Montana Board of Investments Investment Performance Analysis

Transcription

1 Investment Performance Analysis Quarter Ended September 30, 2008 Prepared By Bret van Roden 111 SW Naito Parkway Portland, OR f:

2 Capital Markets Review Capital Markets Review Third Quarter Market Environment In a dramatic flight to quality and repricing of global investment risk, the credit and liquidity crisis gripped all markets during the third quarter and sent volatility skyward. In the quarter's final month, markets witnessed the largest bankruptcy in U.S. history and unprecedented market intervention by the Federal Reserve and U.S. Treasury. Fannie Mae and Freddie Mac were taken over by the government, Lehman Brothers filed for bankruptcy protection, the government took control of AIG in exchange for an $85 billion loan, Merrill Lynch and Wachovia were sold, and Washington Mutual was seized by federal regulators. Lehman's bankruptcy, on September 15, provided the catalyst for a late-quarter intensification of the credit crisis, as lending between banks ground to a halt and corporate borrowing costs soared (for those corporations that could obtain credit at all). By the time a hasty effort on the part of U.S. regulators to secure passage of a rescue plan ultimately failed on September 29, the Dow suffered its largest point decline in history, before a 5% rebound on the quarter's last trading day. Concerns for global demand sent commodity prices, particularly oil (which declined 28%), downward. Third Quarter Equities Markets around the world saw significant declines in the third quarter, based on a combination of a flight to quality given the credit and liquidity crisis, and on greater concerns of an economic slowdown. Commodity-rich and export-dependent emerging markets equities led the decline, returning -27%, in parity with the decline in commodity prices. International small-cap equities declined by 24%, and international developed markets fell by 21%. Within the domestic equity market, small-cap value securities provided the sole source of positive returns as every other market segment declined, led downward by large-cap growth. The economic sectors that had shown the most resiliency during the first half of the year saw the greatest declines in the third quarter, as energy and materials declined by 25% and 22%, respectively. Financial stocks, despite significant volatility, ended the quarter marginally positive, as the smaller and healthier banks posted gains. Consumer staples, long considered a recession hedge, posted the domestic market's greatest gains at 5%. Trailing-Period Performance 1 Quarter Third Quarter Fixed Income In the quarter's flight to quality, every broad segment of the fixed income market except for short-term Treasury bills, fixed-rate mortgage-backed securities, and agency securities posted negative returns. Investors' preference for the very safest securities, shortterm Treasuries, caused their prices to rise to such a level that, several times toward the end of the quarter, their yields turned negative -- 1 Year indicating that investors were willing to accept a small, known loss as the price of avoiding all uncertainty. At the same time, yields for any fixed income security that included default, interest-rate, or any other risk soared as their prices collapsed. Longer-term Treasury 1 securities saw a selloff, partially because of fears that the $700 billion in new debt expected to be issued by a government rescue plan 5.00 would cause their prices to fall. 1 Month Ending Jul Month Ending Aug Month 1 Quarter S&P R MSCI EAFE (Gross) MSCI EAFE SC (Gross) N/A MSCI EM (Gross) LB Aggregate ML 3 Mo T-Bill NCREIF Property N/A N/A N/A HFN FOF Multi-Strat DJ/AIG Commodity Performance is annualized for periods greater than one year. Year To Date 1 Year S&P S&P R R MSCI EAFE (Gross) MSCI EAFE (Gross) MSCI EAFE SC (Gross) MSCI EAFE SC (Gross) MSCI EM (Gross) MSCI EM (Gross) LB Aggregate LB Aggregate 0.63 ML 3 Mo T-Bill ML 3 Mo T-Bill NCREIF Property HFN FOF Multi-Strat DJ/AIG Commodity NCREIF Property HFN FOF Multi-Strat DJ/AIG Commodity Page 1

3 1 Quarter 1 Year DJW 5000 S&P 500 R 1000 R 2000 R 1000 Value R 2000 Value R 1000 Growth R 2000 Growth DJW 5000 S&P 500 R 1000 R 2000 R 1000 Value R 2000 Value R 1000 Growth R 2000 Growth DJW 5000 S&P 500 R 1000 DJW 5000 S&P 500 R 1000 R 2000 R 1000 Value R 2000 Value R 1000 Growth R 2000 Growth R 2000 R 1000 Value R 2000 Value R 1000 Growth R 2000 Growth Domestic Equity Market Performance Page 2 Performance is annualized for periods greater than one year.

4 Domestic Equity Sector Weights and Returns S&P 500 Sector Weights S&P 500 Sector Returns - 1 Quarter S&P 500 Sector Returns - 1 Year September September 30, , 2008 : $100 : $ Cons Discretion Cons Staples Energy Financials Health Care Industrials Info Technology Materials Telecom Services Utilities Cons Discretion 0.74 Cons Staples Energy Financials Health Care Industrials Info Technology Materials Telecom Services Utilities S&P 500 Sector Returns - 3 S&P 500 Sector Returns - 5 Manager Allocation (%) Information Technology Financials Energy Health Care Consumer Staples Industrials Consumer Discretionary 8.48 Utilities 3.56 Materials 3.37 Telecommunication Services Cons Discretion Cons Staples Energy Financials Health Care Industrials Info Technology Materials Telecom Services Utilities Performance is annualized for periods greater than one year. Returns provided by MPI Stylus, allocations provided by Standard & Poor's Cons Discretion Cons Staples Energy Financials Health Care Industrials Info Technology Materials Telecom Services Utilities Page 3

5 1 Quarter 1 Year MSCI ACW Ex US MSCI EAFE MSCI EAFE Value MSCI EAFE Growth MSCI EAFE SC MSCI Europe MSCI Pacific MSCI Emg Mkts MSCI ACW Ex US MSCI EAFE MSCI EAFE Value MSCI EAFE Growth MSCI EAFE SC MSCI Europe MSCI Pacific MSCI Emg Mkts MSCI ACW Ex US MSCI EAFE MSCI EAFE Value MSCI EAFE Growth MSCI EAFE SC MSCI Europe MSCI Pacific MSCI Emg Mkts International Equity Market Performance MSCI ACW Ex US MSCI EAFE MSCI EAFE Value MSCI EAFE Growth MSCI EAFE SC MSCI Europe MSCI Pacific MSCI Emg Mkts Page 4 Performance is annualized for periods greater than one year.

6 International Equity Sector Weights and Returns MSCI ACW Ex US Sector Weights MSCI ACW Ex US Sector Returns - 1 Quarter MSCI ACW Ex US Sector Returns - 1 Year September September 30, , 2008 : $100 : $ Cons Discretion -1 Cons Staples Energy Financials Health Care Industrials Info Technology Materials Telecom Services Utilities Cons Discretion Cons Staples Energy Financials Health Care Industrials Info Technology Materials Telecom Services Utilities MSCI ACW Ex US Sector Returns - 3 MSCI ACW Ex US Sector Returns - 5 Manager Allocation (%) Financials Energy Industrials Materials Consumer Discretionary 8.62 Consumer Staples 8.02 Telecommunication Services 6.78 Health Care 6.72 Information Technology 6.03 Utilities Cons Discretion 9.59 Cons Staples 2.36 Energy Financials Performance is annualized for periods greater than one year. Returns and allocations provided by MSCI Barra. Health Care Industrials Info Technology Materials 6.28 Telecom Services Utilities Cons Discretion Cons Staples Energy Financials Health Care Industrials Info Technology Materials Telecom Services Utilities Page 5

7 Year Ending September 30, 2008 MSCI Sweden (Loc) (Gross) MSCI Austria (US) (Gross) MSCI Austria (Loc) (Gross) MSCI Finland (US) (Gross) MSCI Finland (Loc) (Gross) MSCI Belgium (US) (Gross) MSCI Belgium (Loc) (Gross) MSCI Ireland (US) (Gross) MSCI Ireland (Loc) (Gross) MSCI Canada (US) (Gross) MSCI Canada (Loc) (Gross) MSCI Switzerland (US) (Gross) MSCI Switzerland (Loc) (Gross) S&P 500 (Cap Wtd) MSCI Spain (US) (Gross) MSCI Spain (Loc) (Gross) MSCI Denmark (US) (Gross) MSCI Denmark (Loc) (Gross) MSCI JPN (US) (Gross) MSCI JPN (Loc) (Gross) MSCI France (US) (Gross) MSCI France (Loc) (Gross) MSCI Germany (US) (Gross) MSCI Germany (Loc) (Gross) MSCI EAFE (US) (Gross) MSCI EAFE (Loc) (Gross) MSCI Singapore (US) (Gross) MSCI Singapore (Loc) (Gross) MSCI UK (US) (Gross) MSCI UK (Loc) (Gross) MSCI Netherlands (US) (Gross) MSCI Netherlands (Loc) (Gross) MSCI Italy (US) (Gross) MSCI Italy (Loc) (Gross) MSCI Portugal (US) (Gross) MSCI Portugal (Loc) (Gross) MSCI Australia (US) (Gross) MSCI Australia (Loc) (Gross) MSCI Hong Kong (US) (Gross) MSCI Hong Kong (Loc) (Gross) MSCI Greece (US) (Gross) MSCI Greece (Loc) (Gross) MSCI Norway (US) (Gross) MSCI Norway (Loc) (Gross) MSCI Sweden (US) (Gross) Page International Equity Market Performance

