Public Fund Universe Analysis Report August, 2006 Oklahoma State Pension Commission One Main Street, Cambridge, Massachusetts TEL: (617) ; FAX: (617) Allan Martin, Partner Kevin Tatlow, Consultant

1 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Table of Contents Tab Public Fund Universe Trends 1 Oklahoma Fund Allocations Against Universe 2 Teachers PERS Firefighters Police Law Enforcement Judges and Justices Allocations by Fund 3 Equity Fixed Income Real Estate Alternative Assets Five Year Returns 4 Domestic Equity Fixed Income International Equity One Year Returns Domestic Equity Fixed Income International Equity Appendix 5

2 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Public Fund Asset Allocation Trends

3 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Public Fund Asset Allocation Expectations Source: Greenwich Associates

4 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Teachers Retirement System ($8.1B)

5 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt PERS ($5.8B)

6 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Firefighters ($1.6B)

7 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Police ($1.5B)

8 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Law Enforcement ($664M)

9 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Judges & Justices ($214M)

10 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Allocation by Fund Period Ending June 30, 2006 Period Ending June 30, 2006 Teachers Domestic Equity Intl Equity 62.8% Total Equity Median 46.2% Domestic Equity Median 88 out of 88 funds invest in domestic equity 88 out of 88 funds invest in domestic equity 82 out of 88 funds invest in Intl equity 82 out of 88 funds invest in Intl equity As of June 30, 2006, the average allocation for domestic As of June 30, 2006, the average allocation for domestic equities is 46.3% and for Intl equities 15.2%. equities is 46.3% and for Intl equities 15.2%. LawPERSJudges Police * Firefighters * Excludes Alternative Assets. Equity Allocation of Screened Universe (88 Funds)

11 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Fixed Income Allocation of Screened Universe (88 Funds) Allocation by Fund Period Ending June 30, 2006 Period Ending June 30, 2006 Domestic Fixed Intl Fixed 27.7% Total Fixed Median (Top Line) 27.1% Domestic Fixed Median (Bottom Line) 88 out of 88 funds invest in domestic fixed income 88 out of 88 funds invest in domestic fixed income 33 out of 88 funds invest in Intl fixed 33 out of 88 funds invest in Intl 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 Intl fixed is 1.5%. income is 26.9% and for Intl fixed is 1.5%. TeachersLaw PERSJudges PoliceFirefighters

12 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Real Estate Allocation of Screened Universe (88 Funds) Allocation by Fund Period Ending June 30, % Real Estate Median 58 out of 88 funds invest in real estate 58 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% LawPoliceFirefighters

13 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Alternative Assets Allocation of Screened Universe (88 Funds) Allocation by Fund Period Ending June Period Ending June % Alternative Asset Median 49 out of 88 funds invest in alternative assets 49 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% LawPolice FirefightersTeachers

14 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt 5 Year Annualized Domestic Equity Returns (68 Funds) Five Years Ending June 30, %Median 2.5% S&P 500 Funds in Universe (68 Including OK) TeachersLawPERSJudgesPoliceFirefighters

15 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Five Years Ending June 30, 2006 Funds in Universe (67 Including OK) 5.0% LB Agg 5.5%Median TeachersLawPERS Judges PoliceFirefighters 5 Year Annualized Fixed Income Returns (67 Funds)

16 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Five Years Ending June 30, %Median 10.0%EAFE Funds in Universe (59 Including OK) TeachersLawPERS Judges PoliceFirefighters 5 Year Annualized International Equity Returns (59 Funds)

18 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Annual Domestic Equity Returns (85 Funds) Year Ending June 30, %Median Funds in Universe (85 Including OK) 8.6% S&P 500 TeachersLaw PERS Judges PoliceFirefighters

19 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Year Ending June 30, % LB Agg Funds in Universe (85 Including OK) -0.2%Median Teachers Law PERS Judges Police Firefighters Annual Fixed Income Returns (85 Funds)

20 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Year Ending June 30, %Median 26.6%EAFE Funds in Universe (76 Including OK) Teachers Law PERSJudges Police Firefighters Annual International Equity Returns (76 Funds)

22 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Appendix

23 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt 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 industrys 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, 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.

24 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Public Fund Universe Funds used in universe (88) Funds not used above $10B (14) Funds not used below $150M (45) Values as of June 30, 2006 Total Public Funds in ICC Universe, 147 Total Public Funds in ICC Universe, 147 Total Public Funds Screened for This Analysis, 88

25 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Public Fund Universe Characteristics 88 Funds range in size $150M - $10B

26 L:\Clients\Oklahoma\Publicfund-analysis\ publicfund-analysis.ppt Public Fund Universe Statistical Summary