total fund overview · fixed income analysis appendix. 2. new york city firefighters’ variable...

New York City Firefighters’ Variable Supplements FundPerformance Overview as of June 30, 2011

Total Fund Overview

Performance Overview as of June 30, 2011

New York CityFirefighters’ Variable Supplements Fund


Table of Contents:


Equity Analysis

Fixed Income Analysis

Appendix

2


Total Portfolio Returns: June 30, 2011$451M Under Management

0.82%

24.16% 24.16%

5.96% 5.52% 6.64% 5.42%7.33%

1.00%

24.06% 24.06%

4.97% 5.03% 6.32% 5.37%

0%

3%

6%

9%

12%

15%

18%

21%

24%

27%

Trailing 3 Months

FYTD Trailing 12 Months

Trailing 3 Years

Trailing 5 Years

Trailing 7 Years

Trailing 10 Years

Trailing 15 Years

Rat

e of

Ret

urn

Portfolio Returns Policy Index ReturnsAs of 06/30/11 |

All returns in the report are Gross, unless stated otherwise.

3

3 Years 5 Years 7 Years 10 Years 15 Years

Plan Std Dev 15.7 13.3 11.7 11.4 11.6

Benchmark Std Dev 17.1 14.3 12.5 12.1 ****


$451M Under Management

Portfolio Asset Allocation: June 30, 2011

Asset Allocation

Relative Mix to Policy Weights

Domestic Equity EAFE Mkts Domestic Fixed Enhanced Yield

$23251.4%

$93 20.7%

$54 11.9%

$24 5.3%

1.4%

-1.1%

0.2%

1.1%

-0.3%-0.6% -0.7%

-2.00%

-1.00%

0.00%

1.00%

2.00%

4

$112.4%

TIPSREITSEmerg Mkts

$19 4.2%

18 4.1%


Performance Attribution: Total Plan – Quarter Ending June 30, 2011

0.82% 0.90%1.00%

0.00%

0.50%

1.00%

1.50%

Total Plan Returns Plan Return @ Policy Weights

Policy Index

(Ret

urn

%) Allocation

Effect -0.08

ManagementEffect -0.10

5


Performance Attribution: Total Plan – 12 Months Ending June 30, 2011

24.16% 24.75% 24.06%

0.00%

6.00%

12.00%

18.00%

24.00%

30.00%


Policy Index

(Ret

urn

%)

AllocationEffect -0.59

ManagementEffect 0.69

6


Performance Attribution: Total Plan – 3 Years Ending June 30, 2011

5.96% 5.69%

4.97%

0.00%

2.00%

4.00%

6.00%

8.00%


Policy Index

(Ret

urn

%)

AllocationEffect 0.27

7

ManagementEffect 0.72


Total Plan: June 30, 2011

Management Effect – Asset Class Breakdown

8

Management Effect – Asset Class Breakdown

Plan Quarter 12 Months

3 Years Benchmark

Domestic Equity -0.03 -0.01 0.02 Russell 3000 Index

EAFE Markets 0.01 0.22 0.41 MSCI EAFE Index

Emerging Markets 0.00 0.04 -0.10 MSCI Emerging Markets Index

REITS -0.01 -0.02 0.01 DJ US Real Estate Securities Index

Domestic Fixed -0.04 0.21 0.09 NYC Core +5 Index

Enhanced Yield -0.01 0.08 0.09 Citigroup BB&B Index

TIPS -0.01 0.03 0.05 Barclays Capital US TIPS Index


Equity Analysis


9


72%

16%6% 6%

Domestic Equity EAFE Mkts Emerg Mkts REITS

$323M Under Management, 72% of Total FundsTotal Equity Asset Allocation: June 30, 2011