8 Treasury Yield Curve September 30, 2008 June 30, 2008 September 28, 2007 September 30, 2005 September 30, % 3 Month 0.92% 1.90% 3.82% 3.55% 0.95% 6 Month 1.60% 2.17% 4.09% 3.93% 1.01% 1 Year 1.78% 2.36% 4.05% 4.01% 1.15% 2 Year 2.00% 2.63% 3.97% 4.18% 1.50% 3 Year 2.28% 2.91% 4.03% 4.18% 1.95% 5 Year 2.98% 3.34% 4.23% 4.18% 2.85% 7 Year 3.38% 3.61% 4.38% 4.23% 3.41% 10 Year 3.85% 3.99% 4.59% 4.34% 3.96% 20 Year 4.43% 4.59% 4.89% 4.62% 4.91% 30 Year 4.31% 4.53% 4.83% N/A N/A 5.00% 4.50% 4.00% Yield to Maturity 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% September 30, 2008 June 30, 2008 September 28, 2007 September 30, 2005 September 30, % 3m 1Y 2Y 3Y 5Y 7Y 10Y 20Y 30Y 6m to Maturity Page 7

9 1 Quarter 1 Year CPI ML 3 Mo T-Bill LB Aggregate LB Gov't/Credit Int LB Gov't/Credit Long LB US Corp: Hi Yield Citi Non-US World Gov't LB US TIPS CPI ML 3 Mo T-Bill LB Aggregate LB Gov't/Credit Int LB Gov't/Credit Long LB US Corp: Hi Yield Citi Non-US World Gov't LB US TIPS CPI ML 3 Mo T-Bill LB Aggregate LB Gov't/Credit Int LB Gov't/Credit Long CPI ML 3 Mo T-Bill LB Aggregate LB Gov't/Credit Int LB Gov't/Credit Long LB US Corp: Hi Yield Citi Non-US World Gov't LB US TIPS LB US Corp: Hi Yield Citi Non-US World Gov't LB US TIPS Fixed Income Market Performance Page 8 Performance is annualized for periods greater than one year.

10 Domestic Fixed Income Sector Weights and Returns LB Aggregate Sector Weights LB Aggregate Sector Returns - 1 Quarter LB Aggregate Sector Returns - 1 Year September September 30, , 2008 : $100 : $ Treasuries 0.98 Agencies Corporate Long Corporate Int 2.04 MBS - Fixed 0.03 MBS - Adjustable CMBS ABS Treasuries 6.00 Agencies Corporate Long Corporate Int 7.20 MBS - Fixed 5.20 MBS - Adjustable CMBS ABS LB Aggregate Sector Returns - 3 LB Aggregate Sector Returns - 5 Manager Allocation (%) MBS - Fixed Rate Treasuries Agencies Corporate Intermediate CMBS 4.60 Corporate Long 4.44 MBS - Adjustable Rate 3.22 ABS Treasuries 5.15 Agencies Corporate Long 0.81 Corporate Int 5.56 MBS - Fixed MBS - Adjustable 0.70 CMBS 0.27 ABS Treasuries 4.17 Agencies 1.09 Corporate Long 1.62 Corporate Int 4.87 MBS - Fixed MBS - Adjustable 1.51 CMBS 1.12 ABS Performance is annualized for periods greater than one year. Returns and allocations provided by Lehman Brothers. Page 9

11 1 Quarter 1 Year Property East South West Midwest Apartment Hotel Industrial Office Retail Property East South West Midwest Apartment Hotel Industrial Office Retail Property East South West Midwest Apartment Hotel Industrial Office Retail Real Estate Market Performance Property East South West Midwest Apartment Hotel Industrial Office Retail Performance is annualized for periods greater than one year. Page 10

12 1 Quarter 1 Year HFN FOF Multi-Strat HFN Conv Arbitrage HFN Long/Short Equity HFN Market Neutral Eq HFN Short Bias HFN Distressed HFN Macro HFN Relative Value HFN Event Driven HFN Merger/Risk Arbitrage HFN FI Arbitrage HFN FOF Multi-Strat HFN Conv Arbitrage HFN Long/Short Equity HFN Market Neutral Eq HFN Short Bias HFN Distressed HFN Macro HFN Relative Value HFN Event Driven HFN Merger/Risk Arbitrage HFN FI Arbitrage HFN FOF Multi-Strat HFN Conv Arbitrage HFN Long/Short Equity HFN Market Neutral Eq HFN Short Bias HFN Distressed HFN Macro HFN Relative Value HFN Event Driven HFN Merger/Risk Arbitrage HFN FI Arbitrage Hedge Fund Market Performance HFN FOF Multi-Strat HFN Conv Arbitrage HFN Long/Short Equity HFN Market Neutral Eq HFN Short Bias HFN Distressed HFN Macro HFN Relative Value HFN Event Driven HFN Merger/Risk Arbitrage HFN FI Arbitrage Performance is annualized for periods greater than one year. Values are preliminary and subject to change. Page 11

13 Annual Asset Class Performance Best YTD 16.61% 37.58% 23.17% 33.36% 28.58% 66.42% 31.84% 8.44% 25.91% 62.14% 31.27% 34.54% 32.59% 39.78% 1.99% 8.06% 29.95% 22.96% 22.36% 20.34% 27.31% 16.16% 7.89% 16.56% 56.28% 25.95% 26.65% 26.86% 16.23% 1.83% 6.39% 28.44% 17.38% 17.65% 16.24% 24.69% 13.15% 7.29% 14.81% 47.25% 20.70% 21.36% 19.67% 15.83% 1.17% 4.19% 19.17% 16.49% 14.52% 11.77% 24.35% 12.40% 7.28% 10.25% 39.17% 18.33% 20.06% 18.37% 11.63% 0.63% 1.32% 18.47% 11.35% 13.90% 8.69% 21.26% 12.24% 6.61% 6.74% 28.97% 14.48% 14.02% 16.59% 11.63% -4.09% 0.62% 15.21% 10.31% 12.76% 5.23% 21.04% 11.63% 5.28% 3.12% 28.68% 11.13% 6.75% 15.80% 9.91% -8.01% -1.03% 13.54% 6.34% 9.65% 3.94% 20.19% 6.18% 4.42% 1.78% 23.93% 10.88% 5.33% 11.85% 6.97% % -1.82% 11.55% 6.04% 5.33% 3.75% 11.36% -3.02% 2.49% -1.41% 11.93% 9.15% 4.91% 9.85% 6.60% % -2.92% 7.54% 5.30% 2.05% 1.87% 4.85% -5.86% -2.37% -6.00% 8.99% 8.56% 4.55% 4.85% 5.49% % -7.10% 6.03% 3.63% -3.39% -2.55% 2.40% -7.22% % -7.44% 8.39% 8.46% 3.07% 4.33% 5.00% % -7.31% -5.21% 0.14% % % 2.39% -9.10% % % 5.87% 6.79% 2.84% 2.71% 1.87% % N/A N/A N/A N/A % -0.82% % % % 4.10% 4.34% 2.74% 2.07% 1.79% % Worst N/A N/A N/A N/A N/A -7.65% % % % 1.15% 1.33% 2.43% 0.41% -1.57% % S&P US Large Cap R US S mall Cap MSCI EAFE (Gross) - Int'l Dev. MSCI EAFE S m Cap (Gross) - SC Int'l MSCI EMF - Int'l Emerging Markets LB Agg Bond - FI LB US Corp: Hi Yield - FI LB US Treasury: US TIPS - FI LB Gov't/Cre dit: Long Term Bond -FI NCREIF Property - Real Estate HFN FOF Multi-Str at (Net) - Hedge Fund DJ/AIG Commod -ity ML 3 Mo T-Bill - Cash Equiv Page 12

14 Asset Allocation Retirement Plans September 30, 2008 : $6,928,628,452 Allocations shown may not sum up to 100% exactly due to rounding. Manager Market Value ($ ) Allocation (%) Public Employees' Retirement 3,487,061, Teachers' Retirement 2,680,648, Police Retirement 181,189, Firefighters' Retirement 176,301, Sheriffs' Retirement 171,845, Highway Patrol Retirement 87,320, Game Wardens' Retirement 67,504, Judges' Retirement 53,496, Volunteer Firefighters' Retirement 23,259, Page 13

15 Asset Allocation Retirement Plans by Asset Class Domestic Equity International Equity Domestic Fixed Income Real Estate Alternative Investment Cash Equivalent Total Fund ($) (%) ($) (%) ($) (%) ($) (%) ($) (%) ($) (%) ($) (%) Public Employees 1,345,249, ,124, ,367, ,459, ,230, ,630, ,487,061, Teachers 1,041,928, ,891, ,372, ,813, ,102, ,540, ,680,648, Police Retirement 67,139, ,671, ,843, ,558, ,652, ,323, ,189, Sheriffs' Retirement 65,784, ,875, ,194, ,747, ,624, ,618, ,845, Firefighters 64,931, ,579, ,611, ,635, ,399, ,144, ,301, Highway Patrol 33,674, ,914, ,272, ,472, ,040, , ,320, Game Wardens 25,451, ,386, ,524, ,396, ,601, ,143, ,504, Judges 20,516, ,340, ,999, ,730, ,148, , ,496, Volunteer Firefighters' Retirement 8,908, ,690, ,506, ,150, ,619, , ,259, Total Retirement Plans 2,673,585, ,099,475, ,928,691, ,963, ,419, ,492, ,928,628, Allocations shown may not sum up to 100% exactly due to rounding. Page 14

