EMPLOYEES PENSION PLAN PERFORMANCE REVIEW - SEPTEMBER 30, 2014 CITY OF CLEARWATER
EMPLOYEES PENSION PLAN
PERFORMANCE REVIEW
SEPTEMBER ,
Eric W. Bailey, CFA John J. Griffith
Managing Principal Senior Investment Consultant
102 W.Whiting Street,Suite 400,Tampa,FL 33602-5140 ♦ Tel: 813/218-5000
TABLE OF CONTENTS
Important Disclaimer Information
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
f
i
IMPORTANT DISCLAIMER INFORMATION
This report has been created as a courtesy for the clients of CapTrust Advisors, LLC.
The information contained herein was taken from sources believed to be reliable, but no representation or
warranty is made as to its accuracy or completeness.
Performance Comparison Page Information:
Shaded areas represent where the investment objective was achieved either by:
1) The investment return versus the index;
2) The investment return universe ranking (The lower the number the better the ranking)
Due to methodologies utilized by our systems, the performance results presented are calculated and presented
beginning on the last day of an account's inception month. Results do not include the interim period from an
account's inception date to an account's first month-end. For example, for an account that has an inception
date of March 15, this report begins measuring performance as of March 31. Omission of performance during
this interim period is likely to result in different performance figures than if the interim period's performance
was included in this report.
When applicable, 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 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 Advisor if you have any questions. Transactions requiring
tax consideration should be reviewed carefully with your accountant or 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, LLC.
Indices are unmanaged and you cannot invest directly in an index.
For index definitions,please see the Capital Markets Review.
1
z
Index 'QTR VTD 1 Yr 3 Yr 5 Yr 10' r
Domestic Fixed Income
3 month T-Bill 0.01% 0.03% 0.05% 0.07% 0.10% 1.59%
Barclays Capital 1-3 year Gov't 0.03% 0.45% 0.52% 0.51% 1.07% 2.61%
Barclays Capital Interm Gov't 0.02% 1.56% 1.14% 0.90% 2.50% 3.68%
Barclays Capital Interm Credit -0.11% 3.34% 4.04% 4.09% 5.17% 4.88%
Barclays Capital Interm Govt/Cred -0.03% 2.22% 2.20% 2.01% 3.42% 4.05%
Barclays Capital Aggregate Bond 0.17% 4.10% 3.96% 2.43% 4.12% 4.62%
Domestic Equity
Standard & Poor's 500 1.13% 8.34% 19.73% 22.99% 15.70% 8.11%
Dow Jones Industrial Average 1.87% 4.60% 15.29% 19.02% 14.85% 8.15%
Wilshire 5000 Total Market 0.08% 7.08% 17.91% 22.82% 15.66% 8.49%
Wilshire US REIT -3.07% 14.46% 13.51% 16.53% 16.02% 8.34%
II, ANN 1111 ANSI:: A IN
Russell 1000 Growth - Large Cap 1.49% 7.89% 19.15% 22.45% 16.50% 8.94%
Russell 1000 Value - Large Cap -0.19% 8.07% 18.89% 23.93% 15.26% 7.84%
Russell Midcap Growth -0.73% 5.73% 14.43% 22.74% 17.12% 10.24%
Russell Midcap Value -2.65% 8.20% 17.46% 24.72% 17.24% 10.17%
III . 0 1
Russell 2000 Growth - Small Cap -6.13% -4.05% 3.79% 21.91% 15.51% 9.03%
Russell 2000 Value - Small Cap -8.58% -4.74% 4.13% 20.61% 13.02% 7.25%
International Equity
MSCI SAFE -5.83% -0.99% 4.70% 14.16% 7.04% 6.80%
MSCI World -2.05% 4.33% 12.80% 18.60% 11.47% 7.71%
MSCI EM -3.36% 2.75% 4.66% 7.56% 4.76% 11.03%
Blended Benchmarks
30% S&P 500 / 70% Barclays Agg 0.45% 5.37% 8.69% 8.60% 7.59% 5.67%
40% S&P 500 / 60% Barclays Agg 0.55% 5.80% 10.27% 10.66% 8.75% 6.02%
50% S&P 500 / 50% Barclays Agg 0.65% 6.22% 11.85% 12.71% 9.91% 6.36%
60% S&P 500 / 40% Barclays Agg 0.74% 6.65% 13.42% 14.77% 11.07% 6.71%
70% S&P 500 / 30% Barclays Agg 0.84% 7.07% 15.00% 16.82% 12.22% 7.06%
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources:Morningstar
Data provided by sources believed to be reliable but no guarantee is made as to its accuracy.Past performance is no guarantee of fixture performance.
3
Capital Markets Overview
U.S. Markets
After enjoying repeated market highs during the first half of the year investor appetite for risk waned this quarter.
Global economic pressure and geopolitical tensions more than offset economic improvement in the U.S. and
encouragement from Chinese manufacturing and GDP numbers.
The quarter started off poorly in July as the Dow Jones Industrial Average (DJIA), S&P 500 Index (S&P 500),
and Nasdaq Composite Index (NASDAQ) each declined. The DJIA lost a little more than 1% for the month, but
that halved its year-to-date gain. The S&P 500 and NASDAQ also lost a little more than 1% each.
Markets improved in August albeit on low volumes. Encouraging economic data and more Fed commentary
indicating a continued accommodative monetary policy were given credit for supporting the advance. Investors
were further encouraged by better-than-anticipated second quarter earnings results, housing data and employment
numbers. The DJIA gained more than 3% for the month, while the S&P 500 gained better than 4% and closed
above 2,000 for the first time in history. The NASDAQ gained more than 5% in August and reached levels not
seen since the tech bubble of 2000.
Investors turned cautious in September as mixed economic readings led to a more cautionary investment
approach. Fed officials caused concern when they announced a revised benchmark interest rate projection of
1.375% by the end of 2015, up from the previous projection of 1.125%. The DJIA, S&P 500 and NASDAQ all
finished the month lower. Despite the September losses, the DJIA finished the quarter up almost 2%, as did the
NASDAQ. The S&P 500 was up slightly better than 1% for the quarter.
International Markets
Although the U.S. economy is slowly recovering from the deep recession of 2008 - 2009, the European economy
continues to sputter and still suffers from the problems created by their 2010 — 2012 sovereign debt crisis. As a
result, the European economy is facing the possibility of a recession and deflation. Markets in Europe did not
benefit from the European Central Bank's (ECB) additional monetary stimulus this quarter and continues to
struggle with a slowing job market and weak manufacturing.
Japan's Nikkei 225 Index, which had negative returns through July posted gains in August and September fueled
by speculation the Bank of Japan may announce additional stimulus measures. The Nikkei index was up 6.7%
this quarter and is now down only -0.72% for the year.
Increased stimulus and an improving economic outlook helped support market advances in China. China's central
bank added $81.4 billion (U.S.) of liquidity to the country's five largest banks and reduced short-term borrowing
costs to encourage economic growth. The Shanghai Composite Index posted its fifth consecutive monthly gain in
September and ended the quarter up more than 15%.
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Source: Wells Fargo Advisors
Data provided by sources believed to be reliable but no guarantee is made as to its accuracy.Past performance is no guarantee of fixture performance.
4
Capital Markets Overview
U.S. Treasury and Corporate Debt
Investors were willing to take some risk in the equity markets this quarter, but less so in the debt markets. The 10-
year Treasury note saw yields decline in August, only to reverse in September and close nearly unchanged. For
the quarter, the yield dropped seven basis points and closed at 2.48%. The yield on the benchmark note is off 54
basis points for the year.
Corporate debt sales reached a record pace this quarter. Corporations raced to take advantage of low rates ahead
of perceived rate increases and investor's demand for yields exceeding those of government bonds. According to
Dealogic, sales of U.S. corporate debt are $44 billion ahead of this time last year and are expected to exceed last
year's record issuance of$1.1 trillion.
Commodities
Commodities declined through the quarter. The Reuters/Jefferies CRB Index fell 9.6% during the quarter led by
the energy sector and metals. Diminished fear over disruption in supplies from the Middle East caused crude
supplies to far exceed demand this quarter. West Texas Crude suffered its biggest decline in more than 2 years,
falling more than 13.5% this quarter.
The outlook for higher interest rates helped the U.S. dollar gain more than 7% this quarter, the largest quarterly
increase since 2008. Strength in the U.S. dollar kept pressure on gold. Gold finished the quarter down more than
8% and is now within 1% of its price at the start of the year. Silver has now retreated to prices not seen since
2010, and copper is down more than 10%year-to-date on decreased demand.
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Source: Wells Fargo Advisors
Data provided by sources believed to be reliable but no guarantee is made as to its accuracy.Past performance is no guarantee of fixture performance.
5
Breaking down the sectors
➢ The S&P Industrial Sector comprises 60 different companies totaling almost 10% of the S&P 500 total
market cap. The sector has lagged the S&P 500 YTD but has outperformed over the last three, five, and ten
year periods.
➢ The Energy sector posted the largest sector fall for the third quarter with a loss of-8.62%.
➢ The strong performance from the Health Care sector is being spearheaded by biotech and health care
facilities.
11111's"112111,
!
S&P 500 Health Care Facilities 24.71%
S&P 500 Biotechnology 17.53%
S&P 500 Agricultural Products 16.41%
S&P 500 Health Care Technology 15.49%
S&P 500 Footwear 15.37%
M1111101111 mu uui uui�uui�uuiuuu�uuu�uui�i�'��� m �
S&P 500 Oil & Gas Drilling -22.85%
S&P 500 Tires & Rubber -18.51%
S&P 500 Coal & Consumable Fuels -17.95%
S&P 500 Motorcycle Manufacturers -16.32%
S&P 500 Independent Power Producers & Energy Traders -13.56%
S&P 500 3Q14 Sector Returns
-8.62 Energy
-3.96 Utilities
4.77 Information Technology
01.13 S&P 500
1.95 Consumer Staples
��JJJJJ JJ 5.46 Health Care
-1.09 Industrials
��J J 3.07 Telecommunications
0.26 Consumer Discretionary
J J 2.33 Financials
0.22 Materials
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Source: Wells Fargo Advisors,JP Morgan,Zephyr StyleAdvisor,MSCI Baru,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 fixture performance.
6
The view from the top looks great; just don't look
down
➢ The S&P 500 posted its highest closing price ever
of 2,011.36 in the month of September. Third Quarter
Domestic Equity Returns
➢ The Dow Jones Industrial Average rose 216.30 Value Growth
points in the quarter led by Chevron which _
contributed 74.75 points to the index.
°o -0.19 0.65 1.49
➢ The Dow Jones Industrial Average gave up 0.2%
and the S&P 500 posted a monthly loss of-1.4% as
. -2.64 -1.66 -0.73
7 of the 10 sectors declined in the month of
September.
a� o
-8.58 -7.36 -6.13
➢ Even with the losses in the month of September the
DJIA still gained 1.9% and the S&P 500 added
1.13% for the quarter.
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This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Wells Fargo Advisors,FactSet,Zephyr StyleAdvisor,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 fixture performance.
7
The U.S. and the Eurozone economies; there has been a
great divergence in the force 3QI4 YTD 2014
➢ In September, the European Central Bank cut interest Country/Region Local USD Local USD
rates again and began purchasing asset backed securities Regions/Broad Indexes
(ABS) and covered bonds. Details weren't released USA(S&P 500) - 1.1 - 8.3
until October 2, but the market reaction was predictable: EAFE 1.0 -5.8 4.5 -1.0
yields fell in the Eurozone, spreads tightened, and Europe ex-U.K. 0.1 -7.4 7.2 -1.6
equities rose. For the quarter, Europe ex-U.K. Pacific ex-Japan -0.9 -5.9 2.7 1.2
plummeted 7.4% and brought the YTD return down to - Emerging Markets 0.7 -3.4 5.5 2.7
1.6%. MSCI: Selected Countries
United Kingdom -0.9 -6.0 1.0 -1.2
➢ The four largest European economies Germany France France -0.6 -8.3 5.4 -3.4
Italy, and Spain account for 75% of the Eurozone GDP. Germany -0.7 -11.2 -1.2 -9.4
Germany has 25% of the Eurozone population and 27% Japan 5.9 -2.2 3.0 -1.4
of its GDP. Italy has only 18% of the Eurozone GDP China 1.7 1.5 1.2 1.0
but almost 25% of its sovereign debt and a new prime India 5.1 2.3 24.5 24.7
minister, Matteo Renzi, the youngest in Italy's history. Brazil 1.6 -8.6 5.1 1.2
Spain has seen its economy grow for 12 consecutive Russia -4.3 -15.1 -6.6 -19.5
months now and is the second-fastest growth economy Returns are reported gross
in the Eurozone on a quarter-over-quarter basis.
➢ "Abenomics" has two components: quantitative easing to end deflation while financing government debt and
structural reform to create longer-term growth. The Bank of Japan is being very accommodative and
aggressive to fulfill the first component. The second component has yet to be fully implemented. The
Yen/Dollar weakened slightly in July though strengthened in August. The MSCI Japan ended down -2.2%
for 3Q and brought the YTD return down to a-1.4%.
Weights in MSCI All County World Index
4.00%420%
70 uuuui United States
miii Europe ex UK
11.000 a UK
50.00% hill Emerging Markets
8.000 a Japan
ouu pacific
ooi Canada
1
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Wells Fargo Advisors,JPMorgan Asset Mgmt.,MSCI,Oppenheimer Funds
Data provided by sources believed to be reliable but no guarantee is made as to its accuracy.Past performance is no guarantee of fixture performance.
8
Ukraine, Ebola,Argentinian Debt...
➢ The 6th BRICS (Brazil, Russia, India, China, and South Africa) summit was held in July where they agreed
to establish a New Development Bank (NDB) with an authorized capitalization of$100 Billion U.S. as well
as $100 billion U.S. contingency reserve. Once ratified, the bank could be set up as early as 2016.
➢ Elections took place in Brazil this quarter. With the death of presidential candidate Eduardo Campos, his
running mate Marina Silva was adopted as the new candidate and the polls are suggesting her popularity is
close to the incumbent President Dilma Rousseff. The MSCI Brazil index finished the month lower at -8.6%,
bringing down the YTD return to 1.2%.
➢ As of July 30, Argentina was in default on its sovereign debt marking the second default in 13 years.
➢ The Ukraine conflict has created several news pieces throughout the quarter: the downed Malaysian airliner
in July, the Ukrainian border incident in August, and more. Russia invaded Georgia in 2008 and Crimea in
2014, and there could be an increased possibility of further violence in Ukraine.
➢ The Ebola outbreak was identified 6 months ago in Guinea in Africa. It is the largest, most severe and
complex outbreak. The World Health Organization estimates the number of infected cases exceed 6,500 and
the death count exceeds 3,000 (as of September 30). The countries most affected are Guinea, Liberia, and
Sierra Leone.
Cyclically Adjusted Price-to Earnings (CAPE) Ratio As of 8/31/2014
Discount In-Line
45
38.6
40
35
30
25 2211 23.7.
0 19.8 18.6 17.8 19
20 16.1 16.4 16.6
15 2 .... . 0 14.7 0
10 m m • m uo W
5 VIII VIII m u m iW, m
0
}\oo ��\�a J5• �a°a
c o
IIIIIIIIII Current P/E 0 10 year Historical Avg.P/E
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Wells Fargo Advisors,LLC,JP Morgan Asset Mgmt.,MSCI
Data provided by sources believed to be reliable but no guarantee is made as to its accuracy.Past performance is no guarantee of fixture performance.
9
Reduction of Quantitative Easing seems to have
little impact on yields U.S.. „.01 Year inireasury Yielld
2,'
➢ The 10-year note continued to decline to a low 2,
of 2.33% in August. The 10-year Note ended 2.' -----��io
the quarter down 7 basis points,yielding 2.48%. 2,A ----
2
➢ The Fed continues to slow its bond buying
program. However, since the policy was T-q, CO' 111`), N M, 111`), N M, ' N M, ' re),
announced last year the expectations have ,�, IN IN C`
already been built into the market.
10.00fm
um AAA
Bonds make gains across credit quality and � o�AA
sectors 5.00% A
s m�BBB.
t0.00% ...:^aea'.i... ........... ............ ...... ......... �.................... ........... ...
➢ Fixed income markets were mixed this quarter. V oi�BB
Returns ranged from 0.34% for AA rated debt to -5.00%
-1.34% for BB rated bonds. The return for AAA 3QI4 YTD 1 YR 3 YR 5 YR
paper was up slightly, with a return of 0.15%.
10.00%
➢ By sector, Government debt had the largest gain
this quarter, up 0.32%, followed by mortgage 5.00%
paper, up 0.18%. Corporate debt declined 0.08% 0.00% .......
and high yield debt dropped 1.34%.
5.00%
+ 3QI4 YT0 1 YR 3 YR 5 YR 10 YR
Grrvks mum Ctarps 000u Mortgages luau Hfgh YieEd
➢ Bonds moved lower as the interest rate curve
flattened and the bond market saw an increase 5.00%
level of stability, benefiting longer maturities the
.00% r
most. 3.00%
2M%
1.00°/m �uu�mmmmmv uN - - -
vr 0.00°lm
3 MO 6 MO 2 YR 5 YR 1.0 YR 30 YR
E-
a� wvzlai/aar> —41---12f31/2012 --12/31/2013 0.............sd3al2om
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources: Wells Fargo Securities,LLC, U.S.Dept.of the Treasury,Zephyr StyleAdvisor,Barclays
Data provided by sources believed to be reliable but no guarantee is made as to its accuracy.Past performance is no guarantee of fixture performance.
10
Commodities prices reverse their earlier trend
➢ Commodities suffered three straight monthly losses as demand softened for most raw materials.
➢ A strengthening U.S. dollar put pressure on precious metals. The price of gold retreated to January levels as
tension in Ukraine decreased and demand as a safe haven diminished.
➢ Tension in the Middle East that drove oil prices higher in the second quarter subsided this quarter. Crude oil
production and supplies outweighed demand and caused oil prices to slide by more than 13% this quarter.
Bloomberg Commodity Index
145
140
135 ................. ..
130
125 ..
120
115 J
110
1.05
NY
Commodities Current 3 Months Ago 1 Year Ago
9/30/2014 6/30/2014 9/30/2013
Gold (per Troy ounce) $1,207.50 $1,326.90 $1,325.90
Oil (per barrel) $91.66 $105.81 $102.45
Copper (per pound) $3.01 $3.18 $3.32
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Source:Bloomberg LP and Wells Fargo Advisors,LLC
Data erovided L sources believed to be reliable but no 1juarantee is made as to its accurac .Past LeLormance is no uarantee o uture eeLormance.
11
1995 1996pp 1997 1998 1999 2000 2001 2002 2003 2004pp 2005 2006p 2007 2008 2009 2010 2011 2012 2013 2014
Russell UII.'llii4MM11 Russell ,•: " �"'. �I'�,I�iUu� l r "'^'. UII.'llii4,MMll �I�IjN,� IUIIlu�4MM11 ,•: i'�i,i: � �I�luu�� :.�: UII�'iiiG��
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V Value
A V 22.94°/u'.. W,y'; ii l 7.05% -36.85% 8.07%
1000 V 0 V (��...:,���� V 1000 (�IIU �I 8&Y U(I�I IIU i41 100
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it Value 4 i� Value 500 Value Value Value .IIV Ibl l Value 1..a®�''� 22 Value IVY ���� 500 ���VI�I`II�V� I Value 1.a
I�IIOVV 500
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1000 500 0 1000 1000 00 500 Value 500 500 Value Value 500 5
Value:
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Russell 1000 Value contains those Russell 1000(larger capitalization)securities with a less-than-average growth orientation.
Securities in this index generally have lower price-to-book and price-to-earnings ratios, higher dividend yields, and lower
forecasted growth rates.
Russell 1000 Growth contains those Russell 1000 (larger capitalization) securities with a greater-than-average growth
orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios, lower dividend yields,
and higher forecasted growth rates.
Russell 2000 Value contains those Russell 2000 (smaller capitalization) securities with a less-than-average growth
orientation. Securities in this index generally have lower price-to-book and price-to-eamings ratios than those in the Russell
2000 Growth Index.
Russell 2000 Growth contains those Russell 2000 (smaller capitalization) securities with a greater-than-average growth
orientation. Securities in this index generally have higher price-to-book and price-to-earnings ratios than those in the Russell
2000 Value Index.
MSCI EAFE is the Morgan Stanley Capital International Europe, Australia, Far East Index designed to measure the
performance of developed stock markets in these areas.
Barclays Agg Bond is the Lehman Brothers Aggregate Bond Index. This index includes U.S. government, corporate and
mortgage-backed securities rated investment grade or higher with maturities up to 30 years.
S&P 500 is a representative sample of 500 leading companies in leading industries of the U.S. economy.
DJ Wilshire REIT is intended as a broad measure of the performance of publicly traded real estate equity. The index is
comprised of companies whose charter is the equity ownership and operation of commercial real estate.
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources:Morningstar
Data provided by sources believed to be reliable but no guarantee is made as to its accuracy.Past performance is no guarantee of fixture performance.
12
�L
60
Domestic Equity vs.Fixed Income Domestic Equity Outperforming
Black Monday-Oct 187
40 Asian Crisis
20
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Aug'82-MIA 776
-60 Fixed Income Outperforming
Domestic Equity vs.Fixed Income Mean 1 Standard Deviation ^^^l^^^^l^^^^l^^^^2 Standard Deviations
60
Domestic Equity vs.Foreign Equity Domestic Equity Outperforming
40
20 n A
0 Aew
rV1
c ,c C+ c c , n" u r co C ter, r e' co o — ca r
as crs V-1
ca ca,-20
CN Cs Ct Ct Cs Cx Ct a, C+ Cs
-40
-40 Foreign Equity Outperforming
Domestic Equity vs.Foreign Equity Mean 1 Standard Deviation 2 Standard Deviations
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources:Morningstar
Data provided by sources believed to be reliable but no guarantee is made as to its accuracy.Past performance is no guarantee of fixture performance.
13
�L
40
Urge Cap vs. Small Cap Urge Cap Outperforming
20
W
0
�? �✓J a? CD Cp W #S � � C.ec � 4il � Cel Cu*. Cec Cxr C+ti 4 O C} 4 �7' CJ 4 C} 4 � ""`.
-40 Small Cap Outperforming
Large Cap vs.Small Cap Mean 1 Standard Deviation 2 Standard Deviations
60
Large Value vs,Large Growth Value Outperforming
40
»
20
0
V� A A A Al*'kA
h u as c. r c7, r , r co
avn Cac-`s�f 7 I«x�mmmraN rma7 a 1 1 ti m mmmcc�C*-o a I 1 i au.c�f�1 3 a 1 „ec'.ncC-t o 0 S I� "
-20 Ccc�rr:a a I i7 N�w ;cCi4 t r:� C�cG a-a f 1 r4N�re 7 al� Cvsq-a I y �Cc4*.-�I"1 CrI l. N—C cd I�
++ N-a t
-
-40 cqW,
.«;....
,
-60 Growth Outperforming
Large Value vs.Large Growth Mean 1 Standard Deviation ^^ll 2 Standard Deviations
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources:Morningstar
Data provided by sources believed to be reliable but no guarantee is made as to its accuracy.Past performance is no guarantee of fixture performance.
14
�L
60
Small Value vs. Small Gr h Value Outperforming,
40
20 n
0
m n- a co ca- r r
co as co «a c c c c c c r co c C c c> c
-20 c cy mr n t as c c c rr na r as c o c7 Kn r ao co
� V � Z x � � � as F F' c* c c ex c c cx c& CE, a co c a c cc C
-40
-60 Grow di, Outperforming
Small Value vs.Small Growth Mean 1 Standard Deviation 2 Standard Deviations
80
Domestic Equity vs. REIT Domestic Equity Outperforming
60
40
20 1 nom.. 1
0
t Ar\ A 11'° ao «� 'r'00 e5o 1 ^ Cr x 01 t"'-rw i fco s cZ
0
.-+
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4 SYf N 2 �;z u} k? oo W 00 Q 01 N C, C, u4 W Cw Co r'1
Co C4 Co Co W W a? CO C+1 C'4i C+'s 4:eF R Gw Cis 4i< O O
-40 ci Ica ci ci . . . . ci .pct�.
-60
-80 REIT Outperforming
Domestic Equity vs.REIT Mean 1 Standard Deviation 2 Standard Deviations
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources:Morningstar
Data provided by sources believed to be reliable but no guarantee is made as to its accuracy.Past performance is no guarantee of fixture performance.
15
�L
120
100
Fixed Income vs. REIT Fixed Income Outperforming
80
60
40
20
0 'A A^, , P\%,. , ,A,
- u 'n co c r t-.- c- es --
�
20
N e�7 :ra cv ct cv c- r<r ra., ,ev cS ca ry ra .. rv. ,ear cv. cv ev ev° ra
-40 1 I I 1 I 1 I 1 I, f I I 1 I I I I f l I, f I
c...'}, r# 4 0e ^ Otw 0c Cad C7 x-1 {* .,�. u5' r �'"" �? 4`+' sue. Rif (H'3� e'�"; SPS ^1 C"`
11 mn m om �amm,a , - '-;2., M n w m'n,mM w "^ Cq
-60 ca ca ca ca c� ca ca ca ' ca c� c� c� ca ca ca ca r� c� c� ca ca ca ca r� c� c� ca c� ev ca
-80
-100
-120 REIT futperforming
Fixed Income vs.REIT Mean 1 Standard Deviation 2 Standard Deviations
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
Data Sources:Morningstar
Data provided by sources believed to be reliable but no guarantee is made as to its accuracy.Past performance is no guarantee of fixture performance.
16
�L
1i iiiiiii
FIRM: Wells Fargo Advisors is the trade name used by two separate, registered broker/dealers and nonbank affiliates of
Wells Fargo & Company, providing certain retail securities brokerage services: Wells Fargo Advisors, LLC., member
FINRA, SIPC, and Wells Fargo Financial Network, LLC, member FINRA, SIPC. Investments in securities and insurance
products are: NOT FDIC-INSURED/NOT BANK-GUARANTEED/MAY LOSE VALUE.
CONFLICTS OF INTEREST: To review important information about certain relationships and potential conflicts of
interest that may exist between Wells Fargo Advisors , its affiliates, and the companies that are mentioned in this report,
please visit the our research disclosure page at www.weIlsfargoadvisors.com/gotoresearchdisclosures or call your
Financial Advisor.
STATEMENT OF OPINION: This and/or the accompanying information was prepared by or obtained from sources
which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy. Any opinions expressed or
implied herein are not necessarily the same as those of Wells Fargo Advisors or its affiliates and are subject to change
without notice. The report herein is not a complete analysis of every material fact in respect to any company, industry or
security. Any market prices are only indications of market values and are subject to change. The material has been
prepared or is distributed solely for information purposes and is not a solicitation or an offer to buy any security or
instrument or to participate in any trading strategy. Additional information is available upon request.
ASSET CLASS SUITABILITY: Stocks of small companies are typically more volatile than stocks of larger companies.
They often involve higher risks because they may lack the management expertise, financial resources, product
diversification and competitive strengths to endure adverse economic conditions. High-yield, non-investment grade bonds
are only suitable for aggressive investors willing to take greater risks, which could result in loss of principal and interest
payments. Global/International investing involves risks not typically associated with US investing, including currency
fluctuations,political instability,uncertain economic conditions and different accounting standards.
PAST PERFORMANCE: Past performance is not an indication of future results.
ASSET CLASS PERFORMANCE REPRESENTATIONS: Long Term Treasuries = BC Treasury Long; Municipals =
BC Municipal; Foreign Bonds = Salomon World BIG—IB; US Govt/Credit=BC Govt/Credit Mtge Backed Securities =
ML Mortgage Master; Corporate Bonds = Salomon Corporate; 90 Day T-Bills = Salomon; Japanese Stocks = Salomon
Japan BMI; High Yield Bonds = ML High Yield Master; Small Cap US Value = RU 2000 Value; MidCap US Stocks =
RU Midcap; Large Cap US Value = RU 1000 Value; European Stocks = Salomon Europe BMI; Small Cap US Stocks =
RU 2000; Lg Cap US Growth = RU 1000 Growth; Latin American Stocks = Salomon Latin America BMI; Sm Cap US
Growth=RU 2000 Growth
BROAD EQUITY MARKET & SECTOR PERFORMANCE REPRESENTATIONS: Large-Cap = S&P 500 or
Russell 1000; Mid-Cap=RU Midcap; Small-Cap=RU 2000; International=MSCI EAFE
DATA SOURCES: Information found in this document was derived from the following sources: Zephyr Associates
StyleAdvisor, Informa M-Watch, Investor Force, Barclays Capital, MSCI Barra, Standard &Poor's, and Morningstar.
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
17
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1i iiiiiii
Dow Jones Industrial Average - This index is comprised of 30 "blue-chip" US stocks selected for their history of
successful growth and wide interest among investors. The DJIA represents about 20% of the total market value of all US
stocks and about 25% of the NYSE market capitalization. It is a price-weighted arithmetic average, with the divisor
adjusted to reflect stock splits and the occasional stock switches in the index.
NASDAQ Composite - A cap-weighted index comprised of all common stocks that are listed on the NASDAQ Stock
Market(National Association of Securities Dealers Automated Quotation system).
S&P 500 - A broad-based measurement of changes in stock market conditions based on the average performance of 500
widely held common stocks. This index does not contain the 500 largest companies nor the most expensive stocks traded
in the U.S. While many of the stocks are among the largest, this index also includes many relatively small companies. This
index consists of approximately 380 industrial, 40 utility, 10 transportation and 70 financial companies listed on U.S.
market exchanges. It is a capitalization-weighted index (stock price times number of shares outstanding), calculated on a
total return basis with dividends reinvested.
S&P 500/Citigroup Growth - The S&P/Citigroup Growth tracks the performance of those stocks in the S&P 500 with
lower book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually, based on its price-to-book ratios and
market capitalizations at the close of trading one month prior. The index is adjusted each month to reflect changes in the
S&P 500. This index is more heavily weighted in the consumer non-cyclical, health care, and technology sectors than the
S&P 500.
S&P 500/Citigroup Value - The S&P Citigroup/Value tracks the performance of those stocks in the S&P 500 with higher
book-to-price ratios. A cap-weighted index, it is rebalanced semi-annually on January 1 and July 1, based on its book-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 to be used as a measure of small to medium/small stock
performance, and it represents over 22% of the Russell 3000 total market cap.
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
18
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1i iiiiiii
MSCI EAFE - A market capitalization-weighted index representing all of the MSCI developed markets outside North
America. It comprises 20 of the 22 countries in the MSCI World. These 20 countries include the 14 European countries in
the MSCI Europe and the 6 Pacific countries in the MSCI Pacific. This index is created by aggregating the 20 different
country indexes, all if which are created separately.
MSCI World - This market capitalization-weighted index represents all 22 of the MSCI developed markets in the world.
It is created by aggregating the 22 different country indexes, all if which are created separately.
MSCI Emerging Markets Free (EMF) - A market capitalization-weighted index representing 26 of the emerging
markets in the world. Several factors are used to designate whether a country is considered to be emerging vs. developed,
the most common of which is Gross Domestic Product Per Capita. The "Free" aspect indicates that this index includes
only securities that are allowed to be purchased by global investors. This index is created by aggregating the 26 different
country indexes, all if which are created separately.
Barclays Capital Government/Credit - This index includes all bonds that are in the Barclays Capital Government Bond
and the Barclays Capital Credit Bond indices.
Barclays Capital Government Intermediate - All bonds covered by the Barclays Capital Government Bond index with
maturities of 1 and 10 years.
Barclays Capital Aggregate Bond - This index is made up of the Barclays Capital Government/Credit, the Mortgage-
Backed Securities, and the Asset-Backed Securities indices. All issues in the index are rated investment grade or higher,
have at least one year to maturity, and have an outstanding par value of at least$100 million.
Barclays Capital Government Long Term - All bonds covered by the Barclays Capital Government Bond index with
maturities of 10 years or greater.
Barclays Capital Municipal Bond - This market cap weighted index includes investment grade tax-exempt bonds and is
classified into four main sectors: General Obligation, Revenue, Insured, and Pre-refunded. To be included in this index,
the original transaction size of a bond must have been greater than $50 million.
Merrill Lynch Convertibles - The convertible securities used in this index span all corporate sectors and must have a par
amount outstanding of$25 million or more. The maturity must be at least one year. The coupon range must be equal to or
greater than zero and all quality of bonds are included. Excluded from this index are preferred equity redemption stocks.
When the component bonds of this index convert into common stock, the converted securities are dropped from the index.
Merrill Lynch High Yield Master - Market-cap weighted index providing a broad-based measure of bonds in the US
domestic bond market rated below investment grade but not in default. Includes only issues with a credit rating of BB 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.
50150 Blend (S&P 500/BCIGC) — A blended benchmark consisting of 50% S&P 500 and 50% Barclays Capital
Government/Credit Intermediate indices.
This and/or the accompanying information was prepared by or obtained from sources which Wells Fargo Advisors believes to be reliable but does not guarantee its accuracy.
Please see important disclosure and reference information at the conclusion of this report. Past performance is not indicative of future results.
