Monthly investment return 10/2011 |
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Preliminary
Oklahoma Police Pension & Retirement System
Periods Ending October 31, 2011
Asset Class Allocation
Market Values
(000s)
% Asset
Class
% Total
Portfolio % Cash Policy %
Over/Under
Target
Large Cap Equity $344,748 30.5% 20.0% -- 15.0% 5.0%
Small / Mid Cap Equity $160,827 14.2% 9.3% 2.5% 5.0% 4.3%
Long / Short Equity $237,063 21.0% 13.8% -- 15.0% (1.2%)
International Developed $165,172 14.6% 9.6% -- 10.0% (0.4%)
Emerging Markets $0 0.0% 0.0% -- 5.0% (5.0%)
Private Equity $221,594 19.6% 12.9% -- 10.0% 2.9%
Total Equity Composite $1,129,405 100.0% 65.5% 0.4% 60.0% 5.5%
Global Fixed Income $354,214 69.9% 20.5% 1.5% 15.0% 5.5%
Low Volatility Strategies $152,156 30.0% 8.8% -- 10.0% (1.2%)
Fixed Income Composite1 $507,079 100.0% 29.4% 1.1% 25.0% 4.4%
Core Real Estate $47,092 64.2% 2.7% 0.7% 5.0% (2.3%)
Opportunistic Real Estate $3,500 4.8% 0.2% -- 5.0% (4.8%)
Commodities $22,767 31.0% 1.3% -- 5.0% (3.7%)
Real Assets Composite $73,359 100.0% 4.3% 0.5% 15.0% (10.7%)
Cash $14,484 100.0% 0.8% 93.6% 0.0% 0.8%
Securities Lending Liability ($358)
Total Portfolio1 $1,723,969
*Excludes Securities Lending Liability
1 Fixed Income Composite and Total Fund includes $709,117 for illiquid securities in terminated account with Overseas CAP Partners.
Current Asset Allocation
by Asset Class*
Commodities
1.3%
Opportunistic
Real Estate
0.2%
Cash
0.8%
International
Developed
9.6% Emerging
Markets
0.0%
Private Equity
12.9%
Long / Short
Equity
13.8%
Small / Mid
Cap Equity
9.3%
Large Cap
Equity
20.0%
Low Volatility
Strategies
8.8%
Core Real
Estate
2.7%
Global Fixed
Income
20.6%
Policy Asset Allocation
Cash
0.0%
Opportunistic
Real Estate
5.0%
Core Real
Estate
5.0%
Low Volatility
Strategies
10.0%
Commodities
5.0%
Large Cap
Equity
15.0%
Global Fixed
Income
15.0%
Private Equity
10.0%
Emerging
Markets
5.0%
International
Developed
10.0%
Long / Short
Equity
15.0%
Small / Mid
Cap Equity
5.0%
0% 20% 40% 60% 80% 100%
Oct-02
Apr-03
Oct-03
Apr-04
Oct-04
Apr-05
Oct-05
Apr-06
Oct-06
Apr-07
Oct-07
Apr-08
Oct-08
Apr-09
Oct-09
Apr-10
Oct-10
Apr-11
Oct-11
Historical Asset Allocation*
Large Cap Equity Small/Mid Cap Equity
Long/Short Equity International Equity
Private Equity Global Fixed Income
Low Volatility Strategies Real Assets
Cash
© 2011 Asset Consulting Group All Rights Reserved. 1
Preliminary
Oklahoma Police Pension & Retirement System
Periods Ending October 31, 2011
Market Values
(000s)
% of Asset
Class
% of Total
Portfolio % Cash
One
Month
June 30,
FYTD YTD One Year
Three
Years Five Years Ten Years
Total Portfolio1 $1,723,969 1.4% 5.31 % (3.57)% 0.81 % 4.59 % 9.17 % 3.04 % 5.87 %
Total Portfolio Net of Fees 5.28 % (3.67)% 0.55 % 4.27 % 8.95 % 2.83 % 5.65 %
Policy Index 2
7.47 % (2.78)% 2.43 % 6.66 % 10.88 % 2.30 % 5.07 %
Equity Managers
Large Core
Mellon Cap Passive (7/98)3 $344,748 30.5% 20.0% -- 11.20 % (5.10)% 0.96 % 8.06 % 12.29 % 0.59 % 4.22 %
Russell 1000 11.21 % (5.12)% 0.93 % 8.02 % 12.22 % 0.54 % 4.17 %
Large Cap Equity Total $344,748 30.5% 20.0% --
Small / Mid Value
Boston Partners (6/97,4/99) $90,551 8.0% 5.3% 1.8% 14.23 % (9.15)% (2.32)% 7.24 % 17.99 % 2.50 % 9.47 %
Russell 2500 Value 13.92 % (10.11)% (4.64)% 4.49 % 12.91 % (0.01)% 8.42 %
Small Growth
William Blair (4/10) $70,276 6.2% 4.1% 3.6% 13.32 % (8.54)% 2.62 % 14.71 % N/A N/A N/A
Russell 2500 Growth 15.44 % (9.21)% 0.09 % 11.90 % 19.42 % 3.87 % 6.85 %
Small Cap Equity Total $160,827 14.2% 9.3% 2.5%
Long / Short Equity
Grosvenor (10/03) $164,350 14.6% 9.5% -- 4.12 % (5.05)% (3.48)% (1.04)% 4.92 % 1.18 % N/A
Attalus Capital (6/06) $72,712 6.4% 4.2% -- (0.69)% (5.79)% (4.41)% (3.85)% 1.79 % 1.02 % N/A
60% S&P 500/40% MSCI ACWI 10.70 % (5.88)% (0.47)% 5.54 % 11.18 % (0.22)% N/A
HFRI FOF Strategic 2.50 % (4.18)% (4.54)% (2.28)% 3.58 % 0.28 % 4.04 %
Long/Short Total $237,063 21.0% 13.8% --
International Equity
Artio International (3/04) $74,265 6.6% 4.3% -- 11.78 % (15.50)% (13.76)% (10.74)% 5.48 % (3.39)% N/A
MSCI ACWI ex US 10.54 % (11.32)% (7.67)% (4.24)% 13.44 % 0.07 % 8.05 %
Mondrian Int'l Value (4/04) $90,907 8.0% 5.3% -- 8.03 % (7.03)% 0.43 % 0.59 % 9.10 % (0.84)% N/A
MSCI EAFE 9.65 % (11.14)% (6.39)% (3.65)% 10.42 % (1.95)% 6.19 %
International Equity Total $165,172 14.6% 9.6% --
Private Equity Total $221,594 19.6% 12.9% -- (0.08)% 2.65 % 10.67 % 17.81 % 6.51 % 8.50 % N/A
Total Equity Composite $1,129,405 100.0% 65.5% 0.4% 7.09 % (5.24)% 0.27 % 5.71 % 8.97 % 1.37 % 4.64 %
Blend: 85% R3000/15% MSCI EAFE 11.23 % (6.38)% (0.57)% 6.13 % 12.05 % 0.22 % 4.69 %
3 Due to contributions and withdrawals in this account, the returns may differ from the performance of the fund.
2 The Policy Index is comprised of the following indices: 55% Russell 3000, 10% MSCI EAFE, 30% Barclays Capital Universal, and 5% NFI ODCE (net) as of November 2007. From June 1, 2007 to October 31, 2007 the Policy Index was
comprised of the following indices: 55% Russell 3000, 35% Barclays Capital Universal, and 10% MSCI EAFE. Prior to that the Policy Index was comprised of the following indices: 55% Russell 3000, 35% Barclays Capital Aggregate, and 10%
MSCI EAFE.