16 All Public Plans-Total Fund Plan Sponsor TF Asset Allocation Allocation (%) US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv. Real Estate Cash Total Fund Composite - Pension Plans (45) (48) (52) N/A (21) 5.35 (60) 0.89 (83) Median Population Parentheses contain percentile ranks. Percentages represent the total assets of the retirement plans. Page 15

17 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance Retirement Plans 1 Year Public Employees' Retirement - Net Public Employees' Benchmark Difference Public Employees' Retirement - Gross N/A N/A N/A N/A N/A N/A N/A N/A All Public Plans-Total Fund Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Teachers' Retirement - Net Teachers' Benchmark Difference Teachers' Retirement - Gross N/A N/A N/A N/A N/A N/A N/A N/A All Public Plans-Total Fund Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Police Retirement - Net Police Benchmark Difference Police Retirement - Gross N/A N/A N/A N/A N/A N/A N/A N/A All Public Plans-Total Fund Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Performance is annualized for periods greater than one year. All Public Plans - Total Fund Median is reported gross of fees. Page 16

18 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance Retirement Plans 1 Year Firefighters' Retirement - Net Firefighters' Benchmark Difference Firefighters' Retirement - Gross N/A N/A N/A N/A N/A N/A N/A N/A All Public Plans-Total Fund Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Sheriffs' Retirement Sheriffs' Benchmark Difference Sheriffs' Retirement N/A N/A N/A N/A N/A N/A N/A N/A All Public Plans-Total Fund Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Highway Patrol Retirement - Net Highway Patrol Benchmark Difference Highway Patrol Retirement - Gross N/A N/A N/A N/A N/A N/A N/A N/A All Public Plans-Total Fund Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Performance is annualized for periods greater than one year. All Public Plans - Total Fund Median is reported gross of fees. Page 17

19 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance Retirement Plans 1 Year Game Wardens' Retirement - Net Game Wardens' Benchmark Difference Game Wardens' Retirement - Gross N/A N/A N/A N/A N/A N/A N/A N/A All Public Plans-Total Fund Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Judges' Retirement - Net Judges' Benchmark Difference Judges' Retirement - Gross N/A N/A N/A N/A N/A N/A N/A N/A All Public Plans-Total Fund Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Volunteer Firefighters' Retirement Volunteer Firefighters' Benchmark Difference Volunteer Firefighters' Retirement N/A N/A N/A N/A N/A N/A N/A N/A All Public Plans-Total Fund Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Performance is annualized for periods greater than one year. All Public Plans - Total Fund Median is reported gross of fees. Page 18

20 All Public Plans-Total Fund Plan Sponsor Peer Group Analysis Quarter Year To Date Public Employees' Retirement (48) (56) 8.72 (40) (56) 6.69 (83) 9.29 (91) (66) (66) (50) 2.52 (33) Public Employees' Benchmark (31) (56) 8.08 (56) (47) 6.06 (88) (84) (86) (38) (37) (71) Median Population Performance shown is net of fees. Performance is annualized for periods greater than one year. Parentheses contain percentile ranks. All Public Plans - Total Fund Median is reported gross of fees. Page 19

21 Public Employees' Retirement vs. All Public Plans - Total Fund Plan Sponsor Scattergram - 3 Absolute Return Risk (S tandard Deviation %) Return Standard Deviation Public Employees' Retirement Public Employees' Benchmark Median /05 9/06 6/07 3/08 9/08 Public Employees' Retirement Public Employees' Benchmark Plan Sponsor Peer Group Analysis-Multi Statistics Standard Deviation 0.30 Sharpe Ratio 3.00 Excess Return vs Risk Free 9.00 Downside Risk Public Employees' Retirement 8.41 (57) Public Employees' Benchmark 8.28 (61) (58) (61) (58) (60) (50) 5.93 (70) Median 8.68 Performance shown is net of fees. Calculation is based on quarterly periodicity. Parentheses contain percentile ranks. All Public Plans - Total Fund Median is reported gross of fees Page 20

22 Public Employees' Retirement vs. All Public Plans - Total Fund Plan Sponsor Scattergram - 7 Absolute Return Risk (S tandard Deviation %) Return Standard Deviation 1-1 Public Employees' Retirement Public Employees' Benchmark Median /01 6/03 12/04 6/06 12/07 9/08 Public Employees' Retirement Public Employees' Benchmark Peer Group Analysis-Multi Statistics Standard Deviation 0.70 Sharpe Ratio 7.50 Excess Return vs Risk Free 9.00 Downside Risk Public Employees' Retirement 9.22 (77) Public Employees' Benchmark 8.70 (85) (87) 0.33 (81) (83) 2.84 (87) (72) 5.22 (74) Median Performance shown is net of fees. Calculation is based on quarterly periodicity. Parentheses contain percentile ranks. All Public Plans - Total Fund Median is reported gross of fees Page 21

23 Asset Allocation Investment Pools September 30, 2008 : $10,594,198,190 Manager Market Value ($ ) Allocation (%) Montana Domestic Equity Pool 2,673,376, Montana International Equity Pool 1,096,990, Retirement Funds Bond Pool 1,864,607, Trust Funds Bond Pool 1,472,861, Real Estate Pool 353,372, Private Equity Pool 794,093, Short Term Investment Pool 2,338,896, Allocation shown may not sum up to 100% exactly due to rounding. Page 22

24 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance Investment Pools 1 Year Montana Domestic Equity Pool N/A N/A S&P 1500 Super Comp Index Difference N/A N/A Montana International Equity Pool International Custom Benchmark Difference Retirement Funds Bond Pool LB US Agg Bond Index Difference Trust Funds Bond Pool LB US Agg Bond Index Difference Real Estate Pool N/A N/A N/A 7.41 N/A N/A N/A N/A NCREIF ODCE Index (Net) (Asset Wtd Avg) Difference N/A N/A N/A N/A N/A N/A N/A Short Term Investment Pool Month LIBOR Index Difference Short Term Investment Pool imoneynet Money Fund (Gross) Median Difference Performance shown is gross of fees. Performance is annualized for periods greater than one year. Page 23

25 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance Investment Pools 1 Year Private Equity Pool N/A S&P % Difference N/A Performance is shown gross of fees. Performance is annualized for periods greater than one year. Page 24

26 1 Quarter Montana Board of Investments Comparative Performance Equity Composites Jul-2008 To Sep Year Domestic Large Cap Equity - Net N/A N/A N/A N/A N/A N/A N/A R 1000 Index Difference N/A N/A N/A N/A N/A N/A N/A Domestic Large Cap Equity - Gross N/A N/A N/A N/A N/A N/A N/A US Large Cap Equity (SA+CF) Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A Domestic Mid Cap Equity - Net N/A N/A N/A R Mid Cap Index Difference N/A N/A N/A Domestic Mid Cap Equity - Gross N/A N/A N/A US Mid Cap Equity (SA+CF) Median Percentile Rank N/A N/A N/A Domestic Small Cap Equity - Net N/A R 2000 Index Difference N/A Domestic Small Cap Equity - Gross N/A US Small Cap Equity (SA+CF) Median Percentile Rank N/A Performance is annualized for periods greater than one year. Page 25

27 1 Quarter Montana Board of Investments Comparative Performance Equity Composites Jul-2008 To Sep Year International Large Cap Equity - Net N/A N/A N/A N/A MSCI ACW Ex US Index (Net) Difference N/A N/A N/A N/A International Large Cap Equity - Gross N/A N/A N/A N/A International Active Equity (SA+CF) Median Percentile Rank N/A N/A N/A N/A International Small Cap Equity - Net N/A N/A 3.78 N/A N/A N/A N/A MSCI EAFE Sm Cap Index (Net) Difference N/A N/A 2.33 N/A N/A N/A N/A International Small Cap Equity - Gross N/A N/A 4.06 N/A N/A N/A N/A International Small Cap Equity (SA+CF) Median Percentile Rank N/A N/A 71 N/A N/A N/A N/A Performance is annualized for periods greater than one year. Page 26

28 1 Quarter Montana Board of Investments Comparative Performance Equity Sub Composites Jul-2008 To Sep Year Domestic Large Cap Value - Net N/A N/A N/A N/A N/A N/A N/A R 1000 Value Index Difference N/A N/A N/A N/A N/A N/A N/A Domestic Large Cap Value - Gross N/A N/A N/A N/A N/A N/A N/A US Value/Large Cap Equity (SA+CF) Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A Domestic Large Cap Enhanced - Net N/A N/A 3.09 N/A N/A N/A N/A S&P 500 Index (Cap Wtd) Difference N/A N/A N/A N/A N/A N/A Domestic Large Cap Enhanced - Gross N/A N/A 3.41 N/A N/A N/A N/A US Core/Large Cap Equity (SA+CF) Median Percentile Rank N/A N/A 80 N/A N/A N/A N/A Domestic Large Cap Passive - Net N/A S&P 500 Index (Cap Wtd) Difference N/A Domestic Large Cap Passive - Gross N/A US Core/Large Cap Equity (SA+CF) Median Percentile Rank N/A Domestic Large Cap Growth - Net N/A N/A N/A N/A N/A N/A N/A R 1000 Growth Index Difference N/A N/A N/A N/A N/A N/A N/A Domestic Large Cap Growth - Gross N/A N/A N/A N/A N/A N/A N/A US Growth/Large Cap Equity (SA+CF) Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A Performance is annualized for periods greater than one year. Page 27