19
20
City of Clearwater Employees Pension Fund
Asset Allocation vs Target & Policy
Total Fund
As of 9/30/14
Market
Manager Value Actual% Policy%
Voya Investment Mgmt 119,767,746.64 13.85
NTGI-QM R1000V 38,204,433.80 4.42
Eagle Capital Management 39,836,644.49 4.61
Manning and Napier 39,494,907.88 4.57
Artisan Partners 48,058,936.95 5.56
Wedge Capital Mgmt 48,046,830.68 5.56
Atlanta Capital Mgmt 14,385,053.70 1.66
Systematic Financial Mgt 13,743,202.79 1.59
Riverbridge Partners 26,380,784.81 3.05
Total Domestic Equity 387,918,541.74 44.86 42.00
Earnest Partners 45,445,855.26 5.26
WHV 36,736,264.24 4.25
Eaton Vance Mgmt 40,068,566.12 4.63
Total International Equity 122,250,685.62 14.14 18.00
Dodge&Cox 143,869,728.55 16.64
Western Asset Management Co. 116,820,593.16 13.51
Security Lending Income Account 42,910.42 0.00
In House Account 4,607,079.18 0.53
Total Domestic Fixed Income 265,340,311.31 30.68 30.00
Multi Employer Property Trust 35,305,872.11 4.08
Security Capital 43,048,519.86 4.98
Molpus Woodlands Group 7,138,380.00 0.83
Hancock 3,781,810.00 0.44
Total Real Estate 89,274,581.97 10.32 10.00
Total Fund 864,784,120.64 100.00
21
City of Clearwater Employees Pension Fund
Sources of Fund Growth
Total Fund
6/30/14 - 9/30/14
Beginning Net Invest Invest Ending
Manager Name Value Contrib Fees Gain/Loss Value
Voya Investment Mgmt 134,334,016 17,00 1,066 0 3,434,796 119,767,747
NTGI-QM R1OOOV 48,200,024 10,000,000 0 4,409 38,204,434
Eagle Capital Management 45,018,456 6,000,572 0 818,710 39,836,644
Manning and Napier 43,041,694 5.,000,515 0 453,731 39,494,908
Artisan Partners 52,974,228 �1,001.�345 0 9 13,94 2 48,058,937
Wedge Capital Mgmt 58,004,015 10,000,852 0 43,667 48,046,831
Atlanta Capital Mgmt 17,265,993 2,000,253 0 880,686 14,385,054
Systematic Financial Mgt 18,589,044 3,000,154 0 1.8515,687 13,743,203
Riverbridge Partners 33,487,394 5,000,273 0 2,106,' 37 26,380,785
Equity 450,914,865 62,10104,986 0 991,.3.37 387,918,542
Earnest Partners 47,124,364 7,715. 0 1,670,775 45,445,855
WHV 39,502,063 1,170 0 2.764,629 36,736,264
Eaton Vance Mgmt 41,008,089 0 0 939,523 40,068,566
International EQ Comp 127,634,517 8,9 01� 0 5,374,927 122,250,686
Dodge&Cox 120,544,219 22,998,522 0 326,988 143,869,729
Western Asset Management Co. 93,599,395 22,999,409 0 221,790 116,820,593
Security Lending Income Account 401,450'15^5,1''15 0 596 42,910
In House Account 4,074,801 8,681,880 0 0 4,607,079
Fixed Income Comp 210,470,263 54,320,676 0 549,373 265,340,311
Multi Employer Property Trust 34,174,710 0 0 1,131,162 35,305,872
Security Capital 44,331,873 328 0 1.283,025 43,048,520
Molpus Woodlands Group 7,593,432 455,052 0 0 7,138,380
Hancock 3,781,810 0 0 0 3,781,810
Real Estate Comp 89,881,825 455,3801 0 1571,864 89,274,582
Total Fund 878,901,470 8,7148,514 0 5,968,755 864,784,121
22
City of Clearwater Employees Pension Fund
Executive Summary Table
Periods Ending September 30, 2014
Net of Fee Return
Value Periods Ending 9/30/14 Since Inception
Name $(000) Cur Qtr 1 Year 3 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs Ret Date
Total Fund 864,784 0,70 10.83 14.68 11.63 6.50 8.06 6.34 9.40 12/31/87
Policylndex 0.68 11.63 14.03 10.80 5.26 7.87 6.75 9.54 12131187
Domestic Equity Comp 387,919 0,32 14.41 22.97 16.75 7.28 9.47 6.50 11.36 12/31/87
S&P 500 1.13 19.74 22.99 15.69 6.02 8.11 4.87 10.53 12131187
Large Cap Equity Comp 237,304 1.69 19.05 22.70 15.56 6.40 8.46 5.16 10.56 3/31/88
R1000 0.65 19.03 23.24 15.90 6.26 8.46 5.33 10.54 3131188
Eagle Capital Management 39,837 1.81 18.45 21.26 1/31/13
Russell 1000 Value 0.19 18.88 19.46 1131113
Manning and Napier 39,495 1.04 18.12 17.79 1/31/13
Russell 1000 Value 0.19 18.88 19.46 1131113
NTGI-QM R1000V 38,204 0.15 18.97 23.76 15.30 4.88 4.68 6/30/07
RIOOOV 0.19 18.88 23.94 15.26 4.81 4.61 6130107
Voya Investment Mgmt 119,768 2.51 19.55 23.07 17.07 8.38 10.19 6.21 11.78 12/31/87
RIOOOG 1.49 19.15 22.45 16.51 7.57 8.94 3.43 9.98 12131187
Mid Cap Equity Comp 96,106 0,90 12.53 24.43 19.05 9.09 11.29 9.25 12.84 3/31/88
RMid Cap 1.66 15.82 23.78 1718 7.46 10.33 9.64 11.98 3131188
Artisan Partners 48,059 1.33 7.35 21.71 19.03 10.05 12.77 10.19 7/31/01
RMid Cap G 0.6J' 14.44 22.74 1713 7.46 10.23 7.95 7131101
Wedge Capital Mgmt 48,047 0 0 17.63 26.92 18.89 9.46 9.13 2/28/07
R Mid Cap V 1'1'1.68 17.45 24.71 17.23 7.28 6.85 2128107
Small Cap Equity Comp 54,509 7,26 0.48 21.34 16.32 6.74 9.34 9.51 8/31/03
R2000 7.86 3.93 21.26 14.28 6.04 8.19 8.85 8131103
Atlanta Capital Mgmt 14,385 5.23 4.11 20.61 16.94 11.02 12.12 12.22 8/31/03
Russell 2000 7.x'6 3.93 21.74 13.66 5.50 7.55 8.90 8131103
Riverbridge Partners 26,381 6.13 2.52 20.05 16.72 9/30/10
R2000G 6.18 3.80 21.90 15.68 9130110
Systematic Financial Mgt 13,743 10 76 2.71 24.97 15.47 5.56 8.84 8.85 8/31/03
R2000V 8.88 4.12 20.61 13.02 5.08 7.25 8.63 8131103
International EQ Comp 122,251 4,21 7.16 12.03 7.23 0.95 7.25 5.81 5/31/01
MSCIEAFE 5:88 4.70 14.16 7.04 0.27 6.80 5.70 5131101
Earnest Partners 45,4463.55 6.20 13.48 9.29 4.13 4/30/08
MSCIEAFE 5:88 4.70 14.16 7.04 1.17 4130108
Eaton Vance Mgmt 40,069 2.29 7.13 8.60 5.72 1.18 4/30/08
MSCI Emg Mkts Jl.''& 4.66 7.55 4.75 0.17 4130108
WHV 36,736 7.00 8.42 14.36 8.44 1.75 4/30/08
MSCIEAFE 5:88 4.70 14.16 7.04 1.17 4130108
Fixed Income Comp 265,340 0.30 5.33 3.88 4.96 5.82 5.31 5.61 6.63 12/31/87
BC Agg 0.17 3.96 2.43 4.12 4.95 4.62 5.57 6.83 12131187
23
City of Clearwater Employees Pension Fund
Executive Summary Table
Periods Ending September 30, 2014
Net of Fee Return
Value Periods Ending 9/30/14 Since Inception
Name $(000) Cur Qtr 1 Year 3 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs Ret Date
Dodge&Cox 143,870 0.29 5.99 4.77 5.51 6.16 5.62 5.40 2/29/04
BC Agg 0.17 3.96 2.43 4.12 4.95 4.62 4.50 2129104
In House Account 4,607 0.00 0.00 0 00 0 00 0 00 0 00 0 00 0.68 12/31/87
3-month T-Bill 0.01 0.04 0.05 0.08 0.47 1.51 1.99 3.52 12131187
Security Lending Income Account 43 0.16 2.93 3.90 8.05 7.95 6.77 6.12 6/30/03
3-month T-Bill 0.01 0.04 0.05 0.08 0.47 1.51 1.46 6130103
Western Asset Management Co. 116,821 0.29 4.73 2.91 4.37 5.36 4.96 4.96 9/30/04
BC Agg 0.17 3.96 2.43 4.12 4.95 4.62 4.62 9130104
Real Estate Comp 89,275 0,118 12.69 13.15 15.60 4.46 4/30/08
Policylndex 0.99 13.27 15.34 15.94 5.20 4130108
Hancock 3,782 0.00 12.37 7.26 5/31/12
NCREIF Timberland Index 1.47 10.40 9.18 5131112
Molpus Woodlands Group 7,138 0.00 4.35 5.01 4.40 6/30/11
NCREIF Timberland Index 1.47 10.40 7.38 6.68 6130111
Multi Employer Property Trust 35,306 3.31 12.22 9.29 10.80 9/30/10
NCREIF ODCE 3.24 12.40 12.35 13.80 9130110
Security Capital 43,049 2.39 13.79 15.96 15.99 4.73 4/30/08
Wilshire REST x'.09 13.48 16.58 15.96 5.15 4130108
24
City of Clearwater Employees Pension Fund
Executive Summary Table
September 30, 2014
Net of Fee Return
Value Calendar Years
Name $(000) YTD 2013 2012 2011 2010 2009
Total Fund 864,784 5.03 17.83 13.93 0,36 17.73 30.28
Policylndex 6.29 14.62 13.17 1.81 13.96 26.00
Domestic Equity Comp 387,919 4.81 35.15 18.37 0,211 22.53 32.14
S&P 500 8.35 32.41 15.98 2.12 15.05 26.45
Large Cap Equity Comp 237,304 8.37 32.23 17.02 0,90 16.87 24.59
R1000 7.98 33.11 16.42 1.51 16.10 28.42
Eagle Capital Management 39,837 7.51
Russell 1000 Value 8.07
Manning and Napier 39,495 8.80
Russell 1000 Value 8.07
NTGI-QM RIOOOV 38,204 8.13 32.94 18.09 0 77 15.75 20.35
RIOOOV 8.07 32.54 17.50 0.39 15.51 19.69
Voya Investment Mgmt 119,768 8.59 31.57 18.95 3.04 17.10 24.43
RIOOOG 7.89 33.49 15.26 2.63 16.72 37.21
Mid Cap Equity Comp 96,106 4.73 37.36 22.00 0,110 28.03 45.33
RMid Cap 6.86 34.76 1726 1.86 25.49 40.47
Artisan Partners 48,059 1.04 39.21 20.82 0.07 33.15 51.38
RMid Cap G 5.74 35.76 15.80 1.66 26.39 46.30
Wedge Capital Mgmt 48,047 8.28 34.92 23.16 0.33 23.30 38.51
RMid Cap V 8.19 33.45 18.48 L08 24.76 34.20
Small Cap Equity Comp 54,509 8,00 42.51 17.61 2.07 29.27 33.51
R2000 6.61 38.82 16.34 6.1% 26.85 2719
Atlanta Capital Mgmt 14,385 5.97 42.43 12.53 10.20 25.98 26.83
Russell 2000 X1.61 37.88 18.05 r.'r0 24.51 20.57
Riverbridge Partners 26,381 9.55 43.50 17.83 4.27
R2000G X1.00 43.29 14.59 '1.9
Systematic Financial Mgt 13,743 7.17 40.72 23.50 9.91 35.50 35.72
R2000V 1.%0 34.50 18.05 r.'r0 24.51 20.57
International EQ Comp 122,251 1.96 10.23 17.61 15,0 ffi 18.37 57.93
MSCI SAFE 0.99 23.29 17.90 11 7J, 8.21 32.46
Earnest Partners 45,446 0.09 15.81 17.18 1x.33 16.61 55.54
MSCI SAFE 0.99 23.29 17.90 11 7J, 8.21 32.46
Eaton Vance Mgmt 40,069 4.46 1.22 18.55 19.27 23.33 67.01
MSCI Emg Mkts 2.74 .i7 18.62 18.17 19.19 79.02
WHV 36,736 1.67 14.10 16.97 116,1 17.58 55.98
MSCI SAFE 0.99 23.29 17.90 11.7.1 8.21 32.46
Fixed Income Comp 265,340 4.78 0'"15 6.53 5.94 7.37 12.37
BC Agg 4.10 .0 4.22 7.84 6.54 5.93
25
City of Clearwater Employees Pension Fund
Executive Summary Table
September 30, 2014
Net of Fee Return
Value Calendar Years
Name $(000) YTD 2013 2012 2011 2010 2009
Dodge&Cox 143,870 4.82 0.65 7.85 5.10 7.53 14.53
BC Agg 4.10 .0 4.22 7.84 6.54 5.93
In House Account 4,607 0.00 0.00 (?.00 0.00 0.00 0.00
3-month T-Bill 0.03 0.05 0.07 0.08 0.13 0.16
Security Lending Income Account 43 2.16 2.56 6.93 2.85 21.70 17.48
3-month T-Bill 0.03 0.05 0.07 0.08 0.13 0.16
Western Asset Management Co. 116,821 4.92 2.16 5.07 7.23 7.09 9.24
BC Agg 4.10 .0 4.22 7.84 6.54 5.93
Real Estate Comp 89,275 11.28 6.29 11.69 8.85 30.51 24.68
Policylndex 12.66 6.02 15.41 11.62 24.96 29.20
Hancock 3,782 0.42 8.91
NCREIF Timberland Index 4.23 9.68
Molpus Woodlands Group 7,138 1.16 15.16 0.77
NCREIF Timberland Index 4.23 9.68 7.75
Multi Employer Property Trust 35,306 8.77 11.83 4.70 12.99
NCREIF ODCE 8.94 13.94 10.94 15.99
Security Capital 43,049 14.96 1.60 16.22 6.86 31.62 24.68
Wilshire REST 14.34 2.15 17.55 8.56 29.12 29.20
26
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of Total Fund Public Sponsors
Periods Ending 9/14
16%
14% -1---
12% 1 ___ ----
10% --- -1---- 1 --
8%
6% 1--- -- ----
4% ----
2%
0%
1---
-2% ----
-4%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High 0.48 13.32 14.05 15.33 11.75 11.82 10.28 6.54 7.35 7.64 8.25
1st Qt -0.44 10.96 12.49 14.19 10.59 10.50 8.93 5.60 6.59 6.81 7.42
Median -1.06 10.02 11.27 13.23 9.86 9.91 8.18 4.81 5.99 6.28 6.92
3rd Qt -1.63 9.12 10.08 11.96 8.87 8.90 7.70 4.31 5.45 5.82 6.44
Low -2.18 6.38 2.34 4.25 2.95 3.81 4.02 3.29 4.52 4.88 5.61
T Total Fund
Net Ret -0.70 10.83 12.23 14.68 10.84 11.63 10.74 6.50 7.37 7.59 8.06
Rank 35 30 30 14 19 6 1 6 4 6 7
1 Policy Index
Net Ret -0.63 11.63 11.07 14.03 10.50 10.80 9.16 5.26 6.50 7.10 7.87
Rank 31 13 56 30 28 17 19 37 29 16 12
27
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of Total Fund Public Sponsors
Years Ending December
35%
30%
25% 1
20%
15% ---- -1---- ---- ----
--
10% ---- ---- ----
0% ---- --
-5%
-10%
-15%
-20%
-25%
-30% 1--
-35
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
High 7.30 22.01 15.01 5.13 16.38 27.82 -0.27 11.17 16.44 10.63 14.30
1st Qt 5.27 19.03 13.61 2.30 14.02 21.87 -20.32 9.16 14.71 8.40 12.09
Median 4.35 16.18 12.46 1.09 12.67 18.82 -24.77 7.93 12.96 7.00 10.58
3rd Qt 3.59 14.00 11.25 -0.04 11.19 14.98 -27.22 6.61 10.63 5.46 8.73
Low 2.64 4.70 4.88 -3.03 5.64 4.37 -30.39 4.77 4.85 3.64 5.64
T Total Fund
Net Ret 5.03 17.83 13.93 -0.36 17.73 30.28 -27.10 7.20 11.76 6.71 9.90
Rank 33 35 19 78 2 2 73 63 62 53 61
1 Policy Index
Net Ret 6.29 14.62 13.17 1.81 13.96 26.00 -27.73 6.69 16.59 8.25 13.48
Rank 7 69 32 33 27 7 79 73 4 28 8
28
City of Clearwater Employees Pension Fund
Performance Summary
Total Fund
September 30, 2014
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
-2.0
Qtr YTD 1 Year 3 Year 5 Year Incept
12/31/87
om Total Fund Policy Index
Cur Qtr YTD 1 Year 3 Yrs 5 Yrs Incept Incept Date Cur Assets
Total Fund 111.711, 5.03 10.83 14.68 11,64 9.40 12/31/87 $864,784,121
Policy Index 0 63 6.29 11.63 14.03 10.80 9.54
Rank 35 33 30 14 6
Voya Investment Mgmt 2.51 8.59 19.55 23.07 17.07 11.78 12/31/87 $119,767,747
R1000G 1.49 7.89 19.15 22.45 16.51 9.98
Rank 16 10 16 35 23
NTGI-QM R1000V -0,15 8.13 18.97 23.76 15.30 4.68 6/30/07 $38,204,434
R1000V x:1.19 8.07 18.88 23.94 15.26 4.61
Rank 41 29 26 51 51
Eagle Capital Management 1.81 7.51 18.45 21.26 ' 1/31/13 $39,836,644
Russell 1000 Value 0 17 8.07 18.88 19.46
Rank 3 ` 43 46
Manning and Napier 1.04 8.80 18.12 17.79 1/31/13 $39,494,908
Russell 1000 Value 0 19 8.07 18.88 19.46
Rank 14 12 51
Artisan Partners 1 83 1.04 7.35 21.71 19.03 10.19 7/31/01 $48,058,937
R Mid Cap G 0 73 5.74 14.44 22.74 17.13 7.95
Rank 60 78 84 75 27
Wedge Capital Mgmt -0,05 8.28 17.63 26.92 18.89 9.13 i' 2/28/07 $48,046,831
R Mid Cap V 7 65 8.19 17.45 24.71 17.23 6.85
Rank 5 25 17 13 19
29
City of Clearwater Employees Pension Fund
Performance Summary
Total Fund
September 30, 2014
Cur Qtr YTD 1 Year 3 Yrs 5 Yrs Incept Incept Date Cur Assets
Atlanta Capital Mgmt -5,23 5.97 4.11 20.61 16.94 12.22 8/31/03 $14,385,054
Russell 2000 736 4 711 3.93 21.74 13.66 8.90
Rank 22 93 81 80 17
Systematic Financial Mgt 10 76 7.17 2.71 24.97; 15.47 8.85 8/31/03 $13,743,203
R2000V 8.58 4 7 4.12 20.61 13.02 8.63
Rank 100 96 94 30' 64
Riverbridge Partners 648 ^x.55 2.52 20.05 16.72 9/30/10 $26,380,785
R2000G (r.1'') 4 05 3.80 21.90 15.68
Rank 76 88 87 74
Earnest Partners -555 0.09 61.20 13.48 9.29 4.13 i' 4/30/08 $45,445,855
MSCI EAFE 5 83 61 4.70 14.16 7.04 1.17
Rank 34 52 44 60 37
WHV 7.00 1.67 8.42 14.36 8.44 1.75 4/30/08 $36,736,264
MSCI EAFE 5.51 11.1111 4.70 14.16 7.04 1.17
Rank 87 40 26 47 49
Eaton Vance Mgmt -7.52 4.46 7.13 8.60' 5.85 1.28 4/30/08 $40,068,566
MSCI Emg Mkts �i �i6 2.74 4.66 7.55 4.75 0.17
Rank 32 33 28 53 57
Dodge&Cox 0.29 4.82 5.99 4.77 5.51 5.40 2/29/04 $143,869,729
BC Agg 0.17 4.10 3.96 2.43 4.12 4.50
Rank 22 21 26 31 35
Western Asset Management Co. 0.29 4.92 4.73 2.91 4.37 4.96 ' 9/30/04 $116,820,593
BC Agg 0.17 4.10 3.96 2.43 4.12 4.62
Rank 22 20 39 59 60 51
Security Lending Income Account 0.16 2.16 2.93 3.90' 8.62 6.37 6/30/03 $42,910
3-month T-Bill 0.01 0.03 0.04 0.05 0.08 1.46
In House Account 0.00 0.00 0.00 11.1111 11.1111 0.68 12/31/87 $4,607,079
3-month T-Bill 0.01 0.03 0.04 0.05 0.08 3.52
30
City of Clearwater Employees Pension Fund
Performance Summary
Total Fund
September 30, 2014
Cur Qtr YTD 1 Year 3 Yrs 5 Yrs Incept Incept Date Cur Assets
Multi Employer Property Trust 3.31 8.77 12.22 9.29 10.80 9/30/10 $35,305,872
NCREIF ODCE 3.24 8.94 12.40 12.35 13.80
Rank 32 49 45 73 60
Security Capital -2,89 14.96 13.79 15.96 15.99 4.73 4/30/08 $43,048,520
Wilshire RESI 05 14.34 13.48 16.58 15.96 5.15
Rank 78 10 20 20' 8
Molpus Woodlands Group 0.00 1.16 4.35 5.01 4.40 6/30/11 $7,138,380
NCREIF Timberland Index 1.47 4.23 10.40 7.38 6.68
Rank 66 90 86 87
Hancock 0.00 0.42 12.37 7.37 5/31/12 $3,781,810
NCREIF Timberland Index 1.47 4.23 10.40 9.18
Rank 66 91 43
31
32
City of Clearwater Employees Pension Fund
Domestic Equity Comp as of 9/30/14
Portfolio Performance
24.0
22.0
20.0
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
-2.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
12/31/87
EM Domestic Equity Comp S&P 500
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 12/31/87
Domestic Equity Comp -0.32 4.81 14.41 22.97 16.75 9.47 11.36
S&P 500 1.13 8.35 19.74 22.99 15.69 8.11 10.53
Asset Growth(5000)
Beginning Market Value 450,915 428,843 392,892 249,536 226,334 248,990 32,236
Net Contributions&Withdrawals -62,005 -62,011 -62,015 -76,724 -90,862 -90,862 -90,862
Gain/Loss+Income -991 21,086 57,041 215,106 252,447 229,791 446,545
Ending Market Value 387,919 387,919 387,919 387,919 387,919 387,919 387,919
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Apple Inc Information Technology 2.47 Energy 5.73
Microsoft Corp Information Technology 2.43 Materials 3.88
Pepsico Inc Consumer Staples 1.54 Industrials 13.23
Oracle Corp Information Technology 1.51 Consumer Discretionary 16.85
Home Depot Inc Consumer Discretionary 1.25 Consumer Staples 9.40
Berkshire Hathaway I Financials 0.98 Health Care 14.88
Google Inc Information Technology 0.96 Financials 11.74
Amazon Com Inc Consumer Discretionary 0.92 Information Technology 22.43
Aon Plc Financials 0.86 Telecom Services 0.52
Comcast Corp New Consumer Discretionary 0.85 Utilities 1.31
Holdings and allocations only include SMA accounts.
33
City of Clearwater Employees Pension Fund
Domestic Equity Comp as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$8,020 2.07%
Domestic Equity
$379,899 97.93%
Risk/Return Analysis
Periods from 12/87 to 9/14
Alpha 0.10
Beta 1.09
R-Squared 0.94
12.0
11.0
10.0
9.0
C4 8.0
b
N 7.0
6.0
Q 5.0
4.0
3.0
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
E Domestic Equity Comp 11.36 17.54 0.44 0.21
1 S&P 500 10.53 15.62 0.44
T" 91-Day Treasury Bill 3.65 1.28 0.00
Holdings and allocations only include SMA accounts.
34
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of Equity Portfolios
Periods Ending 9/14
30%
25%
20% 1 ---- ----
15% ---- ---
10% ---- ---
5% ''
0% -1-'
-5% ----
-10%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High 2.67 21.94 24.34 26.81 19.65 19.39 16.10 10.59 11.95 11.40 12.33
1st Qt 1.04 18.82 20.79 23.86 17.50 16.66 13.22 7.90 9.23 9.24 10.31
Median -0.55 14.59 19.34 22.60 16.63 15.76 11.87 6.71 7.99 8.18 8.99
3rd Qt -4.55 7.82 16.77 20.25 14.75 14.50 10.90 5.85 7.00 7.49 8.18
Low -7.69 -0.15 7.28 8.61 7.42 7.20 7.05 2.69 4.99 5.51 6.60
Domestic Equity Comp
Net Ret -0.32 14.41 19.69 22.97 17.18 16.75 12.89 7.28 8.49 8.70 9.47
Rank 46 51 39 43 32 23 30 37 39 36 39
1 S&P 500
Net Ret 1.13 19.74 19.54 22.99 17.12 15.69 11.58 6.02 7.27 7.66 8.11
Rank 21 13 43 42 35 54 61 71 68 69 79
35
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of Equity Portfolios
Years Ending December
60%
50%
40%
30%
20% --- ----
10% --
0% ---- 1-- 00 00 ----
-10% ----
-20%
-30%
-40% ----
-50
-60%
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
High 10.42 45.47 22.65 8.04 33.10 54.28 -16.83 22.29 23.13 16.04 25.46
1st Qt 7.91 37.98 17.93 2.16 25.24 37.05 -33.45 10.35 17.58 10.54 18.30
Median 5.01 33.31 15.94 -0.13 17.01 28.94 -37.00 5.42 14.82 7.08 13.09
3rd Qt -0.10 30.03 12.26 -4.13 13.78 24.29 -40.97 0.40 10.21 4.74 10.25
Low -7.45 4.08 2.09 -11.73 5.48 9.06 -49.09 -7.62 1.90 -0.03 3.81
E Domestic Equity Comp
Net Ret 4.81 35.15 18.37 -0.21 22.53 32.14 -37.76 7.18 13.01 8.12 13.18
Rank 51 38 21 50 32 40 57 36 63 42 49
1 S&P 500
Net Ret 8.35 32.41 15.98 2.12 15.05 26.45 -36.99 5.52 15.81 4.89 10.87
Rank 14 60 49 27 66 65 49 47 39 72 69
36
City of Clearwater Employees Pension Fund
Risk Measure Summary
Domestic Equity Comp
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 1 0 2 2 4 4 33 29
Positive Periods 3 4 10 10 16 16 74 78
Up Market Capture 0.73 0.99 1.05 1.08
Down Market Capture 0.88 1.00 1.05
Batting Average 0.00 0.42 0.55 0.53
Worst Quarter f 1.13 18 3 2,75 16,27 13,86 23,51) 21,93
Best Quarter 9.15 10.52 14.43 12.58 14.43 12.58 22.08 21.32
Worst 4 Quarters 14.41 19.74 14.41 13.95 0,21. 1.15 37,76 38,07
Best 4 Quarters 14.41 19.74 35.15 32.41 36.09 32.41 55.86 49.75
Standard Deviation 8.20 8.59 11.06 10.17 15.42 14.43 17.54 15.62
Beta 0.89 1.04 1.05 1.09
Alpha 0,67 0,21 0.08 0.10
R-Squared 0.97 0.93 0.96 0.94
Sharpe Ratio 1.75 2.29 2.07 2.25 1.08 1.08 0.44 0.44
Treynor Ratio 16.15 22.00 15.88 7.10
Tracking Error 1.24 3.09 3.01 4.66
Information Ratio 3,77 0.01 0.35 0.21
37
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Equity Portfolios
3 Years Ending 9/30/14
31.9
ro
30.1
28.3
c
26.5 • •
0 24.7 •
22.9 • • • • • Median
21.1 •• �• • • •• • Return
•• • • ..
19.4 • ••
Q •
17.6 • •
15.8
14.0 •
4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
E Domestic Equity Comp 22.97 43 11.06 42
S Standard&Poors 500 22.99 42 10.17 23
Median 22.60 11.60
5 Years Ending 9/30/14
24.0
ro
22.0
c 20.0 '
18.0 •
O ••
N _ • N / ••
16.0 '� • t• ••t Median
a ' •• ' • . ' Return
N 14.0 • • y • �• •
cd • • •
Q 12.0 • •
•
10.0 •
8.0
9.0 10.5 12.0 13.5 15.0 16.5 18.0 19.5 21.0 22.5 24.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
E Domestic Equity Comp 16.75 23 15.42 42
S Standard&Poors 500 15.69 54 14.43 19
Median 15.76 16.17
38
City of Clearwater Employees Pension Fund
Large Cap Equity Comp as of 9/30/14
Portfolio Performance
24.0
22.0
20.0
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
-2.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
3/31/88
Large Cap Equity Comp R1000
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 3/31/88
Large Cap Equity Comp 1.69 8.37 19.05 22.70 15.56 8.46 10.56
R1000 0.65 7.98 19.03 23.24 15.90 8.46 10.54
Asset Growth(5000)
Beginning Market Value 270,594 253,931 231,156 146,315 99,324 128,130 18,032
Net Contributions&Withdrawals -38,002 -38,004 -38,005 -36,698 -2,830 -2,830 -2,830
Gain/Loss+Income 4,712 21,376 44,153 127,686 140,810 112,003 222,101
Ending Market Value 237,304 237,304 237,304 237,304 237,304 237,304 237,304
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Apple Inc Information Technology 4.32 Energy 6.41
Microsoft Corp Information Technology 4.24 Materials 4.07
Pepsico Inc Consumer Staples 2.70 Industrials 9.06
Oracle Corp Information Technology 2.64 Consumer Discretionary 16.41
Home Depot Inc Consumer Discretionary 2.19 Consumer Staples 14.57
Berkshire Hathaway I Financials 1.72 Health Care 14.99
Google Inc Information Technology 1.68 Financials 8.61
Amazon Com Inc Consumer Discretionary 1.60 Information Technology 25.20
Aon Plc Financials 1.50 Telecom Services 0.68
Comcast Corp New Consumer Discretionary 1.49 Utilities 0.00
Holdings and allocations only include SMA accounts.
39
City of Clearwater Employees Pension Fund
Large Cap Equity Comp as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$3,678 1.55%
Domestic Equity
$233,625 98.45%
Risk/Return Analysis
Periods from 3/88 to 9/14
Alpha 0.04
Beta 0.98
R-Squared 0.96
11.0
10.0
9.0
8.0
cC
�
7.0
6.0
c
5.0
Q
4.0
3.0
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
L Large Cap Equity Comp 10.56 16.09 0.43 -0.01
1 R1000 10.54 16.07 0.43
T" 91-Day Treasury Bill 3.62 1.28 0.00
Holdings and allocations only include SMA accounts.
40
City of Clearwater Employees Pension Fund
Large Neutral Cumulative Performance Comparisons
Total Returns of Equity Portfolios
Periods Ending 9/14
30%
25%
20% ---
15% --- -===
10%
5% --
0% _--
-5%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High 2.05 22.32 24.12 26.31 19.10 17.29 14.41 8.94 9.91 10.23 10.25
1st Qt 1.14 19.78 20.70 23.86 17.67 16.30 12.32 6.98 8.09 8.33 8.90
Median 0.72 19.06 19.63 23.04 17.15 15.75 11.76 6.23 7.39 7.82 8.45
3rd Qt -0.02 17.72 19.45 22.59 16.50 15.37 11.49 5.91 7.05 7.56 8.11
Low -1.72 14.27 16.90 19.92 13.28 12.78 9.97 4.83 5.79 6.35 7.25
L Large Cap Equity Comp
Net Ret 1.69 19.05 19.72 22.70 16.59 15.56 11.41 6.40 7.48 7.72 8.46
Rank 9 51 46 74 74 71 78 42 46 60 49
1 R1000
Net Ret 0.65 19.03 19.96 23.24 17.23 15.90 11.90 6.26 7.53 7.83 8.46
Rank 58 53 39 32 37 41 41 48 45 49 49
41
City of Clearwater Employees Pension Fund
Large Neutral Consecutive Performance Comparisons
Total Returns of Equity Portfolios
Years Ending December
50%
40%
30% ----
20
---- ---- --
10% ----
0% --
-10%
-20%
-30%
-40% ----
-50%
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
High 9.82 38.31 22.74 6.19 21.67 40.91 -27.25 10.79 20.80 11.88 19.91
1st Qt 8.36 33.55 17.03 2.47 16.86 31.92 -34.95 6.52 17.97 9.07 14.21
Median 7.99 32.45 16.06 1.91 15.19 27.14 -36.82 5.55 15.81 5.83 11.37
3rd Qt 6.92 31.87 14.79 0.76 14.50 26.43 -37.54 4.65 15.21 4.89 10.84
Low 3.72 21.08 10.20 -6.03 11.62 22.04 -42.97 -1.39 11.06 2.60 8.27
L Large Cap Equity Comp
Net Ret 8.37 32.23 17.02 -0.90 16.87 24.59 -35.23 7.76 11.52 8.63 11.24
Rank 24 69 25 81 24 88 26 14 94 27 54
1 R1000
Net Ret 7.98 33.11 16.42 1.51 16.10 28.42 -37.60 5.77 15.46 6.27 11.39
Rank 52 34 37 60 32 42 77 39 72 42 48
42
City of Clearwater Employees Pension Fund
Risk Measure Summary
Large Cap Equity Comp
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 0 0 1 1 4 3 32 28
Positive Periods 4 4 11 11 16 17 74 78
Up Market Capture 1.00 1.00 1.00 0.99
Down Market Capture 1.34 1.04 0.98
Batting Average 0.50 0.42 0.50 0.51
Worst Quarter 1.12 0.65 4,20 3,12 15,13 14,68 20,96 22,4
Best Quarter 9.85 10.23 14.01 12.90 14.01 12.90 20.12 21.88
Worst 4 Quarters 19.05 19.03 13.57 14.41 0,90 0.91 37,57 38,26
Best 4 Quarters 19.05 19.03 32.23 33.11 32.23 33.11 49.31 51.57
Standard Deviation 8.06 8.49 10.65 10.36 15.04 14.83 16.09 16.07
Beta 0.95 1.01 1.01 0.98
Alpha 0.22 0,1.7 ().1.1. 0.04
R-Squared 0.97 0.98 0.99 0.96
Sharpe Ratio 2.36 2.24 2.12 2.24 1.03 1.07 0.43 0.43
Treynor Ratio 20.00 22.38 15.32 7.08
Tracking Error 1.71 1.76 1.38 3.04
Information Ratio f .f 1 f 0,20 f .f 1
43
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Large Neutral Portfolios
3 Years Ending 9/30/14
27.0
ro
♦ '
26.0 � � •'
c 25.0 '
24.0 •
o •
23.0 • .• Median
b . • • • Return
N 22.0
c
Q21.0 •�.
