Public Fund Universe Analysis Report August, 2006 Oklahoma State Pension Commission One Main Street, Cambridge, Massachusetts 02142 TEL: (617) 374-1300;

Public Fund Universe Analysis ReportAugust, 2006August, 2006

Oklahoma State Pension Commission

One Main Street, Cambridge, Massachusetts 02142TEL: (617) 374-1300; FAX: (617) 374-1313

www.nepc.com

Allan Martin, PartnerKevin Tatlow, Consultant

2L:\Clients\Oklahoma\Publicfund-analysis\2006-06-publicfund-analysis.ppt

Table of ContentsTable of ContentsTabTab

Public Fund Universe TrendsPublic Fund Universe Trends 1 1

Oklahoma Fund Allocations Against UniverseOklahoma Fund Allocations Against Universe 2 2

Teachers

PERS

Firefighters

Police

Law Enforcement

Judges and Justices

Allocations by FundAllocations by Fund 3 3

Equity

Fixed Income

Real Estate

Alternative Assets

Five Year ReturnsFive Year Returns 4 4

Domestic Equity

Fixed Income

International Equity

One Year ReturnsOne Year Returns

Domestic Equity

Fixed Income

International Equity

AppendixAppendix 5 5


Public Fund Asset Allocation TrendsPublic Fund Asset Allocation Trends


Public Fund Asset Allocation ExpectationsPublic Fund Asset Allocation Expectations

Source: Greenwich AssociatesSource: Greenwich Associates


Teachers Retirement System Teachers Retirement System ($8.1B)($8.1B)

48.6%44.1%

19.1%16.2%

25.1%24.1%

0.0%2.1%

0.0%

4.3%

0.0%

6.6%3.7%2.6% 3.5%

0.0%

-10%

0%

10%

20%

30%

40%

50%

60%

Allocation by Asset Class Compared to $1-$10B Funds

Teachers $1 - $10B

4.5%

2.9%

1.0%

-2.1%

-4.3%

-3.1%

1.1%

-7%

-5%

-3%

-1%

1%

3%

5%

7%

Variance - Teachers Minus $1-$10B Funds

As of 06/30/06


PERS PERS ($5.8B)($5.8B)

-0.1%

3.7%

11.7%

-2.1%

-4.3%-6.6%

-2.6%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%

16%

Variance - PERS minus $1-$10B Funds

As of 06/30/06

44.0% 44.1%

19.9%

16.2%

35.8%

24.1%

0.0%2.1%

0.0%

4.3%

0.0%

6.6%

0.0%2.6%

-10%

0%

10%

20%

30%

40%

50%

60%

Allocation by Asset Class Compared to $1-$10B Funds

PERS $1 - $10B


Firefighters Firefighters ($1.6B)($1.6B)

52.9%

46.3%

12.6%15.2%

22.5%26.9%

0.0% 1.5% 3.2% 3.7%6.9% 4.0% 1.9% 2.4%

-10%

0%

10%

20%

30%

40%

50%

60%

Allocation by Asset Class Compared to $150M-$10B Funds

Firefighters $150M - $10B

6.6%

-2.6%

-4.4%

-1.5% -0.5%

2.9%

-0.5%

-10%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

Variance - Firefighters minus $150M-$10B Funds

As of 06/30/06


Police Police ($1.5B)($1.5B)

46.1% 46.3%

11.9%15.2%

13.7%

26.9%

3.6%1.5% 0.2%

3.7%

22.4%

4.0%2.1%

2.4%

-10%

0%

10%

20%

30%

40%

50%

60%Allocation by Asset Class Compared to $150M-$10B Funds

Police $150M - $10B

-0.2%

-3.3%

-13.2%

2.1%

-3.5%

18.4%

-0.3%

-16%

-12%

-8%

-4%

0%

4%

8%

12%

16%

20%Variance - Police minus $150M-$10B Funds

As of 06/30/06


Law Enforcement Law Enforcement ($664M)($664M)

53.6%

46.3%

10.6%

15.2%

27.7% 26.9%

0.0% 1.5%

6.8% 3.7%1.4%

4.0%0.0%

2.4%

-10%

0%

10%

20%

30%

40%

50%

60%

Allocation by Asset Class Compared to $150M-$10B Funds

Law $150M - $10B

7.3%

-4.6%

0.8%

-1.5%

3.1%

-2.6% -2.4%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%Variance - Law minus $150M-$10B Funds

As of 06/30/06


Judges & Justices Judges & Justices ($214M)($214M)

38.0%

46.3%

17.3%

15.2%

44.6%

26.9%

0.0% 1.5% 0.0%3.7%

0.0%

4.0%

0.1%2.4%

-10%

0%

10%

20%

30%

40%

50%

60%Allocation by Asset Class Compared to $150M-$10B Funds

Judges $150M - $10B

-8.3%

2.1%

17.7%

-1.5%-3.7% -4.0%

-2.3%

-12%

-8%

-4%

0%

4%

8%

12%

16%

20%

Variance - Judges & Justices minus $150M-$10B Funds

As of 06/30/06


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Funds (88 Including Oklahoma)