1 Total Fund includes $709,117 for illiquid securities in terminated account with Overseas CAP Partners.
© 2011 Asset Consulting Group All Rights Reserved. 2
Preliminary
Oklahoma Police Pension & Retirement System
Periods Ending October 31, 2011
Market Values
(000s)
% of Asset
Class
% of Total
Fund % Cash
One
Month
June 30,
FYTD YTD One Year Three Years Five Years Ten Years
Fixed Income Managers
Global Fixed Income
Agincourt (10/99) $157,431 31.0% 9.1% 3.4% 0.65 % 3.54 % 6.71 % 4.93 % 10.85 % 6.62 % 5.77 %
Oaktree Cap Mgmt. (12/97) $107,143 21.1% 6.2% -- 5.85 % (0.96)% 2.23 % 3.55 % 18.72 % 7.04 % 8.42 %
Barclays Capital Aggregate 0.11 % 3.94 % 6.79 % 5.03 % 8.89 % 6.42 % 5.46 %
Loomis Sayles (5/08) $89,640 17.7% 5.2% -- 2.85 % 1.17 % 6.54 % 4.24 % 13.87 % N/A N/A
Citigroup World Gov't Bond 0.54 % 2.93 % 7.06 % 3.73 % 8.65 % 7.45 % 7.41 %
Low Volatility Strategies
PAAMCO (10/02) $152,156 30.0% 8.8% -- 1.71 % (4.37)% (2.47)% (0.59)% 5.60 % 3.15 % N/A
HFRI FOF Conservative 0.18 % (3.69)% (3.38)% (1.86)% 1.54 % (0.29)% 2.87 %
Fixed Income Composite1 $507,079 100.0% 29.4% 1.1% 2.43 % (0.31)% 2.82 % 2.80 % 11.90 % 6.27 % 6.63 %
Barclays Capital Universal 0.57 % 3.46 % 6.47 % 4.83 % 9.70 % 6.36 % 5.73 %
Real Assets
Core Real Estate
Columbus Square (5/95) $4,034 5.5% 0.2% 8.3% 0.78 % 4.62 % 20.91 % 25.71 % 14.28 % 13.71 % 14.20 %
JP Morgan (11/07) $43,058 58.7% 2.5% -- 0.96 % 4.21 % 13.60 % 18.13 % (4.59)% N/A N/A
NFI ODCE (net) 3 N/A 3.37 % 12.00 % 17.26 % (7.20)% (0.87)% 4.95 %
Opportunistic Real Estate
Private Real Estate (8/11) $3,500 4.8% 0.2% -- N/A N/A N/A N/A N/A N/A N/A
Commodities
Mt. Lucas Composite2 $22,767 31.0% 1.3% -- (0.98)% (10.16)% (29.97)% (25.79)% (6.92)% 4.82 % 5.70 %
Real Assets Composite $73,359 100.0% 4.3% 0.5% 0.29 % (0.87)% (5.17)% (0.58)% (4.50)% 3.15 % 4.23 %
OK Invest $8,367 100.0% 0.5% 100.0% 0.34 % 1.18 % 3.34 % 3.84 % N/A N/A N/A
Cash $6,117 100.0% 0.4% 93.6% 0.37 % (0.13)% 0.58 % 0.93 % 1.15 % 2.03 % 2.28 %
Securities Lending Liability ($358)
1 Total includes $709,117 for illiquid securities in terminated account with Overseas CAP Partners.
3 Performance as of September 30, 2011.
2 Performance results prior to June 2004 include previous strategy performance.
© 2011 Asset Consulting Group All Rights Reserved. 3
Oklahoma Police Pension & Retirement System
Cash Outflows Cash Inflows Net Cash Flow
($4,216,964.00) $590,859.00 ($3,626,105.00)
Investment
Type Fund Name Inception Date
Committed
Capital
Remaining
Commitment
Contributed
Capital Distributions
Adjusted Ending
Value Total Value
Multiple
to Cost
Distressed Oaktree Opportunities Fund II Feb-98 $ 3 ,000,000 $ - $ 3 ,000,000 $ 4 ,523,349 $ 5 30 $ 4 ,523,879 1.51
Oaktree Opportunities Fund III Sep-99 $ 5 ,000,000 $ - $ 5 ,000,000 $ 7 ,429,299 $ 7 1,847 $ 7 ,501,146 1.50
Oaktree Opportunities Fund IV Dec-01 $ 10,000,000 $ - $ 1 0,000,000 $ 1 6,764,538 $ 3 0,490 $ 1 6,795,028 1.68
Siguler Guff Dist Opp I Jan-03 $ 20,000,000 $ 7 41,414 $ 1 9,568,416 $ 2 1,236,497 $ 9 ,357,604 $ 3 0,594,101 1.56
Oaktree Opportunities Fund V Jun-04 $ 4 ,000,000 $ - $ 4 ,000,000 $ 5 ,494,659 $ 9 82,192 $ 6 ,476,851 1.62
Oaktree Opportunities Fund VI Aug-05 $ 4 ,000,000 $ 4 01,485 $ 3 ,598,515 $ 2 ,950,252 $ 2 ,675,602 $ 5 ,625,854 1.56
Siguler Guff Dist Opp II Sep-05 $ 20,000,000 $ - $ 2 0,006,044 $ 1 4,197,387 $ 14,147,185 $ 2 8,344,572 1.42
Oaktree Opportunities VII A Mar-07 $ 7 ,500,000 $ - $ 7 ,500,000 $ 4 ,233,753 $ 5 ,485,868 $ 9 ,719,621 1.30
Oaktree Opportunities VII B May-08 $ 7 ,500,000 $ 7 50,000 $ 6 ,750,000 $ 3 ,712,500 $ 7 ,118,801 $ 1 0,831,301 1.60
Siguler Guff Dist Opp III Aug-08 $ 15,000,000 $ 3,900,000 $ 1 1,180,311 $ 1 ,813,697 $ 13,407,869 $ 1 5,221,566 1.36
Oaktree Opportunities VIII Nov-09 $ 7 ,500,000 $ 1,125,000 $ 6 ,375,000 $ 57,431 $ 7 ,654,319 $ 7 ,711,750 1.21
Total Distressed Feb-98 $ 1 03,500,000 $ 6 ,917,899 $ 96,978,286 $ 82,413,362 $ 60,932,307 $ 1 43,345,669 1.48
Venture
Capital Weiss, Peck & Greer V, LLC Jul-99 $ 7 ,000,000 $ 6 7,594 $ 6 ,932,406 $ 4 ,342,924 $ 8 04,273 $ 5 ,147,197 0.74
Firstmark Venture Partners II (Pequot Feb-00 $ 1 ,000,000 $ 4 5,000 $ 955,000 $ 269,753 $ 3 9,128 $ 308,881 0.32
Firstmark Private Equity Fd III (Pequo Oct-00 $ 15,000,000 $ 2 95,500 $ 1 4,738,625 $ 1 0,440,630 $ 5 ,485,828 $ 1 5,926,458 1.08
Lightspeed Venture Partners VI Oct-00 $ 12,000,000 $ 9 89,730 $ 1 1,010,270 $ 7 ,654,403 $ 3 ,761,071 $ 1 1,415,474 1.04