20.0
19.0
6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
L Large Cap Equity Comp 22.70 74 10.65 63
1 R1000 23.24 32 10.36 46
Median 23.04 10.45
5 Years Ending 9/30/14
19.5
ro
18.7
18.0 •
c
17.2 • •
0 16.5 " •
15.7 �� ••' ' • ' • .• Median
b • • Return
N 15.0 '•
14.2 '
Q 13.5 • •
12.7
12.0
10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0 19.0 20.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
L Large Cap Equity Comp 15.56 71 15.04 61
1 R1000 15.90 41 14.83 52
Median 15.75 14.82
44
City of Clearwater Employees Pension Fund
Voya Investment Mgmt as of 9/30/14
Portfolio Performance
24.0
22.0
20.0
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0 IL
-2.0 j[t =Rd
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
12/31/87
Voya Investment Mgmt R1000G
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 12/31/87
Voya Investment Mgmt 2.51 8.59 19.55 23.07 17.07 10.19 11.78
R1000G 1.49 7.89 19.15 22.45 16.51 8.94 9.98
Asset Growth(5000)
Beginning Market Value 134,334 126,821 115,189 84,056 49,223 41,792 17,469
Net Contributions&Withdrawals -18,001 -18,003 -18,004 -31,010 -7,624 -7,624 -7,624
Gain/Loss+Income 3,435 10,950 22,582 66,722 78,168 85,600 109,923
Ending Market Value 119,768 119,768 119,768 119,768 119,768 119,768 119,768
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Apple Inc Information Technology 5.83 Energy 4.87
Microsoft Corp Information Technology 3.83 Materials 3.89
Home Depot Inc Consumer Discretionary 3.00 Industrials 10.18
Pepsico Inc Consumer Staples 2.72 Consumer Discretionary 19.58
Amazon Com Inc Consumer Discretionary 2.67 Consumer Staples 10.86
Comcast Corp New Consumer Discretionary 2.48 Health Care 15.69
Qualcomm Inc Information Technology 2.34 Financials 5.43
Disney Walt Prodtns Consumer Discretionary 2.28 Information Technology 29.51
Cvs Corp Consumer Staples 2.20 Telecom Services 0.00
McKesson Hboc Inc Health Care 2.19 Utilities 0.00
45
City of Clearwater Employees Pension Fund
Voya Investment Mgmt as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$2,183 1.82%
Domestic Equity
$117,585 98.18%
Risk/Return Analysis
Periods from 12/87 to 9/14
Alpha 0.61
Beta 0.85
R-Squared 0.93
12.0
11.0
10.0
9.0
C4 8.0
b
N 7.0
6.0
Q 5.0
4.0
3.0
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
i Voya Investment Mgmt 11.78 16.12 0.50 0.22
1 R1000G 9.98 18.31 0.35
T" 91-Day Treasury Bill 3.65 1.28 0.00
46
City of Clearwater Employees Pension Fund
Large Growth Cumulative Performance Comparisons
Total Returns of Equity Portfolios
Periods Ending 9/14
30%
25%
20% ---- ------00
15% ---- ___
00 10% ----
5% ----
0%
-5%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High 3.39 22.14 23.20 26.74 22.19 22.26 19.54 12.03 13.21 11.41 11.90
1st Qt 1.85 19.04 21.31 23.74 18.22 16.93 13.95 8.50 9.79 9.44 10.32
Median 1.12 17.09 19.25 22.40 16.92 16.07 12.63 7.24 8.78 8.47 9.24
3rd Qt -0.05 14.78 17.38 20.88 15.70 15.07 11.65 6.51 8.12 8.09 8.67
Low -2.23 10.34 14.45 18.66 14.40 13.14 10.06 5.13 6.97 7.21 7.89
i Voya Investment Mgmt
Net Ret 2.51 19.55 18.67 23.07 18.07 17.07 12.98 8.38 9.61 9.44 10.19
Rank 16 16 60 35 28 23 45 28 28 25 28
1 R1000G
Net Ret 1.49 19.15 19.21 22.45 17.49 16.51 13.22 7.57 8.98 8.65 8.94
Rank 39 22 52 49 38 35 40 43 46 47 60
47
City of Clearwater Employees Pension Fund
Large Growth Consecutive Performance Comparisons
Total Returns of Equity Portfolios
Years Ending December
80%
70%
60%
50%
40% ---
30%
20% -_
10% -- ---- ----
0% ---- ----
- ----
10%
-20%
-30%
-40% ---
-50% ----
-60%
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
High 10.56 44.45 23.91 9.45 27.34 70.57 -28.77 25.02 27.25 14.94 21.39
1st Qt 7.74 37.24 18.42 3.08 19.10 42.05 -35.21 20.09 13.75 11.40 14.88
Median 5.63 33.75 15.79 0.67 17.08 35.27 -38.68 13.39 9.47 8.55 11.42
3rd Qt 3.96 31.49 14.10 -1.77 13.70 29.76 -41.97 9.34 6.30 5.55 7.87
Low 1.98 25.20 11.48 -7.21 9.47 23.01 -48.87 4.19 -5.06 3.48 4.83
i Voya Investment Mgmt
Net Ret 8.59 31.57 18.95 3.04 17.10 24.43 -33.18 17.10 7.14 12.02 10.27
Rank 10 73 19 26 49 92 15 37 69 24 61
1 R1000G
Net Ret 7.89 33.49 15.26 2.63 16.72 37.21 -38.43 11.82 9.09 5.27 6.30
Rank 20 53 58 33 56 39 48 58 58 81 83
48
City of Clearwater Employees Pension Fund
September 30, 2014
Performance Comparison
Total Returns of Large Growth Portfolios
28%
26%
24%
22%
20%
I8%
16% 1 1 1
14% 1
12%
10%
Dee 11 Sep I I Jun I I Mar 11 Dee 10
Sep 14 Jul, 14 Mar 14 Dee 13 Sep 13
High 25.77 18.67 17.25 19.46 19.10
I st Qt 23.48 1 6.72 1 5.46 1 7.66 1 7.58
Median 22.35 15.48 13.91 15.99 16.30
3rd Qt 2093. 14.45 12.81 14.63 15.05
Low 18.92 12.70 11.05 13.05 13.31
i Voya hivestinent Mgmt
Net Ret 23.07 16.58 14.88 17.27 17.58
Rank 32 27 31 27 26
1 R 1000
Net Ret 22.45 1 6.26 14.63 1 6.45 1 6.94
Rank 48 36 39 40 35
Voya Investment Mgmt
Value Added Analysis - Net of Fee
4.0%
3.0%
2.0% 2A)
1.7
1.0% 1.O
0.7 0.6
O
0.3 0.2
0.0%
7 O.1
0.4 -0.4 -0.3
-1.0% -0.7
0.9
1.1
2.0%
-3.0%
-4.0%
-5.0%
12/09 3/10 6/10 9/10 12/10 3/11 6111 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.RI OOOG ® Cumulative Value Added
- 2 Yr Rolling Avg(AillnAahl ed)
49
City of Clearwater Employees Pension Fund
Risk Measure Summary
Voya Investment Mgmt
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 1 0 3 2 5 4 31 33
Positive Periods 3 4 9 10 15 16 76 74
Up Market Capture 1.02 1.03 1.02 0.96
Down Market Capture 1.09 0.99 0.79
Batting Average 0.50 0.42 0.50 0.53
Worst Quarter 0,02 1.12 4,39 4,01 12,86 13,14 18,51 22,79
Best Quarter 10.10 10.44 17.02 14.69 17.02 14.69 23.26 26.75
Worst 4 Quarters 19.55 19.15 10.88 10.09 3.04 2.63 33,74 45,64
Best 4 Quarters 19.55 19.15 32.37 33.49 35.01 35.01 44.38 49.75
Standard Deviation 8.78 8.65 12.09 11.16 15.19 15.06 16.12 18.31
Beta 1.00 1.06 1.00 0.85
Alpha 0.11 (').I.O 0.12 0.61
R-Squared 0.96 0.97 0.99 0.93
Sharpe Ratio 2.22 2.21 1.90 2.01 1.12 1.09 0.50 0.35
Treynor Ratio 19.58 21.61 16.94 9.62
Tracking Error 2.04 2.21 1.83 5.20
Information Ratio 0.17 0.27 0.27 0.22
50
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Large Growth Portfolios
3 Years Ending 9/30/14
26.9
ro
26.0
25.1 •
c
24.2 '
0 23.3 . •
22.4 :'.. Median
7a = • • • Return
N 21.5 ' • • •
20.6 • 1
Q 19.8 ••
s•
18.9 •
18.0 j 7.2 8.4 9.6 10.8 12.0 13.2 14.4 15.6 16.8 18.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
i Voya Investment Mgmt 23.07 35 12.09 51
1 R1000G 22.45 49 11.16 32
Median 22.40 12.09
5 Years Ending 9/30/14
21.0
20.0
19.0
18.0 • •
0 17.0 •
• • • • Median
16.0 ' • • • • • • • •.. 2 . • Return
N 15.0 • • • .�
14.0
Q 13.0 • '•
12.0
11.0
11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0 19.0 20.0 21.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
i Voya Investment Mgmt 17.07 23 15.19 33
1 R1000G 16.51 35 15.06 29
Median 16.07 16.11
51
City of Clearwater Employees Pension Fund
Equity Summary Statistics
Voya Investment Mgmt
Period Ending 9/14
Portfolio RIOOOG
Total Number Of Securities 60 681
Equity Market Value 117,584,753
Average Capitalization $(000) 125,078,429 115,398,031
Median Capitalization $(000) 54,353,465 8,527,325
Equity Segment Yield 1.21 1.52
Equity Segment P/E -Average 22.19 23.70
Equity Segment P/E - Median 21.84 22.06
Equity Segment Beta 0.97 0.98
Price/Book Ratio 4.59 4.69
Debt/Equity Ratio 43.12 50.36
Five Year Earnings Growth 18.76 16.12
Ten Largest Holdings Market Value % of Portfolio Quarterly Ret
Apple Inc 6,853,720 5.83 8.95
Microsoft Corp 4,504,523 3.83 11.86
Home Depot Inc 3,525,385 3.00 13.90
Pepsico Inc 3,198,293 2.72 4.93
Amazon Com Inc 3,133,149 2.67 -0.72
Comcast Corp New 2,910,358 2.48 0.60
Qualcomm Inc 2,748,770 2.34 -5.07
Disney Walt Prodtns 2,681,762 2.28 3.84
Cvs Corp 2,581,183 2.20 5.98
McKesson Hboc Inc 2,575,679 2.19 4.67
Ten Best Performers Quarterly Ret Ten Worst Performers Quarterly Ret
Ulta Salon Cosmetcs 29.27 Eog Res Inc -15.17
Monster Beverage Cor 29.06 St Jude Med Inc -12.79
Gilead Sciences Inc 28.39 Crown Holdings Inc -10.53
Amgen 19.23 Packaging Corp Amer -10.21
Facebook Inc 17.46 Ingersoll-Rand Plc -9.46
Nike Inc 15.37 Halliburton Co -8.95
Home Depot Inc 13.90 Cognizant Technology -8.46
Chipotle Mexican Gri 12.50 Anadarko Pete Corp -7.10
Lyondellbasell Indus 11.97 Delta Air Lines Inc -6.40
Microsoft Corp 11.86 Oracle Corp -5.27
52
City of Clearwater Employees Pension Fund
Equity Contribution to Return
Voya Investment Mgmt
Period Ending 9/14
Portfolio R1000G
Total Number Of Securities 60 681
Equity Market Value 117,584,753
Average Capitalization $(000) 125,078,429 115,398,031
Median Capitalization $(000) 54,353,465 8,527,325
Equity Segment Yield 1.21 1.52
Equity Segment P/E -Average 22.19 23.70
Equity Segment P/E - Median 21.84 22.06
Equity Segment Beta 0.97 0.98
Price/Book Ratio 4.59 4.69
Debt/Equity Ratio 43.12 50.36
Five Year Earnings Growth 18.76 16.12
Ten Best Contributors Market Value % of Portfolio Quarterly Ret
Gilead Sciences Inc 2,466,021 2.10 28.39
Apple Inc 6,853,720 5.83 8.95
Microsoft Corp 4,504,523 3.83 11.86
Ulta Salon Cosmetcs 1,761,206 1.50 29.27
Home Depot Inc 3,525,385 3.00 13.90
Facebook Inc 2,309,865 1.97 17.46
Lyondellbasell Indus 2,557,965 2.18 11.97
Nike Inc 1,731,640 1.47 15.37
Amgen 1,376,087 1.17 19.23
Monster Beverage Cor 872,515 0.74 29.06
Ten Worst Contributors Market Value % of Portfolio Quarterly Ret
Eog Res Inc 1,398,162 1.19 -15.17
St Jude Med Inc 1,306,024 1.11 -12.79
Halliburton Co 1,636,167 1.39 -8.95
Qualcomm Inc 2,748,770 2.34 -5.07
Cognizant Technology 1,583,022 1.35 -8.46
Ingersoll-Rand Plc 1,384,765 1.18 -9.46
Oracle Corp 2,410,836 2.05 -5.27
Packaging Corp Amer 1,148,058 0.98 -10.21
Anadarko Pete Corp 1,510,137 1.29 -7.10
Crown Holdings Inc 865,647 0.74 -10.53
53
City of Clearwater Employees Pension Fund
Equity Sector Attribution Analysis
Voya Investment Mgmt
Quarter Ending 9/14
Weight Return Selection
GICS Sectors Portfolio Index Portfolio Index Stock Sector Total
Energy, 5.98 6.38 1.0,82 1.0,30 0,03 0.05 0.02
Materials 4.17 4.28 2.28 0,1.7 0.10 0.00 0.10
Industrials 11.88 12.26 1..4.1. 1,50 0.01 0.01 0.02
Consumer Discretionary 21.30 18.43 3.32 0.54 0.59 0,03 0.57
Consumer Staples 9.95 10.50 4.03 0.77 0.32 0.00 0.33
Health Care 13.67 12.79 8.07 7.94 0.02 0.06 0.07
Financials 5.47 5.23 1.55 1,36 0.16 1 0.15
Information Technology 27.58 27.72 4.34 4.06 0.08 0.00 0.07
Telecom. Services 0.00 2.33 3.83 0.00 0,05 0,05
Utilities 0.00 0.09 3,14 0.00 0.00 0.00
100.00 100.00 2.77 1.49 1.25 0.03 1.29
Index-RIOOOG
Stock Selection Return Attribution
[Portfolio Market Value Sector Percentage] * [ Portfolio Sector Return-Index Sector Return]
Sector Selection Return Attribution
[Portfolio Sector Percentage-Index Sector Percentage] * [Index Sector Return-Index Total Return]
Trading Effect -0.20%
[Actual Return 2.58%] - [Buy Hold Return 2.77%]
54
City of Clearwater Employees Pension Fund
Equity Sector Attribution Chart
Voya Investment Mgmt
Quarter Ending 9/14
%Allocation %Return %Variance
Energy 5.98 -10.82
6.38 -10.30 0.02
Materials 4.17 2.28
4.28 -0.17 0.10
Industrials 12.26 -1.50 0.02
Con.Discretionary 18.43 0 r5432 0.57
Consumer Staples 9.95 4.03 0.33
10.50 "0-177
Health Care 13.67 8.07 0.07
12.79 7.94
Financials 5.47 1 1.55 0.15
5.23 -1.36
Infom 27.58 4.34 0.07 ation Tech. 27.72 4.06
Telecom. Services 00 -0.05
12.33 3.83
Utilities 0.00 0.00 0.09 -3.14
® Voya Investment Mgmt ❑ RIOOOG
55
City of Clearwater Employees Pension Fund
NTGI-QM R1000V as of 9/30/14
Portfolio Performance
26.0
24.0
22.0
20.0
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0 IL
-2.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
6/30/07
EM NTGI-QM R1000V R1000V
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 6/30/07
NTGI-QM R1000V -0.15 8.13 18.97 23.76 15.30 4.68
R1000V -0.19 8.07 18.88 23.94 15.26 4.61
Asset Growth($000)
Beginning Market Value 48,200 44,511 40,456 38,067 35,417 26,197
Net Contributions&Withdrawals -10,000 -10,000 -10,000 -35,811 -35,811 -35,811
Gain/Loss+Income 4 3,693 7,748 35,949 38,599 47,819
Ending Market Value 38,204 38,204 38,204 38,204 38,204 38,204
56
City of Clearwater Employees Pension Fund
NTGI-QM R1000V as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$0 0.00%
Domestic Equity
$38,204 100.00%
Risk/Return Analysis
Periods from 6/07 to 9/14
Alpha 0.02
Beta 1.00
R-Squared 1.00
5.0
4.5
4.0
3.5
C4 3.0
b
N 2.5
2.0
Q 1.5
1.0
0.5
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
n NTGI-QM R1000V 4.68 20.09 0.20 0.10
1 R1000V 4.61 20.16 0.19
T" 91-Day Treasury Bill 0.70 0.69 0.00
57
City of Clearwater Employees Pension Fund
Large Value Cumulative Performance Comparisons
Total Returns of Equity Portfolios
Periods Ending 9/14
30%
25% ------
15% ------ - ----
10% 3----
5% ---__-
0%
-5%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7
Qtr Year Years Years Years Years Years Years
High 1.46 23.01 26.41 27.43 18.91 17.00 14.18 7.63
1st Qt 0.27 19.12 22.61 25.43 17.73 16.04 12.12 6.54
Median -0.22 18.22 20.73 23.84 16.72 15.31 11.43 5.98
3rd Qt -0.83 15.22 18.16 21.89 15.72 14.64 10.69 5.11
Low -2.69 13.33 14.81 16.91 13.35 12.81 9.11 4.38
n NTGI-QM R1 000V
Net Ret -0.15 18.97 20.81 23.76 16.81 15.30 10.57 4.88
Rank 41 26 49 51 46 51 82 84
1 R1000V
Net Ret -0.19 18.88 20.60 23.94 16.90 15.26 10.48 4.81
Rank 47 32 54 47 42 53 83 87
58
City of Clearwater Employees Pension Fund
Large Value Consecutive Performance Comparisons
Total Returns of Equity Portfolios
Years Ending December
50%
40%
30% -------
20% ---- -�----
10% -------
0% x ----
-10%
-20%
-30%
-40% ----
-50%
9/30/14
YTD 2013 2012 2011 2010 2009 2008
High 10.76 40.77 20.66 14.43 23.53 44.12 -23.77
1st Qt 8.31 36.71 17.66 6.68 17.03 30.66 -33.03
Median 7.33 33.09 15.50 1.28 14.52 23.94 -35.56
3rd Qt 5.96 29.28 8.58 -0.79 11.85 20.36 -38.13
Low 4.29 16.93 4.70 -6.00 9.74 14.39 -44.05
n NTGI-QM R1 000V
Net Ret 8.13 32.94 18.09 -0.77 15.75 20.35 -36.86
Rank 29 50 21 74 37 76 66
1 R1000V
Net Ret 8.07 32.54 17.50 0.39 15.51 19.69 -36.85
Rank 34 54 28 63 43 82 65
59
City of Clearwater Employees Pension Fund
September 30, 2014
Performance Comparison
Total Returns of Large Value Portfolios
28%
26%
24%
22%
20%
18%
1
16%
14%
f----------
12%
10%
Dee I I Sep I I Jun I I Mar I I Dee 10
Sep 14 Jul, 14 Mar 14 Dee 13 Sep 13
High 27.43 18.98 17.18 18.91 18.20
I st Qt 25.61 1 7.46 1 5.37 1 7.01 1 7.16
Median 23.98 16.58 14.82 16.21 16.33
3rd Qt 22.69 15.39 13.91 15.25 15.68
Low 2080. 13.44 11.82 13.45 13.85
n NTOI-QM RIOOOV
Net Ret 23.76 1 6.76 14.65 1 5.92 16.10
Rank 58 44 59 61 63
1 RIOOOV
Net Ret 23.94 1 6.92 14.80 1 6.06 1 6.25
Rank 54 41 52 58 59
NTGI-QM RIOOOV
Value Added Analysis - Net of Fee
0.8%
0.6%
0.4% 0.4
0.3 0.3
0.2%
O.1
0.0% O.O O.O O.O 0.0 0.0 0.0 0.0 0.0 O.O 0.0 0.0 0.0 0.0
-0.2%
-0.4%
-0.6%
-0.8%
-1.0%
-1.2%
-1.4% 1.3
12/09 3/10 6/10 9/10 12/10 3/11 6111 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.RI OOOV ® Cumulative Value Added
- 2 Yr Rolling Avg(AIllllAah] ed)
60
City of Clearwater Employees Pension Fund
Risk Measure Summary
NTGI-QM R1000V
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 1 1 2 2 5 5 12 12
Positive Periods 3 3 10 10 15 15 17 17
Up Market Capture 1.00 0.99 1.00 1.00
Down Market Capture 0.75 0.98 0.99 1.00
Batting Average 0.75 0.83 0.90 0.86
Worst Quarter 0,15 1 2,19 2,20 16,15 16,21 22,13 22,17
Best Quarter 10.02 10.01 12.60 13.11 12.60 13.11 18.29 18.24
Worst 4 Quarters 18.97 18.88 18.09 17.50 1,78 1,90 42,31. 42,42
Best 4 Quarters 18.97 18.88 32.94 32.54 32.94 32.54 54.33 53.57
Standard Deviation 8.54 8.56 9.79 10.06 14.83 14.95 20.09 20.16
Beta 1.00 0.97 0.99 1.00
Alpha 0.02 0.11 0.04 0.02
R-Squared 1.00 0.99 1.00 1.00
Sharpe Ratio 2.22 2.20 2.42 2.37 1.03 1.01 0.20 0.19
Treynor Ratio 18.93 24.38 15.34 4.00
Tracking Error 0.04 0.92 0.72 0.60
Information Ratio 1.67 1.O 0.02 0.10 -j
61
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Large Value Portfolios
3 Years Ending 9/30/14
32.0
ro
30.0
c 28.0 • •. •
26.0 * •
24.0 • ' •• • Median
7a
Return
N 22.0
Q 20.0 •
18.0 '
16.0
7.5 8.1 8.7 9.3 9.9 10.5 11.1 11.7 12.3 12.9 13.5
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
n NTGI-QM R1000V 23.76 51 9.79 20
1 R1000V 23.94 47 10.06 35
Median 23.84 10.34
5 Years Ending 9/30/14
18.0
ro
17.5
17.0
16.5 • • •. •
0 16.0
• • 1
so . Median
U15.0 . % Return
14.5 . ' •
Q
14.0 '
13.5 f •
13.0 '
11.0 11.9 12.8 13.7 14.6 15.5 16.4 17.3 18.2 19.1 20.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
n NTGI-QM R1000V 15.30 51 14.83 32
1 R1000V 15.26 53 14.95 40
Median 15.31 15.32
62
City of Clearwater Employees Pension Fund
Eagle Capital Management as of 9/30/14
Portfolio Performance
22.0
20.0
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
-2.0
Qtr 2 Qtr 3 Qtr YTD Incept
1/31/13
EM Eagle Capital Management Russell 1000 Value
Incept
Net of Fee Returns Qtr 2 Qtr 3 Qtr YTD 1/31/13
Eagle Capital Management 1.81 5.68 7.51 7.51 21.26
Russell 1000 Value -0.19 4.90 8.07 8.07 19.46
Asset Growth(5000)
Beginning Market Value 45,018 43,368 42,630 42,630 33,239
Net Contributions&Withdrawals -6,001 -6,001 -6,001 -6,001 -6,003
Gain/Loss+Income 819 2,469 3,208 31208 12,600
Ending Market Value 39,837 39,837 39,837 39,837 39,837
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Berkshire Hathaway I Financials 8.56 Energy 5.08
Oracle Corp Information Technology 6.98 Materials 6.60
Liberty Global Plc Consumer Discretionary 5.92 Industrials 1.41
Citigroup Inc Financials 5.33 Consumer Discretionary 15.39
Microsoft Corp Information Technology 5.30 Consumer Staples 18.14
Aon Plc Financials 5.17 Health Care 8.08
Twenty First Centy F Consumer Discretionary 4.58 Financials 26.05
Coca Cola Co Consumer Staples 4.32 Information Technology 19.26
Ecolab Inc Materials 4.10 Telecom Services 0.00
Noble Energy Inc Energy 3.73 Utilities 0.00
63
City of Clearwater Employees Pension Fund
Eagle Capital Management as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$594 1.49%
Domestic Equity
$39,243 98.51%
Risk/Return Analysis(Number of returns<12)
Periods from 12/12 to 9/14
Alpha N/A
Beta N/A
R-Squared N/A
22.0
20.0
18.0
16.0
14.0
12.0
10.0
N 8.0
6.0
4.0
Q 2.0
0.0
2.0
-1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
E Eagle Capital Management 21.26 8.36 2.53 -0.39
1 Russell 1000 Value 19.46 9.12 2.13
T" 91-Day Treasury Bill 0.06 0.02 0.00
64
City of Clearwater Employees Pension Fund
Large Value Cumulative Performance Comparisons
Total Returns of Equity Portfolios
Periods Ending 9/14
8%
7%
6%
5% ------------
1
4%
3% ------------
2%
1%
0% ------------
-1% ------------
-2
-3%
Last Last 2
Qtr Qtrs
High 1.46 7.32
1st Qt 0.27 5.36
Median -0.22 4.27
3rd Qt -0.83 3.48
Low -2.69 2.57
Eagle Capital Management
Net Ret 1.81 5.68
Rank 3 20
1 Russell 1000 Value
Net Ret -0.19 4.90
Rank 47 35
65
City of Clearwater Employees Pension Fund
Large Value Consecutive Performance Comparisons
Total Returns of Equity Portfolios
Years Ending December
11.0%
10.5%
10.0%
9.5%
9.0%
8.5%
------------
8.0% 1
7.5%
7.0%
6.5%
6.0%
5.5%
5.0%
4.5%
4.0%
9/30/14
YTD
High 10.76
1st Qt 8.31
Median 7.33
3rd Qt 5.96
Low 4.29
Eagle Capital Management
Net Ret 7.51
Rank 43
1 Russell 1000 Value
Net Ret 8.07
Rank 34
66
City of Clearwater Employees Pension Fund
Risk Measure Summary
Eagle Capital Management
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 0 1 0 1
Positive Periods 4 3 6 5
Up Market Capture 0.85 1.05
Down Market Capture 9, 9,
Batting Average 0.50 0.67
Worst Quarter 1.73 0,1. 1.73 0,1.
Best Quarter 10.17 10.01 10.17 10.01
Worst 4 Quarters 18.45 18.88 18.45 18.88
Best 4 Quarters 18.45 18.88 24.38 23.82
Standard Deviation 7.95 8.56 6.40 6.71
Beta 0.89 0.91
Alpha 0.36 0.91
R-Squared 0.90 0.83
Sharpe Ratio 2.31 2.20 3.11 2.61
Treynor Ratio 20.56 22.01
Tracking Error 3.13 3.25
Information Ratio 0,15 -j
67
City of Clearwater Employees Pension Fund
Equity Summary Statistics
Eagle Capital Management
Period Ending 9/14
Portfolio Russell 1000 Value
Total Number Of Securities 30 696
Equity Market Value 39,242,734
Average Capitalization $(000) 130,614,047 111,290,073
Median Capitalization $(000) 62,820,049 6,852,597
Equity Segment Yield 1.15 2.38
Equity Segment P/E -Average 22.95 17.65
Equity Segment P/E - Median 18.24 18.71
Equity Segment Beta 0.88 1.05
Price/Book Ratio 1.15 1.51
Debt/Equity Ratio 62.59 55.51
Five Year Earnings Growth 6.47 5.46
Ten Largest Holdings Market Value % of Portfolio Quarterly Ret
Berkshire Hathaway I 3,356,802 8.56 9.15
Oracle Corp 2,737,020 6.98 -5.27
Liberty Global Plc 2,321,449 5.92 -3.06
Citigroup Inc 2,088,346 5.33 10.04
Microsoft Corp 2,076,928 5.30 11.86
Aon Plc 2,025,177 5.17 -2.40
Twenty First Centy F 1,795,409 4.58 -2.34
Coca Cola Co 1,693,602 4.32 1.44
Ecolab Inc 1,607,620 4.10 3.38
Noble Energy Inc 1,462,904 3.73 -11.51
Ten Best Performers Quarterly Ret Ten Worst Performers Quarterly Ret
Microsoft Corp 11.86 Noble Energy Inc -11.51
Citigroup Inc 10.04 Mondelez Intl Inc -8.50
Goldman Sachs Group 9.97 Anadarko Pete Corp -7.10
Berkshire Hathaway I 9.15 Oracle Corp -5.27
Morgan Stanley 7.26 Nestle S A -5.20
Unitedhealth Group I 5.96 Liberty Global Plc -3.06
Pepsico Inc 4.93 Praxair Inc -2.41
Valeant Pharmaceutic 4.03 Aon Plc -2.40
Altera Corp 3.50 Twenty First Centy F -2.34
Berkley W R Corp 3.45 Constellation Brands -1.10
68
City of Clearwater Employees Pension Fund
Equity Contribution to Return
Eagle Capital Management
Period Ending 9/14
Portfolio Russell 1000 Value
Total Number Of Securities 30 696
Equity Market Value 39,242,734
Average Capitalization $(000) 130,614,047 111,290,073
Median Capitalization $(000) 62,820,049 6,852,597
Equity Segment Yield 1.15 2.38
Equity Segment P/E -Average 22.95 17.65
Equity Segment P/E - Median 18.24 18.71
Equity Segment Beta 0.88 1.05
Price/Book Ratio 1.15 1.51
Debt/Equity Ratio 62.59 55.51
Five Year Earnings Growth 6.47 5.46
Ten Best Contributors Market Value % of Portfolio Quarterly Ret
Berkshire Hathaway I 3,356,802 8.56 9.15
Microsoft Corp 2,076,928 5.30 11.86
Citigroup Inc 2,088,346 5.33 10.04
Morgan Stanley 1,199,579 3.06 7.26
Unitedhealth Group I 1,440,375 3.67 5.96
Goldman Sachs Group 844,422 2.15 9.97
Pepsico Inc 1,219,479 3.11 4.93
Ecolab Inc 1,607,620 4.10 3.38
Valeant Pharmaceutic 852,800 2.18 4.03
Thermo Fisher Scient 876,240 2.24 3.26
Ten Worst Contributors Market Value % of Portfolio Quarterly Ret
Noble Energy Inc 1,462,904 3.73 -11.51
Oracle Corp 2,737,020 6.98 -5.27
Mondelez Intl Inc 1,308,923 3.34 -8.50
Liberty Global Plc 2,321,449 5.92 -3.06
Nestle S A 1,060,272 2.70 -5.20
Aon Plc 2,025,177 5.17 -2.40
Twenty First Centy F 1,795,409 4.58 -2.34
Anadarko Pete Corp 527,488 1.35 -7.10
Praxair Inc 980,400 2.50 -2.41
Constellation Brands 810,588 2.07 -1.10
69
City of Clearwater Employees Pension Fund
Equity Sector Attribution Analysis
Eagle Capital Management
Quarter Ending 9/14
Weight Return Selection
GICS Sectors Portfolio Index Portfolio Index Stock Sector Total
Energy, 5.10 13.91 1.0,38 7m71. 0 114 0.66 0.53
Materials 6.90 3.37 1.16 1,67 0.20 0,05 0.14
Industrials 1.28 10.47 0,50 2,91 0.03 0.25 0.28
Consumer Discretionary 13.61 6.28 1.,4 7 1,31 0,02 0,08 ().I O
Consumer Staples 19.14 6.87 0,84. 2.89 0,71 0.38 0,
Health Care 8.47 13.14 4.65 2.54 0.18 0,13
Financials 27.09 28.48 5.29 2.02 0.89 0,03 0.85
Information Technology 18.40 8.91 1.92 5.17 0,60 0.51 0,09
Telecom. Services 0.00 2.27 1.01 0.00 0,03 0,03
Utilities 0.00 6.30 4,40 0.00 0.26 0.26
100.00 100.00 1.36 0,20 0,1.3 1.74 1.56
Index-Russell 1000 Value
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 0.50%
[Actual Return 1.87%] - [Buy Hold Return 1.36%]
70
City of Clearwater Employees Pension Fund
Equity Sector Attribution Chart
Eagle Capital Management
Quarter Ending 9/14
%Allocation %Return %Variance
Energy -10.38 mom
13.91 -7.71 1 0.53
Materials 6.90 1.16
3.37 -1.67E 0.14
Industrials 10.47 -2.915 0.28
Con.Discretionary 6 28 13.61 -1.31 -0.10
Consumer Staples 19.14 -0.84 -0.33
2.89
Health Care 4.65 0.05
Z6.8714 2.54
Financials 27.09 5.29 0.85
28.48 2.02
18.40 2 -0.09
Infomation Tech. 8.91 5.17
Telecom. Services '00 -0.03
2.27 1.01
0.26
Utilities p 6.30 -4.40
® Eagle Capital Management ❑ Russell 1000 Value
71
City of Clearwater Employees Pension Fund
Manning and Napier as of 9/30/14
Portfolio Performance
20.0
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0 IL
2.0
Qtr 2 Qtr 3 Qtr YTD 1 Year Incept
1/31/13
Manning and Napier Russell 1000 Value
Incept
Net of Fee Returns Qtr 2 Qtr 3 Qtr YTD 1 Year 1/31/13
Manning and Napier 1.04 6.73 8.80 8.80 18.12 17.79
Russell 1000 Value -0.19 4.90 8.07 8.07 18.88 19.46
Asset Growth(5000)
Beginning Market Value 43,042 40,746 39,969 39,969 36,815 33,104
Net Contributions&Withdrawals -4,001 -3,999 -4,000 -4,000 -4,000 -4,001
Gain/Loss+Income 454 2,748 3,525 31525 6,680 10,392
Ending Market Value 39,495 39,495 39,495 39,495 39,495 39,495
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Microsoft Corp Information Technology 4.41 Energy 12.45
Apple Inc Information Technology 4.08 Materials 2.03
Exxon Mobil Corp Energy 3.92 Industrials 13.42
Johnson&Johnson Health Care 3.80 Consumer Discretionary 7.76
Wal Mart Stores Inc Consumer Staples 3.27 Consumer Staples 22.28
Novartis A G Health Care 3.05 Health Care 19.90
Procter&Gamble Co Consumer Staples 3.02 Financials 0.55
Pfizer Inc Health Care 2.98 Information Technology 18.13
Royal Dutch Shell Pl Energy 2.88 Telecom Services 3.47
Coca Cola Co Consumer Staples 2.74 Utilities 0.00
72
City of Clearwater Employees Pension Fund
Manning and Napier as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$901 2.28%
Domestic Equity
$38,594 97.72%
Risk/Return Analysis(Number of returns<12)
Periods from 12/12 to 9/14
Alpha N/A
Beta N/A
R-Squared N/A
20.0
18.0
16.0
14.0
2 12.0
10.0
N 8.0
6.0
4.0
Q 2.0
0.0
-2.0
-1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
M Manning and Napier 17.79 8.61 2.06 -0.96
1 Russell 1000 Value 19.46 9.12 2.13
T" 91-Day Treasury Bill 0.06 0.02 0.00
73
City of Clearwater Employees Pension Fund
Large Value Cumulative Performance Comparisons
Total Returns of Equity Portfolios
Periods Ending 9/14
24%
22%
20%
18% --- ------
16%
14% ------
12%
10%
8% M-1------ - ------
6% ---------- ----------
----------
2%
0% --- ------
----------
-2%
-4%
Last Last 2 Last 3 9/14 Last
Qtr Qtrs Qtrs YTD Year
High 1.46 7.32 10.76 10.76 23.01
1st Qt 0.27 5.36 8.31 8.31 19.12
Median -0.22 4.27 7.33 7.33 18.22
3rd Qt -0.83 3.48 5.96 5.96 15.22
Low -2.69 2.57 4.29 4.29 13.33
Manning and Napier
Net Ret 1.04 6.73 8.80 8.80 18.12
Rank 14 6 12 12 51
1 Russell 1000 Value
Net Ret -0.19 4.90 8.07 8.07 18.88
Rank 47 35 34 34 32
74
City of Clearwater Employees Pension Fund
Large Value Consecutive Performance Comparisons
Total Returns of Equity Portfolios
Years Ending December
11.0%
10.5%
10.0%
9.5%
9.0%
8.5%
------------
8.0% 1
7.5%
7.0%
6.5%
6.0%
5.5%
5.0%
4.5%
4.0%
9/30/14
YTD
High 10.76
1st Qt 8.31
Median 7.33
3rd Qt 5.96
Low 4.29
Manning and Napier
Net Ret 8.80
Rank 12
1 Russell 1000 Value
Net Ret 8.07
Rank 34
75
City of Clearwater Employees Pension Fund
Risk Measure Summary
Manning and Napier
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 0 1 0 1
Positive Periods 4 3 6 5
Up Market Capture 0.88 0.86
Down Market Capture 5.35 5.35
Batting Average 0.50 0.50
Worst Quarter 1.04 0,1. 1.04 0,1.
Best Quarter 8.57 10.01 8.57 10.01
Worst 4 Quarters 18.12 18.88 17.19 18.88
Best 4 Quarters 18.12 18.88 21.56 23.82
Standard Deviation 6.95 8.56 5.73 6.71
Beta 0.83 0.84
Alpha 0.56 0.34
R-Squared 0.95 0.92
Sharpe Ratio 2.60 2.20 2.80 2.61
Treynor Ratio 21.74 19.18
Tracking Error 2.55 2.22
Information Ratio 0,31 0,64 -j
76
City of Clearwater Employees Pension Fund
Equity Summary Statistics
Manning and Napier
Period Ending 9/14
Portfolio Russell 1000 Value
Total Number Of Securities 93 696
Equity Market Value 38,593,512
Average Capitalization $(000) 161,423,755 111,290,073
Median Capitalization $(000) 40,222,789 6,852,597
Equity Segment Yield 2.98 2.38
Equity Segment P/E -Average 17.25 17.65
Equity Segment P/E - Median 18.45 18.71
Equity Segment Beta 0.82 1.05
Price/Book Ratio 3.09 1.51
Debt/Equity Ratio 47.50 55.51
Five Year Earnings Growth 9.84 5.46
Ten Largest Holdings Market Value % of Portfolio Quarterly Ret
Microsoft Corp 1,698,862 4.41 11.86
Apple Inc 1,573,211 4.08 8.95
Exxon Mobil Corp 1,511,666 3.92 -5.93
Johnson& Johnson 1,462,628 3.80 2.57
Wal Mart Stores Inc 1,260,837 3.27 2.52
Novartis A G 1,174,742 3.05 3.98
Procter& Gamble Co 1,161,893 3.02 7.40
Pfizer Inc 1,149,386 2.98 0.51
Royal Dutch Shell PI 1,111,193 2.88 -6.64
Coca Cola Co 1,054,555 2.74 1.44
Ten Best Performers Quarterly Ret Ten Worst Performers Quarterly Ret
Sk Telecom Ltd 16.96 Transocean Ltd Zug -27.63
Kohls Corp 16.62 Mattel Inc -20.49
Archer Daniels Midla 16.41 Eaton Corp Plc -17.30
Telekomunikasi Ind 15.46 Teck Resources Ltd -17.26
L Brands Inc 14.80 Glaxosmithkline -12.87
Lockheed Martin Corp 14.59 Coca-Cola Femsa S A -11.35
Home Depot Inc 13.90 Statoil Asa -11.22
Intel Corp 13.46 Conocophillips -9.97
Conagra Foods Inc 12.22 Siemens A G -9.93
Lyondellbasell Indus 11.97 Ultrapar Participate -9.34
77
City of Clearwater Employees Pension Fund
Equity Contribution to Return
Manning and Napier
Period Ending 9/14
Portfolio Russell 1000 Value
Total Number Of Securities 93 696
Equity Market Value 38,593,512
Average Capitalization $(000) 161,423,755 111,290,073
Median Capitalization $(000) 40,222,789 6,852,597
Equity Segment Yield 2.98 2.38
Equity Segment P/E -Average 17.25 17.65
Equity Segment P/E - Median 18.45 18.71
Equity Segment Beta 0.82 1.05
Price/Book Ratio 3.09 1.51
Debt/Equity Ratio 47.50 55.51
Five Year Earnings Growth 9.84 5.46
Ten Best Contributors Market Value % of Portfolio Quarterly Ret
Microsoft Corp 1,698,862 4.41 11.86
Apple Inc 1,573,211 4.08 8.95
Intel Corp 1,001,737 2.60 13.46
Home Depot Inc 746,213 1.94 13.90
Procter& Gamble Co 1,161,893 3.02 7.40
Novartis A G 1,174,742 3.05 3.98
Lockheed Martin Corp 313,285 0.81 14.59
Sanofi-Aventis 716,040 1.86 6.13
Pepsico Inc 845,443 2.19 4.93
Johnson& Johnson 1,462,628 3.80 2.57
Ten Worst Contributors Market Value % of Portfolio Quarterly Ret
Glaxosmithkline 699,342 1.82 -12.87
Exxon Mobil Corp 1,511,666 3.92 -5.93
Royal Dutch Shell PI 1,111,193 2.88 -6.64
Conocophillips 653,863 1.70 -9.97
Siemens A G 639,287 1.66 -9.93
Statoil Asa 464,029 1.20 -11.22
Unilever Plc 537,032 1.39 -6.71
McDonalds Corp 623,376 1.62 -5.08
Eaton Corp Plc 163,558 0.42 -17.30
Diageo P L C 361,894 0.94 -7.69
78
City of Clearwater Employees Pension Fund
Equity Sector Attribution Analysis
Manning and Napier
Quarter Ending 9/14
Weight Return Selection
GICS Sectors Portfolio Index Portfolio Index Stock Sector Total
Energy, 12.83 13.91 7,44 7m71. 0.04 0.08 0.12
Materials 2.01 3.37 1.16 1,67 0.06 0.02 0.08
Industrials 13.66 10.47 1,62 ,91. 0.18 0,09 0.09
Consumer Discretionary 7.71 6.28 1.92 1,31 0.25 0,02 0.23
Consumer Staples 22.40 6.87 1.02 2.89 0,42 0.48 0.06
Health Care 20.01 13.14 1.45 2.54 0,22 0.19 0,03
Financials 0.55 28.48 1.55 2.02 0.00 0,62 0,62
Information Technology 17.60 8.91 7.81 5.17 0.47 0.47 0.93
Telecom. Services 3.23 2.27 4.31 1.01 0.11 0.01 0.12
Utilities 0.00 6.30 4,40 0.00 0.26 0.26
100.00 100.00 1.04 0,20 0.45 0.79 1.24
Index-Russell 1000 Value
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 1.03%] - [Buy Hold Return 1.04%]
79
City of Clearwater Employees Pension Fund
Equity Sector Attribution Chart
Manning and Napier
Quarter Ending 9/14
%Allocation %Return %Variance
Energy 12.83 -7.44
13.91 -7.71 0.12
Materials 2.01 1 1.16
3.37 -1.67 0.08
Industrials 10.47 13.66 9 6 0.09
Con.Discretionary 6.71 -1.31 1.92 0.23
Consumer Staples 22.40 .02 0.06
6.87 2.89
Health Care 20.01 1.45 -0.03
13.14 2.54
1.55 -0.62
Financials 28.48 2.02
Infomation Tech. 17.60 7.81 ME 0.93
8.91 5.17
Telecom. Services 3.23 4.31 0.12
12.27 "1-01
0 0.26
Utilities 6.30 -4.40
® Manning and Napier ❑ Russell 1000 Value
80
City of Clearwater Employees Pension Fund
Mid Cap Equity Comp as of 9/30/14
Portfolio Performance
26.0
24.0
22.0
20.0
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
-2.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
3/31/88
Mid Cap Equity Comp R Mid Cap
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 3/31/88
Mid Cap Equity Comp -0.90 4.73 12.53 24.43 19.05 11.29 12.84
R Mid Cap -1.66 6.86 15.82 23.78 17.18 10.33 11.98
Asset Growth(5000)
Beginning Market Value 110,978 105,014 97,737 65,719 60,003 73,965 15,585
Net Contributions&Withdrawals -14,002 -14,005 -14,006 -28,017 -37,021 -37,021 -37,021
Gain/Loss+Income -870 5,096 12,375 1 58,404 1 73,124 59,162 117,542
Ending Market Value 96,106 96,106 96,106 96,106 96,106 96,106 96,106
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Regeneron Pharmacem Health Care 2.58 Energy 5.70
Ihs Inc Industrials 2.35 Materials 4.60
Computer Sciences Co Information Technology 2.18 Industrials 18.01
Allstate Corp Financials 2.10 Consumer Discretionary 19.53
Lincoln Natl Corp In Financials 2.08 Consumer Staples 1.29
Ashland Inc New Materials 2.03 Health Care 14.13
Brunswick Corp Consumer Discretionary 2.00 Financials 16.78
Nordstrom Inc Consumer Discretionary 1.82 Information Technology 14.98
Applied Materials In Information Technology 1.78 Telecom Services 0.41
Darden Restaurants I Consumer Discretionary 1.64 Utilities 4.59
Holdings and allocations only include SMA accounts.