29 1 Quarter Montana Board of Investments Comparative Performance Equity Sub Composites Jul-2008 To Sep Year Domestic Large Cap 130/30 - Net N/A N/A N/A N/A N/A N/A N/A N/A S&P 500 Index (Cap Wtd) Difference N/A N/A N/A N/A N/A N/A N/A N/A Domestic Large Cap 130/30 - Gross N/A N/A N/A N/A N/A N/A N/A N/A US Core/Large Cap Equity (SA+CF) Median Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A International Large Cap Value - Net N/A N/A N/A N/A N/A N/A MSCI ACW Ex US Value Index Difference N/A N/A 0.62 N/A N/A N/A N/A International Large Cap Value - Gross N/A N/A N/A N/A N/A N/A International Active Value Equity (SA+CF) Median Percentile Rank N/A N/A 25 N/A N/A N/A N/A International Large Cap Core - Net N/A N/A N/A N/A N/A MSCI ACW Ex US Index (Net) Difference N/A N/A N/A N/A N/A International Large Cap Core - Gross N/A N/A N/A N/A N/A International Active Core Equity (SA+CF) Median Percentile Rank N/A N/A N/A N/A N/A International Large Cap Growth - Net N/A N/A N/A N/A N/A N/A MSCI ACW Ex US Growth Index (Net) Difference N/A N/A N/A N/A N/A N/A International Large Cap Growth - Gross N/A N/A N/A N/A N/A N/A International Active Growth Equity (SA+CF) Median Percentile Rank N/A N/A 47 N/A N/A N/A N/A Performance is annualized for periods greater than one year. Page 28

30 Asset Allocation Montana Domestic Equity Pool September 30, 2008 : $2,673,748,517 Manager Market Value ($ ) Allocation (%) BGI Equity Index Fund A (CF) 682,152, T. Rowe U.S. Structured Research (SA) 180,463, J.P. Morgan 130/30 (SA) 176,833, Barrow Hanley (SA) 167,613, INTECH Enhanced Plus (SA) 166,715, Western Asset U.S. Index Plus (CF) 140,446, Columbus Circle Investors (SA) 129,569, Renaissance Investment (SA) 127,431, Rainier Investment (SA) 121,806, Quantitative Mgmt (SA) 115,866, Goldman Sachs Enhanced Large Cap (CF) 115,693, Analytic Investors 130/30 (SA) 100,862, Martingale Asset Mgmt. (SA) 86,752, Martingale 130/30 (SA) 69,153, TimesSquare Capital Mgmt. (SA) 68,202, Artisan Partners (SA) 57,196, DFA US Small Cap Trust (CF) 52,981, Vaughan Nelson Mgmt. (SA) 44,084, NorthPointe Capital (SA) 35,546, BGI Mid Cap Equity Index A (CF) 19,229, Domestic Equity Pool SPIF 15,148, Allocation shown may not sum up to 100% exactly due to rounding. Market values do not include pending trades. Page 29

31 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance Domestic Equity Managers 1 Year Since Inception Inception Date Barrow Hanley (SA) - Net N/A N/A N/A N/A N/A N/A N/A /01/2007 R 1000 Value Index Difference N/A N/A N/A N/A N/A N/A N/A Barrow Hanley (SA) - Gross N/A N/A N/A N/A N/A N/A N/A /01/2007 US Value/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Quantitative Mgmt (SA) - Net N/A N/A N/A N/A N/A N/A N/A /01/2007 R 1000 Value Index Difference N/A N/A N/A N/A N/A N/A N/A 0.78 Quantitative Mgmt (SA) - Gross N/A N/A N/A N/A N/A N/A N/A /01/2007 US Value/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A BGI Equity Index Fund A (CF) - Net /01/2000 S&P 500 Index (Cap Wtd) Difference BGI Equity Index Fund A (CF) - Gross /01/2000 US Core/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A INTECH Enhanced Plus (SA) -Net N/A N/A 7.15 N/A N/A N/A N/A /01/2006 S&P 500 Index (Cap Wtd) Difference N/A N/A 1.66 N/A N/A N/A N/A 0.18 INTECH Enhanced Plus (SA) - Gross N/A N/A 7.63 N/A N/A N/A N/A /01/2006 US Core/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A 35 N/A N/A N/A N/A N/A Performance is annualized for periods greater than one year. Page 30

32 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance Domestic Equity Managers 1 Year Since Inception Inception Date T. Rowe U.S. Research (SA) - Net N/A N/A 6.04 N/A N/A N/A N/A /01/2006 S&P 500 Index (Cap Wtd) Difference N/A N/A 0.55 N/A N/A N/A N/A 0.79 T. Rowe U.S. Research (SA) - Gross N/A N/A 6.39 N/A N/A N/A N/A /01/2006 US Core/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A 49 N/A N/A N/A N/A N/A Goldman Sachs Large Cap (CF) - Net N/A N/A 2.09 N/A N/A N/A N/A /01/2006 S&P 500 Index (Cap Wtd) Difference N/A N/A N/A N/A N/A N/A Goldman Sachs Large Cap (CF) - Gross N/A N/A 2.28 N/A N/A N/A N/A /01/2006 US Core/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A 87 N/A N/A N/A N/A N/A Western Asset U.S. Index Plus (CF) - Net N/A N/A N/A N/A N/A N/A /01/2006 S&P 500 Index (Cap Wtd) Difference N/A N/A N/A N/A N/A N/A Western Asset U.S. Index Plus (CF) - Gross N/A N/A N/A N/A N/A N/A /01/2006 US Core/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A 99 N/A N/A N/A N/A N/A Columbus Circle Investors (SA) - Net N/A N/A N/A N/A N/A N/A N/A /01/2007 R 1000 Growth Index Difference N/A N/A N/A N/A N/A N/A N/A 3.23 Columbus Circle Investors (SA) - Gross N/A N/A N/A N/A N/A N/A N/A /01/2007 US Growth/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Performance is annualized for periods greater than one year. Page 31

33 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance Domestic Equity Managers 1 Year Since Inception Inception Date Rainier Investment (SA) - Net N/A N/A N/A N/A N/A N/A N/A /01/2007 R 1000 Growth Index Difference N/A N/A N/A N/A N/A N/A N/A Rainier Investment (SA) - Gross N/A N/A N/A N/A N/A N/A N/A /01/2007 US Growth/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Renaissance Investment (SA) - Net N/A N/A N/A N/A N/A N/A N/A /01/2007 R 1000 Growth Index Difference N/A N/A N/A N/A N/A N/A N/A 0.79 Renaissance Investment (SA) - Gross N/A N/A N/A N/A N/A N/A N/A /01/2007 US Growth/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Analytic Investors 130/30 (SA) - Net N/A N/A N/A N/A N/A N/A N/A N/A /01/2008 S&P 500 Index (Cap Wtd) Difference N/A N/A N/A N/A N/A N/A N/A N/A Analytic Investors 130/30 (SA) - Gross N/A N/A N/A N/A N/A N/A N/A N/A /01/2008 US Core/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A N/A J.P. Morgan 130/30 (SA) - Net N/A N/A N/A N/A N/A N/A N/A N/A /01/2008 S&P 500 Index (Cap Wtd) Difference N/A N/A N/A N/A N/A N/A N/A N/A 1.15 J.P. Morgan 130/30 (SA) - Gross N/A N/A N/A N/A N/A N/A N/A N/A /01/2008 US Core/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A N/A Performance is annualized for periods greater than one year. Page 32

34 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance Domestic Equity Managers 1 Year Since Inception Inception Date Martingale 130/30 (SA) - Net N/A N/A N/A N/A N/A N/A N/A N/A /01/2008 S&P 500 Index (Cap Wtd) Difference N/A N/A N/A N/A N/A N/A N/A N/A Martingale 130/30 (SA) - Gross N/A N/A N/A N/A N/A N/A N/A N/A /01/2008 US Core/Large Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A N/A Artisan Partners (SA) - Net N/A N/A N/A N/A N/A N/A N/A /01/2007 R Mid Cap Value Index Difference N/A N/A N/A N/A N/A N/A N/A 7.79 Artisan Partners (SA) - Gross N/A N/A N/A N/A N/A N/A N/A /01/2007 US Value/Mid Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A BGI Mid Cap Equity Index A (CF) - Net N/A N/A N/A /01/2005 S&P Mid Cap 400 Index (Cap Wtd) Difference N/A N/A N/A 0.12 BGI Mid Cap Equity Index A (CF) - Gross N/A N/A N/A /01/2005 US Core/Mid Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A Martingale Asset Mgmt. (SA) - Net N/A N/A N/A N/A N/A N/A N/A /01/2007 R Mid Cap Index Difference N/A N/A N/A N/A N/A N/A N/A Martingale Asset Mgmt. (SA) - Gross N/A N/A N/A N/A N/A N/A N/A /01/2007 US Core/Mid Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Performance is annualized for periods greater than one year. Page 33

