fresno county employees' retirement association · 2007-06-15 · russell top 200 each...

Fresno County Employees' Retirement AssociationInvestment Performance Review

Period Ending: March 31, 2007

999 Third Avenue, Suite 3650 2321 Rosecrans Avenue, Suite 2250

(206) 622-3700Seattle, Washington 98104

(310) 297-1777El Segundo, CA 90245

Market EnvironmentU.S. Economic Environment First Quarter, 2007

Economic Growth

●

●

●

Source: Bureau of Economic Analysis.

Inflation

●

●

●

Rev.4/30/2007

Wurts & Associates Performance Measurement System

The Consumer Price Index increased 4.7% on a seasonally adjusted annual basis during the first quarter. This results in an increase of 2.8% from March of 2006. The increase was mainly attributed to higher energy and food costs.

Excluding food and energy, consumer prices have risen 2.5% since March 2006. This figure supports the general consensus among economists that the Fed will keep rates unchanged through the summer.

Within CPI, the transportation index rose 8.3% due to higher demand for new vehicles and airline travel. This compares to a 1.6% increase for all of 2006.

The Commerce Department estimates GDP growth of 1.3% during the first quarter of 2007. This reflects the slowest economic growth since the first quarter of 2003. Economists point to the slumping housing market and rising inflation as factors in the anemic pace of growth.

Real gross domestic product for 4Q06 rose by 2.5% based on final estimates from the Bureau of Economic Analysis. The final estimate was a full percent lower than the preliminary estimate.

The lower GDP figure for the fourth quarter was partly attributed to slowing growth in the housing and manufacturing sectors. Personal consumption, however, rose 4.2%.

1

Source: Bureau of Labor Statistics; Federal Reserve Bank of St. Louis

Real GDP Growth

-2

0

2

4

6

8

10

1997 1999 2001 2003 2005 2007

% A

nnua

lized

Rea

l GD

P G

row

th

Annualized GDP Growth (Real)

10 Year Average (3.27%)

Inflation

0.0

1.0

2.0

3.0

4.0

5.0

1997 1999 2001 2003 2005 2007

Ann

. Inf

latio

n R

ate

(Sea

s. A

dj.)

Consumer Inflation (CPI) Core Consumer Inflation (CPI ex-F&E)

Market EnvironmentU.S. Economic Environment First Quarter, 2007

Consumer Confidence

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●

●

Source: The Conference Board

Employment

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●

●

Source: Bureau of Labor Statistics; Challenger, Gray & Christmas, Inc.Rev.4/30/2007

Wurts & Associates Performance Measurement System2

Consumer confidence fell in March amid worries about the current state of financial markets. The Conference Board's Consumer Confidence Index fell 4.0 points to 107.2 in March, its weakest level since November 2006.

The Conference Board cited the recent market turmoil as a reason for consumers' heightened sense of uncertainty and concern. The Consumer Expectations Index fell particularly hard in March, declining to 86.9 from 93.8 in February.

Expectations for future job gains also fell. In addition, the number of respondents who expected their incomes to rise declined during March.

The U.S. unemployment rate was essentially unchanged at 4.4% in March. The figure has remained within a narrow band of 4.4% to 4.6% since September 2006.

Non-farm employment rose by about 455,000 during the first quarter. In addition, over the past one year period the U.S. economy has added approximately 2.0 million non-farm jobs. Among the largest gainers in the latest month were construction and general merchandise stores.

The total U.S. employment figure of 146.3 million and employment-population ratio of 63.8% remained virtually unchanged from January and February.

Consumer Confidence Index

60

70

80

90

100

110

120

130

140

150

1998 2000 2002 2004 2006

Con

sum

er C

onfid

ence

(1

995=

100,

Sea

s. A

dj.)

Employment Situation

0

50,000

100,000

150,000

200,000

250,000

300,000

1997 1999 2001 2003 2005 2007

Layo

ff A

nnou

ncem

ents

(mon

thly

)

0

1

2

3

4

5

6

7

8

9

10

Une

mpl

oym

ent R

ate

(Sea

s. A

dj.)