81
City of Clearwater Employees Pension Fund
Mid Cap Equity Comp as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$2,790 2.90%
Domestic Equity
$93,316 97.10%
Risk/Return Analysis
Periods from 3/88 to 9/14
Alpha 0.06
Beta 1.14
R-Squared 0.83
14.0
13.0
12.0
11.0
2 10.0
9.0
N 8.0
7.0
6.0
Q 5.0
4.0
3.0
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
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
M Mid Cap Equity Comp 12.84 22.70 0.41 0.12
1 R Mid Cap 11.98 18.02 0.46
T" 91-Day Treasury Bill 3.62 1.28 0.00
Holdings and allocations only include SMA accounts.
82
City of Clearwater Employees Pension Fund
Midcap Neutral Cumulative Performance Comparisons
Total Returns of Equity Portfolios
Periods Ending 9/14
30%
25% _
20% 1 ----
15% 1 1 -- ----
5% ----
0%
-5% ----
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High -1.15 17.60 27.99 28.29 21.24 19.54 18.10 12.97 13.39 12.82 13.76
1st Qt -3.42 14.31 23.52 25.06 17.46 17.03 14.17 8.54 10.67 10.97 11.90
Median -3.91 11.83 20.04 23.15 16.06 16.24 12.91 7.82 9.40 9.11 10.36
3rd Qt -4.48 10.31 19.12 22.26 15.65 15.90 11.91 6.87 8.70 8.76 10.15
Low -8.49 7.59 16.64 20.47 14.25 14.11 10.63 5.17 6.74 7.81 9.26
M Mid Cap Equity Comp
Net Ret -0.90 12.53 21.79 24.43 18.83 19.05 15.62 9.09 10.69 10.57 11.29
Rank 3 38 29 32 12 5 12 20 22 29 36
1 R Mid Cap
Net Ret -1.66 15.82 21.72 23.78 17.09 17.18 13.44 7.46 8.71 8.80 10.33
Rank 10 11 30 39 30 23 34 57 71 66 56
83
City of Clearwater Employees Pension Fund
Midcap Neutral Consecutive Performance Comparisons
Total Returns of Equity Portfolios
Years Ending December
70%
60%
50%
40% ---- -1---
30% ----
20% ---- --
0% ---- --- ----
-10% ----
-20%
-30%
-40%
-50%
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
High 6.74 49.42 23.12 7.47 29.96 62.84 -26.70 16.25 22.62 16.68 26.65
1st Qt 4.26 41.40 19.38 0.93 27.04 41.66 -34.41 8.84 18.34 12.74 21.86
Median 2.94 35.57 17.84 -1.77 25.33 37.46 -36.57 7.20 12.62 12.06 17.63
3rd Qt 1.99 33.53 14.17 -4.40 20.98 32.80 -39.97 2.65 10.46 9.28 16.44
Low -0.45 30.02 10.42 -6.62 15.56 19.07 -43.43 -1.40 10.08 3.29 12.11
M Mid Cap Equity Comp
Net Ret 4.73 37.36 22.00 -0.10 28.03 45.33 -41.79 10.26 12.53 7.85 14.48
Rank 21 40 12 29 13 11 89 15 56 79 89
1 R Mid Cap
Net Ret 6.86 34.76 17.26 -1.56 25.49 40.47 -41.46 5.59 15.27 12.65 20.23
Rank 3 60 59 39 48 35 89 65 46 39 29
84
City of Clearwater Employees Pension Fund
Risk Measure Summary
Mid Cap Equity Comp
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 1 1 2 2 4 4 32 33
Positive Periods 3 3 10 10 16 16 74 73
Up Market Capture 0.76 1.02 1.02 1.15
Down Market Capture 0.54 0.91 0.86 1.16
Batting Average 0.25 0.42 0.60 0.56
Worst Quarter 0,90 1,66 4,62 4.41 17.17 18,90,90 26,78 27,28
Best Quarter 7.45 8.39 17.31 12.95 17.31 13.32 49.24 20.80
Worst 4 Quarters 12.53 15.82 12.53 15.82 O.➢.O 1,67 41.79 41.,46
Best 4 Quarters 12.53 15.82 37.36 34.76 41.77 38.49 77.74 67.72
Standard Deviation 6.88 8.35 12.50 11.14 16.12 16.59 22.70 18.02
Beta 0.78 1.06 0.95 1.14
Alpha 0.05 0,1.4 0.61 0.06
R-Squared 0.92 0.90 0.95 0.83
Sharpe Ratio 1.82 1.89 1.95 2.13 1.18 1.03 0.41 0.46
Treynor Ratio 15.90 23.08 20.00 8.07
Tracking Error 2.83 4.20 3.82 9.80
Information Ratio 1.,08 0.14 0.39 0.12
85
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Midcap Neutral Portfolios
3 Years Ending 9/30/14
32.0
ro
30.0
c 28.0
•
26.0 • •
0
24.0 •• i
b • • Median
22.0
• Return
Q 20.0 ' •
18.0
16.0 •
9.5 10.2 10.9 11.6 12.3 13.0 13.7 14.4 15.1 15.8 16.5
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
M Mid Cap Equity Comp 24.43 32 12.50 47
1 R Mid Cap 23.78 39 11.14 5
Median 23.15 12.97
5 Years Ending 9/30/14
20.9
ro
20.0
19.1
•
•
18.2
0 17.3 1
16.4 '
Median
d • • •• •
N 15.5 � • � Return
14.6
Q 13.8 • '
12.9
12.0
13.0 13.9 14.8 15.7 16.6 17.5 18.4 19.3 20.2 21.1 22.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
M Mid Cap Equity Comp 19.05 5 16.12 18
1 R Mid Cap 17.18 23 16.59 20
Median 16.24 17.48
86
City of Clearwater Employees Pension Fund
Artisan Partners as of 9/30/14
Portfolio Performance
24.0
22.0
20.0
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
2.0
-4.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
7/31/01
Artisan Partners R Mid Cap G
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 7/31/01
Artisan Partners -1.83 1.04 7.35 21.71 19.03 12.77 10.19
R Mid Cap G -0.73 5.74 14.44 22.74 17.13 10.23 7.95
Asset Growth(5000)
Beginning Market Value 52,974 51,471 48,449 33,682 29,098 32,291 29,914
Net Contributions&Withdrawals -4,001 -4,003 -4,004 -12,010 -17,013 -17,013 -17,013
Gain/Loss+Income -914 591 3,614 26,388 35,974 32,781 35,158
Ending Market Value 48,059 48,059 48,059 48,059 48,059 48,059 48,059
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Regeneron Pharmacem Health Care 5.21 Energy 3.85
Ihs Inc Industrials 4.74 Materials 0.00
Applied Materials In Information Technology 3.60 Industrials 19.25
Illumina Inc Health Care 3.21 Consumer Discretionary 20.07
Discover Finl Svcs Financials 3.17 Consumer Staples 2.59
Ametek Inc New Industrials 3.10 Health Care 22.24
Lkq Corp Consumer Discretionary 2.82 Financials 6.34
Chipotle Mexican Gri Consumer Discretionary 2.70 Information Technology 24.81
Concur Technologies Information Technology 2.50 Telecom Services 0.83
Fortune Brands Home Industrials 2.46 Utilities 0.00
87
City of Clearwater Employees Pension Fund
Artisan Partners as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$1,875 3.90%
Domestic Equity
$46,184 96.10%
Risk/Return Analysis
Periods from 7/01 to 9/14
Alpha 0.56
Beta 0.94
R-Squared 0.94
11.0
10.0 r
9.0
8.0
a 7.0
cC
7� 6.0
N 5.0
4.0
Q 3.0
2.0 .
1.0
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
r Artisan Partners 10.19 19.26 0.45 0.27
1 R Mid Cap G 7.95 19.01 0.33
T" 91-Day Treasury Bill 1.61 0.52 0.00
88
City of Clearwater Employees Pension Fund
Midcap Growth Cumulative Performance Comparisons
Total Returns of Equity Portfolios
Periods Ending 9/14
30%
25%
20% ----
15% ----
10% - ---- --
1
5% ----
0%
-5% ----
-10%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High -0.17 17.74 23.69 26.98 20.34 21.45 17.92 11.09 13.33 12.96 14.04
1st Qt -0.53 17.31 22.68 24.68 19.10 19.11 15.93 10.44 12.55 12.08 13.10
Median -1.52 14.43 20.93 23.06 16.92 17.49 14.14 9.18 11.11 10.86 12.14
3rd Qt -2.91 9.35 18.62 21.71 15.85 16.29 13.23 6.77 9.12 8.48 10.11
Low -5.00 3.83 14.45 18.21 14.84 14.55 10.92 5.78 7.92 6.39 8.50
r Artisan Partners
Net Ret -1.83 7.35 19.62 21.71 18.05 19.03 16.37 10.05 12.47 12.06 12.77
Rank 60 84 69 75 36 27 15 33 28 29 34
1 R Mid Cap G
Net Ret -0.73 14.44 20.82 22.74 16.84 17.13 14.01 7.46 9.09 8.86 10.23
Rank 29 48 52 53 53 61 50 56 75 62 75
89
City of Clearwater Employees Pension Fund
Midcap Growth Consecutive Performance Comparisons
Total Returns of Equity Portfolios
Years Ending December
70%
60%
50%
-1---
40%
30% ----
20% --
10% ----
0% ---- ---
-10% ----
-20%
-30%
-40% ----
-50%
-60%
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
High 6.97 43.46 22.65 14.72 35.44 58.62 -32.90 34.56 22.13 26.11 21.51
1st Qt 5.90 39.44 20.66 1.60 30.79 47.62 -35.48 22.31 14.71 15.58 19.19
Median 4.07 37.43 17.65 -0.79 27.03 40.37 -42.63 17.83 13.32 13.14 16.12
3rd Qt 1.37 31.05 14.97 -4.60 24.63 35.55 -44.78 10.03 10.38 10.73 12.67
Low -4.20 18.29 4.51 -10.35 19.27 28.85 -52.14 3.71 7.24 9.77 9.09
r Artisan Partners
Net Ret 1.04 39.21 20.82 0.07 33.15 51.38 -42.87 22.31 10.94 10.19 16.07
Rank 78 29 22 42 13 19 54 25 70 87 54
1 R Mid Cap G
Net Ret 5.74 35.76 15.80 -1.66 26.39 46.30 -44.32 11.41 10.64 12.10 15.48
Rank 29 60 68 58 61 27 65 71 72 66 54
90
City of Clearwater Employees Pension Fund
September 30, 2014
Performance Comparison
Total Returns of Midcap Growth Portfolios
28%
26%
24%
22% 1
20
18% 1
16% - 1
14% 1
12%
10%
Dee 11 Sep I I Jun I I Mar I I Dee 10
Sep 14 Jul, 14 Mar 14 Dee 13 Sep 13
High 26.98 18.66 17.15 19.99 21.98
I st Qt 2468 1 6.57 1 5.57 1 8.28 2046.
Median 23.25 15.08 14.20 16.67 18.69
3rd Qt 2209. 1410 13.00 14.98 17.32
Low 19.95 11.81 11.41 13.50 15.99
r Artisan Partners
Net Ret 21.71 1 6.12 1 7.15 1 8.95 21.84
Rank 79 32 5 13 9
1 R Mid Cap G
Net Ret 22.74 14.54 13.52 1 5.63 17.65
Rank 55 61 58 69 66
Artisan Partners
Value Added Analysis - Net of Fee
18.0%
16.0%
14.0%
12.0%
10.0%
8.0%
6.0%
.2
4.0%
2.5
2.0%
1.2
0.5 J
0.0% 0'1
-0.2
2.0% -1.1 -0.
1.8 -I.8
-4.0%
4.1
4.E>
-6.0%
12/09 3/10 6/10 9/10 12/10 3/11 6111 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.R Mid Cap G ® Cumulative Value Added
- 2 Yr Rolling Avg(AIllllAah] ed)
91
City of Clearwater Employees Pension Fund
Risk Measure Summary
Artisan Partners
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 1 1 2 2 4 4 15 16
Positive Periods 3 3 10 10 16 16 37 36
Up Market Capture 0.61 1.01 1.03 1.01
Down Market Capture 2.51 1.44 0.89 0.90
Batting Average 0.25 0.50 0.55 0.44
Worst Quarter 1,83 0,73 7.34 5,60 14.74 19, 27,54 27,36
Best Quarter 6.24 8.23 21.06 14.52 21.06 14.65 26.70 27.06
Worst 4 Quarters 7.35 14.44 7.35 12.77 0.07 2,99 42,37 44,32
Best 4 Quarters 7.35 14.44 39.21 35.76 49.98 43.26 58.59 62.98
Standard Deviation 6.99 7.59 15.28 11.59 17.69 17.11 20.62 21.25
Beta 0.72 1.15 0.97 0.94
Alpha 0,68 0,94 0.57 0.56
R-Squared 0.72 0.79 0.87 0.94
Sharpe Ratio 1.04 1.90 1.42 1.96 1.07 1.00 0.51 0.41
Treynor Ratio 10.14 18.77 19.58 11.23
Tracking Error 4.15 7.37 6.36 5.42
Information Ratio 1,56 1.(') 0.24 0.27 -j
92
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Midcap Growth Portfolios
3 Years Ending 9/30/14
28.0
ro
27.0
26.0 •• f
25.0
0 24.0 • '
23.0 '• Median
b • . • •
Return
N 22.0 •
21.0 '
Q 20.0 • '
19.0 '
18.0
8.0 9.1 10.2 11.3 12.4 13.5 14.6 15.7 16.8 17.9 19.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
r Artisan Partners 21.71 75 15.28 85
1 R Mid Cap G 22.74 53 11.59 17
Median 23.06 13.17
5 Years Ending 9/30/14
23.0
ro
21.9
20.8
19.7 '• •
0 18.6 •
17.5 •. Median
• ' Return
-a •
N 16.4 • •.
15.3 '
Q 14.2 '
13.1
12.0
13.0 13.9 14.8 15.7 16.6 17.5 18.4 19.3 20.2 21.1 22.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
r Artisan Partners 19.03 27 17.69 54
1 R Mid Cap G 17.13 61 17.11 47
Median 17.49 17.63
93
City of Clearwater Employees Pension Fund
Equity Summary Statistics
Artisan Partners
Period Ending 9/14
Portfolio R Mid Cap G
Total Number Of Securities 74 552
Equity Market Value 46,184,408
Average Capitalization $(000) 14,322,932 12,875,954
Median Capitalization $(000) 9,092,601 6,334,941
Equity Segment Yield 0.50 1.03
Equity Segment P/E -Average 40.22 28.96
Equity Segment P/E - Median 26.68 22.52
Equity Segment Beta 1.03 1.08
Price/Book Ratio 5.28 4.56
Debt/Equity Ratio 36.88 50.04
Five Year Earnings Growth 15.36 15.33
Ten Largest Holdings Market Value % of Portfolio Quarterly Ret
Regeneron Pharmaceut 2,406,110 5.21 27.63
Ihs Inc 2,187,946 4.74 -7.72
Applied Materials In 1,661,960 3.60 -3.73
Illumina Inc 1,484,132 3.21 -8.19
Discover Finl Svcs 1,463,971 3.17 4.31
Ametek Inc New 1,430,684 3.10 -3.79
Lkq Corp 1,302,378 2.82 -0.37
Chipotle Mexican Gri 1,245,190 2.70 12.50
Concur Technologies 1,155,330 2.50 35.87
Fortune Brands Home 1,135,705 2.46 3.24
Ten Best Performers Quarterly Ret Ten Worst Performers Quarterly Ret
Concur Technologies 35.87 Kate Spade & Co -31.23
Ulta Salon Cosmetcs 29.27 Qihoo 360 Technology -26.69
Monster Beverage Cor 29.06 Michael Kors Hldgs L -19.47
Regeneron Pharmaceut 27.63 Borg-Warner Automoti -19.13
Twitter Inc 25.90 Aspen Technology Inc -18.71
Linkedin Corp 21.18 Pandora Media Inc -18.10
Under Armour Inc 16.15 Trimble Navigation L -17.46
Cemer Corp 15.49 Freescale Semiconduc -16.89
Isis Pharmaceuticals 12.71 Oceaneering Intl Inc -16.26
Chipotle Mexican Gri 12.50 Tripadvisor Inc -15.87
94
City of Clearwater Employees Pension Fund
Equity Contribution to Return
Artisan Partners
Period Ending 9/14
Portfolio R Mid Cap G
Total Number Of Securities 74 552
Equity Market Value 46,184,408
Average Capitalization $(000) 14,322,932 12,875,954
Median Capitalization $(000) 9,092,601 6,334,941
Equity Segment Yield 0.50 1.03
Equity Segment P/E -Average 40.22 28.96
Equity Segment P/E - Median 26.68 22.52
Equity Segment Beta 1.03 1.08
Price/Book Ratio 5.28 4.56
Debt/Equity Ratio 36.88 50.04
Five Year Earnings Growth 15.36 15.33
Ten Best Contributors Market Value % of Portfolio Quarterly Ret
Regeneron Pharmaceut 2,406,110 5.21 27.63
Concur Technologies 1,155,330 2.50 35.87
Cemer Corp 1,063,861 2.30 15.49
Chipotle Mexican Gri 1,245,190 2.70 12.50
Twitter Inc 515,181 1.12 25.90
Linkedin Corp 562,280 1.22 21.18
Under Armour Inc 531,794 1.15 16.15
Isis Pharmaceuticals 640,190 1.39 12.71
Ulta Salon Cosmetcs 250,284 0.54 29.27
Discover Finl Svcs 1,463,971 3.17 4.31
Ten Worst Contributors Market Value % of Portfolio Quarterly Ret
Ihs Inc 2,187,946 4.74 -7.72
Borg-Warner Automoti 758,899 1.64 -19.13
Illumina Inc 1,484,132 3.21 -8.19
Noble Energy Inc 936,122 2.03 -11.51
Kate Spade & Co 320,662 0.69 -31.23
Pandora Media Inc 549,302 1.19 -18.10
Aspen Technology Inc 485,419 1.05 -18.71
Workday Inc 1,070,273 2.32 -8.19
Tripadvisor Inc 544,680 1.18 -15.87
Trimble Navigation L 457,683 0.99 -17.46
95
City of Clearwater Employees Pension Fund
Equity Sector Attribution Analysis
Artisan Partners
Quarter Ending 9/14
Weight Return Selection
GICS Sectors Portfolio Index Portfolio Index Stock Sector Total
Energy, 4.06 7.43 1.0,49 10,57 0.00 0.33 0.33
Materials 0.00 4.84 2,63 0.00 0.09 0.09
Industrials 19.89 16.76 4,06 2,98 0,22 0,07 0,2
Consumer Discretionary 22.87 23.08 6,72 0,00 1..54. 0.00 1,54
Consumer Staples 2.22 7.71 6.40 0.26 0.14 0,05 0.08
Health Care 20.67 12.22 6.06 3.88 0.45 0.39 0.84
Financials 5.15 8.94 1.39 0,69 0.11 0.00 0.11
Information Technology 24.63 17.81 2,79 1.02 0,94 0.12 0,82
Telecom. Services 0.51 0.98 4.14 6.92 1 0,04 0,05
Utilities 0.00 0.21 3,36 0.00 0.01 0.01
100.00 100.00 1,97 0,74 2,01. 0.77 1,24
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 0.01%
[Actual Return-1.96%] - [Buy Hold Return-1.97%]
96
City of Clearwater Employees Pension Fund
Equity Sector Attribution Chart
Artisan Partners
Quarter Ending 9/14
%Allocation %Return %Variance
Energy 06 -10.49
7.43 -10.57 0.33
Materials 0
4.84 -2.63 0.09
Industrials r16.19.89 -4.06 8 -0.29
Con.Discretionary 22.87 -6.72 -1.54 ME
Consumer Staples 2 6.40 0.08
7.71 0.26
Health Care 20.67 6.06 0.84
12.22 "3.88
Financials 15 1 1.39 10.11
8.94 -0.69
24.63 -2.79 -0.82
Infomation Tech. 17.81 1.02
Telecom. Services 0.51 14 -0.05
0.98 6.92
Utilities 0.00 0.01 0.21 -3.36
® Artisan Partners ❑ R Mid Cap G
97
City of Clearwater Employees Pension Fund
Wedge Capital Mgmt as of 9/30/14
Portfolio Performance
30.0
25.0
20.0
15.0
10.0
5.0
0.0
-5.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
2/28/07
EM Wedge Capital Mgmt R Mid Cap V
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 2/28/07
Wedge Capital Mgmt -0.05 8.28 17.63 26.92 18.89 9.13
R Mid Cap V -2.65 8.19 17.45 24.71 17.23 6.85
Asset Growth(5000)
Beginning Market Value 58,004 53,544 49,289 32,037 30,905 30,365
Net Contributions&Withdrawals -10,001 -10,002 -10,002 -16,007 -20,008 -20,008
Gain/Loss+Income 44 4,505 81761 1 32,017 1 37,149 37,689
Ending Market Value 48,047 48,047 48,047 48,047 48,047 48,047
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Computer Sciences Co Information Technology 4.32 Energy 7.51
Allstate Corp Financials 4.16 Materials 9.12
Lincoln Natl Corp In Financials 4.12 Industrials 16.78
Ashland Inc New Materials 4.03 Consumer Discretionary 18.99
Brunswick Corp Consumer Discretionary 3.97 Consumer Staples 0.00
Nordstrom Inc Consumer Discretionary 3.60 Health Care 6.16
Darden Restaurants I Consumer Discretionary 3.26 Financials 27.02
Wyndham Worldwide Co Consumer Discretionary 3.14 Information Technology 5.32
Werner Enterprises I Industrials 3.12 Telecom Services 0.00
Hca Holdings Inc Health Care 3.10 Utilities 9.10
98
City of Clearwater Employees Pension Fund
Wedge Capital Mgmt as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$915 1.91%
Domestic Equity
$47,131 98.09%
Risk/Return Analysis
Periods from 2/07 to 9/14
Alpha 0.57
Beta 0.99
R-Squared 0.97
10.0
9.0 r
8.0
7.0
a 6.0
cC
7� 5.0
N 4.0
3.0
Q 2.0
1.0
0.0
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
w Wedge Capital Mgmt 9.13 19.77 0.42 0.51
1 R Mid Cap V 6.85 19.92 0.30
T" 91-Day Treasury Bill 0.90 0.49 0.00
99
City of Clearwater Employees Pension Fund
Midcap Value Cumulative Performance Comparisons
Total Returns of Equity Portfolios
Periods Ending 9/14
40%
35%
30%
25% ----
20% """
--- -1--- - ----
15% _____
------ ------
10% 00 00 - ---
1
5%
0%
-5% ------
-10%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7
Qtr Year Years Years Years Years Years Years
High -0.05 18.51 28.12 35.15 22.01 21.38 20.65
1st Qt -1.25 17.03 22.73 25.39 18.56 17.15 14.48
Median -2.67 15.16 20.07 24.28 16.28 16.74 13.18
3rd Qt -3.98 12.20 19.35 21.41 12.74 15.13 12.52
Low -5.80 10.72 9.78 16.32 11.82 11.19 8.07
w Wedge Capital Mgmt
Net Ret -0.05 17.63 23.55 26.92 19.39 18.89 14.51 9.46
Rank 5 17 16 13 19 19 16
1 R Mid Cap V
Net Ret -2.65 17.45 22.50 24.71 17.31 17.23 12.77 7.28
Rank 42 17 27 34 38 25 69
100
City of Clearwater Employees Pension Fund
Midcap Value Consecutive Performance Comparisons
Total Returns of Equity Portfolios
Years Ending December
70%
60%
50%
40%
30%
20% --- - ----
10% -------
0% -------
-10% -------
-20%
-30%
-40% ""
-50%
9/30/14
YTD 2013 2012 2011 2010 2009 2008
High 14.57 44.14 32.17 7.76 43.18 61.50 -28.88
1st Qt 8.28 35.77 20.13 5.86 26.22 38.51 -33.12
Median 7.33 34.92 17.42 -0.55 23.27 33.14 -35.25
3rd Qt 3.66 30.79 14.81 -5.12 19.78 30.29 -36.61
Low 1.40 2.76 8.89 -7.49 17.95 24.49 -41.25
w Wedge Capital Mgmt
Net Ret 8.28 34.92 23.16 -0.33 23.30 38.51 -34.89
Rank 25 50 8 46 46 25 45
1 R Mid Cap V
Net Ret 8.19 33.45 18.48 -1.38 24.76 34.20 -38.45
Rank 25 59 30 56 40 46 84
101
City of Clearwater Employees Pension Fund
September 30, 2014
Performance Comparison
Total Returns of Mideap Value Portfolios
28%
26% w
24% 1
22
20
18%
1
16% ___1______
__________
1
14%
12%
10%
Dee 11 Sep I I Jun I I Mar I I Dee 10
Sep 14 Jul, 14 Mar 14 Dee 13 Sep 13
High 25.42 23.44 20.13 20.79 24.38
I st Qt 25.36 1 9.12 1 6.58 1 8.31 1 9.46
Median 24.28 17.48 15.69 17.68 18.20
3rd Qt 21.41 15.83 13.97 15.82 14.94
Low 16.65 11.49 10.79 10.74 11.91
w Wedge Capital Mg-t
Net Ret 26.92 1 8.02 1 6.28 1 8.31 1 9.98
Rank I 41 36 26 19
1 R Mid Cap V
Net Ret 24.71 17.55 15.16 1 5.96 17.26
Rank 30 50 56 66 65
Wedge Capital Mgmt
Value Added Analysis - Net of Fee
9.0%
8.0%
7.0%
6.0%
5.0% 5.0
4.0%
3.0%
2.0% 2.1 -.O 2.0
1.5
1.0%
O.5
0.0% Om
02
1.1
2.0% 1.4 -1.5
-3.0%
-3.1
-4.0%
12/09 3/10 6/10 9/10 12/10 3/11 6111 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.R Mid Cap V ® Cumulative Value Added
- 2 Yr Rolling Avg(AIllllAaliZed)
102
City of Clearwater Employees Pension Fund
Risk Measure Summary
Wedge Capital Mgmt
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 1 1 3 2 6 5 12 11
Positive Periods 3 3 9 10 14 15 18 19
Up Market Capture 0.86 1.02 0.99 1.02
Down Market Capture 0.02 0.31 0.80 0.91
Batting Average 0.50 0.67 0.65 0.67
Worst Quarter 0,05 2,65 1.77 3,26 19,63 18,47 26,4 0 27,19
Best Quarter 8.63 8.55 16.49 14.21 16.49 14.21 25.65 23.62
Worst 4 Quarters 17.63 17.45 17.63 17.45 0,63 2,36 39,75 42,51
Best 4 Quarters 17.63 17.45 34.92 33.45 34.92 34.30 73.15 72.41
Standard Deviation 7.13 9.58 11.70 11.14 16.13 16.34 22.48 22.41
Beta 0.76 1.02 0.96 0.99
Alpha 1.00 0.35 0.55 0.57
R-Squared 0.90 0.94 0.94 0.97
Sharpe Ratio 2.47 1.82 2.29 2.21 1.17 1.05 0.36 0.26
Treynor Ratio 23.09 26.26 19.66 8.31
Tracking Error 3.72 2.95 4.21 4.07
Information Ratio 1. 0.64 0.32 0.51
103
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Midcap Value Portfolios
3 Years Ending 9/30/14
33.9
ro
32.1
30.3
28.5
0 26.7
24.9 •
1 Median
a •
N 23.1 Return
21.3 •
Q 19.5
17.8
16.0 •
8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
W Wedge Capital Mgmt 26.92 13 11.70 50
1 R Mid Cap V 24.71 34 11.14 24
Median 24.28 11.70
5 Years Ending 9/30/14
25.9
ro
24.1
22.3
20.5
0 18.8 •
Median
a . Return
N 15.2 ' •
�y •
13.4
Q 11.6
9.8 •
8.0
8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0 24.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
W Wedge Capital Mgmt 18.89 19 16.13 57
1 R Mid Cap V 17.23 25 16.34 58
Median 16.74 16.07
104
City of Clearwater Employees Pension Fund
Equity Summary Statistics
Wedge Capital Mgmt
Period Ending 9/14
Portfolio R Mid Cap V
Total Number Of Securities 44 572
Equity Market Value 47,131,481
Average Capitalization $(000) 9,563,507 11,044,406
Median Capitalization $(000) 5,872,890 5,616,209
Equity Segment Yield 2.05 2.17
Equity Segment P/E -Average 17.29 22.23
Equity Segment P/E - Median 17.58 18.99
Equity Segment Beta 1.25 1.11
Price/Book Ratio 1.86 1.74
Debt/Equity Ratio 66.72 64.50
Five Year Earnings Growth 8.78 8.58
Ten Largest Holdings Market Value % of Portfolio Quarterly Ret
Computer Sciences Co 2,032,687 4.32 -2.87
Allstate Corp 1,957,703 4.16 4.99
Lincoln Natl Corp In 1,937,453 4.12 4.48
Ashland Inc New 1,894,620 4.03 -3.96
Brunswick Corp 1,865,538 3.97 0.32
Nordstrom Inc 1,695,576 3.60 1.12
Darden Restaurants I 1,533,508 3.26 12.57
Wyndham Worldwide Co 1,478,932 3.14 7.79
Werner Enterprises I 1,466,640 3.12 -4.76
Hca Holdings Inc 1,459,764 3.10 25.08
Ten Best Performers Quarterly Ret Ten Worst Performers Quarterly Ret
URS Corp New 26.11 Owens Ill Inc -24.80
Hca Holdings Inc 25.08 Dana Holding Corp -21.33
Darden Restaurants I 12.57 Energen Corp -18.56
Old Dominion Fght Li 10.93 Convergys Corp -16.57
Northrop Corp 10.75 Murphy Oil Corp -13.89
Huntington Ingalls I 10.38 Dover Corp -11.28
Transdigm Group Inc 10.21 Qep Res Inc -10.73
Wyndham Worldwide Co 7.79 Delphi Automotive PI -10.44
Steelcase Inc 7.75 Sonoco Prods Co -9.84
Endurance Specialty 7.59 Great Plains Energy -9.23
105
City of Clearwater Employees Pension Fund
Equity Contribution to Return
Wedge Capital Mgmt
Period Ending 9/14
Portfolio R Mid Cap V
Total Number Of Securities 44 572
Equity Market Value 47,131,481
Average Capitalization $(000) 9,563,507 11,044,406
Median Capitalization $(000) 5,872,890 5,616,209
Equity Segment Yield 2.05 2.17
Equity Segment P/E -Average 17.29 22.23
Equity Segment P/E - Median 17.58 18.99
Equity Segment Beta 1.25 1.11
Price/Book Ratio 1.86 1.74
Debt/Equity Ratio 66.72 64.50
Five Year Earnings Growth 8.78 8.58
Ten Best Contributors Market Value % of Portfolio Quarterly Ret
Hca Holdings Inc 1,459,764 3.10 25.08
Darden Restaurants I 1,533,508 3.26 12.57
Transdigm Group Inc 1,433,166 3.05 10.21
URS Corp New 472,402 1.00 26.11
Wyndham Worldwide Co 1,478,932 3.14 7.79
Steelcase Inc 1,264,439 2.69 7.75
Allstate Corp 1,957,703 4.16 4.99
Lincoln Natl Corp In 1,937,453 4.12 4.48
Endurance Specialty 954,614 2.03 7.59
Old Dominion Fght Li 487,416 1.04 10.93
Ten Worst Contributors Market Value % of Portfolio Quarterly Ret
Dana Holding Corp 1,401,404 2.98 -21.33
Owens Ill Inc 896,120 1.91 -24.80
Murphy Oil Corp 1,200,801 2.55 -13.89
Qep Res Inc 941,868 2.00 -10.73
Delphi Automotive PI 956,904 2.03 -10.44
Great Plains Energy 949,881 2.02 -9.23
Seacor Hldgs Inc 942,480 2.00 -9.06
Energen Corp 447,888 0.95 -18.56
Convergys Corp 471,624 1.00 -16.57
Pg&E Corp 1,441,280 3.06 -5.24
106
City of Clearwater Employees Pension Fund
Equity Sector Attribution Analysis
Wedge Capital Mgmt
Quarter Ending 9/14
Weight Return Selection
GICS Sectors Portfolio Index Portfolio Index Stock Sector Total
Energy, 8.01 6.14 12,36 14,15 0.14 0,21 0,07
Materials 7.98 7.05 5,97 1.,90 0,32 0.01 0,32
Industrials 18.84 9.90 6.93 5,80 2.40 0,28 2.12
Consumer Discretionary 17.36 9.72 0,72 0.35 (').I.O 0.23 0.04
Consumer Staples 0.00 3.28 1.81 0.00 0,15
Health Care 6.58 8.81 13.61 2.51 0.73 0,1.2 0.61
Financials 27.65 31.97 0.34 2,1.3 0.70 0,02 0.68
Information Technology 4.80 10.68 5,59 1,06 0,22 0,09 0,31
Telecom. Services 0.00 0.31 6.20 0.00 0,03 0,03
Utilities 8.79 12.14 5,04 5,05 0.00 0.08 0.08
100.00 100.00 1 2,67 3.24 0,58 2.66
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 -0.10%
[Actual Return-0.11%] - [Buy Hold Return-0.01%]
107
City of Clearwater Employees Pension Fund
Equity Sector Attribution Chart
Wedge Capital Mgmt
Quarter Ending 9/14
%Allocation %Return %Variance
Energy 8.01 -12.36
!16.14 -14.15 -0.07
Materials ;7.06.5 -5.97
-1.90 -0.32 Industrials 18.84 -5.80 6.93 2 12
Con.Discretionary 9.72 17.36 0.72 0.35 0.04
Consumer Staples .00 -0.15
3.28 1.81
Health Care 6.58 13.61 0.61
8.81 2.51
Financials 7.65 0.34 0.68
31.97 -2.18
Infomation Tech. 0 -5.59 E -0.31
10.68 -1.06
Telecom. Services 0.00 -0.03
0.31 6.20
79 -5.04 0.08
Utilities 12.14 -5.05 7
® Wedge Capital Mgmt ❑ R Mid Cap V
108
City of Clearwater Employees Pension Fund
Small Cap Equity Comp as of 9/30/14
Portfolio Performance
25.0
20.0
15.0
10.0
5.0
0.0
-5.0
-10.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
8/31/03
Small Cap Equity Comp R2000
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 8/31/03
Small Cap Equity Comp -7.26 -8.00 0.48 21.34 16.32 9.34 9.51
R2000 -7.36 -4.41 3.93 21.26 14.28 8.19 8.85
Asset Growth(5000)
Beginning Market Value 69,342 69,898 63,999 37,502 67,008 46,896 29,988
Net Contributions&Withdrawals -10,001 -10,002 -10,003 -12,009 -51,012 -51,012 -51,012
Gain/Loss+Income -4,833 -5,387 514 29,016 38,514 58,625 75,533
Ending Market Value 54,509 54,509 54,509 54,509 54,509 54,509 54,509
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Cepheid Inc Health Care 2.05 Energy 3.31
Ultimate Software Gr Information Technology 2.02 Materials 1.93
National Instrs Corp Information Technology 1.96 Industrials 20.22
Maximus Inc Information Technology 1.66 Consumer Discretionary 13.80
Advisory Brd Co Industrials 1.64 Consumer Staples 4.64
Rollins Inc Industrials 1.60 Health Care 15.82
Techne Corp Health Care 1.53 Financials 14.44
Ritchie Bros Auction Industrials 1.48 Information Technology 25.34
Grand Canyon Ed Inc Consumer Discretionary 1.47 Telecom Services 0.13
United Nat Foods Inc Consumer Staples 1.47 Utilities 0.38
Holdings and allocations only include SMA accounts.
109
City of Clearwater Employees Pension Fund
Small Cap Equity Comp as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$1,551 2.85%
Domestic Equity
$52,958 97.15%
Risk/Return Analysis
Periods from 8/03 to 9/14
Alpha 0.32
Beta 0.92
R-Squared 0.96
10.0
9.0
8.0
7.0
C4 6.0
b
N 5.0
4.0
Q 3.0
2.0
1.0
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
S Small Cap Equity Comp 9.51 18.47 0.43 0.10
1 R2000 8.85 19.32 0.38
T" 91-Day Treasury Bill 1.54 0.55 0.00
Holdings and allocations only include SMA accounts.