Asset Allocation by Groups

10


$232M Under Management, 51% of Total Funds

Total Domestic Equity Returns vs Russell 3000 Index

Domestic Equity Returns Russell 3000 Index

Rat

e of

Ret

urn

As of 06/30/11 |

-0.08%

32.31% 32.31%

4.07% 3.37% 3.48%6.93%

-0.03%

32.37% 32.37%

4.00% 3.35% 3.44%6.77%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

Trailing 3 Months


Trailing 3 Years

Trailing 5 Years

Trailing 10 Years

Trailing 15 Years

11

3 Years 5 Years 10 Years 15 Years

Plan Std Dev 21.6 18.2 16.1 16.7

Benchmark Std Dev 21.7 18.3 16.2 16.6



EAFE Markets Returns vs MSCI EAFE Index

EAFE Mkts MSCI EAFE Index

Rat

e of

Ret

urn

As of 06/30/11 |

1.70%

33.06% 33.06%

2.28% 3.14%5.49%

6.53%

1.56%

30.36% 30.36%

-1.77%

1.47%

5.66% 4.73%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

Trailing 3 Months


Trailing 3 Years

Trailing 5 Years

Trailing 10 Years

Trailing 15 Years


Plan Std Dev 23.2 19.7 17.5 16.9


12


Emerging Markets’ Returns vs MSCI Emerging Markets Index$19M Under Management, 4% of Total Funds

Emerging Mkts MSCI Emerging Mkts Index

Rat

e of

Ret

urn

As of 06/30/11 |

-1.10%

29.43% 29.43%

1.12%

9.81%

-1.04%

28.17% 28.17%

4.54%

11.75%

-5%

0%

5%

10%

15%

20%

25%

30%

35%

Trailing 3 Months FYTD Trailing 12 Months Trailing 3 Years Trailing 5 Years

13

3 Years 5 Years

Plan Std Dev 30.8 27.6

Benchmark Std Dev 30.7 27.2


REITS Returns vs DJ US Select Real Estate Securities Index$18M Under Management, 4% of Total Funds

REITS Returns DJ US Select Real Estate Securities Index

Rat

e of

Ret

urn

As of 06/30/11 |

3.78%

36.45% 36.45%

7.89%3.81%4.02%

35.23% 35.23%

4.64%

1.60%0%

5%

10%

15%

20%

25%

30%

35%

40%

Trailing 3 Months FYTD Trailing 12 Months Trailing 3 Years Trailing 5 Years

14

3 Years 5 Years

Plan Std Dev 38.2 32.0

Benchmark Std Dev 40.5 33.7


Fixed Income Analysis


15


65%

19%

8%8%

Structured Fixed Income Enhanced Yield Short Term TIPS Managers


Total Fixed Income Asset Allocation: June 30, 2011


16


18%

46%

36%

Treasury/Agency Mortgage Credit

Structured Fixed Income Asset Allocation: Quarter Ending June 30, 2011$83M Under Management , 18% of Total Funds


Value Added by Sectors

*NYC Core +5 Breakdown

17

Sub Sector Policy Weight

Actual Weight

Under/Over Weight

Index Return

Actual Return Difference

Contribution to Out/Under Performance

Allocation ManagementTreasury/Agency 20.74 17.92 -2.82 3.39 3.30 -0.09 -0.03 -0.01Mortgage 44.02 46.32 2.30 2.34 1.97 -0.37 -0.01 -0.16

Credit 35.24 35.77 0.53 2.35 2.30 -0.05 0.00 -0.02


Structured Returns vs NYC Core + 5 Index$83M Under Management, 18% of Total Funds