Layoff Announcements

Unemployment Rate

Market EnvironmentU.S. Equity Market First Quarter, 2007

US Stock Market Highlights

●Quarter One Yr

Consumer Disc. (0.8) 14.4Consumer Staples 2.2 15.1

Energy 2.1 16.6Financials (2.9) 12.2 ●

Health Care 1.0 7.1Industrials 1.2 6.8

Info. Technology (0.9) 2.7Materials 8.3 18.2

Telecom. Services 6.6 26.0Utilities 9.4 34.1

●

Source: Yahoo! Finance

Equity Market Performance

●Quarter One Yr Three Yrs Five Yrs Ten Yrs

Core Index Performance:Standard & Poor's 500 0.6 11.8 10.1 6.3 8.2

S&P 500 Equal Weighted 2.8 12.1 13.2 10.8 12.5Dow Jones Industrial Average (0.3) 13.8 8.5 5.9 8.6

● Russell Top 200 (0.1) 11.9 8.8 4.8 7.3Russell 1000 1.2 11.8 10.7 6.9 8.6Russell 2000 2.0 5.9 12.0 10.9 10.2Russell 3000 1.3 11.3 10.9 7.2 8.7

● Russell Mid Cap 4.4 11.8 15.7 12.9 12.7Style Index Performance:

Russell 1000 Growth 1.2 7.1 7.0 3.5 5.5Russell 1000 Value 1.2 16.8 14.4 10.2 10.9

Russell 2000 Growth 2.5 1.6 9.4 7.9 6.3Russell 2000 Value 1.5 10.4 14.5 13.6 13.5

Rev.4/30/2007


(0.1)

1.52.51.2

1.34.4

1.2

3

After a roller coaster period, the S&P 500 Index finished the first quarter with a total return of 0.6%. The index fell nearly 2% during February amid a global sell-off.

The strongest performing sector was utilities which returned 9.4%. The sector's performance was aided by the largest announced leveraged buyout in history: KKR and Texas Pacific Group'sproposed $32 billion takeover of TXU Corp (excluding debt).

Seven of the S&P 500's sectors reported positive performance. The weakest sector was financials, which fell nearly 3%.

Small caps continued their strong run by outperforming their large cap brethren during the first quarter. However, the Russell 2000's 2.0% return was eclipsed by the Russell Mid-Cap Index, which returned 4.4% during the period.

Mega-caps were the worst performing group during the quarter with the Dow Jones Industrial Average and Russell Top 200 each experiencing negative returns.

Within styles, value outperformed growth in the large cap space while underperforming in small cap. Value continues to have a sizable performance advantage over growth for all periods displayed.

YTD

0.62.8(0.3)

1.22.0

Sector Performance S&P 500 Index

1350

1375

1400

1425

1450

1475

Jan-07 Feb-07 Mar-07

Dai

ly C

losi

ng In

dex

Leve

l

Fed leaves rates unchanged at 5.25%

Greenspan warns about possible recession

Index falls 3.5% amid a global equity sell-off triggered by China

Fed keeps rates unchanged at 5.25%

Market EnvironmentU.S. Fixed Income Market First Quarter, 2007

Interest Rate Environment

●

●

●

Source: State Street Corp. Source: Federal Reserve

Bond Markets

● Quarter One Yr Three Yrs Five Yrs Ten YrsIndex Performance:

LB Aggregate 1.5 6.6 3.3 5.4 6.5LB US TIPS 2.5 5.3 3.0 7.4 6.9

● 90 Day US Treasury Bills 1.3 5.1 3.4 2.6 3.8Maturity Evaluation:

LB 1-3 Yr Treasury 1.4 5.0 2.3 3.1 4.7LB Intermediate Treasury 1.5 5.7 2.4 4.3 5.6

LB Long Treasury 1.0 6.9 4.1 7.7 8.2Issuer Performance:

● LB Intermediate Agency 1.5 6.0 2.8 4.7 5.9LB U.S. Credit 1.5 7.1 3.2 6.3 6.8

LB Mortgage 1.6 6.9 4.1 5.0 6.3LB High Yield 2.7 11.6 8.6 10.4 6.8

JPM Emer Mkts Bond Plus 2.5 11.4 11.1 14.4 11.2JPM Non-US Govt (Hedged) 0.9 4.9 4.4 4.8 6.4

Rev.4/30/2007

Wurts & Associates Performance Measurement System4

The Fed held rates steady at 5.25% over the quarter's two meetings. In its March 21st statement, the Fed stated that inflation was "slightly elevated," implying that cuts are unlikely.

In a February speech, former Fed Chairman Alan Greenspan warned that a U.S. recession by year-end was "possible". Many cite his remarks as one trigger for the February sell-off.

As of month-end, the yield curve remained slightly inverted with the 3-month T-Bill yielding 20 basis points higher than the 30-year bond.