110
City of Clearwater Employees Pension Fund
Small Neutral Cumulative Performance Comparisons
Total Returns of Equity Portfolios
Periods Ending 9/14
30%
25%
20% ---- 1---
15% 1--- --- ---
-1--- -1---
10% ----
5% --- zo
--
0%
-5%
-10%
-15%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High -3.44 12.76 23.70 26.68 19.45 18.97 15.30 10.80 11.73 11.39 12.54
1st Qt -5.48 9.55 21.14 24.76 17.04 16.65 13.57 8.82 9.84 9.92 11.08
Median -6.71 7.74 18.70 23.23 16.37 15.92 11.66 7.23 8.36 8.52 9.73
3rd Qt -7.30 4.42 16.45 21.27 14.90 14.50 10.57 6.59 7.18 7.36 8.80
Low -10.03 1.00 13.74 17.26 12.77 12.51 9.11 5.30 6.50 6.63 7.71
S Small Cap Equity Comp
Net Ret -7.26 0.48 15.69 21.34 16.37 16.32 12.43 6.74 7.87 8.35 9.34
Rank 71 95 85 74 50 31 36 61 61 53 58
1 82000
Net Ret -7.36 3.93 16.26 21.26 14.52 14.28 9.92 6.04 6.81 7.15 8.19
Rank 77 83 79 75 82 83 87 89 87 80 91
111
City of Clearwater Employees Pension Fund
Small Neutral Consecutive Performance Comparisons
Total Returns of Equity Portfolios
Years Ending December
70%
60%
50%
40% ---
30% ---- --- ----
-1---
20% ----
10% -- ----
0% ---- --- -1----
-10% -- ----
-20%
-30% _
-40% ---
-50
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
High 2.63 46.68 23.01 6.42 33.78 62.14 -22.32 11.23 24.68 14.61 27.43
1st Qt 0.05 42.38 19.50 -0.45 29.97 36.57 -30.16 5.97 20.65 10.27 23.80
Median -2.28 39.13 16.73 -2.61 27.13 30.30 -33.33 0.33 18.17 7.95 20.87
3rd Qt -4.02 35.19 14.59 -5.09 24.61 27.04 -37.07 -4.32 15.45 4.67 18.67
Low -6.30 27.87 10.75 -10.50 20.51 21.89 -41.40 -10.18 10.44 2.34 11.21
S Small Cap Equity Comp
Net Ret -8.00 42.51 17.61 2.07 29.27 33.51 -38.63 3.27 17.40 7.21 15.69
Rank 98 23 39 13 30 41 84 30 56 60 87
1 82000
Net Ret -4.41 38.82 16.34 -4.17 26.85 27.19 -33.80 -1.55 18.35 4.56 18.32
Rank 80 52 59 69 54 73 59 63 46 80 78
112
City of Clearwater Employees Pension Fund
Risk Measure Summary
Small Cap Equity Comp
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 2 1 3 2 6 5 14 14
Positive Periods 2 3 9 10 14 15 30 30
Up Market Capture 0.69 0.96 1.00 0.96
Down Market Capture 0.99 0.77 0.85 0.89
Batting Average 0.50 0.58 0.70 0.61
Worst Quarter 7,26 7,36 7,26 7,36 1 8,74 71,86 25,65 26,12
Best Quarter 9.22 8.72 15.86 15.48 16.53 16.25 20.74 20.68
Worst 4 Quarters 0.48 3.93 0.48 3.93 0.48 4,1.7 38,63 37,50
Best 4 Quarters 0.48 3.93 42.51 38.82 42.51 38.82 57.55 62.77
Standard Deviation 13.61 13.19 13.70 13.78 17.86 18.77 18.80 20.07
Beta 0.99 0.97 0.94 0.92
Alpha 0,83 0.15 0.62 0.32
R-Squared 0.93 0.96 0.98 0.96
Sharpe Ratio 0.03 0.29 1.55 1.54 0.91 0.76 0.45 0.38
Treynor Ratio 0.44 21.87 17.20 9.13
Tracking Error 3.35 2.95 2.71 4.33
Information Ratio 1..00 0.01 0.59 0.10
113
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Small Neutral Portfolios
3 Years Ending 9/30/14
32.0
ro
30.0
c 28.0
a • %
26.0 .• • � • •
24.0 •' '
cG . .• . « Median
b
N 22.0 '� • Return
s •
•.
Q20.0 �• •
' t
18.0 ' •
16.0
10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
S Small Cap Equity Comp 21.34 74 13.70 37
1 R2000 21.26 75 13.78 41
Median 23.23 13.97
5 Years Ending 9/30/14
21.0
ro
20.0
19.0
18.0
0 17.0 . •� .••. ! •
16.0 Median
' • Return
15.0 � ' .r . •
14.0 t �. •
c
Q 13.0 •
12.0 •
11.0
13.0 14.1 15.2 16.3 17.4 18.5 19.6 20.7 21.8 22.9 24.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
S Small Cap Equity Comp 16.32 31 17.86 31
1 R2000 14.28 83 18.77 57
Median 15.92 18.58
114
City of Clearwater Employees Pension Fund
Riverbridge Partners as of 9/30/14
Portfolio Performance
25.0
20.0
15.0
10.0
5.0 JUL
0.0
-5.0
-10.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
9/30/10
EM Riverbridge Partners R2000G
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 9/30/10
Riverbridge Partners -6.48 -9.55 -2.52 20.05 16.72
R2000G -6.13 -4.05 3.80 21.90 15.68
Asset Growth(5000)
Beginning Market Value 33,487 34,624 32,128 18,102 16,876
Net Contributions&Withdrawals -5,000 -5,001 -5,001 -5,004 -5,004
Gain/Loss+Income -2,106 -3,242 -746 13,282 14,509
Ending Market Value 26,381 26,381 26,381 26,381 26,381
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Cepheid Inc Health Care 4.18 Energy 0.00
Ultimate Software Gr Information Technology 4.11 Materials 0.00
Maximus Inc Information Technology 3.38 Industrials 21.72
National Instrs Corp Information Technology 3.33 Consumer Discretionary 12.84
Rollins Inc Industrials 3.26 Consumer Staples 3.75
Ritchie Bros Auction Industrials 3.02 Health Care 22.10
Grand Canyon Ed Inc Consumer Discretionary 3.01 Financials 4.22
Mednax Inc Health Care 2.99 Information Technology 35.36
Advisory Brd Co Industrials 2.95 Telecom Services 0.00
Costar Group Inc Information Technology 2.83 Utilities 0.00
115
City of Clearwater Employees Pension Fund
Riverbridge Partners as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$432 1.64%
Domestic Equity
$25,949 98.36%
Risk/Return Analysis
Periods from 9/10 to 9/14
Alpha 0.86
Beta 0.81
R-Squared 0.93
18.0
16.0
14.0
12.0
a 10.0
cC
7� 8.0
N 6.0
4.0
Q 2.0
0.0
-2.0
-2.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
R Riverbridge Partners 16.72 14.71 1.13 0.03
1 R2000G 15.68 17.30 0.90
T" 91-Day Treasury Bill 0.09 0.02 0.00
116
City of Clearwater Employees Pension Fund
Small Growth Cumulative Performance Comparisons
Total Returns of Equity Portfolios
Periods Ending 9/14
30%
25%
20% ------ --
15% _____
10%
0% ------
------ ------ ------
-10% R
-15%
Last Last 2 Last 3 9/14 Last Last 2 Last 3 Last 4
Qtr Qtrs Qtrs YTD Year Years Years Years
High -1.71 1.94 3.60 3.60 12.26 23.89 26.38 20.44
1st Qt -4.41 -2.13 -1.45 -1.45 7.55 20.25 24.55 18.36
Median -5.48 -4.31 -3.66 -3.66 3.99 17.64 21.88 16.72
3rd Qt -6.34 -6.98 -7.04 -7.04 0.42 14.66 20.04 14.95
Low -8.22 -9.96 -12.42 -12.42 -4.55 10.94 16.32 11.82
R Riverbridge Partners
Net Ret -6.48 -8.68 -9.55 -9.55 -2.52 14.66 20.05 16.72
Rank 76 90 88 88 87 75 74 50
1 R2000G
Net Ret -6.13 -4.51 -4.05 -4.05 3.80 17.52 21.90 15.68
Rank 71 52 57 57 51 52 49 65
117
City of Clearwater Employees Pension Fund
Small Growth Consecutive Performance Comparisons
Total Returns of Equity Portfolios
Years Ending December
60%
55%
50%
45% ------------
40
35% ------------
30%
25%
20%
10% ------------
5%
------------
0
------------
-5% ---- -------
-10% R----------
oo
-15
9/30/14
YTD 2013 2012 2011
High 3.60 54.25 22.18 7.69
1st Qt -1.45 46.67 18.31 3.06
Median -3.66 42.88 15.37 -0.65
3rd Qt -7.04 37.73 13.11 -3.49
Low -12.42 29.42 6.53 -8.91
R Riverbridge Partners
Net Ret -9.55 43.50 17.83 4.27
Rank 88 48 31 21
1 R2000G
Net Ret -4.05 43.29 14.59 -2.92
Rank 57 49 63 71
118
City of Clearwater Employees Pension Fund
September 30, 2014
Performance Comparison
Total Returns of Small Growth Portfolios
28%
26%
24% R
22
R
Is%
16% R R 1
14% 1
1
12%
10%
Dee I I Sep I I Jun I I Mar I I Dee 10
Sep 14 Jul, 14 Mar 14 Dee 13 Sep 13
High 26.22 19.12 18.84 22.53 25.06
I st Qt 24.55 1 7.22 1 7.06 2041. 23.19
Median 22.11 14.97 14.55 17.96 2071.
3rd Qt 2043. 13.19 12.53 15.95 19.28
Low 17.91 10.47 10.23 13.78 17.32
R Riverbridge Partners
Net Ret 20.05 1 5.88 1 6.94 20.81 23.94
Rank 77 42 27 20 16
1 R2000G
Net Ret 21.90 1 4.48 1 3.60 1 6.81 1 9.94
Rank 51 60 64 61 63
Riverbridge Partners
Value Added Analysis - Net of Fee
12.0%
10.0%
8.0%
H
7.0
6.0% AM
4.0%
2.0%
O. 0.8 1.1
0.3
0.0% 0.0
-0.6 -0.4 -0.4
0.9
2.0% -1.4 -1.4
-4.0% -3.3
4.0
-6.0%
12/10 3/11 6/11 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.R2000G ® Cumulative Value Added
- 2 Yr Rolling Avg(Annnahi ed)
119
City of Clearwater Employees Pension Fund
Risk Measure Summary
Riverbridge Partners
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 3 1 3 2 4 4
Positive Periods 1 3 9 10 12 12
Up Market Capture 0.40 0.82 0.86
Down Market Capture 1.06 0.40 0.62
Batting Average 0.00 0.33 0.38
Worst Quarter 6,48 6,13 6,48 6,13 15,89 22,26
Best Quarter 7.77 8.18 13.13 14.99 16.39 17.11
Worst 4 Quarters 2,52 3.80 2,52 3.80 2,52 2,92
Best 4 Quarters 2,52 3.80 43.50 43.29 43.50 43.29
Standard Deviation 11.99 11.73 12.86 14.30 16.75 19.95
Beta 0.96 0.83 0.81
Alpha 1,53 0.44 0.86
R-Squared 0.89 0.86 0.93
Sharpe Ratio 0,21. 0.32 1.55 1.53 0.99 0.78
Treynor Ratio 2,67 23.98 20.49
Tracking Error 3.48 5.54 5.85
Information Ratio 1..77 0,34. 0.03
120
City of Clearwater Employees Pension Fund
Equity Summary Statistics
Riverbridge Partners
Period Ending 9/14
Portfolio R2000G
Total Number Of Securities 48 1,187
Equity Market Value 25,949,267
Average Capitalization $(000) 2,483,687 1,832,160
Median Capitalization $(000) 1,731,054 770,030
Equity Segment Yield 0.52 0.64
Equity Segment P/E -Average 41.20 55.04
Equity Segment P/E - Median 24.44 17.34
Equity Segment Beta 0.99 1.26
Price/Book Ratio 3.99 3.72
Debt/Equity Ratio 12.76 40.75
Five Year Earnings Growth 5.85 12.76
Ten Largest Holdings Market Value % of Portfolio Quarterly Ret
Cepheid Inc 1,083,534 4.18 -8.16
Ultimate Software Gr 1,067,693 4.11 2.42
Maximus Inc 878,245 3.38 -6.61
National Instrs Corp 863,318 3.33 -4.06
Rollins Inc 846,397 3.26 -2.04
Ritchie Bros Auction 784,008 3.02 -8.64
Grand Canyon Ed Inc 780,297 3.01 -11.31
Mednax Inc 775,155 2.99 -5.73
Advisory Brd Co 764,775 2.95 -10.06
Costar Group Inc 733,060 2.83 -1.66
Ten Best Performers Quarterly Ret Ten Worst Performers Quarterly Ret
Echo Global Logistic 22.85 Tile Shop Hldgs Inc -39.50
Abaxis Inc 14.68 Channeladvisor Corp -37.78
Verint Sys Inc 13.37 K12 Inc -33.69
Chemed Corp New 10.03 Mobile Mini -26.67
Stratasys Ltd 6.29 Financial Engines In -24.32
Athenahealth Inc 5.24 Beacon Roofing Suppl -23.07
Fresh Mkt Inc 4.36 Digi Intl Inc -20.38
Semtech Corp 3.82 Roadrunner Trnsn Svc -18.90
Ultimate Software Gr 2.42 Dorman Products Inc -18.78
Techne Corp 1.38 Cass Information Sys -15.97
121
City of Clearwater Employees Pension Fund
Equity Contribution to Return
Riverbridge Partners
Period Ending 9/14
Portfolio Russell 2000 Growth
Total Number Of Securities 48 1,187
Equity Market Value 25,949,267
Average Capitalization $(000) 2,483,687 1,832,160
Median Capitalization $(000) 1,731,054 770,030
Equity Segment Yield 0.52 0.64
Equity Segment P/E -Average 41.20 55.04
Equity Segment P/E - Median 24.44 17.34
Equity Segment Beta 0.99 1.26
Price/Book Ratio 3.99 3.72
Debt/Equity Ratio 12.76 40.75
Five Year Earnings Growth 5.85 12.76
Ten Best Contributors Market Value % of Portfolio Quarterly Ret
Echo Global Logistic 344,537 1.33 22.85
Abaxis Inc 521,096 2.01 14.68
Verint Sys Inc 554,432 2.14 13.37
Chemed Corp New 571,095 2.20 10.03
Athenahealth Inc 707,834 2.73 5.24
Stratasys Ltd 576,725 2.22 6.29
Ultimate Software Gr 1,067,693 4.11 2.42
Semtech Corp 565,806 2.18 3.82
Fresh Mkt Inc 249,191 0.96 4.36
Techne Corp 576,736 2.22 1.38
Ten Worst Contributors Market Value % of Portfolio Quarterly Ret
Mobile Mini 625,963 2.41 -26.67
Beacon Roofing Suppl 444,881 1.71 -23.07
Tile Shop Hldgs Inc 250,351 0.96 -39.50
Financial Engines In 388,135 1.50 -24.32
Sps Comm Inc 579,176 2.23 -15.89
Cepheid Inc 1,083,534 4.18 -8.16
Grand Canyon Ed Inc 780,297 3.01 -11.31
K12 Inc 257,594 0.99 -33.69
Portfolio Recovery A 706,150 2.72 -12.26
Proto Labs Inc 495,765 1.91 -15.77
122
City of Clearwater Employees Pension Fund
Equity Sector Attribution Analysis
Riverbridge Partners
Quarter Ending 9/14
Weight Return Selection
GICS Sectors Portfolio Index Portfolio Index Stock Sector Total
Energy, 0.00 5.18 1.7.25 0.00 0.57 0.57
Materials 0.00 5.55 7,41 0.00 0.07 0.07
Industrials 21.30 14.68 10,95 8,23 0,58 0,14 0,71
Consumer Discretionary 4.91 15.19 1.3,53 3
ry ... .0 0.77 0.01 0.79
Consumer Staples 3.60 3.68 3.72 0.45 0,1.3 1. 0,1.4.
Health Care 21.12 21.68 0,05 2.73 0.58 0,02 0.56
Financials 5.63 7.45 16,22 6,27 0,56 0.00 0,56
Information Technology 33.45 25.65 5,22 5,18 �'�.�'�1 0.08 0.06
Telecom. Services 0.00 0.74 5,06 0.00 �'�.�'�1 1.
Utilities 0.00 0.21 5,59 0.00 0.00 0.00
100.00 100.00 7,13 6,19 1., 0 0.56 0,9
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 0.34%
[Actual Return-6.80%] - [Buy Hold Return-7.13%]
123
City of Clearwater Employees Pension Fund
Equity Sector Attribution Chart
Riverbridge Partners
Quarter Ending 9/14
%Allocation %Return %Variance
Energy 00
5.18 -17.25 1 IM 0.57
Materials 00
5.55 -7.41 0.07
Industrials 14.68 21.30
4.61.30 -10.985 23 -0.71 Emomm Con.Discretionary 14.911 -13.53 8 20 -0.79
15.19 Consumer Staples 3.60 -3.22 IM -0.14
3.68 0.45
Health Care 21.12 -O.00L IM 0.56
21.68 -2.78
Financials 5.63 -16.22 ENMESHES= -0.56 IN
7.45 -6.27
Infom 33.45 -5.22 0.06 ation Tech. 25.65 -5.18
Telecom. Services 0.00 -0.01
0.74 -5.06
0.00 -0.00
Utilities 0.21 -5.59
® Riverbridge Partners ❑ R2000G
124
City of Clearwater Employees Pension Fund
Atlanta Capital Mgmt as of 9/30/14
Portfolio Performance
25.0
20.0
15.0
10.0
5.0
0.0
-5.0
-10.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
8/31/03
EM Atlanta Capital Mgmt Russell 2000
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 8/31/03
Atlanta Capital Mgmt -5.23 -5.97 4.11 20.61 16.94 12.12 12.22
Russell 2000 -7.36 -4.41 3.93 21.74 13.66 7.55 8.90
Asset Growth(5000)
Beginning Market Value 17,266 17,404 15,719 10,899 17,827 24,074 14,990
Net Contributions&Withdrawals -2,000 -2,001 -2,001 -4,003 -14,004 -14,004 -14,004
Gain/Loss+Income -881 -1,018 668 7,490 10,562 41314 13,399
Ending Market Value 14,385 14,385 14,385 14,385 14,385 14,385 14,385
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Manhattan Assocs Inc Information Technology 3.77 Energy 2.83
Morningstar Inc Consumer Discretionary 3.22 Materials 4.21
Dril-Quip Inc Energy 2.83 Industrials 23.73
Sally Beauty Hldgs I Consumer Discretionary 2.62 Consumer Discretionary 17.47
Henry Jack&Assoc I Information Technology 2.59 Consumer Staples 6.07
Bio Rad Labs Inc Health Care 2.34 Health Care 9.42
Artisan Partners Ass Financials 2.32 Financials 18.49
Monro Muffler Brake Consumer Discretionary 2.18 Information Technology 17.79
Moog Inc'a' Industrials 2.15 Telecom Services 0.00
Blackbaud Inc Information Technology 2.14 Utilities 0.00
125
City of Clearwater Employees Pension Fund
Atlanta Capital Mgmt as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$665 4.62%
Domestic Equity
$13,720 95.38%
Risk/Return Analysis
Periods from 8/03 to 9/14
Alpha 1.22
Beta 0.74
R-Squared 0.92
13.0
12.0
11.0
10.0
9.0
8.0
7� 7.0
N 6.0
5.0
4.0
Q 3.0
2.0 .
1.0
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
t Atlanta Capital Mgmt 12.22 16.24 0.66 0.32
1 Russell 2000 8.90 19.28 0.38
T" 91-Day Treasury Bill 1.54 0.55 0.00
126
City of Clearwater Employees Pension Fund
Small Neutral Cumulative Performance Comparisons
Total Returns of Equity Portfolios
Periods Ending 9/14
30%
25%
20% 1--
15% -- --- ---
T--
10% ---- ----
5% ----
1--
0
-5%
-10%
-15%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High -3.44 12.76 23.70 26.68 19.45 18.97 15.30 10.80 11.73 11.39 12.54
1st Qt -5.48 9.55 21.14 24.76 17.04 16.65 13.57 8.82 9.84 9.92 11.08
Median -6.71 7.74 18.70 23.23 16.37 15.92 11.66 7.23 8.36 8.52 9.73
3rd Qt -7.30 4.42 16.45 21.27 14.90 14.50 10.57 6.59 7.18 7.36 8.80
Low -10.03 1.00 13.74 17.26 12.77 12.51 9.11 5.30 6.50 6.63 7.71
t Atlanta Capital Mgmt
Net Ret -5.23 4.11 17.17 20.61 17.48 16.94 14.16 11.02 11.73 11.39 12.12
Rank 22 81 66 80 13 17 15 3 5 5 11
1 Russell 2000
Net Ret -7.36 3.93 16.64 21.74 14.12 13.66 8.79 5.50 5.57 6.48 7.55
Rank 77 83 71 67 89 88 96 92 97 95 97
127
City of Clearwater Employees Pension Fund
Small Neutral Consecutive Performance Comparisons
Total Returns of Equity Portfolios
Years Ending December
70%
60%
50%
40% ---
30%
20% ---
10% ---- ---
-10% ---- ----
-20%
-30%
-40% ----
-50
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
High 2.63 46.68 23.01 6.42 33.78 62.14 -22.32 11.23 24.68 14.61 27.43
1st Qt 0.05 42.38 19.50 -0.45 29.97 36.57 -30.16 5.97 20.65 10.27 23.80
Median -2.28 39.13 16.73 -2.61 27.13 30.30 -33.33 0.33 18.17 7.95 20.87
3rd Qt -4.02 35.19 14.59 -5.09 24.61 27.04 -37.07 -4.32 15.45 4.67 18.67
Low -6.30 27.87 10.75 -10.50 20.51 21.89 -41.40 -10.18 10.44 2.34 11.21
t Atlanta Capital Mgmt
Net Ret -5.97 42.43 12.53 10.20 25.98 26.83 -19.52 6.91 16.22 6.23 20.24
Rank 93 23 89 1 66 77 1 19 65 62 58
1 Russell 2000
Net Ret -4.41 37.88 18.05 -5.50 24.51 20.57 -28.92 -9.77 23.48 4.70 22.25
Rank 80 58 36 76 75 96 18 92 8 73 39
128
City of Clearwater Employees Pension Fund
September 30, 2014
Performance Comparison
Total Returns of Small Cap Neutral Portfolios
28%
26%
24%
22%
20% Y
18%
16%
1
14%
12%
10%
Dec 11 Sap 11 Jun 11 Mar 11 Daa 10
Sap 14 Jun 14 Mar 14 Daa 13 Sap 13
High 26.68 18.84 16.90 20.18 22.54
1st Qt 24.98 17.08 15.17 17.85 20.07
Madian 23.30 16.11 14.23 17.02 19.04
3rd Qt 21.72 14.84 13.34 15.83 18.29
Low 1941. 13.18 11.41 13.65 15.78
'C Atlanta Capital Mg-t
Nat Rat 20.61 15.96 16.90 20.88 22.31
Rank 87 53 5 2 6
1 Russa112000
Nat Rat 21.74 15.22 13.42 15.43 17.74
Rank 74 67 70 78 82
Atlanta Capital Mgmt
Value Added Analysis - Net of Fee
20.0%
18.0
16.0%
14.0%
................
12.0%
10.0%
&0%
3
6.0%
4.0%
3.2
2.7
2.0% 2.3
0.9 1.2
0.0% 0.4
5.4 0.2
0.0
-0.6 O.1 -0.7
-2.0
2.6 -2.6
-4.0
12/09 3/10 6/10 9/10 12/10 3/11 6/11 9/11 12/11 3/12 6/12 9/12 12/12 3/13 6/13 9/13 12/13 3/14 6/14 9/14
® Quarterly Value Added vs.Russell 2000 °°°°°°°°° Cumulative Value Added
2 Yr Rolling Avg(Annualized)
129
City of Clearwater Employees Pension Fund
Risk Measure Summary
Atlanta Capital Mgmt
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 2 1 3 2 5 5 13 13
Positive Periods 2 3 9 10 15 15 31 31
Up Market Capture 0.81 0.92 0.96 0.89
Down Market Capture 0.71 0.81 0.68 0.60
Batting Average 0.50 0.50 0.60 0.59
Worst Quarter 5,23 7,36 5,23 7,36 15,76 71.47 16,60 24,89
Best Quarter 10.72 8.72 16.42 15.97 16.42 15.97 18.00 22.70
Worst 4 Quarters 4.11 3.93 4.11 3.93 3.29 6.00 24,55 38,89
Best 4 Quarters 4.11 3.93 42.43 37.88 43.07 37.88 52.53 65.05
Standard Deviation 13.55 13.19 13.32 13.43 16.10 18.49 15.59 20.26
Beta 0.97 0.96 0.85 0.74
Alpha 0.08 0,06 1.18 1.22
R-Squared 0.88 0.95 0.94 0.92
Sharpe Ratio 0.30 0.29 1.54 1.61 1.05 0.73 0.71 0.37
Treynor Ratio 4.20 21.32 19.85 15.05
Tracking Error 4.67 3.20 4.80 7.01
Information Ratio 0.02 0,33 0.50 0.32
130
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Small Neutral Portfolios
3 Years Ending 9/30/14
32.0
ro
30.0
c 28.0
a • ••
26.0 .• • � • •
24.0 •' '
cG . .• . « Median
b
N 22.0 • Return
1 s •
Q 20.0 •
' t
18.0 ' •
16.0
10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
t Atlanta Capital Mgmt 20.61 80 13.32 24
1 Russell 2000 21.74 67 13.43 29
Median 23.23 13.97
5 Years Ending 9/30/14
21.0
ro
20.0
19.0
18.0
0 17.0 •� .••. ! •
16.0 •: ti . Median
' • Return
°N 15.0 � ' .r . •
14.0 t •. •
c
Q 13.0 •
12.0 •
11.0
13.0 14.1 15.2 16.3 17.4 18.5 19.6 20.7 21.8 22.9 24.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
t Atlanta Capital Mgmt 16.94 17 16.10 10
1 Russell 2000 13.66 88 18.49 50
Median 15.92 18.58
131
City of Clearwater Employees Pension Fund
Equity Summary Statistics
Atlanta Capital Mgmt
Period Ending 9/14
Portfolio Russell 2000
Total Number Of Securities 63 1,992
Equity Market Value 13,720,210
Average Capitalization $(000) 2,529,363 1,685,709
Median Capitalization $(000) 2,089,084 660,806
Equity Segment Yield 1.16 1.36
Equity Segment P/E -Average 25.83 41.43
Equity Segment P/E - Median 23.34 15.15
Equity Segment Beta 1.02 1.27
Price/Book Ratio 2.93 2.07
Debt/Equity Ratio 17.61 46.60
Five Year Earnings Growth 8.61 9.54
Ten Largest Holdings Market Value % of Portfolio Quarterly Ret
Manhattan Assocs Inc 517,375 3.77 -2.93
Morningstar Inc 441,282 3.22 -5.21
Dril-Quip Inc 387,907 2.83 -18.16
Sally Beauty Hldgs I 359,751 2.62 9.13
Henry Jack &Assoc I 355,445 2.59 -5.99
Bio Rad Labs Inc 320,468 2.34 -5.27
Artisan Partners Ass 318,546 2.32 -7.25
Monro Muffler Brake 299,090 2.18 -8.53
Moog Inc 'a' 294,667 2.15 -6.16
Blackbaud Inc 292,789 2.14 10.29
Ten Best Performers Quarterly Ret Ten Worst Performers Quarterly Ret
Knight Transn Inc 15.50 Raven Inds Inc -26.09
Vca Antech Inc 12.08 Aaon Inc -23.88
Choice Hotels Intl I 10.38 Beacon Roofing Suppl -23.07
Blackbaud Inc 10.29 Hibbett Sports Inc -21.30
Sally Beauty Hldgs I 9.13 Hub Group Inc -19.58
West Pharmaceutical 6.38 Dorman Products Inc -18.78
Balchem Corp 5.62 Dril-Quip Inc -18.16
Wex Inc 5.10 Cass Information Sys -15.97
Mwi Veterinary Suppl 4.51 Stepan Chem Co -15.75
Caseys Gen Stores 2.31 Huron Consulting Gro -13.91
132
City of Clearwater Employees Pension Fund
Equity Contribution to Return
Atlanta Capital Mgmt
Period Ending 9/14
Portfolio Russell 2000
Total Number Of Securities 63 1,992
Equity Market Value 13,720,210
Average Capitalization $(000) 2,529,363 1,685,709
Median Capitalization $(000) 2,089,084 660,806
Equity Segment Yield 1.16 1.36
Equity Segment P/E -Average 25.83 41.43
Equity Segment P/E - Median 23.34 15.15
Equity Segment Beta 1.02 1.27
Price/Book Ratio 2.93 2.07
Debt/Equity Ratio 17.61 46.60
Five Year Earnings Growth 8.61 9.54
Ten Best Contributors Market Value % of Portfolio Quarterly Ret
Knight Transn Inc 233,418 1.70 15.50
Sally Beauty Hldgs I 359,751 2.62 9.13
Blackbaud Inc 292,789 2.14 10.29
Choice Hotels Intl I 257,764 1.88 10.38
Vca Antech Inc 139,582 1.02 12.08
West Pharmaceutical 227,784 1.66 6.38
Wex Inc 222,184 1.62 5.10
Mwi Veterinary Suppl 194,998 1.42 4.51
Balchem Corp 151,664 1.11 5.62
Clarcor Inc 289,853 2.11 2.27
Ten Worst Contributors Market Value % of Portfolio Quarterly Ret
Dril-Quip Inc 387,907 2.83 -18.16
Dorman Products Inc 274,892 2.00 -18.78
Raven Inds Inc 184,537 1.35 -26.09
Hibbett Sports Inc 214,557 1.56 -21.30
Fair Isaac Corp 270,872 1.98 -13.55
Aaon Inc 136,080 0.99 -23.88
Columbia Sportswear 209,098 1.52 -13.09
Aptargroup Inc 286,565 2.09 -9.01
Monro Muffler Brake 299,090 2.18 -8.53
Huron Consulting Gro 174,252 1.27 -13.91
133
City of Clearwater Employees Pension Fund
Equity Sector Attribution Analysis
Atlanta Capital Mgmt
Quarter Ending 9/14
Weight Return Selection
GICS Sectors Portfolio Index Portfolio Index Stock Sector Total
Energy, 2.52 6.34 1.3.1.6 20,56 0.06 0.50 0.56
Materials 4.16 5.11 6,74 8,42 0.07 0.01 0.08
Industrials 24.42 13.97 7,52 9,59 0.51 0,23 0.28
Consumer Discretionary 16.65 13.18 6,39 8,53 0.36 0,04 0.32
Consumer Staples 5.82 3.15 2,66 3,37 0.04 0.11 0.15
Health Care 8.30 13.28 0,03 0.29 1O 0.10
Financials 17.82 22.95 5.55 5.24. 0,05 1.1. 0.1."7
Information Technology 20.32 17.89 3,80 5,67 0.38 0.04 0.42
Telecom. Services 0.00 0.76 6,80 0.00 0.00 0.00
Utilities 0.00 3.38 1.0.
.3 0.00 0.10 0.10
100.00 100.00 5,56 7,39 1.65 0.18 1.83
Index-Russell 2000
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 0.06%
[Actual Return-5.50%] - [Buy Hold Return-5.56%]
134
City of Clearwater Employees Pension Fund
Equity Sector Attribution Chart
Atlanta Capital Mgmt
Quarter Ending 9/14
%Allocation %Return %Variance
Energy 52 -18.1
6.34 -20.56 1 ll 0.56
Materials 4.16 -6.74
5.11 -8.41 0.08
Industrials 13.97 24 42 -9.59 0.28
Con.Discretionary 13168.65 8.53 0.32
Consumer Staples 1 -2.66 0.15
3.15 -3.37
Health Care 0 -0 0.10
13.28 -3.53
Financials 82 -5.55 -0.17
22.95 -5.24 1!
20.32 -3.8 0.42
Infomation Tech. 17.89 -5.67
Telecom. Services 0.00 -0.00
0.76 -6.80
Utilities 00 0.10 3.38 -10.28
® Atlanta Capital Mgmt ❑ Russell 2000
135
City of Clearwater Employees Pension Fund
Systematic Financial Mgt as of 9/30/14
Portfolio Performance
30.0
25.0
20.0
15.0
10.0
5.0
0.0
-5.0 INN -BE
-10.0
-15.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
8/31/03
Systematic Financial Mgt R2000V
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 8/31/03
Systematic Financial Mgt -10.76 -7.17 2.71 24.97 15.47 8.84 8.85
R2000V -8.58 -4.73 4.12 20.61 13.02 7.25 8.63
Asset Growth(5000)
Beginning Market Value 18,589 17,870 16,152 8,501 13,494 22,823 15,001
Net Contributions&Withdrawals -3,000 -3,000 -3,001 -3,002 -9,002 -9,002 -9,002
Gain/Loss+Income -1,846 -1,127 592 8,244 9,251 -78 7,744
Ending Market Value 13,743 13,743 13,743 13,743 13,743 13,743 13,743
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Dupont Fabros Techno Financials 3.21 Energy 10.26
Diamond Foods Inc Consumer Staples 2.17 Materials 3.33
First Merchants Corp Financials 2.03 Industrials 13.66
Bbcn Bancorp Inc Financials 1.98 Consumer Discretionary 11.87
Supervalu Inc Consumer Staples 1.78 Consumer Staples 4.91
Iberiabank Corp Financials 1.77 Health Care 10.13
Horizon Pharma Plc Health Care 1.76 Financials 30.22
Hci Group Inc Financials 1.75 Information Technology 13.57
Callon Pete Co Del Energy 1.69 Telecom Services 0.53
Vaalco Energy Inc Energy 1.48 Utilities 1.51
136
City of Clearwater Employees Pension Fund
Systematic Financial Mgt as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$455 3.31%
Domestic Equity
$13,288 96.69%
Risk/Return Analysis
Periods from 8/03 to 9/14
Alpha 0.12
Beta 1.06
R-Squared 0.86
10.0
9.0
8.0
7.0
C4 6.0
b
N 5.0
4.0
Q 3.0
2.0
u..w
1.0
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0 22.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
s Systematic Financial Mgt 8.85 21.11 0.35 0.08
1 R2000V 8.63 19.25 0.37
T" 91-Day Treasury Bill 1.54 0.55 0.00
137
City of Clearwater Employees Pension Fund
Small Value Cumulative Performance Comparisons
Total Returns of Equity Portfolios
Periods Ending 9/14
30%
25%
20% ---- "
15% ---
10%
E
0%
-5%
-10%
-15%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High -3.73 12.84 22.04 26.97 18.59 18.31 15.58 9.96 10.26 9.86 11.58
1st Qt -5.24 11.14 20.93 25.28 17.39 17.12 13.35 8.88 9.58 9.64 10.95
Median -6.28 8.84 18.81 23.68 15.72 15.70 12.19 8.29 8.90 9.18 10.42
3rd Qt -7.07 5.11 16.43 21.15 14.57 14.58 11.38 7.46 8.59 8.92 10.05
Low -8.63 2.69 14.86 18.11 12.48 12.91 9.31 5.93 6.86 7.74 8.91
s Systematic Financial Mgt
Net Ret -10.76 2.71 16.12 24.97 14.61 15.47 12.26 5.56 6.84 7.83 8.84
Rank 100 94 83 30 73 64 47 99 96 92 99
1 R2000V
Net Ret -8.58 4.12 15.01 20.61 13.32 13.02 8.28 5.08 5.20 6.15 7.25
Rank 93 90 92 78 87 93 99 99 100 100 100
138
City of Clearwater Employees Pension Fund
Small Value Consecutive Performance Comparisons
Total Returns of Equity Portfolios
Years Ending December
60%
50%
40% ---
30% -----
20% ----
10% ----
-10% 1
-20%
-30% ----
-40%
-50%
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
High 2.26 48.64 23.48 2.62 33.79 53.30 -23.82 9.59 23.29 13.78 28.23
1st Qt -0.28 41.33 18.39 1.43 28.77 36.69 -26.01 2.19 20.94 10.94 24.36
Median -1.91 36.54 16.68 -1.73 26.05 33.41 -29.30 -1.88 19.13 8.98 21.39
3rd Qt -3.50 32.97 11.73 -4.67 24.87 26.61 -32.93 -4.31 15.90 7.48 18.37
Low -6.59 12.40 -3.32 -8.96 21.15 21.32 -38.96 -11.93 10.87 4.21 12.52
s Systematic Financial Mgt
Net Ret -7.17 40.72 23.50 -9.91 35.50 35.72 -40.71 0.49 18.61 8.27 11.42
Rank 96 27 4 96 2 41 96 37 55 60 100
1 R2000V
Net Ret -4.73 34.50 18.05 -5.50 24.51 20.57 -28.92 -9.77 23.48 4.70 22.25
Rank 90 62 31 78 82 95 48 92 1 88 33
139
City of Clearwater Employees Pension Fund
September 30, 2014
Performance Comparison
Total Returns of Small Value Portfolios
28%
26%
24%
22
20% 1
18%
16% s 1
14%
12%
10%
8%
6%
Dec 11 Sep I I Jun I I Mar I I Dee 10
Sep 14 Jul, 14 Mar 14 Dee 13 Sep 13
High 26.97 19.98 19.41 21.66 22.32
I st Qt 25.35 1 8.50 1 5.67 1799 1 9.53
Median 23.77 16.58 14.44 16.67 18.87
3rd Qt 21.37 15.32 12.91 14.97 17.17
Low 1954. 12.17 8.01 10.55 14.70
s Systematic Financial Mgt
Net Ret 24.97 1 6.72 14.92 1 6.12 1 8.88
Rank 32 46 45 60 48
1 R2000V
Net Ret 20.61 14.64 12.73 14.48 1 6.56
Rank 85 83 76 75 76
Systematic Financial Mgt
Value Added Analysis - Net of Fee
18.0%
16.0%
14.0%
12.0%
10.0%
8.0%
6.0%
4.0% 3.9 4
2.9
2.5
2.0%
0.0% O
3
2.0%
-2.3 7.4 -2.6 -2.4
-6.0%
-8.0%
12/09 3/10 6/10 9/10 12/10 3/11 6111 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.R2000V ® Cumulative Value Added
- 2 Yr Rolling Avg(Annnahi ed)
140
City of Clearwater Employees Pension Fund
Risk Measure Summary
Systematic Financial Mgt
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 2 1 3 2 6 5 16 13
Positive Periods 2 3 9 10 14 15 28 31
Up Market Capture 1.09 1.27 1.28 1.04
Down Market Capture 1.25 1.37 1.24 1.02
Batting Average 0.50 0.67 0.65 0.57
Worst Quarter 10,76 8,58 10,76 8,58 27,29 21.47 27,29 24,89
Best Quarter 10.64 9.29 20.97 15.97 20.97 15.97 25.37 22.70
Worst 4 Quarters 2.71 4.12 2.71 4.12 11,58 6,00 40,88 38,89
Best 4 Quarters 2.71 4.12 44.73 34.50 44.73 34.50 74.73 65.05
Standard Deviation 18.04 14.74 17.97 13.60 23.56 18.51 23.12 20.26
Beta 1.18 1.28 1.26 1.06
Alpha 0,46 0, 0,09 0.12
R-Squared 0.94 0.95 0.98 0.86
Sharpe Ratio 0.15 0.28 1.39 1.51 0.65 0.70 0.33 0.36
Treynor Ratio 2.25 19.40 12.21 7.28
Tracking Error 5.19 5.66 5.92 8.68
Information Ratio 0,20 0.75 0.53 0.08 -j
141
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Small Value Portfolios
3 Years Ending 9/30/14
29.0
ro
28.0
27.0 '
26.0 '
0 25.0 • '• •
C4 24.0 Median
°7�� 23.0 •• Return
22.0 • •
Q 21.0 �•. •
20.0 •
.
