1.97 36.83 15.92 0.49 20.17 0.25 2.53 41.33 --- 6.08 31.66 3.59 4.85 --- 1.52 100.00 187 City of Clearwater Fixed Income Sector Attribution Analysis Dodge & Cox Quarter Ending 3/11 Weight Portfolio Index Return Portfolio Index Selection Security Sector Total Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous 19.39 12.44 16.27 43.28 2.26 0.47 4.10 0.25 1.52 100.00 8.25 43.56 9.83 34.97 0.37 1.30 0.00 1.71 0.00 100.00 1.86 0.06 0.67 1.69 3.70 5.42 5.02 1.98 1.53 1.24 -0.09 0.66 0.96 1.33 0.79 1.59 0.48 0.00 0.49 0.12 0.02 0.00 0.32 0.05 0.02 0.14 0.00 0.00 0.68 0.08 0.18 0.01 0.04 0.02 -0.00 0.05 0.00 -0.01 0.36 0.20 0.20 0.01 0.35 0.07 0.02 0.19 0.00 -0.01 1.04 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 -0.32% [ Actual Return 1.21% ] - [ Buy Hold Return 1.53% ] 188 City of Clearwater Western Asset Management Co. as of 3/31/11 FNMA Cl 30 - Tba Apr FNMA Cl 30 - Tba Apr FNMA Cl 30 - Tba Apr FNMA Cl 30 - Tba May GNMA Ii Sf 30 - Tba FNMA Cl 30 - Tba May United States Treas United States Treas United States Treas GNMA Ii Pool 004772 Sector% Port Mortgage Mortgage Mortgage Mortgage Mortgage Mortgage Government Government Government Mortgage 6.39 4.83 4.25 3.91 2.89 2.80 2.68 2.57 2.47 1.85 Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous % Port 15.13 23.57 13.08 44.93 0.80 0.84 0.00 1.66 0.00 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 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 0.52 0.42 81,482 0 421 81,903 0.52 0.42 81,482 0 421 81,903 5.58 5.12 77,571 0 4,332 81,903 6.23 5.30 102,746 0 -20,843 81,903 6.49 6.02 87,922 0 -6,019 81,903 5.48 5.04 74,568 0 7,335 81,903 Portfolio Performance (%) Top Fixed Income HoldingsSector Allocation 189 City of Clearwater Western Asset Management Co. as of 3/31/11 Domestic Equity $86 0.11% Cash & Equiv $8,587 10.48% Domestic Fixed $73,230 89.41% Periods from 9/04 to 3/11 Alpha Beta R-Squared 0.03 1.12 0.92 Annualized Return% 0.51.01.52.02.53.03.54.04.5 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 5.48 5.04 2.42 3.98 3.44 1.01 0.77 0.76 0.00 0.35 Asset Allocation ($000) Risk/Return Analysis 190 City of Clearwater Cumulative Performance Comparison Total Returns of Fixed Income Portfolios Periods Ending 3/11 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 4.27 1.75 0.80 0.38 -0.04 0.52 65 0.42 72 14.97 8.20 5.91 4.56 1.00 5.58 54 5.12 63 23.68 11.87 8.00 5.73 1.01 8.45 47 6.40 66 9.92 7.19 5.79 4.46 0.49 6.23 40 5.30 61 8.95 7.01 6.21 5.11 1.52 6.38 44 5.89 59 8.60 7.02 6.32 5.48 2.30 6.49 43 6.02 61 7.90 6.40 5.71 4.97 2.75 5.83 45 5.39 64 -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% 26% w 1 w 1 w 1 w1 w 1 w 1 w 1 191 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 3/31/11 YTD201020092008200720062005 4.27 1.75 0.80 0.38 -0.04 0.52 65 0.42 72 15.43 9.72 7.02 5.69 0.69 7.09 49 6.54 61 19.37 13.01 8.22 5.28 -0.27 9.24 43 5.93 69 9.60 5.50 3.47 -0.99 -10.58 3.92 46 5.24 29 9.65 7.47 6.51 5.04 2.16 6.51 50 6.96 39 11.38 5.30 4.57 4.13 2.89 4.66 44 4.33 65 6.67 3.07 2.54 2.03 1.32 2.77 38 2.43 56 -15% -10% -5% 0% 5% 10% 15% 20% 25% w1 w 1 w 1 w1 w 1 w 1 w 1 192 City of Clearwater March 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 3/11 12/10 9/10 