Structured Returns NYC Core + 5 Index

Rat

e of

Ret

urn

As of 06/30/11 |

2.32%

5.24% 5.24%

7.93%

7.24%

6.14% 6.30%

2.57%

4.15% 4.15%

7.32% 7.19%

6.07% 6.27%

0%

2%

4%

6%

8%

10%

Trailing 3 Months


Trailing 3 Years

Trailing 5 Years

Trailing 7 Years

Trailing 10 Years

18


Plan Std Dev 4.8 4.2 4.0 4.3



TIPS Returns vs Barclays Capital US TIPS Index


TIPS Managers Barclays Capital US TIPS Index

Rat

e of

Ret

urn

As of 06/30/11 |

3.43%

6.98% 6.98%

5.29%

6.96%

5.47%

3.66%

7.74% 7.74%

5.30%

6.92%

5.44%

0%

2%

4%

6%

8%

10%

Trailing 3 Months


Trailing 3 Years

Trailing 5 Years

Trailing 6 Years

19

3 Years 5 Years 6 Years

Plan Std Dev 8.7 7.6 7.2

Benchmark Std Dev 8.4 7.3 7.0



Enhanced Yield Returns vs Citigroup BB & B Index & Citigroup BB & B Capped Index

Enhanced Yield Citigroup BB& B Index

Rat

e of

Ret

urn

As of 06/30/11 |

0%

5%

10%

15%

20%

Trailing 3 Months


Trailing 3 Years

Trailing 5 Years

Trailing 7 Years

Trailing 10 Years

20

3 Years 5 Year 7 Years 10 Years

Plan Std Dev 12.6 10.3 8.9 8.9

Citigroup BB & B Std Dev 14.0 11.4 9.9 10.0

Citigroup BB & B Capped Std Dev 13.7 11.1 9.6 ****

Citigroup BB& B Capped Index


Appendix


21


Consolidated Performance Report

Through June 30, 20113 Mos YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 15 Yrs

Assets % Apr-11 Jan-11 Jul-10 Jul-08 Jul-06 Jul-01 Jul-96($MM) Total Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11

EQUITY MANAGEMENT231.77 51.35 BLACKROCK R3000 -0.08 6.29 32.31 **** **** **** ****231.77 51.35 TOTAL DOMESTIC EQUITY -0.08 6.29 32.31 4.07 3.37 3.48 6.93

RUSSELL 3000 -0.03 6.35 32.37 4.00 3.35 3.44 6.77

INTERNATIONAL EQUITYDEVELOPED MARKETS

53.78 11.91 THORNBURG 1.70 6.23 33.10 2.24 **** **** ****0.04 0.01 BANK OF IRELAND **** **** **** **** **** **** ****53.82 11.92 TOTAL DEVELOPED MARKETS 1.70 6.23 33.06 2.28 3.14 5.49 6.53

MSCI EAFE (NET DIVIDEND) 1.56 4.98 30.36 -1.77 1.47 5.66 4.73INTERNATIONAL EQUITY MEDIAN 1.83 5.32 32.32 0.72 3.83 7.78 7.74

EMERGING MARKETS18.75 4.15 STATE STREET -1.10 1.09 29.43 1.12 9.81 **** ****18.75 4.15 TOTAL EMERGING MARKETS -1.10 1.09 29.43 1.12 9.81 **** ****

MSCI EMERGING MARKETS -1.04 1.03 28.17 4.54 11.75 16.55 8.33EMERGING MARKETS MEDIAN -0.63 0.31 27.46 5.75 12.92 16.83 10.35

72.57 16.08 TOTAL INTERNATIONAL EQUITY 0.96 4.85 32.06 1.99 5.02 **** ****

REAL ESTATE EQUITY SECURITIES18.61 4.12 MORGAN STANLEY 3.78 10.50 36.45 7.89 3.81 **** ****18.61 4.12 TOTAL REAL ESTATE EQUITY SECURITIES 3.78 10.50 36.45 7.89 3.81 **** ****

DJ US SELECT RE SECURITIES INDEX 4.02 10.95 35.23 4.64 1.60 10.39 10.74

322.95 71.55 TOTAL EQUITY-PUBLIC & PRIVATE 0.37 6.20 32.49 3.82 3.92 **** ****

22



Through June 30, 2011Through June 30, 2011

3 Mos YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 15 YrsAssets % Apr-11 Jan-11 Jul-10 Jul-08 Jul-06 Jul-01 Jul-96($MM) Total Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11