19.0 '• •
9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 17.0 18.0 19.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
s Systematic Financial Mgt 24.97 30 17.97 100
1 R2000V 20.61 78 13.60 44
Median 23.68 13.97
5 Years Ending 9/30/14
19.9
ro
19.0
18.1 '
17.2 • •
•
0 16.3 ' •
15.4 • ' Median
• •' R
-a •
N 14.5 S •
13.6 •
Q 12.7 • .1 •
11.9
11.0
13.0 14.1 15.2 16.3 17.4 18.5 19.6 20.7 21.8 22.9 24.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
s Systematic Financial Mgt 15.47 64 23.56 100
1 R2000V 13.02 93 18.51 49
Median 15.70 18.63
142
City of Clearwater Employees Pension Fund
Equity Summary Statistics
Systematic Financial Mgt
Period Ending 9/14
Portfolio R2000V
Total Number Of Securities 126 1,348
Equity Market Value 13,288,195
Average Capitalization $(000) 1,362,870 1,537,921
Median Capitalization $(000) 961,929 587,905
Equity Segment Yield 1.18 2.09
Equity Segment P/E -Average 36.55 33.08
Equity Segment P/E - Median 15.74 14.58
Equity Segment Beta 1.42 1.28
Price/Book Ratio 1.87 1.43
Debt/Equity Ratio 43.61 52.37
Five Year Earnings Growth 10.35 6.42
Ten Largest Holdings Market Value % of Portfolio Quarterly Ret
Dupont Fabros Techno 426,556 3.21 1.60
Diamond Foods Inc 287,531 2.17 1.45
First Merchants Corp 269,298 2.03 -4.02
Bbcn Bancorp Inc 262,620 1.98 -7.92
Supervalu Inc 236,016 1.78 8.76
Iberiabank Corp 234,413 1.77 -9.17
Horizon Pharma Plc 233,934 1.76 -22.38
Hci Group Inc 232,136 1.75 -10.75
Callon Pete Co Del 225,096 1.69 -24.38
Vaalco Energy Inc 197,200 1.48 17.57
Ten Best Performers Quarterly Ret Ten Worst Performers Quarterly Ret
Vasco Data Sec Intl 61.90 Halcon Res Corp -45.68
Freightcar Amer Inc 33.28 Maxwell Technologies -42.37
Noranda Alum Hldg Co 28.36 Gt Advanced Technolo -41.77
Greenbrier Cos Inc 27.69 Gray Television Inc -39.98
Burlington Stores In 25.11 Cumulus Media Inc -38.85
Insys Therapeutics I 24.18 Conns Inc -38.71
Amedisys Inc 20.49 Hhgregg Inc -37.95
Rf Microdevices Inc 20.33 Comstock Res Inc -35.10
Vaalco Energy Inc 17.57 Magicjack Vocaltec L -34.85
Natus Medical Inc De 17.38 Gran Tierra Energy I -31.77
143
City of Clearwater Employees Pension Fund
Equity Contribution to Return
Systematic Financial Mgt
Period Ending 9/14
Portfolio R2000V
Total Number Of Securities 126 1,348
Equity Market Value 13,288,195
Average Capitalization $(000) 1,362,870 1,537,921
Median Capitalization $(000) 961,929 587,905
Equity Segment Yield 1.18 2.09
Equity Segment P/E -Average 36.55 33.08
Equity Segment P/E - Median 15.74 14.58
Equity Segment Beta 1.42 1.28
Price/Book Ratio 1.87 1.43
Debt/Equity Ratio 43.61 52.37
Five Year Earnings Growth 10.35 6.42
Ten Best Contributors Market Value % of Portfolio Quarterly Ret
Vasco Data Sec Intl 76,059 0.57 61.90
Noranda Alum Hldg Co 123,622 0.93 28.36
Vaalco Energy Inc 197,200 1.48 17.57
Freightcar Amer Inc 80,919 0.61 33.28
Burlington Stores In 85,699 0.65 25.11
Health Net Inc. 193,201 1.45 11.00
Supervalu Inc 236,016 1.78 8.76
U S Silica Hldgs Inc 132,834 1.00 12.96
Insys Therapeutics I 68,330 0.51 24.18
Rf Microdevices Inc 80,492 0.61 20.33
Ten Worst Contributors Market Value % of Portfolio Quarterly Ret
Gray Television Inc 160,555 1.21 -39.98
Callon Pete Co Del 225,096 1.69 -24.38
Horizon Pharma Plc 233,934 1.76 -22.38
Cumulus Media Inc 105,485 0.79 -38.85
Basic Energy Svcs In 139,358 1.05 -25.77
Maxwell Technologies 79,134 0.60 -42.37
Gt Advanced Technolo 77,976 0.59 -41.77
Hhgregg Inc 80,377 0.61 -37.95
Mgic Invt Corp Wis 182,168 1.37 -15.48
Parker Drilling Co 114,238 0.86 -24.23
144
City of Clearwater Employees Pension Fund
Equity Sector Attribution Analysis
Systematic Financial Mgt
Quarter Ending 9/14
Weight Return Selection
GICS Sectors Portfolio Index Portfolio Index Stock Sector Total
Energy, 11.08 7.50 15,81 22,85 0.78 0,51 0.27
Materials 2.50 4.67 3,24 9,57 0.16 0.02 0.18
Industrials 16.47 13.26 11,07 11,08 0.00 0,08 0,0
Consumer Discretionary 14.33 11.18 21.76 °,99 1,8 3 1 1,84
Consumer Staples 4.11 2.61 2,88 8,50 0.23 0.00 0.23
Health Care 8.35 4.87 5,16 6,86 0.14 0.06 0.20
Financials 29.65 38.46 6,69 5,04
Information Technology 9.27 10.13 1. ,20 6,92 0,77 f'�.�'�1. 0,73
Telecom. Services 1.15 0.78 26,46 8,52 0,21 0.00 0,21
Utilities 3.09 6.54 14,19 10,44 0,12 0.06 0,05
100.00 100.00 11,46 8,58 2,09 0,78 2,8
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 0.85%
[Actual Return-10.61%] - [Buy Hold Return-11.46%]
145
City of Clearwater Employees Pension Fund
Equity Sector Attribution Chart
Systematic Financial Mgt
Quarter Ending 9/14
%Allocation %Return %Variance
Energy 11.08 -1
"7.50 -22.85 0.27
Materials .50
4.67 -9.57 0.18
Industrials 13.26 7 -11.08 -0.08
Con.Discretionary 1�4.833 -21.76 8�� -1.84
Consumer Staples 4.11 -2�LE 0.23
2.61 -8.50
Health Care 8.35 -5.16 0.20
4.87 -6.86
Financials 29-65 -6.69 -0.80 Im
38.46 -5.04
Infomation Tech. 9. . -15.20 -0.78
10.13 -6.92
Telecom. Services 1.15 -26.46 -0.21
0.78 -8.52
09 -14.19 -0.05
Utilities 6.54 -10.44
® Systematic Financial Mgt ❑ R2000V
146
City of Clearwater Employees Pension Fund
International EQ Comp as of 9/30/14
Portfolio Performance
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
Aw-
00
2.0
-4.0
-6.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
5/31/01
EM International EQ Comp MSCI EAFE
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 5/31/01
International EQ Comp -4.21 1.96 7.16 12.03 7.23 7.25 5.81
MSCI EAFE -5.83 -0.99 4.70 14.16 7.04 6.80 5.70
Asset Growth(5000)
Beginning Market Value 127,635 119,913 114,100 96,529 95,509 41,851 20,000
Net Contributions&Withdrawals -9 -18 -22 -9,589 -9,759 -9,759 -9,759
Gain/Loss+Income -5,375 2,356 8,173 35,310 36,500 1 90,159 112,010
Ending Market Value 122,251 122,251 122,251 122,251 122,251 122,251 122,251
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Canadian Pac Railway Industrials 4.29 Energy 21.02
Core Laboratories N Energy 3.37 Materials 16.65
Novartis A G Health Care 3.02 Industrials 14.04
Rio Tinto Plc Materials 2.85 Consumer Discretionary 4.49
Shire Health Care 2.79 Consumer Staples 9.05
Bhp Billiton Ltd Materials 2.79 Health Care 11.43
Canadian Natl Ry Co Industrials 2.49 Financials 15.85
Icici Bk Ltd Financials 2.42 Information Technology 6.81
Schlumberger Ltd Energy 2.30 Telecom Services 0.65
Arm Hldgs Plc Information Technology 2.19 Utilities 0.00
Holdings and allocations only include SMA accounts.
147
City of Clearwater Employees Pension Fund
International EQ Comp as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$3,119 2.55%
Intl Equity
$119,132 97.45%
Risk/Return Analysis
Periods from 5101 to 9/14
Alpha 0.03
Beta 1.02
R-Squared 0.95
6.0
5.5
5.0
4.5
C4 4.0
b
N 3.5
3.0
Q 2.5
2.0
1.5
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
I International EQ Comp 5.81 18.15 0.23 0.03
1 MSCI EAFE 5.70 17.68 0.23
T" 91-Day Treasury Bill 1.63 0.52 0.00
Holdings and allocations only include SMA accounts.
148
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of International Equity Portfolios
Periods Ending 9/14
25%
20%
15% ---- ----
1
10% ---- ----
I --- 1-- -1---- ---- 1---
5% 1 1-__
---- ---- 1---
-5%
-10%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High 0.62 16.07 21.17 21.36 14.92 14.76 14.52 7.62 10.32 10.43 13.10
1st Qt -2.76 8.64 15.91 16.90 10.58 10.58 10.05 3.72 6.80 7.98 9.90
Median -4.60 5.74 12.65 14.19 8.07 8.41 7.94 1.94 4.97 6.36 8.26
3rd Qt -5.96 3.64 9.36 11.82 5.94 6.74 6.39 0.39 3.41 5.05 6.99
Low -8.34 0.02 2.30 6.66 0.45 3.87 4.45 -1.95 1.10 2.86 4.86
I International EQ Comp
Net Ret -4.21 7.16 9.31 12.03 5.21 7.23 7.52 0.95 3.68 5.37 7.25
Rank 43 35 75 73 80 65 56 66 70 69 68
1 MSCI EAFE
Net Ret -5.83 4.70 14.08 14.16 7.89 7.04 6.49 0.27 3.11 4.83 6.80
Rank 71 62 37 50 52 69 73 77 80 78 79
149
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of International Equity Portfolios
Years Ending December
100%
80%
60%
40% ----
20% --- ---- ---
0% ""
-20% '--
-40% _
-60%
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
High 8.76 34.21 26.80 0.26 26.86 78.78 -24.04 41.33 37.26 38.35 32.12
1st Qt 3.45 27.08 21.29 -8.92 18.71 45.58 -39.49 18.96 30.37 21.13 23.92
Median 0.23 21.64 18.60 -12.44 13.17 35.69 -43.29 12.52 26.42 15.94 20.01
3rd Qt -1.68 15.88 15.86 -15.60 9.07 27.76 -47.85 8.13 22.27 11.99 16.56
Low -4.75 3.63 6.67 -22.34 3.16 11.82 -56.19 0.30 9.78 6.52 9.77
I International EQ Comp
Net Ret 1.96 10.23 17.61 -15.04 18.37 57.93 -47.94 11.02 27.62 13.15 17.66
Rank 38 88 60 71 25 14 75 60 41 68 69
1 MSCI EAFE
Net Ret -0.99 23.29 17.90 -11.73 8.21 32.46 -43.06 11.63 26.85 14.01 20.69
Rank 66 41 56 42 78 60 47 54 45 61 42
150
City of Clearwater Employees Pension Fund
Risk Measure Summary
International EQ Comp
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 1 1 3 3 6 5 18 18
Positive Periods 3 3 9 9 14 15 35 35
Up Market Capture 1.06 0.94 1.06 1.01
Down Market Capture 0.72 1.20 1.05 1.01
Batting Average 0.75 0.50 0.55 0.49
Worst Quarter 4,21 5,83 7,42 6,85 21,66 18,95 26,42 20,50
Best Quarter 5.48 5.75 11.27 11.61 18.42 16.53 31.05 25.85
Worst 4 Quarters 7.16 4.70 7.16 4.70 15,04 1.3,38 47,94. 46,20
Best 4 Quarters 7.16 4.70 20.73 24.29 31.72 30.92 71.81 58.14
Standard Deviation 9.04 10.33 11.59 11.63 17.57 16.68 21.56 20.54
Beta 0.87 0.93 1.01 1.02
Alpha 0.72 0,23 0.07 0.03
R-Squared 0.97 0.87 0.92 0.95
Sharpe Ratio 0.79 0.45 1.03 1.21 0.41 0.42 0.21 0.22
Treynor Ratio 8.13 12.91 7.09 4.38
Tracking Error 2.03 4.31 4.86 4.93
Information Ratio 1.11 0,47 0.05 0.03
151
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of International Equity Portfolios
3 Years Ending 9/30/14
24.0
ro
22.0 • •
20.0 ' ' • '. '
18.0 • •.
•
0 16.0 S • ' N:. �
N • • •
Median
14.0 . •..� • Return
°7�� 12.0 '
�•. . .• . '
10.0 �� � •
c
Q 8.0 •
6.0
4.0
4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
I International EQ Comp 12.03 73 11.59 38
1 MSCI EAFE 14.16 50 11.63 39
Median 14.19 11.96
5 Years Ending 9/30/14
18.0
ro
16.2
14.4
12.6 •� •
0 10.8 '
9.0 • • ' • . •' • ' Median
d
N 7.2 • • . •' • � • • . Return
5.3 • • •
Q 3.6 ' •
1.8 •
0.0
8.0 9.8 11.6 13.4 15.2 17.0 18.8 20.6 22.4 24.2 26.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
I International EQ Comp 7.23 65 17.58 62
1 MSCI EAFE 7.04 69 16.68 42
Median 8.41 17.05
152
City of Clearwater Employees Pension Fund
Earnest Partners as of 9/30/14
Portfolio Performance
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
-2.0
4.0
-6.0
-8.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
4/30/08
Earnest Partners MSCI EAFE
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 4/30/08
Earnest Partners -3.55 0.09 6.20 13.48 9.29 4.13
MSCI EAFE -5.83 -0.99 4.70 14.16 7.04 1.17
Asset Growth(5000)
Beginning Market Value 47,124 45,418 42,807 25,711 24,105 29,002
Net Contributions&Withdrawals -8 -13 -16 5,434 5,425 5,425
Gain/Loss+Income -1,671 41 2,655 14,301 15,916 11,019
Ending Market Value 45,446 45,446 45,446 45,446 45,446 45,446
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Shire Health Care 4.95 Energy 14.08
Icici Bk Ltd Financials 4.29 Materials 11.25
Arm Hldgs Plc Information Technology 3.88 Industrials 7.27
Icon Plc Health Care 3.48 Consumer Discretionary 7.96
Core Laboratories N Energy 3.43 Consumer Staples 4.31
Denso Corp Consumer Discretionary 2.99 Health Care 17.51
Dnb Asa Financials 2.99 Financials 24.39
Roche Holdings Ag Health Care 2.85 Information Technology 12.07
Everest Re Group Ltd Financials 2.66 Telecom Services 1.16
Novartis A G Health Care 2.60 Utilities 0.00
153
City of Clearwater Employees Pension Fund
Earnest Partners as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$838 1.84%
Intl Equity
$44,608 98.16%
Risk/Return Analysis
Periods from 4/08 to 9/14
Alpha 0.80
Beta 1.06
R-Squared 0.96
4.5
4.0
3.5
3.0
C4 2.5
b
N 2.0
1.5
C
Q 1.0
0.5
0.0
-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
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
e Earnest Partners 4.13 21.97 0.18 0.61
1 MSCI EAFE 1.17 21.15 0.04
T" 91-Day Treasury Bill 0.26 0.16 0.00
154
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of International Equity Portfolios
Periods Ending 9/14
25%
20%
15% -------
1 e
10% ------- -------
-------
5% 1
0%
-5% ------
--1----
-10
Last Last Last 2 Last 3 Last 4 Last 5 Last 6
Qtr Year Years Years Years Years Years
High 0.62 16.07 21.17 21.36 14.92 14.76 14.52
1st Qt -2.76 8.64 15.91 16.90 10.58 10.58 10.05
Median -4.60 5.74 12.65 14.19 8.07 8.41 7.94
3rd Qt -5.96 3.64 9.36 11.82 5.94 6.74 6.39
Low -8.34 0.02 2.30 6.66 0.45 3.87 4.45
e Earnest Partners
Net Ret -3.55 6.20 12.33 13.48 7.77 9.29 9.82
Rank 34 44 53 60 54 37 27
1 MSCI EAFE
Net Ret -5.83 4.70 14.08 14.16 7.89 7.04 6.49
Rank 71 62 37 50 52 69 73
155
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of International Equity Portfolios
Years Ending December
90%
80%
70%
60%
50%
30% 1
-------- --------
20% --------
10
-10% - -----
-20% --------
-30
9/30/14
YTD 2013 2012 2011 2010 2009
High 8.76 34.21 26.80 0.26 26.86 78.78
1st Qt 3.45 27.08 21.29 -8.92 18.71 45.58
Median 0.23 21.64 18.60 -12.44 13.17 35.69
3rd Qt -1.68 15.88 15.86 -15.60 9.07 27.76
Low -4.75 3.63 6.67 -22.34 3.16 11.82
e Earnest Partners
Net Ret 0.09 15.81 17.18 -6.88 16.61 55.54
Rank 52 75 64 18 32 16
1 MSCI EAFE
Net Ret -0.99 23.29 17.90 -11.73 8.21 32.46
Rank 66 41 56 42 78 60
156
City of Clearwater Employees Pension Fund
September 30, 2014
Cumulative Performance Comparison
Total Returns of international Equity Portfolios
22%
20%
18%
16%
14%
c
12%
10%
8% 1 c
6% E
c
4%
2%
O%
-2%
-4%
9/14 6114 3114 12113 9/13
High 21.36 16.01 14.83 15.74 16.47
1 st Qt 16.90 11.10 10.3 1 10.92 11.24
Median 14.19 827 7.40 8.19 8.75
3rd Qt 11.82 5.71 4.15 5.08 6.05
Low 6.66 -1.05 -3.54 -2.66 -1.16
c. Easiest Partners
Net Ret 13.48 6.66 5.52 8.1 1 8.30
Rank 60 67 66 51 56
1 MSCIEAFE
Net Ret 14.16 8.59 7.72 8.66 8.97
Rank 50 46 45 44 46
Earnest Partners
Value Added Analysis - Net of Fee
20.0%
18.0%
16.0%
14.0%
12.0%
10.0%
8.0%
6.0%
4.0%
3.9 4.1
3.1
2.4 2.4
2.0% 2.0 MMM
0.0% O.O
0.3
-0.5
2.0% -1
1.9
?.4
-2.8 -2.9
12/09 3/10 6/10 9/10 12/10 3/11 6111 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.MSCI EAFE ® Cumulative Value Added
- 2 Yr Rolling Avg(Annnahi ed)
157
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of International Equity Portfolios
3 Years Ending 9/30/14
24.0
ro
22.0 • •
20.0 ' ' • �. '
18.0 • •.
•
0 16.0 S • ' N:. �
N • • • '
14.0 • • Median
b . • .�• ' • Return
N 12.0 •
10.0 �. � •
C
Q 8.0 • •
6.0
4.0
4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
e Earnest Partners 13.48 60 12.54 62
1 MSCI EAFE 14.16 50 11.63 39
Median 14.19 11.96
5 Years Ending 9/30/14
18.0
ro
16.2
14.4
12.6 •� •
0 10.8 '
9.0 . ' • ' Median
b
N 7.2 • • . • • • . Return
5.3 • • •
Q 3.6 ' •
1.8 •
0.0
8.0 9.8 11.6 13.4 15.2 17.0 18.8 20.6 22.4 24.2 26.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
e Earnest Partners 9.29 37 17.58 62
1 MSCI EAFE 7.04 69 16.68 42
Median 8.41 17.05
158
City of Clearwater Employees Pension Fund
Global Equity Summary Statistics
Earnest Partners
Period Ending 9/14
Portfolio MSCI EAFE
Total Number Of Securities 52 900
Equity Market Value 44,608,084
Average Capitalization $(000) 41,913,447 60,926,259
Median Capitalization $(000) 22,140,009 8,728,643
Equity Segment Yield 2.34 3.15
Equity Segment P/E -Average 18.25 17.28
Equity Segment P/E - Median 17.34 17.73
Equity Segment Beta 1.00 1.00
Price/Book Ratio 1.81 1.70
Debt/Equity Ratio 77.31 85.91
Five Year Earnings Growth 14.45 15.91
Five Year Dividend Growth 8.05 7.06
Ten Largest Holdings Market Value % of Portfolio Quarterly Ret
Shire 2,204,923 4.95 10.84
Icici Bk Ltd 1,911,070 4.29 -0.10
Arm Hldgs Plc 1,728,376 3.88 -3.20
Icon Plc 1,550,933 3.48 21.48
Core Laboratories N 1,528,187 3.43 -12.13
Denso Corp 1,331,779 2.99 -2.55
Dnb Asa 1,331,724 2.99 2.44
Roche Holdings Ag 1,269,284 2.85 -0.66
Everest Re Group Ltd 1,182,673 2.66 1.41
Novartis A G 1,156,481 2.60 3.98
Ten Best Performers Quarterly Ret Ten Worst Performers Quarterly Ret
Icon Plc 21.48 Erste Group Bank Ag -29.16
Orient Overseas Int 14.53 Transocean Ltd Zug -27.63
Shire 10.84 Schoeller Bleckmann -24.37
China Oilfield Servi 9.77 Subsea 7 S.A. -23.38
Dbs Group Hldgs Ltd 9.19 Basf Se -21.19
Carnival Corp 7.40 Nippon Steel& Sumit -18.32
Hitachi 4.85 Bhp Billiton Ltd -12.39
Norsk Hydro Asa 4.59 Core Laboratories N -12.13
China Shipping Conta 4.30 Statoil Asa -11.22
Ericsson L M Tel Co 4.22 Sodexo -8.99
159
City of Clearwater Employees Pension Fund
Global Performance Attribution Analysis
Earnest Partners
Quarter Ending 9/14
Benchmark Portfolio Return Attribution
Countries/ Active Currency Local US$ Active Currency Local US$ Market Currency Security
Currencies Weight Weight Return Return Weight Weight Return Return Select Select Select Total
Australia 8.22 8.22 0 15 7 36 1.73 0.00 17 3° 17 3' 0.08 0.03 0 21 0 10
Austria 0.27 0.27 14 67 71.27 5.05 5.05 15 90 2241 0 75 0.01 66.06 0 51
Belgium 1.22 1.22 4.38 69 0.00 0.00 0 6171 0.02 0 02
Bermuda 0.14 0.14 25.55 74 84 0.00 0.00 0.04 0 01 0.03
Brazil 0.00 0.00 2.40 0.00 1 61.03 11.09 012
Canada 0.00 0.00 1.23 0.00 6 07 (x.07 0 01 0 07 0 09
Cayman Islands 0.18 0.18 77 25 77 63) 0.00 0.00 0.05 0 01 0.04
Channel Islands 0.43 0.43 6.46 0.94 0.00 0.00 0 02 0 01 66.03
China 0.05 0.05 17 51 17.97 6.65 0.00 0.80 0.61 1.25 61.1111 1.24 0 01
Colombia 0.00 0.00 1.33 0.00 1.15 1.15 0 01 11.117. 66.03
Czech Republic 0.00 0.00 1.07 1.07 12.34 3.44 0 01 0.07 0.13 0.19
Denmark 1.50 1.50 4.16'6.75 0.00 0.00 0 05 0.02 66.03
Finland 0.86 0.86 5.26 7 55 0.00 0.00 0 6151 0.01 0 02
France 9.55 9.55 0 666 829 3.01 3.01 2.13 5.77 0.11 0.06 0.08 0.25
Germany 9.26 9.26 76. 11 161 2.66 2.66 14 55 71 161 0.32 0.04 66.261 0.07
Hong Kong 2.61 2.61 0 44 0 62 1.60 8.25 14.74 14.53 0.02 0.37 0.24 0.63
India 0.00 0.00 4.30 0.00 0 10 0 10 0 05 11.1161 0 05
Ireland 0.30 0.30 4.96'6.16 2.82 0.00 21.48 21.48 0.10 0.00 0.47 0.57
Isle of Man 0.05 0.05 14 25 16 21 0.00 0.00 0.01 61.1111 0.01
Israel 0.52 0.52 7.85 0.36 0.00 0.00 0 04 0.00 1y.03
Italy 2.47 2.47 0 65 8 37 0.00 0.00 0.04 0.02 0.07
Japan 20.33 20.33 5.91 7 161 10.00 10.00 4.59 41 0 50 0.13 0 1'6 0 566
Luxembourg 0.28 0.28 9 16 9 64 1.65 0.00 1°1 561 23 8 0 14 0 02 0 15 66.33
Mexico 0.02 0.02 17 56 17.10 0.00 0.00 0.00 61.1616 0.00
Netherlands 3.18 3.18 2.32 5.51 3.86 0.00 17 1''6 12 1''6 0.01 0.03 0 56 0 52
New Zealand 0.14 0.14 3.25 8 09 0.00 0.00 66.6666 0.01 0.00
Norway 0.73 0.73 7.23 2.44 6.33 5.76 6.35 1.6116 0.34 0.10 0 06 0.39
Panama 0.00 0.00 1.68 0.00 7.40 7.40 66.665. 0.12 0.11
Portugal 0.18 0.18 14 65 71.25 0.00 0.00 0.03 61.1616 0.03
Scotland 0.07 0.07 447 9 42 0.00 0.00 0.00 61.1616 0.00
Benchmark: MSCI EAFE Index Gross Dividend
160
City of Clearwater Employees Pension Fund
Global Performance Attribution Analysis
Earnest Partners
Quarter Ending 9/14
Benchmark Portfolio Return Attribution
Countries/ Active Currency Local US$ Active Currency Local US$ Market Currency Security
Currencies Weight Weight Return Return Weight Weight Return Return Select Select Select Total
Singapore 1.35 1.35 1.77 0 47 1.12 1.12 61.30 7 54 61.1111 0 01 11.117. 0 616
South Africa 0.41 0.41 1.06 4 15 0.00 0.00 0.00 0 01 0 01
South Korea 0.00 0.00 1.43 0.00 1.96 1.96 11.115. 0.03 0.01
Spain 3.69 3.69 0.39 7.'17 2.72 2.72 0 59 5 28 0.01 0.01 0 0 3 0 01
Sweden 3.01 3.01 1.67 5.71 3.43 2.14 3.74 0 79 0.00 0.00 0.07 0.08
Switzerland 9.12 9.12 3.00 4 611 8.15 2.83 2 35 4 65 0 02 0.04 0 44 0 42
Taiwan 0.00 0.00 2.74 0.00 6.75 6.75 61.03 0 18 0 21
United Kingdom 19.84 19.84 0 98 6 11 19.22 12.34 1.16 1.01 0.01 0 13 0.41 0.30
United States 0.00 0.00 3.85 43.07 0 44 0 44 0 6151 2.94 11.115. 2.88
100.00 100.00 1 1.10 1 5.71 1 100.00 100.00 0 3i6 1 33.57 1 55 1 3.72 0.44 2.27
Benchmark: MSCI EAFE Index Gross Dividend
Market Selection
[Portfolio Active Weight-Benchmark Active Weight]x[Benchmark Local Return-Benchmark Total Local Return]
Currency Selection
[Portfolio Currency Weight-Benchmark Currency Weight]
x [(Benchmark US$Return-Benchmark Local Return) -(Benchmark Total US$Return-Benchmark Total Local Return)]
Security Selection
[Portfolio Active Weight] x [Portfolio Local Return-Benchmark Local Return]
161
City of Clearwater Employees Pension Fund
International Equity Sector Attribution Analysis
Earnest Partners
Quarter Ending 9/14
Weight Return Selection
GICS Sectors Portfolio Index Portfolio Index Stock Sector Total
Energy, 15.32 7.32 13,42 10,4 6 0,45 0,38 0,
Materials 12.05 8.06 10,36,36 9,24 0,13 0,14 0,28
Industrials 7.19 12.74 1.06 6,99 0.58 0.07 0.65
Consumer Discretionary 7.64 11.69 1..21. 8,34 0.54 0.11 0.65
Consumer Staples 4.64 11.13 7,07 6,84 1 0.07 0.06
Health Care 16.67 10.59 6.66 0.45 1.04 0.37 1.41
Financials 22.86 25.19 2,44 4,46 0.46 0,03 0.43
Information Technology 12.40 4.45 3,23 0,72 0,31 0.40 0.09
Telecom. Services 1.23 4.94 6,07 5,12 1. 0,02 0,03
Utilities 0.00 3.89 5.34. 0.00 �������'�.�'�1 1.
100.00 100.00 3,57 5,71 1.70 0.44 2.13
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 -0.04%
[Actual Return-3.61%] - [Buy Hold Return-3.57%]
162
City of Clearwater Employees Pension Fund
WHV as of 9/3 0/14
Portfolio Performance
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
-2.0
4.0
-6.0
-8.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
4/30/08
EM WHV MSCI EAFE
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 4/30/08
WHV -7.00 1.67 8.42 14.36 8.44 1.75
MSCI EAFE -5.83 -0.99 4.70 14.16 7.04 1.17
Asset Growth(5000)
Beginning Market Value 39,502 36,136 33,890 24,580 24,520 29,002
Net Contributions&Withdrawals -1 -5 -7 -22 -27 -27
Gain/Loss+Income -2,765 605 2,853 12,178 12,243 7,761
Ending Market Value 36,736 36,736 36,736 36,736 36,736 36,736
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Canadian Pac Railway Industrials 9.83 Energy 30.01
Canadian Natl Ry Co Industrials 5.71 Materials 23.65
Schlumberger Ltd Energy 5.28 Industrials 22.80
Agrium Inc Materials 4.72 Consumer Discretionary 0.00
Tenaris S A Energy 4.66 Consumer Staples 15.18
Bhp Billiton Ltd Materials 4.44 Health Care 3.56
Nestle S A Consumer Staples 4.41 Financials 4.80
Weatherford Intl Plc Energy 4.34 Information Technology 0.00
Rio Tinto Plc Materials 4.17 Telecom Services 0.00
Novartis A G Health Care 3.56 Utilities 0.00
163
City of Clearwater Employees Pension Fund
WHV as of 9/3 0/14
Asset Allocation($000)
Cash&Equiv
$2,281 6.21%
Intl Equity
$34,455 93.79%
Risk/Return Analysis
Periods from 4/08 to 9/14
Alpha -0.18
Beta 1.11
R-Squared 0.89
1.8
1.6
1.4
1.2
cC
�
1.0
0.8
c
0.6
Q
0.4
0.2
-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
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
w WHV 1.75 23.42 0.06 -0.06
1 MSCI EAFE 1.17 21.15 0.04
T" 91-Day Treasury Bill 0.26 0.16 0.00
164
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of International Equity Portfolios
Periods Ending 9/14
25%
20%
15% -------
1
10% ------- -------
5% 1
------- -1---- -�----
0%
-5%
-10%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6
Qtr Year Years Years Years Years Years
High 0.62 16.07 21.17 21.36 14.92 14.76 14.52
1st Qt -2.76 8.64 15.91 16.90 10.58 10.58 10.05
Median -4.60 5.74 12.65 14.19 8.07 8.41 7.94
3rd Qt -5.96 3.64 9.36 11.82 5.94 6.74 6.39
Low -8.34 0.02 2.30 6.66 0.45 3.87 4.45
W WHV
Net Ret -7.00 8.42 10.00 14.36 7.69 8.44 6.32
Rank 87 26 71 47 56 49 76
1 MSCI EAFE
Net Ret -5.83 4.70 14.08 14.16 7.89 7.04 6.49
Rank 71 62 37 50 52 69 73
165
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of International Equity Portfolios
Years Ending December
90%
80%
70%
60%
50%
30% 1
-------- --------
20% --------
10 ------- -------
-10% -- -----
-20% --------
-30
9/30/14
YTD 2013 2012 2011 2010 2009
High 8.76 34.21 26.80 0.26 26.86 78.78
1st Qt 3.45 27.08 21.29 -8.92 18.71 45.58
Median 0.23 21.64 18.60 -12.44 13.17 35.69
3rd Qt -1.68 15.88 15.86 -15.60 9.07 27.76
Low -4.75 3.63 6.67 -22.34 3.16 11.82
w WHV
Net Ret 1.67 14.10 16.97 -13.64 17.58 55.98
Rank 40 83 66 61 28 15
1 MSCI EAFE
Net Ret -0.99 23.29 17.90 -11.73 8.21 32.46
Rank 66 41 56 42 78 60
166
City of Clearwater Employees Pension Fund
September 30, 2014
Cumulative Performance Comparison
Total Returns of international Equity Portfolios
22%
20%
18%
16%
14%
12%
10%
8% 1
6%
4%
2%
O%
-2%
-4%
9/14 6114 3114 12113 9/13
High 21.36 16.01 14.83 15.74 16.47
1 st Qt 16.90 11.10 10.3 1 10.92 11.24
Median 14.19 827 7.40 8.19 8.75
3rd Qt 11.82 5.71 4.15 5.08 6.05
Low 6.66 -1.05 -3.54 -2.66 -1.16
- WHV
Net Ret 14.36 6.89 3.41 4.85 7.45
Rank 47 65 77 76 63
1 MSCIEAFE
Net Ret 14.16 8.59 7.72 8.66 8.97
Rank 50 46 45 44 46
WHV
Value Added Analysis - Net of Fee
20.0%
18.0%
16.0%
14.0%
12.0%
10.0%
8.0%
6.6
6.0%
4.0%
2.9 2.6
2.0%
().()%().()% 1
-0.1 -0.2 0.8 MEIN
2.0%
``
-2.0 - -
-4.0% -
-3.9
-6.0% 4.8
-6.3
-8.0%
12/09 3/10 6/10 9/10 12/10 3/11 6111 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.MSCI EAFE ® Cumulative Value Added
- 2 Yr Rolling Avg(Annnahi ed)
167
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of International Equity Portfolios
3 Years Ending 9/30/14
24.0
ro
22.0 • •
20.0 ' ' • '. '
18.0 • •.