35 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance Domestic Equity Managers 1 Year Since Inception Inception Date TimesSquare Capital Mgmt. (SA) - Net N/A N/A N/A N/A N/A N/A N/A /01/2007 R Mid Cap Growth Index Difference N/A N/A N/A N/A N/A N/A N/A 5.25 TimesSquare Capital Mgmt. (SA) - Gross N/A N/A N/A N/A N/A N/A N/A /01/2007 US Growth/Mid Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Vaughan Nelson Mgmt. (SA) - Net N/A N/A N/A N/A N/A N/A N/A /01/2007 R 2000 Value Index Difference N/A N/A N/A N/A N/A N/A N/A 9.61 Vaughan Nelson Mgmt. (SA) - Gross N/A N/A N/A N/A N/A N/A N/A /01/2007 US Value/Small Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A DFA US Small Cap Trust (CF) - Net N/A /01/2003 R 2000 Index Difference N/A 0.59 DFA US Small Cap Trust (CF) - Gross N/A /01/2003 US Core/Small Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A NorthPointe Capital (SA) - Net N/A N/A N/A N/A N/A N/A N/A /01/2007 R 2000 Growth Index Difference N/A N/A N/A N/A N/A N/A N/A NorthPointe Capital (SA) - Gross N/A N/A N/A N/A N/A N/A N/A /01/2007 US Growth/Small Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A N/A N/A N/A N/A Performance is annualized for periods greater than one year. Page 34

36 Asset Allocation Montana International Equity Pool September 30, 2008 : $1,097,440,270 Manager Market Value ($ ) Allocation (%) Batterymarch International Equity (SA) 139,399, Artio Int'l Equity II (SA) 139,179, BGI MSCI Europe Index (CF) 122,898, Acadian Asset Non-US Equity (SA) 105,528, AllianceBernstein International Value (SA) 99,990, Martin Currie (SA) 95,232, BGI Global Ex-US Alpha Tilts A (CF) 90,188, Hansberger Global Investors (SA) 89,374, Nomura Asset Management (SA) 69,421, Principal Global Investors (SA) 49,195, DFA Intl Small Company (DFISX) 44,084, AXA Rosenberg Int'l Small Cap (CF) 36,798, International Equity Pool SPIF 16,146, Allocation shown may not sum up to 100% exactly due to rounding. Market values do not include pending trades. Page 35

37 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance International Equity Managers 1 Year Since Inception Inception Date Acadian Asset Non-US Equity (SA) - Net N/A N/A N/A N/A N/A N/A /01/2006 MSCI ACW Ex US Value Index (Net) Difference N/A N/A 0.42 N/A N/A N/A N/A Acadian Asset Non-US Equity (SA) - Gross N/A N/A N/A N/A N/A N/A /01/2006 Int'l Active Value Equity (SA+CF) Median N/A Percentile Rank N/A N/A 26 N/A N/A N/A N/A N/A AllianceBernstein Int'l Value (SA) - Net N/A N/A N/A N/A N/A N/A /01/2006 MSCI ACW Ex US Value Index (Net) Difference N/A N/A 0.78 N/A N/A N/A N/A AllianceBernstein Int'l Value (SA) - Gross N/A N/A N/A N/A N/A N/A /01/2006 Int'l Active Value Equity (SA+CF) Median N/A Percentile Rank N/A N/A 25 N/A N/A N/A N/A N/A Batterymarch Int'l Equity (SA) - Net N/A N/A N/A N/A N/A N/A /01/2006 MSCI ACW Ex US Index (Net) Difference N/A N/A N/A N/A N/A N/A Batterymarch Int'l Equity (SA) - Gross N/A N/A N/A N/A N/A N/A /01/2006 Int'l Active Core Equity (SA+CF) Median N/A Percentile Rank N/A N/A 51 N/A N/A N/A N/A N/A Artio Int'l Equity II (SA) - Net N/A N/A N/A N/A N/A N/A /01/2006 MSCI ACW Ex US Index (Net) Difference N/A N/A 1.94 N/A N/A N/A N/A 0.75 Artio Int'l Equity II (SA) - Gross N/A N/A N/A N/A N/A N/A /01/2006 Int'l Active Core Equity (SA+CF) Median N/A Percentile Rank N/A N/A 17 N/A N/A N/A N/A N/A Performance is annualized for periods greater than one year. Page 36

38 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance International Equity Managers 1 Year Since Inception Inception Date BGI Global Ex-US Alpha Tilts A (CF) - Net N/A N/A N/A N/A N/A N/A /01/2006 MSCI ACW Ex US Index (Net) Difference N/A N/A N/A N/A N/A N/A BGI Global Ex-US Alpha Tilts A (CF) - Gross N/A N/A N/A N/A N/A N/A /01/2006 Int'l Active Core Equity (SA+CF) Median N/A Percentile Rank N/A N/A 56 N/A N/A N/A N/A N/A Martin Currie (SA) - Net N/A N/A N/A N/A N/A N/A /01/2006 MSCI ACW Ex US Growth Index (Net) Difference N/A N/A N/A N/A N/A N/A Martin Currie (SA) - Gross N/A N/A N/A N/A N/A N/A /01/2006 Int'l Active Growth Equity (SA+CF) Median N/A Percentile Rank N/A N/A 42 N/A N/A N/A N/A N/A Hansberger Global Investors (SA) - Net N/A N/A N/A N/A N/A N/A /01/2006 MSCI ACW Ex US Growth Index (Net) Difference N/A N/A N/A N/A N/A N/A Hansberger Global Investors (SA) - Gross N/A N/A N/A N/A N/A N/A /01/2006 Int'l Active Growth Equity (SA+CF) Median N/A Percentile Rank N/A N/A 34 N/A N/A N/A N/A N/A Principal Global Investors (SA) - Net N/A N/A N/A N/A N/A N/A /01/2006 MSCI ACW Ex US Growth Index (Net) Difference N/A N/A N/A N/A N/A N/A Principal Global Investors (SA) - Gross N/A N/A N/A N/A N/A N/A /01/2006 Int'l Active Growth Equity (SA+CF) Median N/A Percentile Rank N/A N/A 71 N/A N/A N/A N/A N/A Performance is annualized for periods greater than one year. Page 37

39 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance International Equity Managers 1 Year Since Inception Inception Date BGI MSCI Europe Index (CF) - Net N/A /01/2003 MSCI Eur Index (Net) Difference N/A 0.29 BGI MSCI Europe Index (CF) - Gross N/A /01/2003 European Equity (SA+CF) Median N/A Percentile Rank N/A N/A Nomura Asset Management (SA) - Net N/A N/A /01/2003 MSCI AC Pacific Index (Net) Difference N/A N/A 0.33 Nomura Asset Management (SA) - Gross N/A N/A /01/2003 Pacific Basin Equity (SA+CF) Median N/A N/A Percentile Rank N/A N/A N/A AXA Rosenberg Int'l Small Cap (CF) - Net N/A N/A 1.48 N/A N/A N/A N/A /01/2006 S&P/Citi Wrld Ext Mkt Ex US Index (Gross) Difference N/A N/A N/A N/A N/A N/A AXA Rosenberg Int'l Small Cap (CF) - Gross N/A N/A 2.10 N/A N/A N/A N/A /01/2006 Int'l Small Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A 80 N/A N/A N/A N/A N/A DFA Intl Small Company (DFISX) - Net N/A N/A N/A /01/2004 MSCI EAFE Sm Cap Index (Net) Difference N/A N/A N/A 2.48 DFA Intl Small Company (DFISX) - Gross N/A N/A N/A /01/2004 Int'l Small Cap Equity (SA+CF) Median N/A Percentile Rank N/A N/A N/A N/A Performance is annualized for periods greater than one year. Page 38

40 Asset Allocation Trust Accounts September 30, 2008 : $3,809,736,132 Manager Market Value ($ ) Allocation (%) State Fund Insurance 955,014, Treasurers 791,197, Permanent Coal Trust Fund 521,466, Trust and Legacy Account 435,383, UCFRB Restoration Fund 159,813, Treasure State Endowment 153,091, Montana State University 119,792, Resource Indemnity Trust 98,370, Tobacco Trust Fund 88,370, University of Montana 85,558, Streamside Tailings Operable Unit 79,180, Group Benefits 44,056, Treasure State Reg. Water System 37,857, FWP License Account 34,416, Big Sky Economic Development Fund 33,928, Montana Pole 29,030, Old Fund Insurance 27,968, Coal Tax Park Acquisition 17,951, UCFRB Assess/Litig Cost Rec 17,647, FWP Mitigation Trust Fund 11,072, Coal Tax Cultural Trust Fund 10,109, Zortman/Landusky LT H20 9,797, Weed Control Trust 9,388, Older Montanans Trust 7,922, Wildlife Habitat Trust 7,806, Montana Tech-UM Agency Funds 6,496, Z/L Long Term H20 Trust Fund 5,553, Abandoned Mine Trust 5,005, FWP Real Property Trust 4,946, Endowment for Children 1,029, Subsequent Injury Fund 510, Allocations shown may not sum up to 100% exactly due to rounding. Page 39