Venture Lending & Leasing Fund May-01 $ 6 ,000,000 $ - $ 4 ,500,000 $ 5 ,128,110 $ 4 07,565 $ 5 ,535,675 1.23
Accel Europe Jun-01 $ 10,000,000 $ - $ 1 0,000,000 $ 6 ,556,673 $ 4 ,801,970 $ 1 1,358,643 1.14
Knightsbridge Fund VI Dec-04 $ 12,000,000 $ 2,120,000 $ 9 ,880,000 $ - $ 9 ,968,515 $ 9 ,968,515 1.01
Firstmark IV (Pequot) Nov-05 $ 5 ,000,000 $ (5,435) $ 5 ,005,435 $ 4 ,423,450 $ 4 ,925,848 $ 9 ,349,298 1.87
Weathergage Venture Capital Mar-07 $ 7 ,500,000 $ 2,625,000 $ 4 ,875,000 $ 167,964 $ 5 ,305,601 $ 5 ,473,565 1.12
Warburg Pincus Sep-07 $ 15,000,000 $ 2,295,000 $ 1 2,705,000 $ 755,365 $ 12,764,086 $ 1 3,519,451 1.06
Weathergage Venture Cap II Mar-11 $ 7 ,500,000 $ 6,375,000 $ 1 ,125,000 $ - $ 1 ,074,693 $ 1 ,074,693 0.96
Firstmark V Jul-11 $ 5 ,000,000 $ 4,625,000 $ 375,000 $ - $ 3 75,000 $ 375,000 1.00
Total Venture Capital Jul-99 $ 1 03,000,000 $ 1 9,432,389 $ 8 2,101,736 $ 39,739,272 $ 4 9,713,578 $ 89,452,850 1.09
Mezzanine TCW Crescent II Mar-99 $ 7 ,000,000 $ - $ 6 ,726,192 $ 9 ,793,612 $ - $ 9 ,793,612 1.46
TCW Crescent Mezzanine Partner III Jul-01 $ 10,000,000 $ 2 00,324 $ 1 0,188,852 $ 1 9,688,929 $ 1 ,189,899 $ 2 0,878,828 2.05
TCW Crescent IV Jun-06 $ 10,000,000 $ 1,921,113 $ 9 ,873,143 $ 6 ,107,630 $ 5 ,762,047 $ 1 1,869,677 1.20
Newstone Capital Partners Oct-06 $ 5 ,000,000 $ 3 03,149 $ 5 ,334,820 $ 3 ,212,935 $ 2 ,448,975 $ 5 ,661,910 1.06
TCW Mezzanine Fund V Jan-08 $ 1 0,000,000 $ 4,679,918 $ 5 ,320,082 $ 7,515 $ 6 ,162,078 $ 6 ,169,593 1.16
For the Periods Ending October 31, 2011
Private Equity Composite
Summary of Cash Flows for October 2011
© 2011 Asset Consulting Group All Rights Reserved 4
Investment
Type Fund Name Inception Date
Committed
Capital
Remaining
Commitment
Contributed
Capital Distributions
Adjusted Ending
Value Total Value
Multiple
to Cost
Newstone Capital Partners II Jan-10 $ 7 ,500,000 $ 4,744,405 $ 2 ,755,595 $ 711,069 $ 2 ,037,807 $ 2 ,748,876 1.00
Total Mezzanine Mar-99 $ 49,500,000 $ 11,848,909 $ 40,198,684 $ 39,521,690 $ 1 7,600,806 $ 57,122,496 1.42
Buyout Marathon IV Apr-99 $ 7 ,000,000 $ 1 66,075 $ 7 ,462,426 $ 9 ,774,795 $ 4 11,860 $ 1 0,186,655 1.37
Hicks, Muse Oct-01 $ 15,000,000 $ 7 76,720 $ 1 6,211,210 $ 2 6,024,370 $ 1 ,331,294 $ 2 7,355,664 1.69
Calera Capital (Fremont III) Jan-02 $ 1 0,000,000 $ 4 20,843 $ 1 0,848,680 $ 4 ,370,914 $ 5 ,440,421 $ 9 ,811,335 0.90
Arsenal Capital Partners Jan-03 $ 1 5,000,000 $ 1,688,741 $ 1 6,112,892 $ 2 7,730,615 $ 3 ,290,937 $ 3 1,021,552 1.93
Levine Leichtman Jan-03 $ 10,000,000 $ 5 39,387 $ 1 0,496,887 $ 8 ,214,995 $ 5 ,099,588 $ 1 3,314,583 1.27
Marathon Fund Limited Partnership V Dec-04 $ 10,000,000 $ 2 26,322 $ 1 0,340,563 $ 3 ,822,417 $ 12,405,591 $ 1 6,228,008 1.57
Arsenal Capital Partners II Sep-06 $ 15,000,000 $ 2,800,799 $ 1 2,509,791 $ 476,674 $ 15,524,374 $ 1 6,001,048 1.28
Thompson Street C.P. II Dec-06 $ 10,000,000 $ 9 01,072 $ 9 ,082,082 $ 3 ,625,705 $ 9 ,210,757 $ 1 2,836,462 1.41
Sun Capital Partners V Apr-07 $ 1 2,500,000 $ 4,917,904 $ 7 ,585,842 $ 1 ,298,890 $ 6 ,939,696 $ 8 ,238,586 1.09
HM Capital Sector Performance Fund May-07 $ 15,000,000 $ 8 45,661 $ 1 4,227,908 $ 1 ,477,616 $ 7 ,158,411 $ 8 ,636,027 0.61
Calera Capital Fund IV Jan-08 $ 1 0,000,000 $ 3,336,545 $ 6 ,663,455 $ 41,721 $ 6 ,425,984 $ 6 ,467,705 0.97
Levine Leichtman IV Aug-08 $ 10,000,000 $ 5,631,851 $ 4 ,625,452 $ 636,604 $ 5 ,484,700 $ 6 ,121,304 1.32
Thompson Street Capital III Aug-11 $ 7 ,500,000 $ 7,425,509 $ 74,491 $ - $ - $ - 0.00
Total Buyout Apr-99 $ 1 47,000,000 $ 2 9,677,429 $ 1 26,241,679 $ 87,495,316 $ 7 8,723,613 $ 1 66,218,929 1.32
Secondary
Fund of Funds Lexington VI Dec-05 $ 20,000,000 $ 4 75,486 $ 1 9,593,409 $ 7 ,878,700 $ 14,623,938 $ 2 2,502,638 1.15
Total Secondary Fund of Funds Dec-05 $ 20,000,000 $ 475,486 $ 19,593,409 $ 7 ,878,700 $ 1 4,623,938 $ 22,502,638 1.15
Total $ 423,000,000 $ 68,352,112 $ 3 65,113,794 $ 257,048,340 $ 2 21,594,242 $ 478,642,582 1.31
© 2011 Asset Consulting Group All Rights Reserved 5
Activity for the Month of October
Distressed
Oaktree Opportunities VIII
Venture Capital
Firstmark IV (Pequot)
Weathergage Venture Capital
Warburg Pincus
Mezzanine
TCW Mezzanine Fund V
Buyout
Levine Leichtman
Marathon Fund Limited Partnership V
Thompson Street C.P. II
Sun Capital Partners V
HM Capital Sector Performance Fund
Levine Leichtman IV
Thompson Street Capital III