Uncertainty about future interest rates weighed on bonds during the first quarter as the broad Lehman Brothers Aggregate Index rose 1.5%.

High yield bonds continued their strong run with a 2.7% return. However, the spread on high yield over treasuries rose 0.5% following the February stock market correction as investors sought to reduce their risk exposure.

Bonds backed by sub prime mortgages fell substantially during the first quarter. The ABX index, which tracks sub prime bonds, fell over 30% as many major sub prime mortgage originators declared bankruptcy.

0.92.52.71.61.51.5

1.0

1.5

YTD

1.51.4

1.32.5

Treasury Yield Curve

4.0%

4.5%

5.0%

5.5%

0 5 10 15 20 25 30

Years-To-Maturity

Mar. 30, 2007

Dec. 30, 2006

Mar. 31, 2006

Fed Funds Rate (%)

0

1

2

3

4

5

6

'02 '03 '04 '05 '06 '07

Market EnvironmentInternational Market First Quarter, 2007

International Market Environment

●

●

●

Source: Federal Reserve Bank, Daily Press Source: Ibbotson

International Equity Market Performance

● Quarter One Yr Three Yrs Five Yrs Ten YrsBroad Index Performance:

MSCI EAFE 4.2 20.7 20.3 16.2 8.7MSCI World 2.6 16.0 15.2 11.0 8.3

MSCI EAFE ex. Japan 4.3 26.9 23.0 16.9 10.4● MSCI Emerging Markets Free 2.4 21.0 28.0 24.8 n/a

MSCI EAFE Small Cap 7.2 15.9 23.7 24.8 n/aStyle Index Performance:

MSCI EAFE Growth 5.0 18.1 17.9 13.8 6.1MSCI EAFE Value 3.3 23.2 22.7 18.6 11.1

● Regional Index Performance:MSCI Europe ex-UK 4.4 26.8 24.5 17.4 11.6

MSCI United Kingdom 3.0 24.3 19.3 n/a n/aMSCI Japan 3.6 3.1 11.7 n/a n/aMSCI China (1.8) 48.2 31.3 na n/a

MSCI Latin America 6.1 31.6 44.0 31.8 15.5Rev.4/30/2007


International small caps had a very strong quarter, returning 7.2%. Regional performance was generally positive with the exception of China, which returned -1.8% after falling nearly 9% on February 27th.

Despite extreme volatility, emerging market equities returned 2.4% during the quarter. Between February 22nd and March 5th, the MSCI Emerging Markets Index fell nearly 11%.

Within equity styles, growth outperformed value during the quarter by 170 basis points. Over the past year, value continued to have a sizable performance advantage over growth.

5

International equities outperformed the domestic market despite gyrations caused by the Chinese sell-off on February 27th. The MSCI EAFE returned 4.2% during the period while the MSCI World Index returned 2.6%.

The U.S. dollar continued to weaken against the euro. During the first quarter, the euro strengthened 1.3% against the dollar after gaining 11.5% in 2006.

The Japanese yen bounced back from its recent weakness related to an unwinding of "carry trades". The carry trades have been possible dueto the low interest rates in Japan.

YTD

4.22.64.32.47.2

5.03.3

4.43.03.6(1.8)6.1

Exchange Rates

$0.60

$0.70

$0.80

$0.90

$1.00

$1.10

$1.20

$1.30

$1.40

2002 2003 2004 2005 2006 2007

US

Dol

lar p

er F

orei

gn C

urre

ncy

US Dollars per EUROUS Dollars per 100 Yen

International vs. Domestic EquitiesRolling 12-Month Returns

-40.0

-30.0

-20.0

-10.0

0.0

10.0

20.0

30.0

'97 '98 '99 '00 '01 '02 '03 '04 '05 '06 '07

MSCI EAFE - S&P 500

Portfolio Diversification Asset Class Rankings Over the Past Twenty Years First Quarter, 2007

1987 1988 1989 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 20062007 YTD

Bes

t

24.9 29.5 35.9 8.9 51.2 29.1 32.9 8.1 38.3 23.1 35.2 38.7 43.1 22.8 14.0 10.3 48.5 22.3 18.9 26.9 4.2

8.0 28.6 25.2 7.9 41.7 13.8 23.8 6.4 37.2 21.6 31.8 20.3 33.2 12.3 8.4 6.7 46.0 20.7 14.0 23.5 3.6