6/10 3/10 9.92 7.19 5.79 4.46 0.49 6.23 40 5.30 61 9.64 7.57 6.10 4.65 0.67 6.73 37 5.91 55 11.06 8.47 7.42 5.66 0.48 8.12 32 7.42 50 11.16 8.31 7.28 5.29 0.26 8.15 27 7.55 43 9.63 7.06 6.14 4.84 0.67 6.65 34 6.14 50 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 11% 12% w 1 w 1 w 1 w 1 w 1 Western Asset Management Co. Value Added Analysis - Net of Fee 6/069/0612/063/076/079/0712/073/086/089/0812/083/096/099/0912/093/106/109/1012/103/11 -2.5% -2.0% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% -0.1 0.2 0.10.1 -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 Cumulative Value Added 2 Yr Rolling Avg (Annualized) Quarterly Value Added vs. BC Agg 193 City of Clearwater Risk Measure Summary Western Asset Management Co. Quarterly Periods Ending 3/31/11 Risk Measures 1 Year PortfolioBench 3 Years PortfolioBench 5 Years PortfolioBench Inception PortfolioBench 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 1 3 1.04 0.84 0.75 -1.09 3.35 5.58 5.58 1 3 -1.30 3.49 5.12 5.12 4 8 1.23 1.50 0.75 -2.17 5.22 1.91 14.60 4.93 1.20 -0.00 0.90 1.16 4.77 1.82 0.50 3 9 -1.30 4.57 3.13 10.56 3.91 1.23 6 14 1.13 1.54 0.75 -2.17 5.22 1.56 14.60 4.23 1.17 -0.04 0.92 1.01 3.66 1.43 0.33 5 15 -1.30 4.57 3.13 10.56 3.52 1.08 9 17 1.11 1.23 0.69 -2.17 5.22 -0.46 14.60 3.98 1.12 0.03 0.92 0.77 2.73 1.26 0.35 8 18 -1.30 4.57 -0.81 10.56 3.44 0.76 194 City of Clearwater Return vs Risk Total Returns of Fixed Income Portfolios Annualized Rate of Return 0.02.04.06.08.010.012.014.0 -4.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 w1 MedianRisk Median Return Historical Standard Deviation of Return 3 Years Ending 3/31/11 Annualized Net of Fee ReturnStandard Deviation ValueRankValueRank w Western Asset Management Co. 1 BC Agg Median 6.23404.9349 5.30613.9129 5.795.04 Annualized Rate of Return 0.01.22.43.64.86.07.28.49.610.812.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 w 1 MedianRisk Median Return Historical Standard Deviation of Return 5 Years Ending 3/31/11 Annualized Net of Fee Return Standard Deviation Value Rank Value Rank w Western Asset Management Co. 1 BC Agg Median 6.49434.2355 6.02613.5231 6.324.06 195 City of Clearwater Fixed Income, Mortgage and Municipals Summary Statistics Western Asset Management Co. Quarter Ending 3/11 Total Number Of Securities Total Market Value Yield to Maturity Time to Maturity Current Coupon Duration Effective Convexity Effective Duration Effective Maturity PortfolioBC Agg 221 73,229,514 3.61 21.42 4.98 6.79 0.46 6.23 10.56 7,989 15,093,100,183,552 3.08 7.25 4.20 5.35 0.04 5.12 7.25 Yield to Maturity 5+ 11.8% 4 - 521.5% 3 - 438.4% 2 - 315.8% 1 - 26.4% 0 - 16.2% Time to Maturity 10+ 65.0% 7 - 1013.4% 5 - 76.5% 3 - 56.3% 1 - 34.9% 0 - 13.9% Coupon 11+ 0.1% 9 - 111.6% 7 - 94.5% 5 - 756.9% 3 - 525.9% 0 - 311.0% Quality NR 1.8% B 0.8% BA 1.2% BAA 11.3% A 12.2% AA 5.5% AAA 23.3% GOVT 43.8% Duration 8+ 23.3% 6 - 89.7% 4 - 619.7% 3 - 419.5% 1 - 324.9% 0 - 12.9% Effective Duration 8+ 21.7% 6 - 89.8% 4 - 619.3% 3 - 415.5% 1 - 329.9% 0 - 13.8% 196 City of Clearwater Percent Invested by Sector and Quality Western Asset Management Co. As of 3/31/11 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 22.73 15.71 7.02 0.16 --- --- --- 0.16 --- 44.23 10.23 0.94 31.10 1.96 --- --- --- 67.12 0.75 --- 0.75 4.54 1.29 --- 3.26 --- 0.21 --- --- --- --- --- --- --- --- 5.50 --- --- --- 12.24 4.01 0.69 7.20 0.34 --- --- --- --- --- --- --- --- --- 12.24 0.10 --- 0.10 11.14 7.40 --- 2.59 1.16 0.11 --- --- --- --- --- --- --- --- 11.35 --- --- --- 1.23 0.38 0.15 0.70 --- --- --- --- --- --- --- --- --- --- 1.23 --- --- --- 0.32 --- --- 0.32 --- 0.48 --- --- --- --- --- --- --- --- 0.80 --- --- --- 0.00 --- --- 0.00 --- --- --- --- --- --- --- --- --- --- 0.00 --- --- --- 1.06 --- --- 1.06 --- --- 0.70 0.40 --- --- 0.30 --- --- --- 1.76 23.58 15.71 7.87 30.69 13.08 0.84 15.13 1.66 0.80 44.93 10.63 0.94 31.10 2.26 --- --- --- 100.00 197 City of Clearwater Fixed Income Sector Attribution Analysis Western Asset Management Co. Quarter Ending 3/11 Weight Portfolio Index Return Portfolio Index Selection Security Sector Total Finance Government Industrials Mortgage Transportation Utilities Municipals Foreign Miscellaneous 15.82 38.57 14.29 28.28 1.12 0.71 0.00 1.07 0.13 100.00 8.25 43.56 9.83 34.97 0.37 1.30 0.00 1.71 0.00 100.00 1.96 -0.14 0.25 1.09 0.43 0.76 0.00 1.55 0.63 1.24 -0.09 0.66 0.96 1.33 0.79 1.59 0.48 0.00 0.49 0.11 -0.02 -0.06 0.04 -0.01 -0.00 -0.00 0.01 0.00 0.07 0.06 0.03 0.01 -0.03 0.01 -0.00 -0.00 0.00 -0.00 0.07 0.17 0.01 -0.05 0.01 -0.00 -0.00 -0.00 0.01 -0.00 0.14 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 -0.07% [ Actual Return 0.56% ] - [ Buy Hold Return 0.63% ] 198 City of Clearwater Real Estate Comp as of 3/31/11 -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 24.0 26.0 Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept 4/30/08 Real Estate CompPolicy 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 5.41 5.77 62,823 0 3,398 66,221 5.41 5.77 62,823 0 3,398 66,221 24.19 19.85 55,133 -2,000 13,087 66,221 -1.05 -1.78 19,347 -2,000 48,874 66,221 Portfolio Performance (%) 199 City of Clearwater Real Estate Comp as of 3/31/11 Cash & Equiv $706 1.07% Real Estate $65,515 98.93% Periods from 6/08 to 3/11 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -5.00.05.010.015.020.025.030.035.040.045.0 -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 R 1 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 -1.05 -1.78 0.49 41.57 41.71 0.23 -0.04 -0.05 0.00 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 200 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 3/11 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 7.51 5.51 3.20 1.98 -5.05 5.41 25 5.77 21 16.59 10.55 8.37 6.66 -2.77 12.78 16 13.30 15 31.94 26.38 15.16 11.55 -4.56 27.52 23 25.39 25 27.47 23.87 17.94 12.48 -9.85 24.19 21 19.85 34 -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% R 1 R 1 R 1 R 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 R Real Estate Comp Net Ret Rank 1 Policy Index Net Ret Rank 3/31/11 YTD20102009 7.51 5.51 3.20 1.98 -5.05 5.41 25 5.77 21 30.11 18.66 15.49 10.65 -12.72 30.51 3 24.96 11 36.12 -5.52 -28.27 -30.79 -45.55 24.68 13 29.20 10 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% R 1 R 1 R 1 202 City of Clearwater Return vs Risk Total Returns of Real Estate Portfolios 3 Years Ending 3/31/11 Annualized Rate of Return 0.0 