Secondary Fund of Funds
Lexington VI
Private Equity Composite
On October 14, 2011 this fund made a capital call- $375,000
On October 3, 2011 this fund made a capital call - $205,435
On October 31, 2011 this fund made a capital call- $300,000
On October 18, 2011 this fund made capital call- $600,00
On October 27, 2011 this fund made a capital call- $363,992
On October 19, 2011 this fund made a call for management fees- $7,721
On October 30, 2011 this fund made a distribution of interest- $21,328
On October 3, 2011 this fund made a call for management fees and expenses- $33,695
On October 3, 2011 this fund made a capital call- $916,514
On October 27, 2011 this fund made a capital call- $238,018
On October 11, 2011 this fund made a capital call- $328,125
On October 11, 2011 this fund made a distribution of principal (recallable)- $225,765
On October 31, 2011 this fund made a distribution- $317,976
On October 11, 2011 this fund made a distibution of interest- $25,790
On October 27, 2011 this fund made a capital call- $586,988
On October 3, 2011 this fund made a capital call for fees and expenses- $74,491
On October 6, 2011 this fund made a capital call- $186,985
© 2011 Asset Consulting Group All Rights Reserved 6
Oklahoma Police Pension & Retirement System
Cash Outflows Cash Inflows Net Cash Flow
$0.00 $0.00 $0.00
Fund Name Inception Date
Committed
Capital
Remaining
Commitment
Contributed
Capital Distributions
Adjusted Ending
Value Total Value
Multiple
to Cost
Siguler Guff Dist. Real Estate Opp. Jul-11 $ 10,000,000 $ 6,500,000 $ 3,500,000 $ - $ 3 ,500,000 $ 3 ,500,000 1.00
Total $ 1 0,000,000 $ 6 ,500,000 $ 3,500,000 $ - $ 3 ,500,000 $ 3 ,500,000 1.00
Activity for the Month of October
---
For the Periods Ending October 31, 2011
Real Estate
Summary of Cash Flows for October 2011
© 2011 Asset Consulting Group All Rights Reserved 7
Preliminary
Oklahoma Police Pension & Retirement System
Periods Ending October 31, 2011
One
Month
June 30,
FYTD YTD One Year Three Years Five Years Ten Years
Equity Markets - Core
S&P 500 10.93 % (4.45)% 1.31 % 8.09 % 11.40 % 0.24 % 3.69 %
Russell 1000 11.21 % (5.12)% 0.93 % 8.02 % 12.22 % 0.54 % 4.17 %
Russell 3000 11.51 % (5.53)% 0.47 % 7.90 % 12.27 % 0.55 % 4.37 %
Russell 2000 15.14 % (10.03)% (4.46)% 6.71 % 12.87 % 0.68 % 7.02 %
Russell 2500 14.66 % (9.68)% (2.39)% 7.97 % 16.03 % 2.01 % 8.01 %
Russell Mid Cap 13.01 % (8.35)% (0.95)% 7.83 % 17.82 % 2.26 % 8.35 %
Equity Markets - Growth
Russell 1000 Growth 10.97 % (3.61)% 2.97 % 9.91 % 15.62 % 3.04 % 3.56 %
Russell 2000 Growth 15.86 % (9.93)% (2.19)% 9.82 % 16.30 % 2.67 % 6.04 %
Russell 2500 Growth 15.44 % (9.21)% 0.09 % 11.90 % 19.42 % 3.87 % 6.85 %
Russell Mid Cap Growth 13.48 % (8.45)% 0.33 % 10.09 % 19.96 % 3.46 % 6.98 %
Equity Markets - Value
Russell 1000 Value 11.45 % (6.61)% (1.09)% 6.15 % 8.78 % (2.05)% 4.57 %
Russell 2000 Value 14.41 % (10.16)% (6.78)% 3.54 % 9.52 % (1.42)% 7.63 %
Russell 2500 Value 13.92 % (10.11)% (4.64)% 4.49 % 12.91 % (0.01)% 8.42 %
Russell Mid Cap Value 12.55 % (8.24)% (2.08)% 5.85 % 15.62 % 0.73 % 8.76 %
International Markets
MSCI EAFE 9.65 % (11.14)% (6.39)% (3.65)% 10.42 % (1.95)% 6.19 %
MSCI World ex U.S. 10.34 % (8.00)% (3.13)% 1.75 % 10.76 % (1.00)% 4.54 %
MSCI World 10.37 % (7.86)% (2.68)% 2.31 % 11.40 % (0.44)% 5.09 %
Fixed Income
BofA ML 1-3 Yr Treasury Bonds 0.09 % 0.58 % 1.46 % 1.08 % 2.11 % 3.78 % 3.23 %
BofA ML High Yield 5.88 % (0.65)% 4.21 % 4.81 % 22.75 % 7.76 % 8.78 %
Barclays Capital Aggregate 0.11 % 3.94 % 6.79 % 5.03 % 8.89 % 6.42 % 5.46 %
Barclays Capital Intermediate Gov't/Credit 0.30 % 2.70 % 5.23 % 3.22 % 7.62 % 5.87 % 4.98 %
Barclays Capital 10 Year Municipal Bond (0.49)% 3.56 % 8.27 % 4.77 % 8.63 % 5.62 % 5.26 %
Barclays Capital U.S. Credit Index 1.46 % 4.54 % 8.10 % 5.95 % 14.54 % 6.86 % 6.16 %
© 2011 Asset Consulting Group All Rights Reserved. 8
Object Description
Description
| Title | Monthly investment return 10/2011 |
| OkDocs Class# | P2000.6 M781i 10/2011 |
| Digital Format | PDF, Adobe Reader required |
| ODL electronic copy | Downloaded from agency website: http://www.ok.gov/OPPRS/documents/ASAP%20201110.pdf |
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| Language | English |