5.9 23.2 20.2 2.6 41.2 8.0 18.1 4.2 31.0 21.4 30.5 16.2 27.3 11.6 7.3 1.8 38.6 16.5 7.1 22.2 2.5

5.3 20.4 18.8 2.3 24.6 7.8 13.4 2.7 25.8 14.1 18.6 15.6 13.0 7.0 4.1 -8.6 30.0 14.3 7.1 16.1 2.1

4.6 11.7 14.5 -0.3 21.7 7.4 11.5 -0.8 24.6 11.3 13.9 13.6 11.4 6.0 -2.7 -11.4 29.7 13.1 5.3 13.4 1.5

2.7 11.3 12.4 -8.1 16.0 5.0 9.8 -1.5 18.5 10.3 12.9 8.7 7.3 1.9 -5.6 -15.5 21.6 11.1 4.7 12.8 1.5

0.5 9.6 10.8 -17.4 12.5 3.6 3.1 -2.0 11.6 6.4 9.7 5.1 4.7 -14.0 -9.2 -15.7 9.0 6.3 4.1 9.1 1.3

-7.1 7.9 8.6 -21.8 5.8 -4.3 2.9 -2.4 7.5 5.3 5.2 1.2 -0.8 -22.4 -20.4 -27.9 4.1 4.3 3.1 4.8 1.3

Wor

st

-10.5 6.8 7.8 -23.2 -5.6 -11.9 1.4 -2.9 5.8 3.6 2.1 -6.5 -1.5 -22.4 -21.2 -30.3 1.2 1.2 2.4 4.3 1.2

Large Cap Growth US Stocks (Russell 1000 Growth Index) International Stocks (MSCI EAFE Index)

Large Cap Value US Stocks (Russell 1000 Value Index) Domestic Fixed Income (LB Aggregate Bond Index)

Small Cap Growth US Stocks (Russell 2000 Growth Index) Real Estate (NCREIF Property Index)

Small Cap Value US Stocks (Russell 2000 Value Index) Cash (SB 3-Mo Treasury)

ICC Universe Median (Total Funds)

Data: Ibbotson Associates, 2005; Institutional Consultants Cooperative.Rev. 4/30/07

Wurts & Associates 6 Performance Measurement System

QuarterReturn Rnk

One YearReturn Rnk

Three YearsReturn Rnk

Five YearsReturn Rnk

YTDReturn Rnk

TotalTotal Segment ReturnTOTAL FUND 2.3 12.6 11.9 10.433 12 17 132.3 33TOTAL FUND - NET 2.3 12.2 11.6 10.139 20 23 182.3 39

Policy IndexPOLICY INDEX 1.9 11.8 10.3 9.270 27 47 381.9 70

Domestic EquityEquity Segment ReturnTOTAL U.S. EQUITY 1.0 8.2 10.7 7.968 59 64 601.0 68RUSSELL 3000 INDEX 1.3 11.3 10.9 7.21.3

International EquityInternational Equity Segment ReturnTOTAL FOREIGN EQUITY 3.4 20.7 19.1 13.568 45 77 893.4 68MSCI ACWI ex U.S. GROSS 3.8 20.3 21.4 17.43.8MSCI EAFE INDEX 4.1 20.7 20.3 16.24.1MSCI EMER MKTS FREE 2.3 21.0 28.0 24.82.3

Domestic Fixed IncomeFixed Income Segment ReturnTOTAL U.S. FIXED 1.5 6.9 3.8 5.275 45 48 721.5 75LB AGGREGATE INDEX 1.5 6.6 3.3 5.41.5

Global Fixed IncomeGlobal Fixed Income Segment ReturnTOTAL GLOBAL FIXED 1.3 10.9 4.7 10.544 2 22 391.3 44JPM GLOBAL GBI T/U 1.2 9.6 3.3 9.31.2

Real EstateReal Estate Segment ReturnTOTAL REALTY 11.6 22.0 24.8 19.53 24 21 2111.6 3NCREIF PROPERTY INDEX 3.6 16.6 17.4 13.73.6

Alternative InvestmentsAlternative Investments Segment ReturnTOTAL ALT. INV 9.6 17.5 21.4 14.79.6S & P 500 + 4.47% 1.7 16.7 14.9 11.01.7

CashCash Segment ReturnTOTAL CASH 10.5 14.6 6.5 4.41 1 9 1310.5 191-DAY T-BILLS 1.2 5.1 3.4 2.61.2

Fresno County Employees' Retirement AssociationExecutive Summary Period Ending: March 31, 2007