Allocation by FundAllocation by Fund Period Ending June 30, 2006Period Ending June 30, 2006

TeachersTeachers

Domestic EquityDomestic EquityInt’l EquityInt’l Equity

62.8% Total Equity62.8% Total EquityMedianMedian

46.2% Domestic46.2% DomesticEquity MedianEquity Median

• 88 out of 88 funds invest in domestic equity88 out of 88 funds invest in domestic equity• 82 out of 88 funds invest in Int’l equity82 out of 88 funds invest in Int’l equity• As of June 30, 2006, the average allocation for domesticAs of June 30, 2006, the average allocation for domestic equities is 46.3% and for Int’l equities 15.2%.equities is 46.3% and for Int’l equities 15.2%.

LawLaw PERSPERS JudgesJudgesPolicePolice**FirefightersFirefighters

* Excludes Alternative Assets.* Excludes Alternative Assets.

Equity Allocation of Screened Universe Equity Allocation of Screened Universe (88 Funds)(88 Funds)


0%

10%

20%

30%

40%

50%

60%

70%

80%


Fixed Income Allocation of Screened Universe Fixed Income Allocation of Screened Universe (88 Funds)(88 Funds)

Allocation by FundAllocation by Fund Period Ending June 30, 2006Period Ending June 30, 2006

Domestic FixedDomestic FixedInt’l FixedInt’l Fixed

27.7% Total Fixed27.7% Total FixedMedian (Top Line)Median (Top Line)

27.1% Domestic27.1% DomesticFixed Median (Bottom Line)Fixed Median (Bottom Line)

• 88 out of 88 funds invest in domestic fixed income88 out of 88 funds invest in domestic fixed income• 33 out of 88 funds invest in Int’l fixed33 out of 88 funds invest in Int’l fixed• As of June 30, 2006, the average allocation for domestic fixed As of June 30, 2006, the average allocation for domestic fixed income is 26.9% and for Int’l fixed is 1.5%.income is 26.9% and for Int’l fixed is 1.5%.

TeachersTeachersLawLawPERSPERSJudgesJudges PolicePoliceFirefightersFirefighters


0%

3%

5%

8%

10%

13%

15%

18%


Real Estate Allocation of Screened Universe Real Estate Allocation of Screened Universe (88 Funds)(88 Funds)

Allocation by FundAllocation by FundPeriod Ending June 30, 2006Period Ending June 30, 2006

5.3% Real Estate Median5.3% Real Estate Median

• 58 out of 88 funds invest in real estate58 out of 88 funds invest in real estate• As of June 30, 2006, the average allocation is 3.7%As of June 30, 2006, the average allocation is 3.7%

LawLaw PolicePoliceFirefightersFirefighters


0%

5%

10%

15%

20%

25%

30%

35%

Funds (49 funds including Oklahoma)

Alternative Assets Allocation of Screened Universe Alternative Assets Allocation of Screened Universe (88 Funds)(88 Funds)

Allocation by FundAllocation by Fund Period Ending June 30. 2006Period Ending June 30. 2006

5.8% Alternative Asset Median5.8% Alternative Asset Median

• 49 out of 88 funds invest in alternative assets49 out of 88 funds invest in alternative assets• As of June 30, 2006, the average allocation is 4.0%As of June 30, 2006, the average allocation is 4.0%

LawLawPolicePolice FirefightersFirefighters TeachersTeachers


0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

5 Year Annualized Domestic Equity Returns 5 Year Annualized Domestic Equity Returns (68 Funds)(68 Funds)

Five Years EndingFive Years EndingJune 30, 2006June 30, 2006

5.0%5.0%MedianMedian

2.5%2.5%S&P 500S&P 500

Funds in Universe (68 Including OK)Funds in Universe (68 Including OK)

TeachersTeachers LawLaw PERSPERS JudgesJudgesPolicePolice FirefightersFirefighters


0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%



5.0%5.0%LB AggLB Agg


TeachersTeachers LawLawPERSPERS JudgesJudges PolicePoliceFirefightersFirefighters

5 Year Annualized Fixed Income Returns 5 Year Annualized Fixed Income Returns (67 Funds)(67 Funds)


0%

2%

4%

6%

8%

10%

12%

14%

16%



10.0%10.0%EAFEEAFE



5 Year Annualized International Equity Returns 5 Year Annualized International Equity Returns (59 Funds)(59 Funds)


0%

5%

10%

15%

20%

25%

Annual Domestic Equity Returns Annual Domestic Equity Returns (85 Funds)(85 Funds)