41 1 Quarter Jul-2008 To Sep-2008 Montana Board of Investments Comparative Performance Trust Accounts 1 Year Group Benefits Subsequent Injury Fund State Fund Insurance Old Fund Insurance Abandoned Mine Trust Trust and Legacy Account Endowment for Children N/A N/A N/A N/A N/A N/A N/A N/A FWP Mitigation Trust Fund FWP Real Property Trust Montana Pole Older Montanans Trust N/A N/A N/A N/A N/A N/A N/A N/A Streamside Tailings Operable Unit N/A UCFRB Restoration Fund N/A UCFRB Assess/Litig Cost Rec N/A Weed Control Trust Wildlife Habitat Trust Tobacco Trust Fund N/A Zortman/Landusky LT H N/A Z/L Long Term H20 Trust Fund N/A N/A N/A N/A N/A Resource Indemnity Trust Coal Tax Park Acquisition Coal Tax Cultural Trust Fund Permanent Coal Trust Fund Treasure State Reg. Water System N/A Treasure State Endowment Big Sky Economic Development Fund N/A N/A N/A N/A N/A Treasurers FWP License Account University of Montana N/A Montana Tech-UM Agency Funds N/A N/A Montana State University N/A N/A N/A N/A Performance shown is gross of fees. Performance is annualized for periods greater than one year. Page 40

42 US Value/Large Cap Equity (SA+CF) Peer Group Analysis Quarter Year To Date Barrow Hanley (SA) (46) (77) 4.13 (44) (62) 9.80 (38) (10) (42) (40) 3.51 (25) (5) R 1000 Value Index (30) (58) (75) (16) 7.05 (64) (39) (57) (40) (73) 7.01 (67) Median Population Performance shown is gross of fees. Parentheses contain percentile ranks. Manager composite performance used for funds with less than 5 years of MBOI returns. Page 41

43 Barrow Hanley (SA) vs. US Value/Large Cap Equity (SA+CF) Peer Group Scattergram - 7 Up/Down Markets Risk (S tandard Deviation %) Return Standard Deviation Barrow Hanley (SA) R 1000 Value Index Median Average Up Quarters 8 Down Quarters Barrow Hanley (SA) R 1000 Value Index Peer Group Analysis - Multi Statistics Sharpe Ratio Tracking Error Information Ratio Downside Risk Up Market Capture Down Market Capture Barrow Hanley (SA) 0.30 (50) R 1000 Value Index 0.25 (64) (71) (100) (46) N/A (65) 9.44 (50) (48) 10 (58) (48) 10 (36) Median Population 252 Performance shown is gross of fees. Calculation is based on quarterly periodicity. Parentheses contain percentile ranks. Performance shown is manager composite Page 42

44 Barrow Hanley (SA) vs. R 1000 Value Index Portfolio Characteristics Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) L-3 COMMUNICATIONS STANLEY WORKS ILLINOIS TOOL WORKS SLM CORPORATION BAXTER INTERNATIONAL INC INT'L BUSINESS MACHS MURPHY OIL CORPORATION OCCIDENTAL PETROLEUM CARNIVAL CORPORATION VERIZON COMMUNICATIONS Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M) 38,750 92,488 Median Mkt. Cap. ($M) 15,033 4,023 Price/Earnings ratio Price/Book ratio Yr. EPS Growth Rate (%) Current Yield (%) Beta Number of Stocks % of Portfolio Distribution of Market Capitalization (% ) >$100 Bil $75 Bil - $100 Bil 1.59 $25 Bil - $75 Bil $15 Bil - $25 Bil $2 Bil - $15 Bil 2.23 $0 - $2 Bil 1.78 Portfolio Beta is not calculated for funds with performance of less than 3 years. Benchmark Page 43

45 Barrow Hanley (SA) vs. R 1000 Value Index Buy and Hold Sector Attribution Graph 1 Quarter Ending September 30, 2008 Allocation Performance Basic Materials Basic Materials Consumer Goods Consumer Goods Consumer Services Consumer Services Financials Financials Health Care Health Care Industrials Industrials Oil & Gas Oil & Gas Technology Technology T elecommunications T elecommunications Utilities Utilities Portfolio Benchmark Portfolio Benchmark Total Attribution Basic Materials 0.48 Consumer Goods Consumer Services 0.52 Financials Health Care 0.18 Industrials Oil & Gas 0.04 Technology T elecommunications 0.30 Utilities Sector attribution is calculated using the Industry Classification Benchmark (ICB) Page 44

46 US Core/Large Cap Equity (SA+CF) Peer Group Analysis Quarter Year To Date Goldman Sachs Large Cap (CF) (42) (48) 2.28 (87) (52) 6.09 (60) (45) N/A N/A N/A N/A S&P 500 Index (Cap Wtd) (39) (63) 5.49 (67) (48) 4.91 (83) (67) (55) (69) (65) (80) Median Population Performance shown is gross of fees. Parentheses contain percentile ranks. Manager composite performance used for funds with less than 5 years of MBOI returns. Page 45

47 Goldman Sachs Large Cap (CF) vs. US Core/Large Cap Equity (SA+CF) Peer Group Scattergram - 3 Up/Down Markets Risk (S tandard Deviation %) Return Standard Deviation Average Goldman Sachs Large Cap (CF) S&P 500 Index (Cap Wtd) Median Up Quarters 5 Down Quarters Goldman Sachs Large Cap (CF) S&P 500 Index (Cap W td) Peer Group Analysis - Multi Statistics Sharpe Ratio Tracking Error Information Ratio Downside Risk Up Market Capture Down Market Capture Goldman Sachs Large Cap (CF) (87) S&P 500 Index (Cap Wtd) (71) (83) (100) (94) N/A (50) 7.74 (56) (83) 10 (57) (28) 10 (34) Median Population 321 Performance shown is gross of fees. Calculation is based on quarterly periodicity. Parentheses contain percentile ranks. Performance shown is manager composite Page 46

48 Goldman Sachs Large Cap (CF) vs. S&P 500 Index (Cap Wtd) Portfolio Characteristics Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) EXXON MOBIL CORPORATION GENERAL ELECTRIC COMPANY MICROSOFT CORPORATION PROCTER & GAMBLE CO (THE) PFIZER INC JPMORGAN CHASE & CO AT&T INC BANK OF AMERICA CORPORATION JOHNSON & JOHNSON WELLS FARGO & COMPANY Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M) 88,156 89,010 Median Mkt. Cap. ($M) 9,020 9,800 Price/Earnings ratio Price/Book ratio Yr. EPS Growth Rate (%) Current Yield (%) Beta Number of Stocks % of Portfolio Distribution of Market Capitalization (% ) >$100 Bil $75 Bil - $100 Bil 2.46 $25 Bil - $75 Bil $15 Bil - $25 Bil $2 Bil - $15 Bil $0 - $2 Bil Portfolio Beta is not calculated for funds with performance of less than 3 years. Benchmark Page 47

49 Goldman Sachs Large Cap (CF) vs. S&P 500 Index (Cap Wtd) Buy and Hold Sector Attribution Graph 1 Quarter Ending September 30, 2008 Allocation Performance Basic Materials Basic Materials Consumer Goods Consumer Goods Consumer Services Consumer Services Financials Financials Health Care Health Care Industrials Industrials Oil & Gas Oil & Gas Technology Technology T elecommunications T elecommunications Utilities Utilities Portfolio Benchmark Portfolio Benchmark Total Attribution Basic Materials Consumer Goods Consumer Services 0.14 Financials 1.29 Health Care 0.03 Industrials Oil & Gas Technology T elecommunications 0.02 Utilities Sector attribution is calculated using the Industry Classification Benchmark (ICB) Page 48

50 US Core/Large Cap Equity (SA+CF) Peer Group Analysis Quarter Year To Date Western Asset U.S. Index Plus (CF) (96) (100) (99) (28) 5.13 (75) (42) (26) (50) (42) (69) S&P 500 Index (Cap Wtd) (39) (63) 5.49 (67) (48) 4.91 (83) (67) (55) (69) (65) (80) Median Population Performance shown is gross of fees. Parentheses contain percentile ranks. Manager composite performance used for funds with less than 5 years of MBOI returns. Page 49

51 Western Asset U.S. Index Plus (CF) vs. US Core/Large Cap Equity (SA+CF) Peer Group Scattergram - 7 Up/Down Markets Risk (S tandard Deviation %) Return Standard Deviation Western Asset U.S. Index Plus (CF) S&P 500 Index (Cap Wtd) Median Average Up Quarters 10 Down Quarters Western Asset U.S. Index Plus (CF) S&P 500 Index (Cap W td) Peer Group Analysis - Multi Statistics Sharpe Ratio Tracking Error Information Ratio Downside Risk Up Market Capture Down Market Capture Western Asset U.S. Index Plus (CF) (100) S&P 500 Index (Cap Wtd) 0.12 (86) (22) (100) (99) N/A (1) 9.83 (26) (56) 10 (66) (1) 10 (12) Median Population 234 Performance shown is gross of fees. Calculation is based on quarterly periodicity. Parentheses contain percentile ranks. Performance shown is manager composite Page 50