Policy Index: 38% Russell 3000 Index, 30% LB Aggregate Index, 18% MSCI EAFE Index, 11% Russell 3000 Index + 250 BP, 3% JPM Global Govt Bond Index. Wurts & Associates Performance Measurement System 1

One YrRtn Rnk

Three YrsRtn Rnk

Five YrsRtn Rnk

Since IncepRtn Date

QuarterRtn Rnk

Domestic EquityEquity Large Cap

S & P 500 FLAGSHIP 11.9 10.250 55 10.2 03/23/040.7 56S & P 500 INDEX 11.8 10.151 75 10.1 03/23/040.6 66

Equity Large Cap GrowthINTECH S&P BARRA 4.4 49 7.9 06/30/04-0.1 82TCW CORE -3.2 97 2.3 06/30/04-0.4 87RUSSELL 1000 GROWTH 7.1 24 6.9 06/30/041.2 51

Equity Large Cap ValueARONSON PARTNERS 14.4 14.6 12.474 44 21 14.9 12/04/951.3 52RUSSELL 1000 VALUE 16.8 14.4 10.221 50 50 11.8 12/04/951.2 53WELLINGTON 14.0 13.9 10.278 61 51 8.9 04/30/000.9 62RUSSELL 1000 VALUE 16.8 14.4 10.221 50 50 8.8 04/30/001.2 53

Equity Small Cap GrowthARTISAN MANAGEMENT -3.7 84 9.9 11/30/040.7 85RUSSELL 2000 GROWTH 1.6 51 10.2 11/30/042.5 69KALMAR MANAGEMENT -0.4 72 9.5 11/30/043.3 55RUSSELL 2000 GROWTH 1.6 51 10.2 11/30/042.5 69

Equity Small Cap ValueBRANDYWINE 10.3 12.5 13.246 76 69 14.3 08/21/951.4 76RUSSELL 2000 VALUE 10.4 14.5 13.646 55 62 13.7 08/21/951.5 76International Equity

Emerging Markets EquityMONDRIAN INVESTMENT 19.5 62 26.8 11/07/053.5 36MSCI EMER MKTS FREE 21.0 47 31.3 11/07/052.3 64

International EquityFRANKLIN 26.4 20.3 14.84 54 80 10.3 08/01/943.9 52MSCI EAFE INDEX 20.7 20.3 16.245 53 59 8.0 08/01/944.1 45OECHSLE INT'L 15.1 85 24.1 11/22/052.7 81MSCI EAFE INDEX 20.7 45 27.5 11/22/054.1 45

Fresno County Employees' Retirement AssociationExecutive Summary (Domestic Equity & Intl Equity) Period Ending: March 31, 2007

Inception returns for benchmarks were calculated to the nearest full month. Return greater than 1 year are annualized. Wurts & Associates Performance Measurement System 2

QuarterRtn Rnk

One YrRtn Rnk

Three YrsRtn Rnk

Five YrsRtn Rnk

Since IncepRtn Date

YTDRtn Rnk

Domestic Fixed Income

Fixed Income

BLACKROCK 1.5 6.476 67 4.8 06/25/041.5 76

LB AGGREGATE INDEX 1.5 6.6 3.3 5.471 59 74 67 4.5 06/25/041.5 71

BRADFORD 1.6 6.7 3.9 5.663 55 43 57 6.8 05/21/961.6 63


LOOMIS SAYLES 1.9 7.8 4.1 5.022 22 31 77 4.3 07/05/011.9 22


WESTERN ASSET MGMT 1.5 7.479 19 4.7 05/05/051.5 79


Global Fixed Income

Global Fixed Income

GRANTHAM 1.3 14.0 5.6 11.244 1 12 33 7.1 03/31/991.3 44

JPM GLOBAL GBI T/U 1.2 9.6 3.3 9.352 20 74 51 5.5 03/31/991.2 52

Fresno County Employees' Retirement AssociationExecutive Summary (Domestic & Global Fixed Income) Period Ending: March 31, 2007

Inception returns for benchmarks were calculated to the nearest full month. Returns greater than 1 year are annualized. Grantham Global Fixed Income also includes SPV I (Special Purpose Vehicle) performance and as a result, performance may not exactly reflect whathas been reported by the manager.