Year EndingYear EndingJune 30, 2006June 30, 2006



8.6%8.6%S&P 500S&P 500



-5%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

6%


-0.8%-0.8%LB AggLB Agg


-0.2%-0.2%MedianMedian

TeachersTeachersLawLawPERSPERS

JudgesJudges

PolicePolice

FirefightersFirefighters

Annual Fixed Income Returns Annual Fixed Income Returns (85 Funds)(85 Funds)


0%

5%

10%

15%

20%

25%

30%

35%

40%

45%



26.6%26.6%EAFEEAFE


TeachersTeachersLawLaw PERSPERSJudgesJudgesPolicePolice FirefightersFirefighters

Annual International Equity Returns Annual International Equity Returns (76 Funds)(76 Funds)


AppendixAppendix


New England Pension Consultants is pleased to present the following Public Funds Universe Analysis Report. The information contained herein is drawn from the NEPC/ICC database. This database represents the industry’s largest public funds universe, containing over 181 public funds, with aggregate assets in excess of $737 Billion and over 3,278 individual portfolios. It is important to note that the underlying information is obtained directly from custodian banks and is rigorously reviewed by ICC member firms. No manager supplied data is included in this analysis.

The report depicts the size and type of fund included in the universe, together with a detailed examination of the asset allocation of the component funds. The asset allocations of the Oklahoma funds are then compared to the relevant universe subcomponents (Large Funds, Representative Funds) on both a year-end and historic basis. In this way we can determine the relative over/under-weights being taken currently and historically.

The remainder of the report examines the historic total fund performance of Oklahoma funds against the Universe in an absolute and risk-adjusted basis. We then further examine performance of the major asset classes to determine the source of historic relative performance. This performance data is as of June 30, 2006. The second quarter of 2006 performance report is contained in a separate report which will be presented to the Commission on August 16, 2006 together with this report.


Public Fund UniversePublic Fund Universe

$0

$500

$1,000

$1,500

$2,000

$2,500

$3,000

$3,500

$4,000

$4,500

$5,000

$5,500

$6,000

$6,500

$7,000

$7,500

$8,000

$8,500

$9,000

$9,500

$10,000

Siz

e o

f F

un

ds

(000

,000

's)

Funds used in universe (88)Funds used in universe (88)

Funds not used above $10B (14)Funds not used above $10B (14)

Funds not used below $150M (45)Funds not used below $150M (45)

Values as of June 30, 2006Values as of June 30, 2006

Total Public Funds in ICC Universe, 147Total Public Funds in ICC Universe, 147Total Public Funds Screened for This Analysis, 88Total Public Funds Screened for This Analysis, 88


45

36

17

35

14

0

10

20

30

40

50

60

70

80

90

Asset Size - June 30, 2006

30

58

0

10

20

30

40

50

60

70

Fund Type - June 30, 2006

Public Fund Universe CharacteristicsPublic Fund Universe Characteristics

88 Funds range in size $150M - $10B88 Funds range in size $150M - $10B

88 Funds range in size $150M - $10B88 Funds range in size $150M - $10B


Public Fund Universe Statistical SummaryPublic Fund Universe Statistical Summary

Percentile

5 61.8% 23.2% 51.4% 7.5% 10.8% 15.2% 8.0%

25 48.8% 18.9% 35.5% 1.0% 5.3% 5.7% 3.4%

Public Median 45.1% 15.2% 28.0% 0.0% 1.5% 0.0% 2.1%

75 39.2% 10.6% 23.3% 0.0% 0.0% 0.0% 1.0%

95 29.9% 0.0% 15.6% 0.0% 0.0% 0.0% 0.0%

44.8% 13.9% 30.3% 1.2% 3.1% 4.2% 2.6%

46.3% 15.2% 26.9% 1.5% 3.7% 4.0% 2.4%

44.1% 16.2% 24.1% 2.1% 4.3% 6.6% 2.6%

Domestic

Equity

Int'l

Equity

Domestic

Fixed

Int'l

Equity

Int'l

Equity

Domestic

Fixed

Global

Bonds

Global

Bonds

Domestic

Fixed

Cash &

Equivalents

Real

Estate

Alt

Assets

Allocation Range for ALL Public Funds (147 Funds, Size Range $3.4M - $142.2B)

Average Allocation for ALL Public Funds (147 Funds, Size Range $3.4M - $142.2B)

Average Allocation for Screened Public Funds (88 Funds, Size Range $150M - $10B)

Real

Estate

Alt

Assets

Cash &

Equivalents

Domestic

Equity

Domestic

Fixed

Domestic

Equity

Int'l

Equity

Global

Bonds

Cash &

Equivalents

Real

Estate

Alt

Assets

Global

Bonds

Real

Estate

Alt

Assets

Average Allocation for $1 - $10 Billion Funds (35 Funds in Screen)

Cash &

Equivalents

Domestic

Equity

Documents

Public Fund Universe Analysis Report August, 2006 Oklahoma State Pension Commission One Main Street, Cambridge, Massachusetts 02142 TEL: (617) 374-1300;