52 Western Asset U.S. Index Plus (CF) vs. LB US Agg Bond Index Portfolio Characteristics Portfolio Benchmark Portfolio Characteristics Portfolio Duration Spread Duration Convexity Avg. Maturity Avg. Quality AA-/Aa3 AA1/AA2 Yield To Maturity 14.88% 5.28% Coupon Rate 5.38% 5.32% Yield To Worst 15.33% 5.27% Sector Distribution (% ) US Treasuries Agencies MBS ABS 0.57 CMBS Credit High Yield Non-US EMD Portfolio Benchmark Page 51

53 US Growth/Large Cap Equity (SA+CF) Peer Group Analysis Quarter Year To Date Columbus Circle Investors (SA) (61) (67) (12) (37) (18) (35) (38) (52) (88) 3.76 (19) R 1000 Growth Index (48) (49) (58) 9.07 (51) 5.26 (68) 6.30 (79) (46) (73) (70) (92) Median Population Performance shown is gross of fees. Parentheses contain percentile ranks. Manager composite performance used for funds with less than 5 years of MBOI returns. Page 52

54 Columbus Circle Investors (SA) vs. US Growth/Large Cap Equity (SA+CF) Peer Group Scattergram - 7 Up/Down Markets Risk (S tandard Deviation %) Return Standard Deviation Columbus Circle Investors (SA) R 1000 Growth Index Median Average Up Quarters 10 Down Quarters Columbus Circle Investors (SA) R 1000 Growth Index Peer Group Analysis - Multi Statistics Sharpe Ratio Tracking Error Information Ratio Downside Risk Up Market Capture Down Market Capture Columbus Circle Investors (SA) 0.25 (27) R 1000 Growth Index 0.05 (80) (57) (100) (14) N/A (46) (35) (33) 10 (53) (66) 10 (28) Median Population 247 Performance shown is gross of fees. Calculation is based on quarterly periodicity. Parentheses contain percentile ranks. Performance shown is manager composite Page 53

55 Columbus Circle Investors (SA) vs. R 1000 Growth Index Portfolio Characteristics Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) WAL-MART STORES, INC JPMORGAN CHASE & CO GILEAD SCIENCES, INC HEWLETT-PACKARD COMPANY COCA-COLA COMPANY (THE) GENERAL MILLS, INC MCDONALD'S CORPORATION BAXTER INTERNATIONAL INC DEVON ENERGY CORPORATION CISCO SYSTEMS INCORPORATED Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M) 63,556 66,866 Median Mkt. Cap. ($M) 37,375 4,856 Price/Earnings ratio Price/Book ratio Yr. EPS Growth Rate (%) Current Yield (%) Beta Number of Stocks % of Portfolio Distribution of Market Capitalization (% ) >$100 Bil $75 Bil - $100 Bil 3.42 $25 Bil - $75 Bil $15 Bil - $25 Bil $2 Bil - $15 Bil 0.94 $0 - $2 Bil Portfolio Beta is not calculated for funds with performance of less than 3 years. Benchmark Page 54

56 Columbus Circle Investors (SA) vs. R 1000 Growth Index Buy and Hold Sector Attribution Graph 1 Quarter Ending September 30, 2008 Allocation Performance Basic Materials Basic Materials Consumer Goods Consumer Goods Consumer Services Consumer Services Financials Financials Health Care Health Care Industrials Industrials Oil & Gas Oil & Gas Technology Technology T elecommunications 0.45 T elecommunications Utilities 2.43 Utilities Portfolio Benchmark Portfolio Benchmark Total Attribution Basic Materials Consumer Goods Consumer Services 0.43 Financials 0.62 Health Care 0.17 Industrials 0.34 Oil & Gas Technology T elecommunications 0.02 Utilities Sector attribution is calculated using the Industry Classification Benchmark (ICB) Page 55

57 US Growth/Small Cap Equity (SA+CF) Peer Group Analysis Quarter Year To Date NorthPointe Capital (SA) (78) (92) 3.55 (79) (13) 6.53 (61) (4) (10) (47) (62) (62) R 2000 Growth Index (25) (19) 7.05 (65) (41) 4.15 (80) (46) (48) (66) (55) (92) Median Population Performance shown is gross of fees. Parentheses contain percentile ranks. Manager composite performance used for funds with less than 5 years of MBOI returns. Page 56

58 NorthPointe Capital (SA) vs. US Growth/Small Cap Equity (SA+CF) Peer Group Scattergram - 7 Up/Down Markets Risk (S tandard Deviation %) Return Standard Deviation NorthPointe Capital (SA) R 2000 Growth Index Median Average Up Quarters 11 Down Quarters NorthPointe Capital (SA) R 2000 Growth Index Peer Group Analysis - Multi Statistics 0.75 Sharpe Ratio Tracking Error 2 Information Ratio 1.00 Downside Risk 2 Up Market Capture 16 Down Market Capture NorthPointe Capital (SA) 0.38 (42) R 2000 Growth Index 0.29 (69) (66) (100) (22) N/A (44) (51) (20) 10 (56) (34) 10 (43) Median Population 147 Performance shown is gross of fees. Calculation is based on quarterly periodicity. Parentheses contain percentile ranks. Performance shown is manager composite Page 57

59 NorthPointe Capital (SA) vs. R 2000 Growth Index Portfolio Characteristics Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) ICONIX BRAND GROUP, INC INTERWOVEN INCORPORATED BANKRATE, INC SCIENTIFIC GAMES CORPORATION CENTRAL EUROPEAN WORLD ACCEPTANCE JARDEN CORPORATION DG FASTCHANNEL, INC LKQ CORPORATION CHATTEM, INC Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M) 1,030 1,163 Median Mkt. Cap. ($M) Price/Earnings ratio Price/Book ratio Yr. EPS Growth Rate (%) Current Yield (%) Beta Number of Stocks % of Portfolio Distribution of Market Capitalization (% ) >$3 Bil $1 Bil - $3 Bil $500 M il - $1 Bil $200 M il - $500 M il $100 M il - $200 M il 0.14 $0 - $100 M il Portfolio Beta is not calculated for funds with performance of less than 3 years. Benchmark Page 58

60 NorthPointe Capital (SA) vs. R 2000 Growth Index Buy and Hold Sector Attribution Graph 1 Quarter Ending September 30, 2008 Allocation Performance Basic Materials Basic Materials Consumer Goods Consumer Goods Consumer Services Consumer Services Financials Financials Health Care Health Care Industrials Industrials Oil & Gas Oil & Gas Technology Technology T elecommunications 1.15 T elecommunications Utilities 0.84 Utilities Portfolio Benchmark Portfolio Benchmark Total Attribution Basic Materials 0.13 Consumer Goods 0.47 Consumer Services Financials 0.64 Health Care Industrials Oil & Gas Technology T elecommunications 0.14 Utilities Sector attribution is calculated using the Industry Classification Benchmark (ICB) Page 59

61 International Active Growth Equity (SA+CF) Peer Group Analysis Quarter Year To Date Principal Global Investors (SA) (74) (63) (73) (48) (15) (11) (20) (36) (41) N/A MSCI ACW Ex US Growth Index (Net) (64) (47) (32) (65) (53) (58) (49) (35) (58) N/A Median Population Performance shown is gross of fees. Parentheses contain percentile ranks. Manager composite performance used for funds with less than 5 years of MBOI returns. Page 60

62 Principal Global Investors (SA) vs. International Active Growth Equity (SA+CF) Peer Group Scattergram - 7 Up/Down Markets Risk (S tandard Deviation %) Return Standard Deviation Principal Global Investors (SA) MSCI ACW Ex US Growth Index (Net) Median Average Up Quarters 10 Down Quarters Principal Global Investors (SA) MSCI ACW Ex US Growth Index (Net) Peer Group Analysis - Multi Statistics Sharpe Ratio Tracking Error Information Ratio Downside Risk Up Market Capture Down Market Capture Principal Global Investors (SA) 0.46 (34) MSCI ACW Ex US Growth Index (Net) 0.42 (44) (71) (100) (23) N/A (17) (55) (40) 10 (40) (74) 10 (57) Median Population 46 Performance shown is gross of fees. Calculation is based on quarterly periodicity. Parentheses contain percentile ranks. Performance shown is manager composite Page 61

63 Principal Global Investors (SA) vs. MSCI ACW Ex US Growth Index (Net) Portfolio Characteristics Top Ten Equity Holdings Portfolio Weight (%) Benchmark Weight (%) Active Weight (%) Quarterly Return (%) NESTLE S.A NOVARTIS AG TELEFONICA SA E.ON AG BHP BILLITON LIMITED ROCHE HOLDING AG BRITISH AMERICAN TOB BAYER AG IMPERIAL TOBACCO GROUP PLC BG GROUP PLC Portfolio Characteristics Portfolio Benchmark Wtd. Avg. Mkt. Cap ($M) 49,424 50,153 Median Mkt. Cap. ($M) 11,886 4,754 Price/Earnings ratio Price/Book ratio Yr. EPS Growth Rate (%) Current Yield (%) Beta Number of Stocks % of Portfolio Distribution of Market Capitalization (% ) >$100 Bil $75 Bil - $100 Bil 4.91 $25 Bil - $75 Bil $15 Bil - $25 Bil $2 Bil - $15 Bil 3.38 $0 - $2 Bil 1.71 Portfolio Beta is not calculated for funds with performance of less than 3 years. Benchmark Page 62