FIXED INCOME MANAGEMENTGOVERNMENT

14.82 3.28 PIMCO -GOVT 3.30 3.33 2.69 **** **** **** ****14.82 3.28 ALL GOVT-FIRE FIGHTERS 3.30 3.33 2.69 6.92 7.73 6.88 6.88

NYC - TREASURY AGENCY PLUS FIVE 3.39 3.02 2.44 6.70 7.62 6.83 6.83

MORTGAGE36.16 8.01 PIMCO -MORT 2.18 2.74 3.92 **** **** **** ****2.15 0.48 MORTGAGE TRANSITION ACCOUNT **** **** **** **** **** **** ****38.30 8.49 ALL MORTGAGE-FIRE FIGHTERS 1.97 2.87 4.38 6.60 6.50 5.73 ****

CITIGROUP MORTGAGE INDEX 2.34 2.97 3.74 6.96 7.02 5.87 5.87

CREDIT29.58 6.55 TAPLIN, CANIDA -CREDIT 2.30 4.09 7.60 9.21 6.88 **** ****29.58 6.55 ALL INVESTMENT GRADE CREDIT-FIRE FIGHTERS 2.30 4.09 7.60 8.87 6.99 5.88 ****

NYC - INVESTMENT GRADE CREDIT 2.35 3.18 5.94 7.84 6.73 6.21 6.61

82.70 18.32 TOTAL STRUCTURED 2.32 3.39 5.24 7.93 7.24 6.30 ****NYC - CORE PLUS FIVE 2.57 3.05 4.15 7.32 7.19 6.27 6.77

ACTIVE TIPS MANAGERS10.84 2.40 PIMCO-TIPS-MTA 3.43 5.20 6.98 5.29 6.96 **** ****10.84 2.40 TOTAL ACTIVE TIPS MANAGERS 3.43 5.20 6.98 5.29 6.96 **** ****

BARCLAYS GLOBAL US TIPS INDEX 3.66 5.81 7.74 5.30 6.92 6.96 ****

ENHANCED YIELD23.96 5.31 SEIX 0.79 5.04 15.98 10.26 8.09 **** ****23.96 5.31 ALL ENHANCED YIELD 0.79 5.04 15.98 10.27 8.09 7.43 ****

CITIGROUP BB & B 1.05 4.88 14.60 8.14 6.73 7.36 6.64CITIGROUP BB & B CAPPED 0.98 4.79 14.15 8.71 7.30 **** ****ENHANCED YIELD MEDIAN 0.90 4.74 14.99 10.73 8.73 9.51 8.67

23



Through June 30, 2011

3 Mos YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 15 YrsAssets % Apr-11 Jan-11 Jul-10 Jul-08 Jul-06 Jul-01 Jul-96($MM) Total Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11127.83 28.32 TOTAL FIXED INCOME 2.01 3.72 7.22 8.35 7.48 6.53 6.69

10.34 2.29 STATE STREET SHORT TERM 0.61 0.70 0.89 0.44 1.43 2.38 3.630.00 0.00 BNY - CD **** **** **** **** **** **** ****

0.58 0.13 SECURITIES LENDING **** **** **** **** **** **** ****

451.37 100.00 TOTAL FIREFIGHTERS 0.82 5.47 24.16 5.96 5.52 5.42 7.33FIREFIGHTERS POLICY BENCHMARK 1.00 5.34 24.06 4.97 5.03 5.37 ****

24


Securities Lending Income


25

U.S. U.S. INTERNATIONAL

FIXED INCOME EQUITY EQUITY

2001 73,000 57,000 - 0 -

2002 34,000 36,000 - 0 -

2003 22,000 48,000 59,000

2004 45,000 93,000 45,000

2005 76,000 147,000 61,000

2006 79,000 192,000 63,000

2007 164,000 293,000 51,000

2008 451,000 492,000 65,000

2009 123,000 231,000 45,000

2010 49,000 204,000 31,000

2011 (6 Months) 31,000 103,000 33,000


• Effective 4/1/03 the name of the Core +5 benchmark index provider was changed from Salomon to Citigroup.