| Full text | Preliminary Oklahoma Police Pension & Retirement System Periods Ending October 31, 2011 Asset Class Allocation Market Values (000s) % Asset Class % Total Portfolio % Cash Policy % Over/Under Target Large Cap Equity $344,748 30.5% 20.0% -- 15.0% 5.0% Small / Mid Cap Equity $160,827 14.2% 9.3% 2.5% 5.0% 4.3% Long / Short Equity $237,063 21.0% 13.8% -- 15.0% (1.2%) International Developed $165,172 14.6% 9.6% -- 10.0% (0.4%) Emerging Markets $0 0.0% 0.0% -- 5.0% (5.0%) Private Equity $221,594 19.6% 12.9% -- 10.0% 2.9% Total Equity Composite $1,129,405 100.0% 65.5% 0.4% 60.0% 5.5% Global Fixed Income $354,214 69.9% 20.5% 1.5% 15.0% 5.5% Low Volatility Strategies $152,156 30.0% 8.8% -- 10.0% (1.2%) Fixed Income Composite1 $507,079 100.0% 29.4% 1.1% 25.0% 4.4% Core Real Estate $47,092 64.2% 2.7% 0.7% 5.0% (2.3%) Opportunistic Real Estate $3,500 4.8% 0.2% -- 5.0% (4.8%) Commodities $22,767 31.0% 1.3% -- 5.0% (3.7%) Real Assets Composite $73,359 100.0% 4.3% 0.5% 15.0% (10.7%) Cash $14,484 100.0% 0.8% 93.6% 0.0% 0.8% Securities Lending Liability ($358) Total Portfolio1 $1,723,969 *Excludes Securities Lending Liability 1 Fixed Income Composite and Total Fund includes $709,117 for illiquid securities in terminated account with Overseas CAP Partners. Current Asset Allocation by Asset Class* Commodities 1.3% Opportunistic Real Estate 0.2% Cash 0.8% International Developed 9.6% Emerging Markets 0.0% Private Equity 12.9% Long / Short Equity 13.8% Small / Mid Cap Equity 9.3% Large Cap Equity 20.0% Low Volatility Strategies 8.8% Core Real Estate 2.7% Global Fixed Income 20.6% Policy Asset Allocation Cash 0.0% Opportunistic Real Estate 5.0% Core Real Estate 5.0% Low Volatility Strategies 10.0% Commodities 5.0% Large Cap Equity 15.0% Global Fixed Income 15.0% Private Equity 10.0% Emerging Markets 5.0% International Developed 10.0% Long / Short Equity 15.0% Small / Mid Cap Equity 5.0% 0% 20% 40% 60% 80% 100% Oct-02 Apr-03 Oct-03 Apr-04 Oct-04 Apr-05 Oct-05 Apr-06 Oct-06 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Historical Asset Allocation* Large Cap Equity Small/Mid Cap Equity Long/Short Equity International Equity Private Equity Global Fixed Income Low Volatility Strategies Real Assets Cash © 2011 Asset Consulting Group All Rights Reserved. 1 Preliminary Oklahoma Police Pension & Retirement System Periods Ending October 31, 2011 Market Values (000s) % of Asset Class % of Total Portfolio % Cash One Month June 30, FYTD YTD One Year Three Years Five Years Ten Years Total Portfolio1 $1,723,969 1.4% 5.31 % (3.57)% 0.81 % 4.59 % 9.17 % 3.04 % 5.87 % Total Portfolio Net of Fees 5.28 % (3.67)% 0.55 % 4.27 % 8.95 % 2.83 % 5.65 % Policy Index 2 7.47 % (2.78)% 2.43 % 6.66 % 10.88 % 2.30 % 5.07 % Equity Managers Large Core Mellon Cap Passive (7/98)3 $344,748 30.5% 20.0% -- 11.20 % (5.10)% 0.96 % 8.06 % 12.29 % 0.59 % 4.22 % Russell 1000 11.21 % (5.12)% 0.93 % 8.02 % 12.22 % 0.54 % 4.17 % Large Cap Equity Total $344,748 30.5% 20.0% -- Small / Mid Value Boston Partners (6/97,4/99) $90,551 8.0% 5.3% 1.8% 14.23 % (9.15)% (2.32)% 7.24 % 17.99 % 2.50 % 9.47 % Russell 2500 Value 13.92 % (10.11)% (4.64)% 4.49 % 12.91 % (0.01)% 8.42 % Small Growth William Blair (4/10) $70,276 6.2% 4.1% 3.6% 13.32 % (8.54)% 2.62 % 14.71 % N/A N/A N/A Russell 2500 Growth 15.44 % (9.21)% 0.09 % 11.90 % 19.42 % 3.87 % 6.85 % Small Cap Equity Total $160,827 14.2% 9.3% 2.5% Long / Short Equity Grosvenor (10/03) $164,350 14.6% 9.5% -- 4.12 % (5.05)% (3.48)% (1.04)% 4.92 % 1.18 % N/A Attalus Capital (6/06) $72,712 6.4% 4.2% -- (0.69)% (5.79)% (4.41)% (3.85)% 1.79 % 1.02 % N/A 60% S&P 500/40% MSCI ACWI 10.70 % (5.88)% (0.47)% 5.54 % 11.18 % (0.22)% N/A HFRI FOF Strategic 2.50 % (4.18)% (4.54)% (2.28)% 3.58 % 0.28 % 4.04 % Long/Short Total $237,063 21.0% 13.8% -- International Equity Artio International (3/04) $74,265 6.6% 4.3% -- 11.78 % (15.50)% (13.76)% (10.74)% 5.48 % (3.39)% N/A MSCI ACWI ex US 10.54 % (11.32)% (7.67)% (4.24)% 13.44 % 0.07 % 8.05 % Mondrian Int'l Value (4/04) $90,907 8.0% 5.3% -- 8.03 % (7.03)% 0.43 % 0.59 % 9.10 % (0.84)% N/A MSCI EAFE 9.65 % (11.14)% (6.39)% (3.65)% 10.42 % (1.95)% 6.19 % International Equity Total $165,172 14.6% 9.6% -- Private Equity Total $221,594 19.6% 12.9% -- (0.08)% 2.65 % 10.67 % 17.81 % 6.51 % 8.50 % N/A Total Equity Composite $1,129,405 100.0% 65.5% 0.4% 7.09 % (5.24)% 0.27 % 5.71 % 8.97 % 1.37 % 4.64 % Blend: 85% R3000/15% MSCI EAFE 11.23 % (6.38)% (0.57)% 6.13 % 12.05 % 0.22 % 4.69 % 3 Due to contributions and withdrawals in this account, the returns may differ from the performance of the fund. 2 The Policy Index is comprised of the following indices: 55% Russell 3000, 10% MSCI EAFE, 30% Barclays Capital Universal, and 5% NFI ODCE (net) as of November 2007. From June 1, 2007 to October 31, 2007 the Policy Index was comprised of the following indices: 55% Russell 3000, 35% Barclays Capital Universal, and 10% MSCI EAFE. Prior to that the Policy Index was comprised of the following indices: 55% Russell 3000, 35% Barclays Capital Aggregate, and 10% MSCI EAFE. 1 Total Fund includes $709,117 for illiquid securities in terminated account with Overseas CAP Partners. © 2011 Asset Consulting Group All Rights Reserved. 