•
0 16.0 S • ' N:. �
N • • •
Median
14.0 . •..� • Return
°7�� 12.0 '
�•. . .• . '
10.0 �� � •
c
Q 8.0 •
6.0
4.0
4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
W WHV 14.36 47 11.88 49
1 MSCI EAFE 14.16 50 11.63 39
Median 14.19 11.96
5 Years Ending 9/30/14
18.0
ro
16.2
14.4
12.6 •� •
0 10.8 '
9.0 • • ' • . •' • ' Median
d
N 7.2 • • . • • • . Return
5.3 • • •
Q 3.6 ' •
1.8 •
0.0
8.0 9.8 11.6 13.4 15.2 17.0 18.8 20.6 22.4 24.2 26.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
W WHV 8.44 49 20.03 94
1 MSCI EAFE 7.04 69 16.68 42
Median 8.41 17.05
168
City of Clearwater Employees Pension Fund
Global Equity Summary Statistics
WHV
Period Ending 9/14
Portfolio MSCI EAFE
Total Number Of Securities 38 900
Equity Market Value 34,455,106
Average Capitalization $(000) 61,229,139 60,926,259
Median Capitalization $(000) 29,054,981 8,728,643
Equity Segment Yield 2.50 3.15
Equity Segment P/E -Average 18.26 17.28
Equity Segment P/E - Median 16.98 17.73
Equity Segment Beta 0.00 1.00
Price/Book Ratio 1.98 1.70
Debt/Equity Ratio 53.00 85.91
Five Year Earnings Growth 4.23 15.91
Five Year Dividend Growth 9.18 7.06
Ten Largest Holdings Market Value % of Portfolio Quarterly Ret
Canadian Pac Railway 3,381,761 9.83 14.72
Canadian Natl Ry Co 1,962,044 5.71 9.48
Schlumberger Ltd 1,815,167 5.28 -13.47
Agrium Inc 1,622,470 4.72 -2.07
Tenaris S A 1,601,083 4.66 -3.39
Bhp Billiton Ltd 1,527,936 4.44 -12.39
Nestle S A 1,516,778 4.41 -5.20
Weatherford Intl Plc 1,490,840 4.34 -9.57
Rio Tinto Plc 1,434,827 4.17 -7.89
Novartis A G 1,223,690 3.56 3.98
Ten Best Performers Quarterly Ret Ten Worst Performers Quarterly Ret
Canadian Pac Railway 14.72 Ensco Plc -24.49
Fibria Celulose S A 13.17 Noble Corp Plc -23.59
Bunge Limited 11.82 Nabors Industries Lt -22.32
Canadian Natl Ry Co 9.48 Basf Ag -21.40
Novartis A G 3.98 Talisman Energy Inc -17.84
Axa Sa 2.67 Eaton Corp Plc -17.30
Brookfield Asset Mgm 2.47 Teck Resources Ltd -17.26
Finning Tractor& Eq 1.44 Vale S A -16.78
Partnerre Hldgs Ltd 1.25 Allegion Pub Ltd Co -15.82
Yara Intl Asa 0.36 Syngenta Ag -15.28
169
City of Clearwater Employees Pension Fund
Global Performance Attribution Analysis
WHV
Quarter Ending 9/14
Benchmark Portfolio Return Attribution
Countries/ Active Currency Local US$ Active Currency Local US$ Market Currency Security
Currencies Weight Weight Return Return Weight Weight Return Return Select Select Select Total
Australia 8.22 8.22 0 15 7 36 4.75 0.00 17 3° 17 3^5 0.04 0.03 0 58 0 51
Austria 0.27 0.27 14 67 71.27 0.00 0.00 0.04 61.00 0.04
Belgium 1.22 1.22 4.38 69 0.00 0.00 0 6171 0.02 0 02
Bermuda 0.14 0.14 25.55 74 84 5.93 0.00 1 32, 1 35. 1 56 0 01 0.98 0 59
Brazil 0.00 0.00 2.26 0.00 15 95 15.95 0 02 66.36 0 3^5
Canada 0.00 0.00 28.75 0.00 1.00 1.00 0 32 0.29 1y.0 3
Cayman Islands 0.18 0.18 77 7.5 77 6�'3 3.37 0.00 5.3 5°1 5 3.55 61 1 61.111 0.12 0 79
Channel Islands 0.43 0.43 6.46 0.94 0.00 0.00 0 02 0 01 1y.0 3
China 0.05 0.05 17 51 17.97 0.00 0.00 0.01 61.1111 0.01
Denmark 1.50 1.50 4.16'3.75 0.00 0.00 0 05 0.02 1y.0 3
Finland 0.86 0.86 5.26 7 55 0.00 0.00 0 6171 0.01 0 02
France 9.55 9.55 0 60 829 0.56 0.00 2.67 2.67 0.15 0.08 0.02 0.25
Germany 9.26 9.26 76. 11 161 2.88 0.00 21 40 71 40 0.31 0.06 0 51 0 14
Hong Kong 2.61 2.61 0 44 0 62 0.00 0.00 0.04 0 17 0 113
Ireland 0.30 0.30 4.96 16 3.11 0.00 1 1 46 1 1 46 0.11 0.00 0 45 0,36
Isle of Man 0.05 0.05 14 25 16 21 0.00 0.00 0.01 61.1111 0.01
Israel 0.52 0.52 7.85 0.36 0.00 0.00 0 04 0.00 1y.0 3
Italy 2.47 2.47 0 65 837 0.00 0.00 0.04 0.02 0.07
Japan 20.33 20.33 5.91 7 19 0.00 0.00 0 98 0.26 0 72
Luxembourg 0.28 0.28 9 16 9 64 4.44 0.00 614 3 0 02 0.26 0 19
Mexico 0.02 0.02 17 56 17.10 0.00 0.00 0.00 61.1111 0.00
Netherland Antilles 0.00 0.00 5.63 0.00 1'3 4.7 1'3 6.7 0 616 0 76 0 82
Netherlands 3.18 3.18 2.32 5.51 6.04 0.00 10 57 10 57 0.03 0.03 0 78 0 71
New Zealand 0.14 0.14 3.25 8 09 0.00 0.00 66.00 0.01 0.00
Norway 0.73 0.73 7.23 2.44 0.12 0.00 0.36 0.36 0 6151 0 01 0 01 0 616
Portugal 0.18 0.18 14 65 71.25 0.00 0.00 0.03 61.00 0.03
Scotland 0.07 0.07 447 942 0.00 0.00 0.00 61.00 0.00
Singapore 1.35 1.35 1.77 61517 0.00 0.00 0 01 0 06 0 07
South Africa 0.41 0.41 1.06 4.15 0.00 0.00 0.00 0 01 0 01
Spain 3.69 1 3.69 1 0.39 1 7.3'37 1 0.00 0.00 0.03 0.03 0.06
Benchmark: MSCI EAFE Index Gross Dividend
170
City of Clearwater Employees Pension Fund
Global Performance Attribution Analysis
WHV
Quarter Ending 9/14
Benchmark Portfolio Return Attribution
Countries/ Active Currency Local US$ Active Currency Local US$ Market Currency Security
Currencies Weight Weight Return Return Weight Weight Return Return Select Select Select Total
Sweden 3.01 3.01 1.67 5.71 0.00 0.00 33.335. 0.02 0.00
Switzerland 9.12 9.12 3.00 4 633 14.60 0.00 5.75 5.75 0.10 0.05 1.55 1.1''3
United Kingdom 19.84 19.84 0 98 6 1 1 13.05 0.00 9 76 9 76 0.14 63.33 1.15 1 351
United States 0.00 0.00 4.48 100.00 16 99 16 99 0 05 6.82 0 76 6.01
100.00 100.00 1.10 5.71 100.00 100.00 7.3333 7.3333 33 5.7 6.82 4..97 1 1 62
Benchmark: MSCI EAFE Index Gross Dividend
Market Selection
[Portfolio Active Weight-Benchmark Active Weight]x[Benchmark Local Return-Benchmark Total Local Return]
Currency Selection
[Portfolio Currency Weight-Benchmark Currency Weight]
x [(Benchmark US$Return-Benchmark Local Return) -(Benchmark Total US$Return-Benchmark Total Local Return)]
Security Selection
[Portfolio Active Weight] x [Portfolio Local Return-Benchmark Local Return]
171
City of Clearwater Employees Pension Fund
International Equity Sector Attribution Analysis
WHV
Quarter Ending 9/14
Weight Return Selection
GICS Sectors Portfolio Index Portfolio Index Stock Sector Total
Energy, 32.53 7.32 14.41 10,4 6 1,28 1,20 2,48
Materials 24.65 8.06 10,87 9,24 0,40 0,59 0,9
Industrials 20.48 12.74 2.76 6,99 2.00 ('),I.(') 1.90
Consumer Discretionary 0.00 11.69 8,34 0.00 0.31 0.31
Consumer Staples 14.75 11.13 4,46 6,84 0.35 0,04 0.31
Health Care 3.15 10.59 3.98 0.45 0.11 0,46 0,
Financials 4.44 25.19 0,00 4,46 0.20 0,26 0,06
Information Technology 0.00 4.45 0,72 0.00 0,22 0,22
Telecom. Services 0.00 4.94 5,12 0.00 0,03 0,03
Utilities 0.00 3.89 5,34 0.00 �������'�.�'�1 1.
100.00 100.00 7,33 5,71. 0.97 2,60 1,6
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 -0.09%
[Actual Return-7.42%] - [Buy Hold Return-7.33%]
172
City of Clearwater Employees Pension Fund
Eaton Vance Mgmt as of 9/30/14
Portfolio Performance
9.0
8.0
7.0
6.0
5.0
4.0
3.0
2.0
1.0
0.0
-1.0
-2.0
-3.0
-4.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
4/30/08
Eaton Vance Mgnu MSCI Emg Mkts
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 4/30/08
Eaton Vance Mgmt -2.29 4.46 7.13 8.60 5.72 1.18
MSCI Emg Mkts -3.36 2.74 4.66 7.55 4.75 0.17
Asset Growth(5000)
Beginning Market Value 41,008 38,359 37,403 24,473 23,743 8,277
Net Contributions&Withdrawals 0 0 0 7,692 7,536 7,536
Gain/Loss+Income -940 1,709 2,665 7,903 8,789 24,256
Ending Market Value 40,069 40,069 40,069 40,069 40,069 40,069
173
City of Clearwater Employees Pension Fund
Eaton Vance Mgmt as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$0 0.00%
Intl Equity
$40,069 100.00%
Risk/Return Analysis
Periods from 4/08 to 9/14
Alpha 0.18
Beta 0.98
R-Squared 0.98
1.3
1.2 V
1.1
1.0
0.9
0.8
7� 0.7
N 0.6
0.5
0.4
Q 0.3
02
0.1
-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 28.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
v Eaton Vance Mgmt 1.18 24.19 0.04 0.13
1 MSCI Emg Mkts 0.17 25.49 -0.00
T" 91-Day Treasury Bill 0.26 0.16 0.00
174
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of Emerging Markets Portfolios
Periods Ending 9/14
16%
14%
12%
10% -------
8% ------- �r 1
------- -------
'V
4% ------- -1----
2% -------
1
0% --------
-2% 'V------
-4%-4%
-6%
-8%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6
Qtr Year Years Years Years Years Years
High 4.73 13.66 12.86 14.90 9.23 11.50 13.86
1st Qt -1.51 7.64 6.49 10.86 4.10 8.49 9.99
Median -3.40 5.12 3.85 8.92 2.36 6.27 8.00
3rd Qt -4.30 3.07 2.37 6.86 0.64 4.11 6.52
Low -6.09 -0.02 -0.77 3.92 -2.51 1.82 4.33
v Eaton Vance Mgmt
Net Ret -2.29 7.13 5.60 8.60 2.15 5.72 7.01
Rank 32 28 32 53 53 58 62
1 MSCI Emg Mkts
Net Ret -3.36 4.66 2.98 7.55 1.14 4.75 7.07
Rank 49 56 64 68 67 68 61
175
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of Emerging Markets Portfolios
Years Ending December
100%
90%
80% --1-----
70%
60%
50%
40%
30%
20% -------- -------
------- -- -----
10%
0% -- ----- �r-------
-10% --------
-20%
-30%
9/30/14
YTD 2013 2012 2011 2010 2009
High 10.95 12.47 29.81 3.58 29.17 92.03
1st Qt 5.47 1.94 23.52 -12.46 24.10 81.18
Median 3.33 -1.70 20.02 -17.77 20.28 75.63
3rd Qt 1.69 -4.99 16.67 -21.53 17.49 68.30
Low -2.50 -7.49 8.09 -25.62 8.50 27.05
v Eaton Vance Mgmt
Net Ret 4.46 1.22 18.55 -19.27 23.33 67.01
Rank 33 30 63 65 29 76
1 MSCI Emg Mkts
Net Ret 2.74 -2.27 18.62 -18.17 19.19 79.02
Rank 59 52 63 54 61 32
176
City of Clearwater Employees Pension Fund
September 30, 2014
Cumulative Performance Comparison
Total Returns of Emerging Markets Portfolios
22%
20%
1 8%
16%
14%
12%
10%
8% 1 1
6%
4%
2
0
-2% 1 1
-4%
-6%
-8
9/14 6114 3/14 12113 9/13
High 14.90 19.94 17.57 1626 16.96
1 st Qt 1086 4.96 2.80 2.66 4.21
Median 8.92 2.41 0.05 0.47 1.70
3rd Qt 6.86 -0.45 -3.03 -2.34 -0.80
Low 3.92 -3.49 -6.83 -5.99 -5.02
v Eaton Vance Mg-t
Rot- 8.60 1.14 -0.98 -1.05 0.54
Rank 53 61 58 62 61
1 MSCI Eing Mkts
Retu- 7.55 -0.06 -2.54 -1.74 -0.00
Rank 68 71 71 67 65
Eaton Vance Mgmt
Value Added Analysis - Net of Fee
5.0%
4.0%
3.0%
2.0%
I.H
16 16 1.3 1.3
1.0% 1.1
0.7
4 0.5
EM
0.2
0.0% MEN O.) III=
0.4
-1.0% -0.7
-1.4
IF
2.0%
?.6
-3.0%
12/09 3/10 6/10 9/10 12/10 3/11 6111 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.MSCI Emg Mkts ® Cumulative Value Added
- 2 Yr Rolling Avg(AilllnahZed)
177
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Emerging Markets Portfolios
3 Years Ending 9/30/14
25.0
ro
20.0 ,� •
•
15.0 •
• 1 • •
10.0 • • • • • • • • ' Median
• • • • •'•t • J b.• • • • Return
C 5.0 '
N . �
C
� 0.0
Q
-5.0
10.0
7.0 8.3 9.6 10.9 12.2 13.5 14.8 16.1 17.4 18.7 20.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
W WHV 14.36 5 11.88 25
1 MSCI EAFE 14.16 6 11.63 23
Median 8.92 13.59
5 Years Ending 9/30/14
16.0
14.0 '
12.0
a •
10.0 •• %
0 8.0 •
• �� •
6.0 ' 1 • •• Median
' : • ' Return
N 4.0 r • �� • .
2.0 • �'
Q 0.0 •
-2.0 •
-4.0
11.0 12.4 13.8 15.2 16.6 18.0 19.4 20.8 22.2 23.6 25.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
W WHV 8.44 26 20.03 90
1 MSCI EAFE 7.04 38 16.68 29
Median 6.27 18.30
178
City of Clearwater Employees Pension Fund
Fixed Income Comp as of 9/30/14
Portfolio Performance
7.0
6.0
5.0
4.0
3.0
2.0
1.0
0.0
-1.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
12/31/87
Fixed Income Comp BC Agg
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 12/31/87
Fixed Income Comp 0.30 4.78 5.33 3.88 4.96 5.31 6.63
BC Agg 0.17 4.10 3.96 2.43 4.12 4.62 6.83
Asset Growth(5000)
Beginning Market Value 210,470 209,340 208,360 196,919 169,043 178,605 59,224
Net Contributions&Withdrawals 54,321 46,106 45,983 44,720 39,485 39,485 39,485
Gain/Loss+Income 549 9,893 10,997 23,701 56,812 47,250 166,631
Ending Market Value 265,340 265,340 265,340 265,340 265,340 265,340 265,340
Top Fixed Income Holdings Sector Allocation
Sector %Port %Port
United States Treas Government 6.79 Finance 15.35
United States Treas Government 3.88 Government 35.05
United States Treas Government 2.82 Industrials 14.38
United States Treas Government 2.15 Mortgage 27.21
United States Treas Government 1.89 Transportation 1.67
United States Treas Government 1.86 Utilities 2.88
United States Treas Government 1.58 Municipals 1.78
FNMA Ci 15-Tba Oct Mortgage 1.36 Foreign 0.80
United States Treas Government 1.23 Miscellaneous 0.88
United States Treas Government 1.16
Holdings and allocations only include SMA accounts.
179
City of Clearwater Employees Pension Fund
Fixed Income Comp as of 9/30/14
Asset Allocation($000)
Em Other
$0 0.00%
Domestic Fixed Domestic Equity
$266,053 100.27% $4 0.00%
Cash&Equiv
$-717 -0.27%
Risk/Return Analysis
Periods from 12/87 to 9/14
Alpha 0.26
Beta 0.60
R-Squared 0.58
7.0
6.5
6.0
5.5
b
N 5.0
4.5
Q
4.0
3.5
1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
F Fixed Income Comp 6.63 3.11 0.96 -0.10
1 BC Agg 6.83 4.05 0.79
T" 91-Day Treasury Bill 3.65 1.28 0.00
Holdings and allocations only include SMA accounts.
180
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of Fixed Income Portfolios
Periods Ending 9/14
14%
12%
10%
8%
6% ----
---- 1
4% 1 ---- ----
----
2% ---- 1-- Lj L-� LJ
0% F-1--- -- 00 -ol
-2%
-4%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High 1.29 13.11 8.81 11.61 8.99 10.83 12.15 9.51 9.13 8.38 8.05
1st Qt 0.25 6.12 3.36 5.79 5.41 6.79 7.50 6.67 6.49 6.23 5.93
Median 0.01 4.04 1.56 3.45 3.65 4.86 6.04 5.39 5.38 5.24 4.99
3rd Qt -0.39 2.49 0.97 2.25 2.92 3.81 4.60 4.43 4.46 4.35 4.18
Low -2.13 0.52 -2.17 0.38 0.86 1.13 1.36 0.99 2.21 2.45 2.74
F Fixed Income Comp
Net Ret 0.30 5.33 2.31 3.88 3.98 4.96 6.70 5.82 5.72 5.54 5.31
Rank 21 30 34 44 42 48 40 42 42 41 40
1 BC Agg
Net Ret 0.17 3.96 1.10 2.43 3.13 4.12 5.17 4.95 4.97 4.83 4.62
Rank 33 51 68 69 67 66 63 64 63 63 65
181
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of Fixed Income Portfolios
Years Ending December
35%
30%
25%
20%
15%
10% --_ --_
5% - -- a--- -1---- --- ---
0% ---- ---- -==-lo
-5% ----
-10% ----
-15%
-20%
-25%
-30%
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004
High 12.22 9.60 16.80 15.81 16.19 32.31 9.81 10.51 11.68 6.77 10.86
1st Qt 4.63 1.86 10.36 7.86 10.13 14.33 5.22 7.53 5.36 3.19 5.59
Median 3.60 -0.66 6.77 6.19 7.27 9.20 1.81 6.54 4.57 2.62 4.51
3rd Qt 2.42 -2.00 4.20 3.73 5.76 5.54 -6.38 5.04 4.13 2.11 3.35
Low 0.38 -8.48 0.99 0.01 0.69 -1.54 -25.82 2.34 2.13 1.36 1.36
F Fixed Income Comp
Net Ret 4.78 -0.75 6.53 5.94 7.37 12.37 2.54 5.94 5.05 2.59 3.93
Rank 21 51 52 53 48 35 46 61 31 52 67
1 BC Agg
Net Ret 4.10 -2.02 4.22 7.84 6.54 5.93 5.24 6.96 4.33 2.43 4.34
Rank 37 76 74 25 63 71 24 40 65 62 56
182
City of Clearwater Employees Pension Fund
Risk Measure Summary
Fixed Income Comp
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 0 1 1 3 2 4 17 22
Positive Periods 4 3 11 9 18 16 90 85
Up Market Capture 1.17 1.31 1.08 0.90
Down Market Capture 3,88 0.53 0.46 0.33
Batting Average 1.00 0.92 0.80 0.51
Worst Quarter 0.30 0,14 2.1 2,32 2,13 2,32 7.54 2,87
Best Quarter 2.21 2.04 2.32 2.06 2.76 3.82 5.72 7.96
Worst 4 Quarters 5.33 3.96 0,75 2,02 0,75 2,02 0,75 3,23
Best 4 Quarters 5.33 3.96 7.10 5.16 8.96 8.16 15.87 18.48
Standard Deviation 2.08 2.25 2.49 2.49 2.38 3.03 3.11 4.05
Beta 0.99 0.95 0.71 0.60
Alpha 0.34 0.38 0.49 0.26
R-Squared 0.94 0.87 0.79 0.58
Sharpe Ratio 2.54 1.74 1.53 0.95 2.05 1.33 0.96 0.79
Treynor Ratio 5.33 4.02 6.89 4.97
Tracking Error 0.49 0.91 1.44 2.53
Information Ratio 2.70 1.56 0.55 �'�.
183
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Fixed Income Portfolios
3 Years Ending 9/30/14
12.0
ro
10.2
8.4
6.6 •
4.8 !. '
• i • • • • • Median
� 3.0 . . •••. ' •'. s : Return
°7�� 1.2 . • ; ri. •.
-0.5
Q -2.3 •
-4.2
-6.0
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
F Fixed Income Comp 3.88 44 2.49 33
1 BC Agg 2.43 69 2.49 33
Median 3.45 2.84
5 Years Ending 9/30/14
10.0
ro
9.0 . •'
8.0 '
7.0 • .
0 6.0 •a ;
5.0 . �:L • Median
a . • .. . • Return
N 4.0 • .�.•1 . ..
3.0 • '• •
Q 2.0 • • •
1.0
0.0
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
F Fixed Income Comp 4.96 48 2.38 23
1 BC Agg 4.12 66 3.03 44
Median 4.86 3.14
184
City of Clearwater Employees Pension Fund
Dodge & Cox as of 9/30/14
Portfolio Performance
6.5
6.0
5.5
5.0
4.5
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
-0.5
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
2/29/04
Dodge&Cox BC Agg
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 2/29/04
Dodge&Cox 0.29 4.82 5.99 4.77 5.51 5.62 5.40
BC Agg 0.17 4.10 3.96 2.43 4.12 4.62 4.50
Asset Growth(5000)
Beginning Market Value 120,544 115,334 114,071 109,892 89,229 76,391 75,656
Net Contributions&Withdrawals 22,999 22,996 22,996 17,987 25,570 15,570 15,570
Gain/Loss+Income 327 5,539 6,803 15,991 29,071 51,909 52,644
Ending Market Value 143,870 143,870 143,870 143,870 143,870 143,870 143,870
Top Fixed Income Holdings Sector Allocation
Sector %Port %Port
United States Treas Government 5.21 Finance 19.69
United States Treas Government 2.91 Government 22.74
United States Treas Government 2.14 Industrials 17.41
United States Treas Government 1.96 Mortgage 28.90
United States Treas Government 1.91 Transportation 2.42
United States Treas Government 1.74 Utilities 4.00
4283a-Ew Finance 1.58 Municipals 3.45
Aol Time Warner Inc Industrials 1.51 Foreign 0.00
United States Treas Government 1.39 Miscellaneous 1.40
United States Treas Government 1.38
185
City of Clearwater Employees Pension Fund
Dodge & Cox as of 9/30/14
Asset Allocation($000)
Domestic Fixed
$141,238 98.17%
4D ❑ Cash&Equiv
$2,632 1.83%
Risk/Return Analysis
Periods from 2/04 to 9/14
Alpha 0.34
Beta 0.83
R-Squared 0.58
5.5
5.0
4.5
2 4.0
cC
�
3.5
3.0
Q 2.5
2.0
1.5 .,
0.5 1.0 1.5 2.0 2.5 3.0 3.5
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
d Dodge&Cox 5.40 3.38 1.13 0.33
1 BC Agg 4.50 3.33 0.88
T" 91-Day Treasury Bill 1.57 0.56 0.00
186
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of Fixed Income Portfolios
Periods Ending 9/14
14%
12%
10%
8%
6% ---
---- 1
4% 1 ---- ----
----
2% ---- 1--
0% --- --
-2%
-4%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High 1.29 13.11 8.81 11.61 8.99 10.83 12.15 9.51 9.13 8.38 8.05
1st Qt 0.25 6.12 3.36 5.79 5.41 6.79 7.50 6.67 6.49 6.23 5.93
Median 0.01 4.04 1.56 3.45 3.65 4.86 6.04 5.39 5.38 5.24 4.99
3rd Qt -0.39 2.49 0.97 2.25 2.92 3.81 4.60 4.43 4.46 4.35 4.18
Low -2.13 0.52 -2.17 0.38 0.86 1.13 1.36 0.99 2.21 2.45 2.74
d Dodge & Cox
Net Ret 0.29 5.99 3.19 4.77 4.61 5.51 7.25 6.16 6.06 5.88 5.62
Rank 22 26 26 31 32 35 28 34 33 33 33
1 BC Agg
Net Ret 0.17 3.96 1.10 2.43 3.13 4.12 5.17 4.95 4.97 4.83 4.62
Rank 33 51 68 69 67 66 63 64 63 63 65
187
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of Fixed Income Portfolios
Years Ending December
35%
30%
25%
20%
15%
10% --_ --_
5% d -�-- -�- - -- -1-- -�-- --- ==
0% ---- --- 00 00 00 --
-5% - --
-10% ----
-15%
-20%
-25%
-30%
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005
High 12.22 9.60 16.80 15.81 16.19 32.31 9.81 10.51 11.68 6.77
1st Qt 4.63 1.86 10.36 7.86 10.13 14.33 5.22 7.53 5.36 3.19
Median 3.60 -0.66 6.77 6.19 7.27 9.20 1.81 6.54 4.57 2.62
3rd Qt 2.42 -2.00 4.20 3.73 5.76 5.54 -6.38 5.04 4.13 2.11
Low 0.38 -8.48 0.99 0.01 0.69 -1.54 -25.82 2.34 2.13 1.36
d Dodge & Cox
Net Ret 4.82 0.65 7.85 5.10 7.53 14.53 1.37 5.47 5.62 2.40
Rank 21 31 41 61 46 24 52 67 21 63
1 BC Agg
Net Ret 4.10 -2.02 4.22 7.84 6.54 5.93 5.24 6.96 4.33 2.43
Rank 37 76 74 25 63 71 24 40 65 62
188
City of Clearwater Employees Pension Fund
September 30, 2014
Cumulative Performance Comparison
Total Returns of Fixed income Portfolios
12%
11%
10%
9%
8%
7%
6%
5% a a
4% 1 1 a a
3% ______
2%
I%
O%
9/14 6114 3/14 12113 9/13
High 11.61 10.38 9.69 9.48 9.30
1 st Qt 5.79 6.30 5.92 5.56 5.04
Median 3.45 4.30 4.18 3.98 3.72
3rd Qt 2.25 3.30 3.38 3.16 2.75
Low 0.38 0.69 0.75 0.80 0.76
a Dodge Br,Cox
Rot- 4.77 4.96 4.87 4.49 4.15
Rank 31 36 36 37 36
1 BC Agg
Return 2.43 3.67 3.75 3.26 2.86
Rank 69 65 64 70 70
Dodge & Cox
Value Added Analysis - Net of Fee
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.3
2.0% MM
1. 1.4
1.1 1.2
I.O%
0.6 0.7
0.4 O.5
0.3
0.0% 0.0 O. O.1 O.1
-0.4
-1.0% -0.6
1.1
2.0%
-3.0%
?.9
-4.0%
12/09 3/10 6/10 9/10 12/10 3/11 6111 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.BC Agg ® Cumulative Value Added
- 2 Yr Rolling Avg(AIllllAah] ed)
189
City of Clearwater Employees Pension Fund
Risk Measure Summary
Dodge & Cox
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 0 1 1 3 1 4 8 12
Positive Periods 4 3 11 9 19 16 34 30
Up Market Capture 1.18 1.45 1.12 1.09
Down Market Capture 3.1.4 0.07 0.01 0.56
Batting Average 1.00 0.83 0.70 0.62
Worst Quarter 0.29 0,14 1,89 2,32 1,89 2,32 2,88 2.44
Best Quarter 2.31 2.04 2.67 2.06 2.67 3.82 6.98 4.57
Worst 4 Quarters 5.99 3.96 0.47 2,02 0.47 2,02 0,26 2,02
Best 4 Quarters 5.99 3.96 8.00 5.16 9.20 8.16 17.78 10.56
Standard Deviation 1.90 2.25 2.51 2.49 2.21 3.03 3.62 3.42
Beta 0.89 0.85 0.51 0.83
Alpha 0.59 0.66 0.82 0.34
R-Squared 0.79 0.67 0.47 0.58
Sharpe Ratio 3.13 1.74 1.87 0.95 2.45 1.33 1.05 0.85
Treynor Ratio 6.64 5.54 10.51 4.57
Tracking Error 1.06 1.51 2.23 2.58
Information Ratio 1.85 1.52 0.59 0.33
190
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Fixed Income Portfolios
3 Years Ending 9/30/14
12.0
ro
10.2
8.4
6.6 •
4.8 !. '
• i • • • • • Median
3.0 . . •••. ' •'.�:s : Return
°7�� 1.2 . • ; ri. •.
-0.5
Q -2.3 •
-4.2
-6.0
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
d Dodge&Cox 4.77 31 2.51 34
1 BC Agg 2.43 69 2.49 33
Median 3.45 2.84
5 Years Ending 9/30/14
10.0
ro
9.0 . •'
8.0 '
7.0 • .
0 6.0 •a ;
5.0 .d• �:L • Median
a . • .. . • Return
N 4.0 • .�.•1 . ..
3.0 • '• •
Q 2.0 • • •
1.0
0.0
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
d Dodge&Cox 5.51 35 2.21 19
1 BC Agg 4.12 66 3.03 44
Median 4.86 3.14
191
City of Clearwater Employees Pension Fund
Fixed Income, Mortgage and Municipals Summary Statistics
Dodge & Cox
Quarter Ending 9/14
Portfolio BC Agg
Total Number Of Securities 215 8,958
Total Market Value 141,238,158 17,202,060,197,888
Yield to Maturity 2.18 2.36
Time to Maturity 11.34 7.73
Current Coupon 4.25 3.29
Duration 5.00 5.74
Effective Convexity 0.22 0.07
Effective Duration 4.40 5.62
Effective Maturity 6.41 7.73
Yield to Maturity Time to Maturity Coupon
0- 1 22.0% 0- 1 3.1% 0- 3 29.9%
0 0 0
1 - 2 19.7/0 1 - 3 21.4/0 3 - 5 21.4/o
2 - 3 25.8% 3 - 5 14.3% 5 - 7 37.6%
3 - 4 15.5% 5 - 7 7.6% 7 - 9 10.9%
4- 5 12.4% 7 - 10 13.30% 9 - 11 0.1%
5+ 4.7% 10+ 40.2% 11+ 0.0%
Quality Duration Effective Duration
GOVT 23.90/o
0- 1 5.1% 0- 1 8.6%
AAA 27.5%-.
1 - 3 25.6% 1 - 3 39.9%
AA 1.8%
A 9.5% 3 -4 18.4% 3 - 4 12.4%
BAA 28.30/o 4- 6 22.8% 4- 6 12.6%
BA 2.6%
6- 8 14.3% 6- 8 13.2%
B 0.4%
NR 6.0% 8+ 13.8% 8+ 13.2%
192
City of Clearwater Employees Pension Fund
Percent Invested by Sector and Quality
Dodge & Cox
As of 9/30/14
Moody's Quality Ratings
Name Aaa Aa A Baa Ba B Other NR Total
Government 22.74 --- --- --- --- --- --- --- 22.74
Treasury 21.25 --- --- --- --- --- --- --- 21.25
Agency 1.49 --- --- --- --- --- --- --- 1.49
Corporate 3.77 0.80 4.78 28.27 2.62 0.40 --- 3.17 43.81
Industrial --- --- 3.22 12.70 0.80 --- --- 0.70 17.42
Utility --- --- --- 2.59 1.02 0.40 --- --- 4.01
Finance 3.77 0.80 1.56 12.98 0.81 --- --- 2.47 22.39
Yankee --- --- --- --- --- ---
Transportation --- 0.17 2.13 --- --- --- --- 0.29 2.59
Mortgage 24.57 --- --- --- --- --- --- 1.44 26.01
GNMA --- --- --- --- --- --- --- 0.07 0.07
FHLMC 9.79 --- --- --- --- --- --- 0.92 10.71
FNMA 14.22 --- --- --- --- --- --- 0.45 14.67
Other Mortgage 0.56 --- --- --- --- --- --- --- 0.56
Municipals --- 0.88 2.57 --- --- --- --- --- 3.45
Cash --- --- --- --- ---
Other 0.27 --- --- --- --- --- --- 1.12 1.39
Total 51.35 1.85 9.48 28.27 2.62 0.40 --- 6.03 100.00
193
City of Clearwater Employees Pension Fund
Fixed Income Sector Attribution Analysis
Dodge & Cox
Quarter Ending 9/14
Weight Return Selection
Portfolio Index Portfolio Index Security Sector Total
Finance 19.51 12.60 0.32 0.36 �'�.�'�1. 0.00 �'�.�'�1.
Government 14.30 40.53 0.03 0.35 0,05 0.00 0,05
Industrials 18.71 11.59 0.02 0.06 1 0,02 0,03
Mortgage 34.87 29.52 1.07 0.50 0.20 0.01 0.21
Transportation 2.50 0.42 0.18 0.74 1. 0.01 1.
Utilities 4.14 2.47 0,08 0.14 1 0,00 1
Municipals 3.99 0.00 0,20 2,95 0.11 0,13 ,02
Foreign 0.89 2.87 0.42 0.00 0.00 0.01 0.01
Miscellaneous 1.08 0.00 0.00 0.00 0.00 �'�.�'�('�
100.00 100.00 0.44 0.35 0.23 0,13
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 -0.14%
[Actual Return 0.30%] - [Buy Hold Return 0.44%]
194
City of Clearwater Employees Pension Fund
Western Asset Management Co. as of 9/30/14
Portfolio Performance
5.5
5.0
4.5
4.0
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
-0.5 1 t ](I
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
9/30/04
EM Western Asset Management Co. BC Agg
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 9/30/04
Western Asset Management Co. 0.29 4.92 4.73 2.91 4.37 4.96 4.96
BC Agg 0.17 4.10 3.96 2.43 4.12 4.62 4.62
Asset Growth(5000)
Beginning Market Value 93,599 89,472 89,637 86,180 75,876 74,568 74,568
Net Contributions&Withdrawals 22,999 22,999 22,996 22,958 22,934 22,934 22,934
Gain/Loss+Income 222 4,350 4,188 71682 18,011 19,319 19,319
Ending Market Value 116,821 116,821 116,821 116,821 116,821 116,821 116,821
Top Fixed Income Holdings Sector Allocation
Sector %Port %Port
United States Treas Government 15.42 Finance 10.72
United States Treas Government 8.82 Government 48.19
United States Treas Government 4.87 Industrials 11.15
United States Treas Government 4.30 Mortgage 25.42
United States Treas Government 4.23 Transportation 0.87
FNMA Ci 15-Tba Oct Mortgage 3.09 Utilities 1.69
United States Treas Government 2.79 Municipals 0.00
GNMA Ii Sf 30-Tba Mortgage 1.86 Foreign 1.65
Federal Natl Mtg Ass Government 1.85 Miscellaneous 0.33
United States Treas Government 1.55
195
City of Clearwater Employees Pension Fund
Western Asset Management Co. as of 9/30/14
Asset Allocation($000)
Domestic Fixed ® Other
$124,815 106.84% $0 0.00%
Cash&Equiv
$-7,995 -6.84%
Risk/Return Analysis
Periods from 9/04 to 9/14
Alpha 0.03
Beta 1.08
R-Squared 0.92
5.5
5.0
4.5
2 4.0
cC
�
3.5
3.0
Q 2.5
2.0
1.5
0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
w Western Asset Management 4.96 3.61 0.93 0.31
1 BC Agg 4.62 3.25 0.93
T" 91-Day Treasury Bill 1.59 0.98 0.00
196
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of Fixed Income Portfolios
Periods Ending 9/14
14%
12%
10%
8%
6% ----
---- 1
4% 1 ---- ----
2% ---- 1--
0% --- --
-2%
-4%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6 Last 7 Last 8 Last 9 Last 10
Qtr Year Years Years Years Years Years Years Years Years Years
High 1.29 13.11 8.81 11.61 8.99 10.83 12.15 9.51 9.13 8.38 8.05
1st Qt 0.25 6.12 3.36 5.79 5.41 6.79 7.50 6.67 6.49 6.23 5.93
Median 0.01 4.04 1.56 3.45 3.65 4.86 6.04 5.39 5.38 5.24 4.99
3rd Qt -0.39 2.49 0.97 2.25 2.92 3.81 4.60 4.43 4.46 4.35 4.18
Low -2.13 0.52 -2.17 0.38 0.86 1.13 1.36 0.99 2.21 2.45 2.74
w Western Asset Management Co.
Net Ret 0.29 4.73 1.32 2.91 3.34 4.37 6.01 5.36 5.31 5.14 4.96
Rank 22 39 56 59 60 60 50 51 52 53 51
1 BC Agg
Net Ret 0.17 3.96 1.10 2.43 3.13 4.12 5.17 4.95 4.97 4.83 4.62
Rank 33 51 68 69 67 66 63 64 63 63 65
197
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of Fixed Income Portfolios
Years Ending December
35%
30%
25%
20%
15%
10% ----- --_
5%
0% ---- ---- --00-5% --
-10% ----
-15%
-20%
-25%
-30%
9/30/14
YTD 2013 2012 2011 2010 2009 2008 2007 2006 2005
High 12.22 9.60 16.80 15.81 16.19 32.31 9.81 10.51 11.68 6.77
1st Qt 4.63 1.86 10.36 7.86 10.13 14.33 5.22 7.53 5.36 3.19
Median 3.60 -0.66 6.77 6.19 7.27 9.20 1.81 6.54 4.57 2.62
3rd Qt 2.42 -2.00 4.20 3.73 5.76 5.54 -6.38 5.04 4.13 2.11
Low 0.38 -8.48 0.99 0.01 0.69 -1.54 -25.82 2.34 2.13 1.36
w Western Asset Management Co.