• Effective 7/1/09, the Core+5 program was restructured. • The U.S. Gov’t sector benchmark Index was changed from the Citigroup Core+5 Treasury/Gov’t Sponsored Index to the

Citigroup Core+5 Treasury/Agency Index. • The Corporate and Yankee sectors were combined to form the new Investment Grade Credit sector. The benchmark for

the new combined sector is the customized Citigroup Credit Index. For historical performance purposes, the old Corporate sector Index is linked to the new Credit sector Index.

• There were no changes to the Mortgage sector Index. • The total Core+5 results and benchmark returns combine the three sectors. Historical total Core+5 returns continue to

include the old Corporate and Yankee sector returns.


Footnotes


Glossary of Terms

Through June 30, 2011General Notes

• All Returns are Gross of investment advisory fees unless otherwise indicated.

Page Specific

Page 4 - Portfolio Asset Allocation

• Rebalancing Ranges: the minimum and maximum weights that actual Asset Allocation may reach before rebalancing between Asset Classes is necessary.

Page 5 - Performance Attribution: Total Plan

• Plan Return at Policy Weights: the return of the Total Plan assuming actual Asset Class results were maintained at target (Adjusted Policy) weights. Figure = (Return of Asset Class 1* Target Weight) plus (Return Of Asset Class 2* Target Weight) plus (……)

• Allocation Effect = Total Plan Return minus Plan Return at Adjusted Policy Weights.

• Management Effect =Custom Benchmark (Adjusted Policy Index) Return minus Plan Return at Adjusted Policy WeightsThis illustrates how the Managers have added or removed value based on their Security Selection decisions.

• Policy Index = Custom BenchmarkThe “policy index” is a custom benchmark representing the weighted average return of the benchmark indexes for each major investment program. Weights may reflect an adjustment of actual policy for outstanding commitments for new or revised programs, such as for private market programs, which are invested gradually, or for any new or updated program requiring the completion of RFPs and contracts. The policy index/custom benchmark is calculated monthly based on adjusted policy weights at the beginning of each month. The indexes and most recent adjusted policy weights are as follows:U.S. Equity: Russell 3000 * 50%International Developed (EAFE) Markets: MSCI EAFE * 13%International Emerging Markets: MSCI Emerging Markets * 4%REITs: DJ US Select Real Estate Securities Index * 3%Domestic Fixed Income: NYC Core +5 * 21%TIPS: Barclays Capital U.S. TIPS * 3%Enhanced Yield: Citigroup BB&B * 6%

27


Glossary of Terms

Through June 30, 2011Page 8 - Management Effect - Asset Class Breakdown

• This chart aims to break down the Management Effect shown on the Performance Attribution pages. The aim of the Page is to show the asset classes where Managers are either out performing or under performing their benchmark and to show the basis point effect that this is having on Plan performance.

Page 17 – Structured Fixed Income Asset Allocation

• Value Added By Sectors: This disaggregates out-performance or under-performance by Asset Allocation and Management Effect.

• Implied Policy = Retirement's System Asset Allocation.• Implied Return = Benchmark Return• Allocation = the Contribution to Performance resulting from an overweight or underweight to an asset class. E.g. an underweight

to an Asset Class that under-performs rests in a positive Allocation Effect and vice versa.• Management = Contribution to Performance from security selection versus the Benchmark, e.g., If the managers Actual Returns

are higher than the Implied Return there will be a positive Management Effect.

28

total fund overview · fixed income analysis appendix. 2. new york city firefighters’ variable...

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