2 Preliminary Oklahoma Police Pension & Retirement System Periods Ending October 31, 2011 Market Values (000s) % of Asset Class % of Total Fund % Cash One Month June 30, FYTD YTD One Year Three Years Five Years Ten Years Fixed Income Managers Global Fixed Income Agincourt (10/99) $157,431 31.0% 9.1% 3.4% 0.65 % 3.54 % 6.71 % 4.93 % 10.85 % 6.62 % 5.77 % Oaktree Cap Mgmt. (12/97) $107,143 21.1% 6.2% -- 5.85 % (0.96)% 2.23 % 3.55 % 18.72 % 7.04 % 8.42 % Barclays Capital Aggregate 0.11 % 3.94 % 6.79 % 5.03 % 8.89 % 6.42 % 5.46 % Loomis Sayles (5/08) $89,640 17.7% 5.2% -- 2.85 % 1.17 % 6.54 % 4.24 % 13.87 % N/A N/A Citigroup World Gov't Bond 0.54 % 2.93 % 7.06 % 3.73 % 8.65 % 7.45 % 7.41 % Low Volatility Strategies PAAMCO (10/02) $152,156 30.0% 8.8% -- 1.71 % (4.37)% (2.47)% (0.59)% 5.60 % 3.15 % N/A HFRI FOF Conservative 0.18 % (3.69)% (3.38)% (1.86)% 1.54 % (0.29)% 2.87 % Fixed Income Composite1 $507,079 100.0% 29.4% 1.1% 2.43 % (0.31)% 2.82 % 2.80 % 11.90 % 6.27 % 6.63 % Barclays Capital Universal 0.57 % 3.46 % 6.47 % 4.83 % 9.70 % 6.36 % 5.73 % Real Assets Core Real Estate Columbus Square (5/95) $4,034 5.5% 0.2% 8.3% 0.78 % 4.62 % 20.91 % 25.71 % 14.28 % 13.71 % 14.20 % JP Morgan (11/07) $43,058 58.7% 2.5% -- 0.96 % 4.21 % 13.60 % 18.13 % (4.59)% N/A N/A NFI ODCE (net) 3 N/A 3.37 % 12.00 % 17.26 % (7.20)% (0.87)% 4.95 % Opportunistic Real Estate Private Real Estate (8/11) $3,500 4.8% 0.2% -- N/A N/A N/A N/A N/A N/A N/A Commodities Mt. Lucas Composite2 $22,767 31.0% 1.3% -- (0.98)% (10.16)% (29.97)% (25.79)% (6.92)% 4.82 % 5.70 % Real Assets Composite $73,359 100.0% 4.3% 0.5% 0.29 % (0.87)% (5.17)% (0.58)% (4.50)% 3.15 % 4.23 % OK Invest $8,367 100.0% 0.5% 100.0% 0.34 % 1.18 % 3.34 % 3.84 % N/A N/A N/A Cash $6,117 100.0% 0.4% 93.6% 0.37 % (0.13)% 0.58 % 0.93 % 1.15 % 2.03 % 2.28 % Securities Lending Liability ($358) 1 Total includes $709,117 for illiquid securities in terminated account with Overseas CAP Partners. 3 Performance as of September 30, 2011. 2 Performance results prior to June 2004 include previous strategy performance. © 2011 Asset Consulting Group All Rights Reserved. 3 Oklahoma Police Pension & Retirement System Cash Outflows Cash Inflows Net Cash Flow ($4,216,964.00) $590,859.00 ($3,626,105.00) Investment Type Fund Name Inception Date Committed Capital Remaining Commitment Contributed Capital Distributions Adjusted Ending Value Total Value Multiple to Cost Distressed Oaktree Opportunities Fund II Feb-98 $ 3 ,000,000 $ - $ 3 ,000,000 $ 4 ,523,349 $ 5 30 $ 4 ,523,879 1.51 Oaktree Opportunities Fund III Sep-99 $ 5 ,000,000 $ - $ 5 ,000,000 $ 7 ,429,299 $ 7 1,847 $ 7 ,501,146 1.50 Oaktree Opportunities Fund IV Dec-01 $ 10,000,000 $ - $ 1 0,000,000 $ 1 6,764,538 $ 3 0,490 $ 1 6,795,028 1.68 Siguler Guff Dist Opp I Jan-03 $ 20,000,000 $ 7 41,414 $ 1 9,568,416 $ 2 1,236,497 $ 9 ,357,604 $ 3 0,594,101 1.56 Oaktree Opportunities Fund V Jun-04 $ 4 ,000,000 $ - $ 4 ,000,000 $ 5 ,494,659 $ 9 82,192 $ 6 ,476,851 1.62 Oaktree Opportunities Fund VI Aug-05 $ 4 ,000,000 $ 4 01,485 $ 3 ,598,515 $ 2 ,950,252 $ 2 ,675,602 $ 5 ,625,854 1.56 Siguler Guff Dist Opp II Sep-05 $ 20,000,000 $ - $ 2 0,006,044 $ 1 4,197,387 $ 14,147,185 $ 2 8,344,572 1.42 Oaktree Opportunities VII A Mar-07 $ 7 ,500,000 $ - $ 7 ,500,000 $ 4 ,233,753 $ 5 ,485,868 $ 9 ,719,621 1.30 Oaktree Opportunities VII B May-08 $ 7 ,500,000 $ 7 50,000 $ 6 ,750,000 $ 3 ,712,500 $ 7 ,118,801 $ 1 0,831,301 1.60 Siguler Guff Dist Opp III Aug-08 $ 15,000,000 $ 3,900,000 $ 1 1,180,311 $ 1 ,813,697 $ 13,407,869 $ 1 5,221,566 1.36 Oaktree Opportunities VIII Nov-09 $ 7 ,500,000 $ 1,125,000 $ 6 ,375,000 $ 57,431 $ 7 ,654,319 $ 7 ,711,750 1.21 Total Distressed Feb-98 $ 1 03,500,000 $ 6 ,917,899 $ 96,978,286 $ 82,413,362 $ 60,932,307 $ 1 