Wurts & Associates Performance Measurement System 3

Segment Market Value Allocation Segment Rebalanced Value AllocationTotal Funds - Public Funds UniverseTOTAL FUND

1,115,096 39.63%Equity 1,221,482 43.41%Equity617,464 21.94%International Equity 493,264 17.53%International Equity770,960 27.40%Fixed Income 732,439 26.03%Fixed Income74,841 2.66%Global Fixed Income Global Fixed Income31,119 1.11%Real Estate 144,912 5.15%Real Estate

136,767 4.86%Alternative Investments 128,029 4.55%Alternative Investments65,328 2.32%Cash 79,350 2.82%Cash2,250 0.08%Other Other

Total: 2,813,826 100.00% Total: 2,799,475 99.49%

Fresno County Employees' Retirement AssociationAsset Allocation: Total Fund vs. Universe Median Period Ending: March 31, 2007

Note: All Values are expressed in thousands.Wurts & Associates Performance Measurement System 4

Figures above represent the median allocation for those plans that are invested in the respective asset class

Fresno County Employees' Retirement Association Alternative Investments Period Ending: March 31, 2007

Data as of March 31, 2007Total Capital Capital Market One One Three Five (IRR)

Inception Commitment Called Returned Values Quarter Year Years Years SinceDate Alternative Investment - Illiquid (000's) (000's) (000's) (000's) Return Return Return Return Inception

05/15/99 BCI Growth V, L.P. $20,000 $18,949 $5,044 $4,223 -0.1 -8.7 0.7 0.7 12.4%*12/12/01 Lone Star Fund IV $20,000 $19,045 $22,544 $20,813 4.4 11.4 9.1 7.7 41.77%*05/29/98 TCW Shop III $15,000 $15,000 $13,923 $2,562 0.6 5.7 5.6 1.5 1.9%02/27/02 TCW Shop IV $15,000 $20,949 $14,782 $8,441 2.9 4.3 3.5 7.4 6.8%08/31/01 WP Private Equity VIII, L.P. $25,000 $25,000 $10,177 $34,183 21.6 46.2 28.2 17.2 22.6%06/26/98 WP Equity Partners, L.P. $20,000 $20,000 $25,485 $6,262 14.3 45.5 38.0 27.5 11.0%12/01/01 Blackstone Alternative Asset $10,000 $10,000 $0 $14,846 4.4 11.4 9.1 7.7 7.25%*

Data as of December 31, 200606/27/97 Blackstone III $15,000 $15,387 $11,631 $7,705 0.9 7.2 6.7 4.2 18.2%11/11/02 Blackstone IV $20,000 $16,160 $9,291 $20,005 7.3 14.2 29.9 NA 70.3%06/23/00 Landmark Equity X, L.P. $20,000 $18,527 $13,435 $8,153 17.9 45.9 27.3 13.3 5.0%*12/22/99 New Mountain Partners, L.P. $20,000 $18,945 $18,042 $9,572 1.1 4.1 12.0 28.8 19.6%

Total Alt. Investment - Illiquid $200,000 $197,962 $144,354 $136,766

Total Alternative Investment $136,766

% of Total Fund (Market Value) 4.8%


* IRR shown is as of 12/31. Warburg Capital Returned includes Base Capital, Profit, and Earnings Distributions.

Fresno County Employees' Retirement Association Real Estate Period Ending: March 31, 2007

Data as of March 31, 2007Contributions Distributions Market One One Three Five (IRR)

Inception Values Quarter Year Years Years SinceDate Real Estate (000's) (000's) (000's) Return Return Return Return Inception

01/24/89 Heitman RE IV $2,500 $3,287 $1 -10.0 -7.7 -0.4 5.7 NA12/02/91 Heitman RE V $10,000 $18,515 $0 NA NA NA NA NA04/12/89 JMB V $10,000 $17,804 $36 1.0 1.5 19.2 22.6 NA06/06/86 Sentinel $7,500 $2,459 $4,929 2.2 9.3 13.9 11.1 NA

Data as of December 31, 200602/28/97 TA Realty IV $20,000 $35,871 $5,096 4.1 31.0 19.7 14.1 12.9%04/15/99 TA Realty V $20,000 $15,341 $17,989 2.9 28.0 16.1 17.8 12.5%09/15/97 JER I $11,611 $8,358 $99 8.2 27.2 20.5 17.5 13.8%05/27/99 JER II $20,698 $18,264 $2,968 12.8 71.2 36.6 23.0 11.0%

Total Real Estate $102,309 $119,899 $31,118

Total Real Estate $31,118

% of Total Fund (Market Value) 1.4%


fresno county employees' retirement association · 2007-06-15 · russell top 200 each...

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