4.8 9.6 14.4 19.2 24.0 28.8 33.6 38.4 43.2 48.0 -30.0 -25.5 -21.0 -16.5 -12.0 -7.5 -3.0 1.5 6.0 10.5 15.0 1 MedianRisk Median Return Historical Standard Deviation of Return Annualized ReturnStandard Deviation ValueRankValueRank 1 Policy Index Median 0.201644.5598 -8.6915.21 203 City of Clearwater Security Capital as of 3/31/11 -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 4/30/08 Security CapitalWilshire 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 6.52 6.63 41,879 0 2,731 44,611 6.52 6.63 41,879 0 2,731 44,611 26.56 24.85 55,133 -22,000 11,477 44,611 -0.41 -0.43 19,347 -22,000 47,264 44,611 Portfolio Performance (%) 204 City of Clearwater Security Capital as of 3/31/11 Cash & Equiv $703 1.58% Real Estate $43,907 98.42% Periods from 6/08 to 3/11 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -5.00.05.010.015.020.025.030.035.040.045.0 -0.5 -0.4 -0.3 -0.2 -0.1 0.0 0.1 0.2 0.3 0.4 0.5 0.6 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 -0.41 -0.43 0.49 41.67 42.05 0.23 -0.02 -0.02 0.00 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 205 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 3/11 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 7.51 5.51 3.20 1.98 -5.05 6.52 15 6.63 13 27.47 23.87 17.94 12.48 -9.85 26.56 6 24.85 17 62.06 7.04 -0.32 -3.59 -27.22 66.11 1 63.99 1 -30% -20% -10% 0% 10% 20% 30% 40% 50% 60% 70% s1 s 1 s 1 206 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 3/31/11 YTD20102009 7.51 5.51 3.20 1.98 -5.05 6.52 15 6.63 13 30.11 18.66 15.49 10.65 -12.72 31.62 1 29.12 6 36.12 -5.52 -28.27 -30.79 -45.55 24.68 13 29.20 10 -50% -40% -30% -20% -10% 0% 10% 20% 30% 40% s 1 s 1 s 1 207 City of Clearwater Multi Employer Property Trust as of 3/31/11 -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 9/30/10 Multi Employer Property TrustNCREIF 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 3.18 4.01 20,944 0 666 21,610 3.18 4.01 20,944 0 666 21,610 8.05 9.20 0 20,000 1,610 21,610 Portfolio Performance (%) 208 City of Clearwater Multi Employer Property Trust as of 3/31/11 Cash & Equiv $2 0.01% Real Estate $21,608 99.99% Periods from 9/10 to 3/11 Alpha Beta R-Squared N/A N/A N/A Annualized Return% -0.21.49012e-080.20.40.60.81.01.21.41.61.82.02.22.4 -1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 M 1 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 8.05 9.20 0.09 2.17 1.39 0.01 3.66 6.57 0.00 Asset Allocation ($000) Risk/Return Analysis (Number of returns < 12) 209 City of Clearwater Cumulative Performance Comparison Total Returns of Real Estate Portfolios Periods Ending 3/11 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 7.51 5.51 3.20 1.98 -5.05 3.18 56 4.01 37 16.59 10.55 8.37 6.66 -2.77 8.05 56 9.20 36 -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% M O M O 210 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 3/31/11 YTD 7.51 5.51 3.20 1.98 -5.05 3.18 56 4.01 37 -6% -5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5% 6% 7% 8% M O 211 212 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 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 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 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