43,345,669 1.48 Venture Capital Weiss, Peck & Greer V, LLC Jul-99 $ 7 ,000,000 $ 6 7,594 $ 6 ,932,406 $ 4 ,342,924 $ 8 04,273 $ 5 ,147,197 0.74 Firstmark Venture Partners II (Pequot Feb-00 $ 1 ,000,000 $ 4 5,000 $ 955,000 $ 269,753 $ 3 9,128 $ 308,881 0.32 Firstmark Private Equity Fd III (Pequo Oct-00 $ 15,000,000 $ 2 95,500 $ 1 4,738,625 $ 1 0,440,630 $ 5 ,485,828 $ 1 5,926,458 1.08 Lightspeed Venture Partners VI Oct-00 $ 12,000,000 $ 9 89,730 $ 1 1,010,270 $ 7 ,654,403 $ 3 ,761,071 $ 1 1,415,474 1.04 Venture Lending & Leasing Fund May-01 $ 6 ,000,000 $ - $ 4 ,500,000 $ 5 ,128,110 $ 4 07,565 $ 5 ,535,675 1.23 Accel Europe Jun-01 $ 10,000,000 $ - $ 1 0,000,000 $ 6 ,556,673 $ 4 ,801,970 $ 1 1,358,643 1.14 Knightsbridge Fund VI Dec-04 $ 12,000,000 $ 2,120,000 $ 9 ,880,000 $ - $ 9 ,968,515 $ 9 ,968,515 1.01 Firstmark IV (Pequot) Nov-05 $ 5 ,000,000 $ (5,435) $ 5 ,005,435 $ 4 ,423,450 $ 4 ,925,848 $ 9 ,349,298 1.87 Weathergage Venture Capital Mar-07 $ 7 ,500,000 $ 2,625,000 $ 4 ,875,000 $ 167,964 $ 5 ,305,601 $ 5 ,473,565 1.12 Warburg Pincus Sep-07 $ 15,000,000 $ 2,295,000 $ 1 2,705,000 $ 755,365 $ 12,764,086 $ 1 3,519,451 1.06 Weathergage Venture Cap II Mar-11 $ 7 ,500,000 $ 6,375,000 $ 1 ,125,000 $ - $ 1 ,074,693 $ 1 ,074,693 0.96 Firstmark V Jul-11 $ 5 ,000,000 $ 4,625,000 $ 375,000 $ - $ 3 75,000 $ 375,000 1.00 Total Venture Capital Jul-99 $ 1 03,000,000 $ 1 9,432,389 $ 8 2,101,736 $ 39,739,272 $ 4 9,713,578 $ 89,452,850 1.09 Mezzanine TCW Crescent II Mar-99 $ 7 ,000,000 $ - $ 6 ,726,192 $ 9 ,793,612 $ - $ 9 ,793,612 1.46 TCW Crescent Mezzanine Partner III Jul-01 $ 10,000,000 $ 2 00,324 $ 1 0,188,852 $ 1 9,688,929 $ 1 ,189,899 $ 2 0,878,828 2.05 TCW Crescent IV Jun-06 $ 10,000,000 $ 1,921,113 $ 9 ,873,143 $ 6 ,107,630 $ 5 ,762,047 $ 1 1,869,677 1.20 Newstone Capital Partners Oct-06 $ 5 ,000,000 $ 3 03,149 $ 5 ,334,820 $ 3 ,212,935 $ 2 ,448,975 $ 5 ,661,910 1.06 TCW Mezzanine Fund V Jan-08 $ 1 0,000,000 $ 4,679,918 $ 5 ,320,082 $ 7,515 $ 6 ,162,078 $ 6 ,169,593 1.16 For the Periods Ending October 31, 2011 Private Equity Composite Summary of Cash Flows for October 2011 © 2011 Asset Consulting Group All Rights Reserved 4 Investment Type Fund Name Inception Date Committed Capital Remaining Commitment Contributed Capital Distributions Adjusted Ending Value Total Value Multiple to Cost Newstone Capital Partners II Jan-10 $ 7 ,500,000 $ 4,744,405 $ 2 ,755,595 $ 711,069 $ 2 ,037,807 $ 2 ,748,876 1.00 Total Mezzanine Mar-99 $ 49,500,000 $ 11,848,909 $ 40,198,684 $ 39,521,690 $ 1 7,600,806 $ 57,122,496 1.42 Buyout Marathon IV Apr-99 $ 7 ,000,000 $ 1 66,075 $ 7 ,462,426 $ 9 ,774,795 $ 4 11,860 $ 1 0,186,655 1.37 Hicks, Muse Oct-01 $ 15,000,000 $ 7 76,720 $ 1 6,211,210 $ 2 6,024,370 $ 1 ,331,294 $ 2 7,355,664 1.69 Calera Capital (Fremont III) Jan-02 $ 1 0,000,000 $ 4 20,843 $ 1 0,848,680 $ 4 ,370,914 $ 5 ,440,421 $ 9 ,811,335 0.90 Arsenal Capital Partners Jan-03 $ 1 5,000,000 $ 1,688,741 $ 1 6,112,892 $ 2 7,730,615 $ 3 ,290,937 $ 3 1,021,552 1.93 Levine Leichtman Jan-03 $ 10,000,000 $ 5 39,387 $ 1 0,496,887 $ 8 ,214,995 $ 5 ,099,588 $ 1 3,314,583 1.27 Marathon Fund Limited Partnership V Dec-04 $ 10,000,000 $ 2 26,322 $ 1 0,340,563 $ 3 ,822,417 $ 12,405,591 $ 1 6,228,008 1.57 Arsenal Capital Partners II Sep-06 $ 15,000,000 $ 2,800,799 $ 1 2,509,791 $ 476,674 $ 15,524,374 $ 1 6,001,048 1.28 Thompson Street C.P. II Dec-06 $ 10,000,000 $ 9 01,072 $ 9 ,082,082 $ 3 ,625,705 $ 9 ,210,757 $ 1 2,836,462 1.41 Sun Capital Partners V Apr-07 $ 1 2,500,000 $ 4,917,904 $ 7 ,585,842 $ 1 ,298,890 $ 6 ,939,696 $ 8 ,238,586 1.09 HM Capital Sector Performance Fund May-07 $ 15,000,000 $ 8 45,661 $ 1 4,227,908 $ 1 ,477,616 $ 7 ,158,411 $ 8 ,636,027 0.61 Calera Capital Fund IV Jan-08 $ 1 0,000,000 $ 3,336,545 $ 6 ,663,455 $ 41,721 $ 6 ,425,984 $ 6 ,467,705 0.97 Levine Leichtman IV Aug-08 $ 10,000,000 $ 5,631,851 $ 4 ,625,452 $ 636,604 $ 5 ,484,700 $ 6 ,121,304 1.32 Thompson Street Capital III Aug-11 $ 7 ,500,000 $ 7,425,509 $ 74,491 $ - $ - $ - 0.00 Total Buyout Apr-99 $ 1 47,000,000 $ 2 9,677,429 $ 1 26,241,679 $ 87,495,316 $ 7 8,723,613 $ 1 66,218,929 1.32 Secondary Fund of Funds Lexington VI Dec-05 $ 20,000,000 $ 4 75,486 $ 1 9,593,409 $ 7 ,878,700 $ 14,623,938 $ 2 2,502,638 1.15 Total Secondary Fund of Funds Dec-05 $ 20,000,000 $ 475,486 $ 19,593,409 $ 7 ,878,700 $ 1 4,623,938 $ 22,502,638 1.15 Total $ 423,000,000 $ 68,352,112 $ 3 65,113,794 $ 257,048,340 $ 2 21,594,242 $ 478,642,582 1.31 © 2011 Asset Consulting Group All Rights Reserved 5 Activity for the Month of October Distressed Oaktree Opportunities VIII Venture Capital Firstmark IV (Pequot) Weathergage Venture Capital Warburg Pincus Mezzanine TCW Mezzanine Fund V Buyout Levine Leichtman Marathon Fund Limited Partnership V Thompson Street C.P. II Sun Capital Partners V HM Capital Sector Performance Fund Levine Leichtman IV Thompson Street Capital III Secondary Fund of Funds Lexington VI Private Equity Composite On October 14, 2011 this fund made a capital call- $375,000 On October 3, 2011 this fund made a capital call - $205,435 On October 31, 2011 this fund made a capital call- $300,000 On October 18, 2011 this fund made capital call- $600,00 On October 27, 2011 this fund made a capital call- $363,992 On October 19, 2011 this fund made a call for management fees- $7,721 On October 30, 2011 this fund made a distribution of interest- $21,328 On October 3, 2011 this fund made a call for management fees and expenses- $33,695 On October 3, 2011 this fund made a capital call- $916,514 On October 27, 2011 this fund made a capital call- $238,018 On October 11, 2011 this fund made a capital call- $328,125 On October 11, 2011 this fund made a distribution of principal (recallable)- $225,765 On October 31, 2011 this fund made a distribution- $317,976 On October 11, 2011 this fund made a distibution of interest- $25,790 On October 27, 2011 this fund made a capital call- $586,988 On October 3, 2011 this fund made a capital call for fees and expenses- $74,491 On October 6, 2011 this fund made a capital call- $186,985 © 2011 Asset Consulting Group All Rights Reserved 6 Oklahoma Police Pension & Retirement System Cash Outflows Cash Inflows Net Cash Flow $0.00 $0.00 $0.00 Fund Name Inception Date Committed Capital Remaining Commitment Contributed Capital Distributions Adjusted Ending Value Total Value Multiple to Cost Siguler Guff Dist. Real Estate Opp. Jul-11 $ 10,000,000 $ 6,500,000 $ 3,500,000 $ - $ 3 ,500,000 $ 3 ,500,000 1.00 Total $ 1 0,000,000 $ 6 ,500,000 $ 3,500,000 $ - $ 3 ,500,000 $ 3 ,500,000 1.00 Activity for the Month of October --- For the Periods Ending October 31, 2011 Real Estate Summary of Cash Flows for October 2011 © 2011 Asset Consulting Group All Rights Reserved 7 Preliminary Oklahoma Police Pension & Retirement System Periods Ending October 31, 2011 One Month June 30, FYTD YTD One Year Three Years Five Years Ten Years Equity Markets - Core S&P 500 10.93 % (4.45)% 1.31 % 8.09 % 11.40 % 0.24 % 3.69 % Russell 1000 11.21 % (5.12)% 0.93 % 8.02 % 12.22 % 0.54 % 4.17 % Russell 3000 11.51 % (5.53)% 0.47 % 7.90 % 12.27 % 0.55 % 4.37 % Russell 2000 15.14 % (10.03)% (4.46)% 6.71 % 12.87 % 0.68 % 7.02 % Russell 2500 14.66 % (9.68)% (2.39)% 7.97 % 16.03 % 2.01 % 8.01 % Russell Mid Cap 13.01 % (8.35)% (0.95)% 7.83 % 17.82 % 2.26 % 8.35 % Equity Markets - Growth Russell 1000 Growth 10.97 % (3.61)% 2.97 % 9.91 % 15.62 % 3.04 % 3.56 % Russell 2000 Growth 15.86 % (9.93)% (2.19)% 9.82 % 16.30 % 2.67 % 6.04 % Russell 2500 Growth 15.44 % (9.21)% 0.09 % 11.90 % 19.42 % 3.87 % 6.85 % Russell Mid Cap Growth 13.48 % (8.45)% 0.33 % 10.09 % 19.96 % 3.46 % 6.98 % Equity Markets - Value Russell 1000 Value 11.45 % (6.61)% (1.09)% 6.15 % 8.78 % (2.05)% 4.57 % Russell 2000 Value 14.41 % (10.16)% (6.78)% 3.54 % 9.52 % (1.42)% 7.63 % Russell 2500 Value 13.92 % (10.11)% (4.64)% 4.49 % 12.91 % (0.01)% 8.42 % Russell Mid Cap Value 12.55 % (8.24)% (2.08)% 5.85 % 15.62 % 0.73 % 8.76 % International Markets MSCI EAFE 9.65 % (11.14)% (6.39)% (3.65)% 10.42 % (1.95)% 6.19 % MSCI World ex U.S. 10.34 % (8.00)% (3.13)% 1.75 % 10.76 % (1.00)% 4.54 % MSCI World 10.37 % (7.86)% (2.68)% 2.31 % 11.40 % (0.44)% 5.09 % Fixed Income BofA ML 1-3 Yr Treasury Bonds 0.09 % 0.58 % 1.46 % 1.08 % 2.11 % 3.78 % 3.23 % BofA ML High Yield 5.88 % (0.65)% 4.21 % 4.81 % 22.75 % 7.76 % 8.78 % Barclays Capital Aggregate 0.11 % 3.94 % 6.79 % 5.03 % 8.89 % 6.42 % 5.46 % Barclays Capital Intermediate Gov't/Credit 0.30 % 2.70 % 5.23 % 3.22 % 7.62 % 5.87 % 4.98 % Barclays Capital 10 Year Municipal Bond (0.49)% 3.56 % 8.27 % 4.77 % 8.63 % 5.62 % 5.26 % Barclays Capital U.S. Credit Index 1.46 % 4.54 % 8.10 % 5.95 % 14.54 % 6.86 % 6.16 % © 2011 Asset Consulting Group All Rights Reserved. 8 |
| Date created | 2011-12-15 |
| Date modified | 2011-12-20 |