Net Ret 4.92 -2.46 5.07 7.23 7.09 9.24 3.92 6.51 4.66 2.77
Rank 20 84 64 37 52 49 38 50 45 42
1 BC Agg
Net Ret 4.10 -2.02 4.22 7.84 6.54 5.93 5.24 6.96 4.33 2.43
Rank 37 76 74 25 63 71 24 40 65 62
198
City of Clearwater Employees Pension Fund
September 30, 2014
Cumulative Performance Comparison
Total Returns of Fixed income Portfolios
12%
11%
10%
9%
8%
7%
6%
5
4% 1 1
3%- w__1______
w
2% ___1______
1%
O%
9114 6114 3/14 12113 9/13
High 11.61 10.38 9.69 9.48 9.30
1 st Qt 5.79 6.30 5.92 5.56 5.04
Median 3.45 4.30 4.18 3.98 3.72
3rd Qt 2.25 3.30 3.38 3.16 2.75
Low 0.38 0.69 0.75 0.80 0.76
w Western Asset Management Co.
Return 2.91 3.81 3.78 3.19 2.88
Rank 59 60 63 73 70
1 BC Agg
Return 2.43 3.67 3.75 3.26 2.86
Rank 69 65 64 70 70
Western Asset Management Co.
Value Added Analysis - Net of Fee
2.5%
2.0%
1.5%
1.0%
0.5%
0.4 0.4
.3
0.2 0.2
O.1
0.0% O.O O.O O.O
-O.1 -0.1 -0.1
-0.2
-0.5%
O.H
-1.0%
12/09 3/10 6/10 9/10 12/10 3/11 6111 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.BC Agg ® Cumulative Value Added
- 2 Yr Rolling Avg(AIllllAah] ed)
199
City of Clearwater Employees Pension Fund
Risk Measure Summary
Western Asset Management Co.
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 1 1 3 3 4 4 12 11
Positive Periods 3 3 9 9 16 16 28 29
Up Market Capture 1.20 1.17 1.05 1.09
Down Market Capture 1.33 1.11 1.02 1.19
Batting Average 0.75 0.58 0.60 0.60
Worst Quarter 0,18 0,14 2.45 2,32 2.45 2,32 2.45 2,32
Best Quarter 2.33 2.04 2.33 2.06 3.35 3.82 5.22 4.57
Worst 4 Quarters 4.73 3.96 2,46 2,02 2,46 2,02 2,46 2,02
Best 4 Quarters 4.73 3.96 6.16 5.16 8.58 8.16 14.60 10.56
Standard Deviation 2.60 2.25 2.75 2.49 2.96 3.03 3.61 3.25
Beta 1.16 1.10 0.96 1.08
Alpha 0.03 0.06 0.10 0.03
R-Squared 1.00 0.98 0.97 0.92
Sharpe Ratio 1.80 1.74 1.03 0.95 1.44 1.33 0.93 0.93
Treynor Ratio 4.03 2.58 4.45 3.13
Tracking Error 0.38 0.42 0.57 1.08
Information Ratio 2.01 1.12 0.41 0.31
200
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Fixed Income Portfolios
3 Years Ending 9/30/14
12.0
ro
10.2
8.4
6.6 •
4.8 !. '
'• i �� • • • • Median
3.0 . . •••. ' •.. s Return
°7�� 1.2 . • ; ri. •.
-0.5
Q -2.3 •
-4.2
-6.0
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
W Western Asset Management Co. 2.91 59 2.75 48
1 BC Agg 2.43 69 2.49 33
Median 3.45 2.84
5 Years Ending 9/30/14
10.0
ro
9.0 . •'
8.0 '
7.0 • .
0 6.0 •a ;
5.0 . • �:% • Median
• • Return
N 4.0 . .�. . ..
3.0 • '• •
Q 2.0 • • •
1.0
0.0
0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
W Western Asset Management Co. 4.37 60 2.96 41
1 BC Agg 4.12 66 3.03 44
Median 4.86 3.14
201
City of Clearwater Employees Pension Fund
Fixed Income, Mortgage and Municipals Summary Statistics
Western Asset Management Co.
Quarter Ending 9/14
Portfolio BC Agg
Total Number Of Securities 388 8,958
Total Market Value 124,815,300 17,202,060,000,000
Yield to Maturity 1.94 2.36
Time to Maturity 12.70 7.73
Current Coupon 2.83 3.29
Duration 5.85 5.74
Effective Convexity 0.25 0.07
Effective Duration 4.86 5.62
Effective Maturity 7.40 7.73
Yield to Maturity Time to Maturity Coupon
i
0- 1 37.6%- 0- 1 9.4%- 0- 3 46.9%--
0 0 0
1 - 2 7.5/0 1 - 3 27.8/0 3 - 5 31.4/o
0 0
2 - 3 24.8%-,, 3 - 5 3.8/0 5 - 7 19.5/o
3 - 4 18.9% 5 - 7 8.5% 7 - 9 1.8%
4- 5 8.3% 7 - 10 8.40% 9 - 11 0.3%
5+ 3.0% 10+ 42.2% 11+ 0.1%
Quality Duration Effective Duration
o
�,
GOVT 48.3/o ��� " ���i�i o 0
,?�� %///��j� 0- 1 9.5/0 0- 1 11.5/o
AAA 23.60/(\ %
0 0
1 - 3 29.7/0 1 - 3 38.4/0
AA 2.40/(
3 -4 10.70 3 - 4 10.4%---_ /
4- 6 15.50 4- 6 12.6%
BAA 15.4%
BA 0.3% 6- 8 14.4% 6- 8 11.2%
NR 1.00/0 8+ 20.2% 8+ 16.1%
202
City of Clearwater Employees Pension Fund
Percent Invested by Sector and Quality
Western Asset Management Co.
As of 9/30/14
Moody's Quality Ratings
Name Aaa Aa A Baa Ba B Other NR Total
Government 46.73 1.14 0.27 0.05 --- --- --- --- 48.19
Treasury 44.29 --- --- --- --- --- --- --- 44.29
Agency 2.44 1.14 0.27 0.05 --- --- --- --- 3.90
Corporate 0.37 1.11 8.35 14.91 0.31 --- --- 0.52 25.57
Industrial --- 0.55 4.09 6.41 0.10 --- --- --- 11.15
Utility --- --- 0.46 1.23 --- --- --- --- 1.69
Finance 0.37 0.44 3.38 6.49 0.21 --- --- 0.20 11.09
Yankee --- 0.12 0.42 0.78 --- --- --- 0.32 1.64
Transportation --- 0.03 0.40 0.43 --- --- --- --- 0.86
Mortgage 24.75 --- --- --- --- --- --- 0.30 25.05
GNMA 5.05 --- --- --- --- --- --- 0.19 5.24
FHLMC 2.15 --- --- --- --- --- --- 0.11 2.26
FNMA 14.83 --- --- --- --- --- --- --- 14.83
Other Mortgage 2.72 --- --- --- --- --- --- --- 2.72
Municipals --- --- --- --- --- --- --- --- ---
Cash --- --- --- --- ---
Other --- 0.16 --- --- --- --- --- 0.17 0.33
Total 71.84 2.45 9.02 15.39 0.31 --- --- 0.99 100.00
203
City of Clearwater Employees Pension Fund
Fixed Income Sector Attribution Analysis
Western Asset Management Co.
Quarter Ending 9/14
Weight Return Selection
Portfolio Index Portfolio Index Security Sector Total
Finance 10.02 12.60 0.11 0.36 0,02 0.00 0,02
Government 42.89 40.53 0.14 0.35 0,09 0.00 0,09
Industrials 12.33 11.59 0,23 0.06 0,04 0,00 0,04
Mortgage 29.93 29.52 0.63 0.50 0.04 0.00 0.04
Transportation 0.66 0.42 Om I O 0.74 1. 0.00 f'�.�'�1.
Utilities 1.70 2.47 0.06 0.14 0.00 0.00 0.00
Municipals 0.00 0.00 0.00 2,95 0.00 0.00 0.00
Foreign 1.75 2.87 0,15 0.00 0.00 0.00
Miscellaneous 0.72 0.00 0.00 0.00 0.00 �'�.�'�('�
100.00 100.00 0.23 0.35 0,1.2 0.00 0,1. .
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 0.01%
[Actual Return 0.24%] - [Buy Hold Return 0.23%]
204
City of Clearwater Employees Pension Fund
Real Estate Comp as of 9/30/14
Portfolio Performance
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
-2.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
4/30/08
Real Estate Comp Policy Index
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 4/30/08
Real Estate Comp -0.18 11.28 12.69 13.15 15.60 4.46
Policy Index -0.97 12.66 13.27 15.34 15.94 5.20
Asset Growth(5000)
Beginning Market Value 89,882 81,344 80,324 62,471 45,245 19,347
Net Contributions&Withdrawals -455 -1,229 -1,229 -1,278 -3,167 -3,167
Gain/Loss+Income -152 9,160 10,179 28,082 47,196 73,095
Ending Market Value 89,275 89,275 89,275 89,275 89,275 89,275
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Simon Ppty Group Inc Financials 9.90 Energy 0.00
Prologis Inc Financials 6.18 Materials 0.00
Public Storage Inc Financials 5.56 Industrials 0.00
Health Care Reit Inc Financials 4.69 Consumer Discretionary 2.15
Equity Residential P Financials 4.51 Consumer Staples 0.00
Avalonbay Cmntys Inc Financials 4.07 Health Care 0.00
Hcp Inc Financials 3.76 Financials 97.85
Ventas Inc Financials 3.53 Information Technology 0.00
Vornado Rhy Tr Financials 3.49 Telecom Services 0.00
Boston Properties In Financials 3.34 Utilities 0.00
205
City of Clearwater Employees Pension Fund
Real Estate Comp as of 9/30/14
Asset Allocation($000)
EM Domestic Equity
$42,361 47.45%
Cash&Equiv
$694 0.78%
Real Estate
$46,220 51.77%
Risk/Return Analysis
Periods from 4/08 to 9/14
Alpha -0.13
Beta 0.99
R-Squared 0.99
5.5
5.0
4.5 $
4.0
2 3.5
3.0
N 2.5
2.0
1.5
Q 1.0
0.5
0.0
-5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
R Real Estate Comp 4.46 28.67 0.15 -0.24
1 Policy Index 5.20 28.99 0.17
T" 91-Day Treasury Bill 0.26 0.16 0.00
206
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of Real Estate Portfolios
Periods Ending 9/14
20%
15% --1----- R
-1----- R ---- -------
10% 1
------- -------
5% ------
0% R
-s%
-10%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6
Qtr Year Years Years Years Years Years
High 8.48 18.41 18.09 17.77 17.63 16.50 9.16
1st Qt 3.61 13.39 12.70 15.42 13.68 13.21 6.25
Median 2.34 11.65 10.01 12.11 11.79 10.44 2.29
3rd Qt -2.42 7.24 8.58 8.62 8.09 6.72 -0.80
Low -5.01 -5.09 -2.02 -0.40 -0.44 -3.41 -9.10
R Real Estate Comp
Net Ret -0.18 12.69 9.53 13.15 11.37 15.60 6.42
Rank 67 39 55 40 55 13 22
1 Policy Index
Net Ret -0.97 13.27 10.61 15.34 13.31 15.94 6.76
Rank 70 25 42 26 29 9 20
207
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of Real Estate Portfolios
Years Ending December
40%
30% 1
1 R
20%
--------
--1----- --------
10% - ----- --------
0% -------- --------
-10%
-20%
-30%
-40%
-50%
9/30/14
YTD 2013 2012 2011 2010 2009
High 17.29 17.59 29.13 24.92 29.86 32.50
1st Qt 12.79 13.23 16.89 15.96 18.42 -2.40
Median 8.65 8.76 11.24 10.85 13.55 -26.83
3rd Qt 6.15 2.71 4.94 2.35 1.40 -31.92
Low -4.35 -8.19 -6.83 -15.56 -23.74 -47.55
R Real Estate Comp
Net Ret 11.28 6.29 11.69 8.85 30.51 24.68
Rank 30 58 45 57 4 12
1 Policy Index
Net Ret 12.66 6.02 15.41 11.62 24.96 29.20
Rank 25 60 28 48 11 9
208
City of Clearwater Employees Pension Fund
Risk Measure Summary
Real Estate Comp
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 1 1 2 2 4 4 6 6
Positive Periods 3 3 10 10 16 16 19 19
Up Market Capture 0.90 0.84 0.95 0.95
Down Market Capture 0.19 0.36 0.82 0.98
Batting Average 0.50 0.33 0.45 0.44
Worst Quarter 0,18 0,97 0,42 0,97 °,90 8,94 37,93 40,4 0
Best Quarter 6.60 7.52 9.65 11.30 13.08 11.30 33.98 35.93
Worst 4 Quarters 12.69 13.27 6.32 6.02 6.21 6.02 45,35 45,6
Best 4 Quarters 12.69 13.27 20.74 25.41 34.17 30.56 118.01 115.40
Standard Deviation 6.17 8.16 6.52 7.97 10.36 10.61 30.72 30.86
Beta 0.79 0.81 0.95 0.99
Alpha 0.53 0.18 0.09 0,1.
R-Squared 0.98 0.98 0.96 0.99
Sharpe Ratio 2.05 1.62 2.01 1.92 1.50 1.49 0.21 0.23
Treynor Ratio 16.09 16.11 16.24 6.44
Tracking Error 2.13 1.84 2.22 2.88
Information Ratio 0,30 1,12 f x.16 f
209
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Real Estate Portfolios
3 Years Ending 9/30/14
30.0
ro
25.0
20.0 •
cC
15.0 •• • 1 •. l
w •' . • •• Median
' Return
,b 10.0 •..• . •
N • •
C ' • '
� 5.0 •.
Q
0.0 •
-5.01 U
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
R Real Estate Comp 13.15 40 6.52 49
1 Policy Index 15.34 26 7.97 54
Median 12.11 6.82
5 Years Ending 9/30/14
30.0
ro
25.0
c 20.0 • �'
15.0 • s " .
• • • . Median
10.0 • •� •
• • . Return
N 5.0 •
Q 0.0 .'
•
-5.0 • •
-10.0
0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
R Real Estate Comp 15.60 13 10.36 49
1 Policy Index 15.94 9 10.61 50
Median 10.44 11.22
210
City of Clearwater Employees Pension Fund
Security Capital as of 9/30/14
Portfolio Performance
18.0
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
-2.0
-4.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
4/30/08
Security Capital Wilshire RESI
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 4/30/08
Security Capital -2.89 14.96 13.79 15.96 15.99 4.73
Wilshire RESI -3.05 14.34 13.48 16.58 15.96 5.15
Asset Growth(5000)
Beginning Market Value 44,332 42,289 43,680 36,928 45,245 19,347
Net Contributions&Withdrawals 0 -5,701 -6,645 -13,104 -37,456 -37,456
Gain/Loss+Income -1,283 6,460 6,014 19,224 35,259 61,158
Ending Market Value 43,049 43,049 43,049 43,049 43,049 43,049
Top Equity Holdings GICS Sector Allocation
GICS Sector %Port %Port
Simon Ppty Group Inc Financials 9.90 Energy 0.00
Prologis Inc Financials 6.18 Materials 0.00
Public Storage Inc Financials 5.56 Industrials 0.00
Health Care Reit Inc Financials 4.69 Consumer Discretionary 2.15
Equity Residential P Financials 4.51 Consumer Staples 0.00
Avalonbay Cmntys Inc Financials 4.07 Health Care 0.00
Hcp Inc Financials 3.76 Financials 97.85
Ventas Inc Financials 3.53 Information Technology 0.00
Vornado Rhy Tr Financials 3.49 Telecom Services 0.00
Boston Properties In Financials 3.34 Utilities 0.00
211
City of Clearwater Employees Pension Fund
Security Capital as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$688 1.60%
Domestic Equity EM
$42,361 98.40%
Risk/Return Analysis
Periods from 4/08 to 9/14
Alpha -0.07
Beta 1.00
R-Squared 0.99
5.5
5.0
4.5
4.0
2 3.5
3.0
N 2.5
2.0
1.5
Q 1.0
0.5
0.0
-5.0 0.0 5.0 10.0 15.0 20.0 25.0 30.0 35.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
s Security Capital 4.73 30.28 0.15 -0.16
1 Wilshire RESI 5.15 30.53 0.16
T" 91-Day Treasury Bill 0.26 0.16 0.00
212
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of Real Estate Portfolios
Periods Ending 9/14
20%
1
15% ------
-------
10%
------- -------
5%
0%
-5%
-10%
Last Last Last 2 Last 3 Last 4 Last 5 Last 6
Qtr Year Years Years Years Years Years
High 8.48 18.41 18.09 17.77 17.63 16.50 9.16
1st Qt 3.61 13.39 12.70 15.42 13.68 13.21 6.25
Median 2.34 11.65 10.01 12.11 11.79 10.44 2.29
3rd Qt -2.42 7.24 8.58 8.62 8.09 6.72 -0.80
Low -5.01 -5.09 -2.02 -0.40 -0.44 -3.41 -9.10
s Security Capital
Net Ret -2.89 13.79 9.18 15.96 11.85 15.99 6.72
Rank 78 20 64 20 49 8 21
1 Wilshire RESI
Net Ret -3.05 13.48 9.40 16.58 12.69 15.96 6.78
Rank 79 23 58 11 37 9 20
213
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of Real Estate Portfolios
Years Ending December
40%
30% 1
20%
-------- -1----- --------
10% ------- 1
0% -i----- --------
-10%
-20%
-30%
-40%
-50%
9/30/14
YTD 2013 2012 2011 2010 2009
High 17.29 17.59 29.13 24.92 29.86 32.50
1st Qt 12.79 13.23 16.89 15.96 18.42 -2.40
Median 8.65 8.76 11.24 10.85 13.55 -26.83
3rd Qt 6.15 2.71 4.94 2.35 1.40 -31.92
Low -4.35 -8.19 -6.83 -15.56 -23.74 -47.55
s Security Capital
Net Ret 14.96 1.60 16.22 6.86 31.62 24.68
Rank 10 83 26 64 2 12
1 Wilshire RESI
Net Ret 14.34 2.15 17.55 8.56 29.12 29.20
Rank 13 80 22 59 6 9
214
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Real Estate Portfolios
5 Years Ending 9/30/14
30.0
g
25.0
c 20.0 •
15.0 s �. •
'• • • . Median
• . Return
N 5.0 •
Q 0.0 •'
•
-5.0 • •
-10.01 1
0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
s Security Capital 15.99 8 14.55 69
1 Wilshire RESI 15.96 9 14.59 71
Median 10.44 11.22
5 Years Ending 9/30/14
30.0
ro
25.0
c 20.0 •
15.0 s �. •
'• • • . Median
10.0
• . Return
N 5.0 •
Q 0.0 •'
•
-5.0 • •
-10.0
0.0 4.0 8.0 12.0 16.0 20.0 24.0 28.0 32.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
s Security Capital 15.99 8 14.55 69
1 Wilshire RESI 15.96 9 14.59 71
Median 10.44 11.22
215
City of Clearwater Employees Pension Fund
September 30, 2014
Cumulative Performance Comparison
Total Returns of Real Estate Portfolios
30%
25%
20%
15% 1------
1
10% 1
s
__________ __________
5%
0%
-5%
-10%
9/14 6114 3114 12113 9/13
High 17.77 24.05 23.50 25.08 24.64
1 st Qt 15.42 13.85 14.20 14.48 15.26
Median 12.11 11.29 10.68 10.58 11.73
3rd Qt 8.62 7.57 7.06 6.94 7.16
Low -0.40 -4.53 -6.59 -6.11 -4.75
s Security Capital
Net Ret 15.96 10.71 9.42 8.06 1 1.21
Rank 20 54 62 67 55
1 Wilshire REST
Net Ret 16.58 11.55 10.38 9.24 12.43
Rank 11 48 55 60 42
Security Capital
Value Added Analysis - Net of Fee
3.5%
3.0%
2.5%
2.0%
1.5%
1.0% 1.
0.8
0.6
0.5% O.5 MMM
0.2
0.0% IL
-0.1 -0.1 -O.
-0?
No= -
-0.7
-1.5%
2.0%
12/09 3/10 6/10 9/10 12/10 3/11 6111 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.Wilshire RESI ® Cumulative Value Added
- 2 Yr Rolling Avg(AnnnaliZed)
216
City of Clearwater Employees Pension Fund
Risk Measure Summary
Security Capital
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 2 2 5 5 7 7 9 9
Positive Periods 2 2 7 7 13 13 16 16
Up Market Capture 1.03 0.97 0.99 0.98
Down Market Capture 1.03 0.99 0.96 0.99
Batting Average 0.50 0.25 0.30 0.32
Worst Quarter 2,89 3,05 3,22 3,05 15,51 15,08 37,93 40,4 0
Best Quarter 10.60 9.99 14.90 15.40 14.90 15.40 33.98 35.93
Worst 4 Quarters 13.79 13.48 1.60 2.15 0.35 1.76 45,35 45,6
Best 4 Quarters 13.79 13.48 30.83 32.40 34.30 35.69 118.01 115.40
Standard Deviation 12.87 12.48 11.98 12.11 14.55 14.59 32.06 32.13
Beta 1.03 0.99 0.99 1.00
Alpha 0,02 0,09 0.03 0,07
R-Squared 1.00 0.99 0.99 0.99
Sharpe Ratio 1.07 1.08 1.33 1.36 1.09 1.09 0.21 0.22
Treynor Ratio 13.35 16.11 16.00 6.71
Tracking Error 0.81 0.93 1.28 2.40
Information Ratio 0.39 0,61. 0.01 0,1.6
217
City of Clearwater Employees Pension Fund
Multi Employer Property Trust as of 9/30/14
Portfolio Performance
16.0
14.0
12.0
10.0
8.0
6.0
4.0
2.0
0.0
-2.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
9/30/10
EM Multi Employer Property Trust NCREIF ODCE
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 9/30/10
Multi Employer Property Trust 3.31 8.77 12.22 9.29 10.80
NCREIF ODCE 3.24 8.94 12.40 12.35 13.80
Asset Growth($000)
Beginning Market Value 34,175 27,710 26,859 23,087 0
Net Contributions&Withdrawals 0 5,000 5,000 5,000 25,000
Gain/Loss+Income 1,131 2,596 3,447 7,218 10,306
Ending Market Value 35,306 35,306 35,306 35,306 35,306
218
City of Clearwater Employees Pension Fund
Multi Employer Property Trust as of 9/30/14
Asset Allocation($000)
Cash&Equiv
$6 0.02%
Real Estate
$35,300 99.98%
Risk/Return Analysis
Periods from 9/10 to 9/14
Alpha -0.53
Beta 0.95
R-Squared 0.67
16.0
14.0
12.0
10.0
C4 8.0
b
N 6.0
4.0
Q 2.0
0.0
-2.0
-Q.219012e-082 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 2.2 2.4
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
M Multi Employer Property 10.80 2.26 4.73 -1.86
1 NCREIF ODCE 13.80 1.52 8.99
T" 91-Day Treasury Bill 0.09 0.03 0.00
219
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of Real Estate Portfolios
Periods Ending 9/14
20%
18%
16%
------------
14
----------
12% M 0 ---0------
10%
8% ---------- --------
----------
6
4%
2%
0%
-2%
-4%
-6%
Last Last Last 2 Last 3 Last 4
Qtr Year Years Years Years
High 8.48 18.41 18.09 17.77 17.63
1st Qt 3.61 13.39 12.70 15.42 13.68
Median 2.34 11.65 10.01 12.11 11.79
3rd Qt -2.42 7.24 8.58 8.62 8.09
Low -5.01 -5.09 -2.02 -0.40 -0.44
Multi Employer Property Trust
Net Ret 3.31 12.22 10.23 9.29 10.80
Rank 32 45 47 73 60
O NCREIF ODCE Fund Index
Net Ret 3.24 12.40 12.72 12.35 13.80
Rank 33 43 24 47 24
220
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of Real Estate Portfolios
Years Ending December
35%
30%
25%
20%
15 ------------ ----0-------
-------------- ---Q-------
10
5% ------------ ----------
------------ --------------
0
-5% oo
-10%
-15%
-20%
9/30/14
YTD 2013 2012 2011
High 17.29 17.59 29.13 24.92
I st Qt 12.79 13.23 16.89 15.96
Median 8.65 8.76 11.24 10.85
3rd Qt 6.15 2.71 4.94 2.35
Low -4.35 -8.19 -6.83 -15.56
M Multi Employer Property Trust
Net Ret 8.77 11.83 4.70 12.99
Rank 49 34 77 42
O NCREIF ODCE Fund Index
Net Ret 8.94 13.94 10.94 15.99
Rank 46 19 52 24
221
City of Clearwater Employees Pension Fund
September 30, 2014
Cumulative Performance Comparison
Total Returns of Real Estate Portfolios
30%
25%
20%
15%
1 _ 1 ___1______ ______
10% M M
__________ __________
5%
0%
-5%
-10%
9/14 6114 3/14 12113 9/13
High 17.77 24.05 23.50 25.08 24.64
1 st Qt 15.42 13.85 14.20 14.48 15.26
Median 12.11 11.29 10.68 10.58 11.73
3rd Qt 8.62 7.57 7.06 6.94 7.16
Low -0.40 -4.53 -6.59 -6.11 -4.75
M Multi Employer Property Trust
Net Ret 9.29 9.28 9.67 9.78 10.33
Rank 73 67 61 54 60
1 NCREIF ODCE
Net Ret 12.35 12.45 13.06 13.61 14.27
Rank 47 35 33 30 29
Multi Employer Property Trust
Value Added Analysis - Net of Fee
1.0%
0.3
0.0% 0.0 0.0 MEM O.1
-0 3 0.2
-1.0% -0.5 -0.5 0.6
2.0%
-3.0% ?.4
-4.0%
-5.0%
-6.0%
-7.0%
-8.0%
-9.0%
-10.0%
-1 1.0%
12/10 3/11 6/11 9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6114 9/14
® Quarterly Value Added vs.NCREIF ODCE ® Cumulative Value Added
- 2 Yr Rolling Avg(Annnahi ed)
222
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Real Estate Portfolios
3 Years Ending 9/30/14
30.0
25.0
20.0
0 15.0
• ' Median
10.0 • ' Return
5.0 • •
0.0 •
-5.0
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
M Multi Employer Property Trust 9.29 73 2.07 23
1 NCREIF ODCE 12.35 47 0.88 4
Median 12.11 6.82
223
City of Clearwater Employees Pension Fund
Risk Measure Summary
Multi Employer Property Trust
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 0 0 1 0 1 0
Positive Periods 4 4 11 12 15 16
Up Market Capture 0.99 0.75 0.78
Down Market Capture
Batting Average 0.50 0.17 0.13
Worst Quarter 2.35 2.52 0,1.2 2.35 0,1.2 2.35
Best Quarter 3.31 3.24 3.53 3.86 4.72 4.99
Worst 4 Quarters 12.22 12.40 4.70 10.79 4.70 10.79
Best 4 Quarters 12.22 12.40 12.79 13.94 15.44 18.27
Standard Deviation 0.85 0.65 2.07 0.88 2.26 1.52
Beta 0.97 0.92 0.95
Alpha 0.04 0,46 0,
R-Squared 0.95 0.54 0.67
Sharpe Ratio 14.27 19.00 4.47 13.92 4.73 8.99
Treynor Ratio 12.50 10.05 11.26
Tracking Error 0.79 1.64 1.46
Information Ratio 0,21 1..70 1,86
224
City of Clearwater Employees Pension Fund
Molpus Woodlands Group as of 9/30/14
Portfolio Performance
11.0
10.0
9.0
8.0
7.0
6.0
5.0
4.0
3.0
2.0
1.0
0.0
-1.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
6/30/11
Molpus Woodlands Group NCREIF Timberland Index
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 6/30/11
Molpus Woodlands Group 0.00 1.16 4.35 5.01 4.40
NCREIF Timberland Index 1.47 4.23 10.40 7.38 6.68
Asset Growth($000)
Beginning Market Value 7,593 7,579 6,420 2,455 111
Net Contributions&Withdrawals -455 -528 416 3,640 5,992
Gain/Loss+Income 0 87 302 1,043 1,035
Ending Market Value 7,138 7,138 7,138 7,138 7,138
225
City of Clearwater Employees Pension Fund
Molpus Woodlands Group as of 9/30/14
Asset Allocation($000)
Real Estate im
$7,138 100.00% is
Risk/Return Analysis
Periods from 6/11 to 9/14
Alpha 0.79
Beta 0.18
R-Squared 0.02
7.0
6.0
5.0
4.0
cC
�
3.0
2.0
c
1.0
Q
0.0
1.0
-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
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
M Molpus Woodlands Group 4.40 5.15 0.84 -0.39
1 NCREIF Timberland Index 6.68 4.70 1.40
T" 91-Day Treasury Bill 0.07 0.02 0.00
226
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of Real Estate Portfolios
Periods Ending 9/14
20%
18%
16%
--------------
14%
------------
12% ------------
10% 1
8% ------------ --------------
------------- 1
6%
4%
2% 1
0%
-2%
-4%
-6%
Last Last Last 2 Last 3
Qtr Year Years Years
High 8.48 18.41 18.09 17.77
1st Qt 3.61 13.39 12.70 15.42
Median 2.34 11.65 10.01 12.11
3rd Qt -2.42 7.24 8.58 8.62
Low -5.01 -5.09 -2.02 -0.40
Molpus Woodlands Group
Net Ret 0.00 4.35 7.85 5.01
Rank 66 86 78 87
1 NCREIF Timberland Index
Net Ret 1.47 10.40 10.04 7.38
Rank 57 59 49 79
227
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of Real Estate Portfolios
Years Ending December
35%
30%
25%
20%
15% ------------
------------
------------
10% 1
1
5% ------------
------------
0
-5%
-10%
9/30/14
YTD 2013 2012
High 17.29 17.59 29.13
1st Qt 12.79 13.23 16.89
Median 8.65 8.76 11.24
3rd Qt 6.15 2.71 4.94
Low -4.35 -8.19 -6.83
M Molpus Woodlands Group
Net Ret 1.16 15.16 0.77
Rank 90 13 86
1 NCREIF Timberland Index
Net Ret 4.23 9.68 7.75
Rank 83 46 67
228
City of Clearwater Employees Pension Fund
September 30, 2014
Cumulative Performance Comparison
Total Returns of Real Estate Portfolios
30%
25%
20%
15%
10%
1 ___1______ __________ _
5% M M
0%
-5%
-10%
9/14 6114 3/14 12113 9/13
High 17.77 24.05 23.50 25.08 24.64
1 st Qt 15.42 13.85 14.20 14.48 15.26
Median 12.11 11.29 10.68 10.58 11.73
3rd Qt 8.62 7.57 7.06 6.94 7.16
Low -0.40 -4.53 -6.59 -6.11 -4.75
M Molpus Woodlands Group
Net Ret 5.01 4.77
Rank 87 83
1 NCREIF Timberland Index
Net Ret 7.38 6.73
Rank 79 77
Molpus Woodlands Group
Value Added Analysis - Net of Fee
8.0%
6.9
6.0%
4.0%
2.3
2.0%
0.9
0.0% A
ME
O.
-0.7 -0.9 '' -0.9
2.0% --M
1
?.6
-6.0%
-8.0%
-10.0%
-12.0%
9/11 12/11 3/12 6112 9/12 12/12 3/13 6113 9/13 12/13 3/14 6/14 9/14
® Quarterly Value Added vs.NCREIF Timberland Index ® Cumulative Value Added
- 2 Yr Rolling Avg(Aminahi ed)
229
City of Clearwater Employees Pension Fund
Return vs Risk
Total Returns of Real Estate Portfolios
3 Years Ending 9/30/14
30.0
25.0
20.0
0 15.0
• ' Median
.� 10.0 • ' • • • Return
� 1 .
5.0 M •
0.0 •
-5.0
0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0
Historical Standard Deviation of Return
Annualized Net of Fee Return Standard Deviation
Value Rank Value Rank
M Molpus Woodlands Group 5.01 87 5.04 41
1 NCREIF Timberland Index 7.38 79 3.92 36
Median 12.11 6.82
230
City of Clearwater Employees Pension Fund
Risk Measure Summary
Molpus Woodlands Group
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 0 0 4 0 5 1
Positive Periods 4 4 8 12 8 12
Up Market Capture 0.42 0.68 0.68
Down Market Capture 1.96
Batting Average 0.00 0.25 0.23
Worst Quarter 0.00 1.08 1..35 0.36 1..35 0,
Best Quarter 3.16 5.92 7.86 5.92 7.86 5.92
Worst 4 Quarters 4.35 10.40 0,44 2.25 2,71. 1.13
Best 4 Quarters 4.35 10.40 16.17 10.40 16.17 10.40
Standard Deviation 2.91 4.55 5.04 3.92 4.95 3.94
Beta 0.56 0.12 0.18
Alpha 0,34 1.02 0.79
R-Squared 0.92 0.01 0.02
Sharpe Ratio 1.48 2.27 0.98 1.86 0.87 1.68
Treynor Ratio 7.66 40.60 23.72
Tracking Error 1.89 6.19 5.93
Information Ratio 3.00 0,38
231
City of Clearwater Employees Pension Fund
Hancock as of 9/30/14
Portfolio Performance
13.0
12.0
11.0
10.0
9.0
8.0
7.0
6.0
5.0
4.0
3.0
2.0
1.0
0.0
-1.0
Qtr YTD 1 Year 3 Year 5 Year 10 Year Incept
5/31/12
Hancock NCREIF Timberland Index
Incept
Net of Fee Returns Qtr YTD 1 Year 3 Year 5 Year 10 Year 5/31/12
Hancock 0.00 0.42 12.37 7.26
NCREIF Timberland Index 1.47 4.23 10.40 9.18
Asset Growth($000)
Beginning Market Value 3,782 3,766 3,366 1,263
Net Contributions&Withdrawals 0 0 0 1,938
Gain/Loss+Income 0 16 416 581
Ending Market Value 3,782 3,782 3,782 3,782
232
City of Clearwater Employees Pension Fund
Hancock as of 9/30/14
Asset Allocation($000)
Real Estate im
$3,782 100.00% is
Risk/Return Analysis(Number of returns<12)
Periods from 6/12 to 9/14
Alpha N/A
Beta N/A
R-Squared N/A
10.0
9.0
8.0
7.0
2 6.0
5.0
N 4.0
3.0
2.0
Q 1.0
0.0
1.0
-1.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0
Annualized Standard Deviation%
Annualized Std. Sharpe Info
Net Ret Dev. Ratio Ratio
H Hancock 7.26 9.52 0.75 -0.25
1 NCREIF Timberland Index 9.18 5.40 1.68
T" 91-Day Treasury Bill 0.08 0.02 0.00
233
City of Clearwater Employees Pension Fund
Cumulative Performance Comparison
Total Returns of Real Estate Portfolios
Periods Ending 9/14
20%
18%
16%
14%
------------
12% ------------ H
10% 1
8%
6% ------------
------------
4% 1
------------ ------------
2% 1 1
0%
-2%
-4%
-6%
Last Last 2 Last 3 Last 4
Qtr Qtrs Qtrs Qtrs
High 8.48 13.96 17.29 18.41
1st Qt 3.61 6.61 12.79 13.39
Median 2.34 5.49 8.65 11.65
3rd Qt -2.42 3.45 6.15 7.24
Low -5.01 -4.31 -4.35 -5.09
H Hancock
Net Ret 0.00 0.00 0.42 12.37
Rank 66 91 91 43
1 NCREIF Timberland Index
Net Ret 1.47 2.57 4.23 10.40
Rank 57 82 83 59
234
City of Clearwater Employees Pension Fund
Calendar Year Performance Comparison
Total Returns of Real Estate Portfolios
Years Ending December
20%
18%
16%
14%
12% ------------
10% 1
8%
6% —--------------
4% 1
2% ------------
0
-2%
-4%
-6%
-8%
-10%
9/30/14
YTD 2013
High 17.29 17.59
1st Qt 12.79 13.23
Median 8.65 8.76
3rd Qt 6.15 2.71
Low -4.35 -8.19
H Hancock
Net Ret 0.42 8.91
Rank 91 49
1 NCREIF Timberland Index
Net Ret 4.23 9.68
Rank 83 46
235
City of Clearwater Employees Pension Fund
Risk Measure Summary
Hancock
Quarterly Periods Ending 9/30/14
1 Year 3 Years 5 Years Inception
Risk Measures Portfolio Bench Portfolio Bench Portfolio Bench Portfolio Bench
Negative Periods 0 0 3 0
Positive Periods 4 4 6 9
Up Market Capture 1.19 0.85
Down Market Capture
Batting Average 0.25 0.22
Worst Quarter 0.00 1.08 1,83 0.75
Best Quarter 11.90 5.92 11.90 5.92
Worst 4 Quarters 12.37 10.40 5.88 9.35
Best 4 Quarters 12.37 10.40 12.37 10.40
Standard Deviation 11.77 4.55 9.43 4.20
Beta 2.19 2.00
Alpha 2,42 2,48
R-Squared 0.92 0.89
Sharpe Ratio 1.05 2.27 0.83 2.18
Treynor Ratio 5.64 3.90
Tracking Error 7.24 5.52
Information Ratio 0.28 0,20 -j
236
City of Clearwater Employees Pension Fund
Appendix
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.
237
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,
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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 BB 1 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
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