64 Principal Global Investors (SA) vs. MSCI ACW Ex US Growth Index (Net) Buy and Hold Sector Attribution Graph 1 Quarter Ending September 30, 2008 Allocation Performance Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Other Technology T elecommunications Utilities Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Other Technology T elecommunications Utilities Portfolio Benchmark Portfolio Benchmark Total Attribution Basic Materials Consumer Goods Consumer Services Financials Health Care 0.15 Industrials Oil & Gas Other Technology T elecommunications Utilities Sector attribution is calculated using the Industry Classification Benchmark (ICB) Page 63

65 Principal Global Investors (SA) vs. MSCI ACW Ex US Growth Index (Net) Buy and Hold Region Attribution Graph 1 Quarter Ending September 30, 2008 Allocation Performance EM Asia EM Asia EM Europe EM Europe EM Latin America EM Latin America EM Mid East+Africa EM Mid East+Africa Europe ex UK Europe ex UK Japan Japan North America North America Pacific ex Japan Pacific ex Japan United Kingdom United Kingdom Portfolio Benchmark Portfolio Benchmark Total Attribution EM Asia EM Europe EM Latin America EM Mid East+Africa Europe ex UK Japan North America Pacific ex Japan United Kingdom Region attribution is calculated using the Morgan Stanley Capital International (MSCI) region standards Page 64

66 Glossary Statistics Definitions Alpha - A measure of the difference between a portfolio's actual returns and its expected performance, given its level of risk as measured by beta. It is a measure of the portfolio's historical performance not explained by movements of the market or a portfolio's non-systematic return. Alpha Ratio - A measure of a portfolio's non-systematic return per unit of downside risk. It is measured by dividing the alpha of a portfolio by the downside risk. The nonsystematic return is a measure of a portfolio's historical performance not explained by movements of the market. Average Quality - Bond quality ratings are reported using the investment managers' and the index providers' preferred rating agency. There are two primary rating agencies in the U.S. Moody's assigns ratings on a system that employs up to four symbols (consisting of letters and numbers) such as, Aaa, Aa2, etc., with Aaa being the highest or safest rating. Standard & Poor's (S&P) employs a system that uses + and - along with letters such as AAA, AA+, etc. The two rating agencies' systems are summarized below: S&P Moody's Explanation Higher Credit Quality - Investment Grade AAA Aaa Prime grade, highest safety AA+ Aa1 High credit quality AA Aa2 AA- Aa3 A+ A1 Upper-medium credit quality A A2 A- A3 BBB+ Baa1 Lower-medium credit quality BBB Baa2 BBB- Baa3 Lower Credit Quality - Speculative Grade BB+ Ba1 Speculative - low quality BB Ba2 BB- Ba3 B B1 B2 B3 Highly speculative Extremely Low Credit Quality - High Speculative or in Default CCC+ Caa Very high risk, poor quality CCC CC Ca May be in default soon C C Very speculative CI D For income bonds - interest not being paid Securities already in default Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or systematic risk. Page 65

67 Glossary Buy and Hold Attribution - At the beginning of the time period under analysis, the manager and benchmark portfolios are broken down into segments (i.e., styles, sectors, countries, and regions) based on the desired type of attribution. One assumes zero turn-over to the manager and benchmark portfolios throughout the period and calculates the segment returns ("buy and hold returns") to arrive at performance attribution. Country, region, sector, and style allocations are as of the date one quarter prior to the reporting date, and the returns shown are for those segments throughout the quarter reported. The following is the methodology for segment classification: Country/Region - Stocks will be classified by their domicile country/region, as defined by Worldscope data. Sector - Stocks will be classified by their primary sector, as defined by Worldscope data. Style - Stocks will be classified into the following style boxes: large/mid/small vs. growth/neutral/value. Stocks will be classified along large/mid/small categories at the time of the Frank Russell index rebalancing, using the index market cap boundaries as cutoff points. Stocks will be classified along growth/neutral/value categories at the time of the Frank Russell index rebalancing, using the price/book ratio as supplied by Worldscope. Stocks in the Russell 3000 Index portfolio will be sorted by price/book ratio; names with the highest price/book ratio that make up 1/3 of the total market capitalization will be assigned to the growth category, names that make up the subsequent 1/3 of the total market capitalization will be assigned to the neutral category, while the balance of the names will be assigned to the value category. Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. The higher the consistency figure, the more value a manager has contributed to the product's performance. Convexity - A measure of the shape of the curve that describes the relationship between bond prices and bond yields. Coupon Rate - The percentage rate of interest paid on a bond or fixed income security; it is typically paid twice per year. Current Yield - The annual income of a security divided by the security's current price. Down Market Capture - Down market by definition is negative benchmark return and down market capture represents the ratio in % terms of the average portfolios return over the benchmark during the down market period. The lower the value of the down market capture the better the product's performance. Downside Risk - A measure similar to standard deviation, but focuses only on the negative movements of the return series. It is calculated by taking the standard deviation of the negative quarterly set of returns. The higher the factor, the riskier the product. Earnings Per Share - It is backward looking, calculated using the one year current EPS divided by the one year EPS five years ago. Excess Return vs. Market - Average of the monthly arithmetic difference between the manager's return and the benchmark return over a specified time period, shown on an annualized basis. Excess Return vs. Risk Free - Average of the monthly arithmetic difference between the manager's return and the risk-free return over a specified time period, shown on an annualized basis. Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return. Gain/Loss - The net increase or decrease in the market value of a portfolio excluding its Net Cash Flow for a given period. Page 66

68 Glossary Information Ratio - Measured by dividing the active rate of return by the tracking error. The higher the information ratio, the more value-added contribution by the manager. Modified Duration - The approximate percentage change in a bond's price for a 100 basis point change in yield. Net Cash Flow - The sum, in dollars, of a portfolio's contributions and withdrawals. This includes all management fees and expenses only when performance shown is gross of fees. Peer Groups - RVK utilizes the Mellon Analytical Solutions Trust Universe and the RogersCasey Manager Universe for peer comparison and rankings. The Mellon Analytical Solutions Trust Universe, which is used for comparison of Total Fund composite results, utilizes actual client returns compiled from consultant and custodial data. The RogersCasey Manager Universe database includes performance and other quantitative data for over 1,400 investment management firms, over 17,000 investment products, including separate accounts, commingled funds, and mutual funds, and 160 standard peer groups. Peer Group Definitions SA = Separately Managed Fund CF = Commingled Fund MF = Mutual Fund Peer Group Percentile Rankings Percentile rank compares an individual fund's performance with those of other funds within a defined peer group of managers possessing a similar investment style. Percentile rank identifies the percentage of a fund's peer group that has a higher return (or other comparative measurement) than the fund being ranked. Conversely, 100 minus the individual fund's ranking will identify the percentage of funds within the peer group that have a lower return than the fund being ranked. 1 - Highest Statistical Value Lowest Statistical Value Portfolio Duration - The weighted average duration of all the bonds in a given portfolio, weighted by their dollar values. Region Attribution - Calculated using the Morgan Stanley Capital International (MSCI) region standards. Return - Compounded rate of return for the period. %Return - The time-weighted rate of return of a portfolio for a given period. R-Squared - The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R-Squared means a higher correlation of the portfolio's performance to the appropriate benchmark. Sector Attribution - Calculated using the Industry Classification Benchmark (ICB). Page 67

69 Glossary Sharpe Ratio - Represents the excess rate of return over the risk-free return, divided by the standard deviation of the excess return. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk-adjusted performance. Simple Alpha - The difference between the manager's return and the benchmark's return. Spread Duration - A measure of the price sensitivity of a bond to a 100 basis-point movement of the bond's spread relative to Treasuries. Standard Deviation - A statistical measure of the range of a portfolio's performance. The variability of a return around its average return over a specified time period. Tracking Error - A measure of the standard deviation of a portfolio's performance relative to the performance of an appropriate market benchmark. Treynor Ratio - Similar to Sharpe ratio, but focuses on beta rather than excess risk (standard deviation). Treynor ratio represents the excess rate of return over the risk-free rate divided by the beta. The result is the absolute rate of return per unit of risk. The higher the value, the better the product's historical risk-adjusted performance. Unit Value - The dollar value of a portfolio, assuming an initial nominal investment of $100, growing at the compounded rate of %Return for a given period. Up Market Capture - Up market by definition is positive benchmark return and up market capture represents the ratio in % terms of the average portfolios return over the benchmark during the up market period. The higher the value of the up market capture the better the product's performance. Yield to Maturity - The rate of return achieved on a bond or other fixed income security assuming the security is bought and held to maturity and that the coupon interest paid over the life of the bond will be reinvested at the same rate of return. Yield to Worst - The bond yield calculated by using the worst possible yield taking into consideration all call, put, and optional sink dates. Page 68

70 Addendum Performance Notes: All gross and net performance data is provided by State Street Analytics (SSA) except for DFA International Company (DFISX) gross returns, which are calculated by RVK based on SSA net returns. Gross performance for the retirement plans are calculated with fee accruals provided by Montana's Accounting department. Retirement Plans Custom Benchmarks are provided by State Street Bank and are calculated daily using actual allocations. Manager Notes: Effective June 15, 2008, Julius Baer Investment Management LLC changed its name to Artio Global Management LLC. Naming conventions have been updated accordingly. Page 69