Public Fund Universe Analysis Report

1. Oklahoma State Pension Commission Public Fund Universe Analysis Report August, 2006 Allan Martin, Partner Kevin Tatlow, Consultant One Main Street, Cambridge, Massachusetts 02142 TEL: (617) 374-1300; FAX: (617) 374-1313 www.nepc.com

2. 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

3. Public Fund Asset Allocation Trends

4. Public Fund Asset Allocation Expectations Source: Greenwich Associates

5. Teachers Retirement System ($8.1B)

6. PERS ($5.8B)

7. Firefighters ($1.6B)

8. Police ($1.5B)

9. Law Enforcement ($664M)

10. Judges & Justices ($214M)

11. Domestic Equity Int’l Equity Equity Allocation of Screened Universe (88 Funds) Allocation by Fund Period Ending June 30, 2006 • 88 out of 88 funds invest in domestic equity • 82 out of 88 funds invest in Int’l equity • As of June 30, 2006, the average allocation for domestic • equities is 46.3% and for Int’l equities 15.2%. 62.8% Total Equity Median 46.2% Domestic Equity Median Police* Teachers Firefighters Law PERS Judges * Excludes Alternative Assets.

12. Domestic Fixed Int’l Fixed Fixed Income Allocation of Screened Universe (88 Funds) Allocation by Fund Period Ending June 30, 2006 • 88 out of 88 funds invest in domestic fixed income • 33 out of 88 funds invest in Int’l fixed • As of June 30, 2006, the average allocation for domestic fixed • income is 26.9% and for Int’l fixed is 1.5%. 27.7% Total Fixed Median (Top Line) 27.1% Domestic Fixed Median (Bottom Line) Law Teachers Judges PERS Firefighters Police

13. Real Estate Allocation of Screened Universe (88 Funds) Allocation by Fund Period Ending June 30, 2006 • 58 out of 88 funds invest in real estate • As of June 30, 2006, the average allocation is 3.7% 5.3% Real Estate Median Law Firefighters Police

14. Alternative Assets Allocation of Screened Universe (88 Funds) Allocation by Fund Period Ending June 30. 2006 • 49 out of 88 funds invest in alternative assets • As of June 30, 2006, the average allocation is 4.0% 5.8% Alternative Asset Median Firefighters Teachers Police Law

15. 5 Year Annualized Domestic Equity Returns (68 Funds) Five Years Ending June 30, 2006 5.0% Median 2.5% S&P 500 Teachers Law Police PERS Firefighters Judges Funds in Universe (68 Including OK)

16. 5 Year Annualized Fixed Income Returns (67 Funds) Five Years Ending June 30, 2006 5.5% Median 5.0% LB Agg Judges PERS Firefighters Teachers Law Police Funds in Universe (67 Including OK)

17. 5 Year Annualized International Equity Returns (59 Funds) Five Years Ending June 30, 2006 10.3% Median 10.0% EAFE Judges PERS Teachers Firefighters Police Law Funds in Universe (59 Including OK)

19. Annual Domestic Equity Returns (85 Funds) Year Ending June 30, 2006 10.8% Median 8.6% S&P 500 PERS Judges Teachers Firefighters Police Law Funds in Universe (85 Including OK)

20. Annual Fixed Income Returns (85 Funds) Year Ending June 30, 2006 Police Judges Teachers Law PERS -0.2% Median -0.8% LB Agg Firefighters Funds in Universe (85 Including OK)

21. Annual International Equity Returns (76 Funds) Year Ending June 30, 2006 26.9% Median 26.6% EAFE Police Law Firefighters Judges PERS Teachers Funds in Universe (76 Including OK)

23. Appendix

24. New England Pension Consultants is pleased to present the following Public Funds Universe Analysis Report. The information contained herein is drawn from the NEPC/ICC database. This database represents the industry’s largest public funds universe, containing over 181 public funds, with aggregate assets in excess of $737 Billion and over 3,278 individual portfolios. It is important to note that the underlying information is obtained directly from custodian banks and is rigorously reviewed by ICC member firms. No manager supplied data is included in this analysis. The report depicts the size and type of fund included in the universe, together with a detailed examination of the asset allocation of the component funds. The asset allocations of the Oklahoma funds are then compared to the relevant universe subcomponents (Large Funds, Representative Funds) on both a year-end and historic basis. In this way we can determine the relative over/under-weights being taken currently and historically. The remainder of the report examines the historic total fund performance of Oklahoma funds against the Universe in an absolute and risk-adjusted basis. We then further examine performance of the major asset classes to determine the source of historic relative performance. This performance data is as of June 30, 2006. The second quarter of 2006 performance report is contained in a separate report which will be presented to the Commission on August 16, 2006 together with this report.

25. Public Fund Universe Total Public Funds in ICC Universe, 147 Total Public Funds Screened for This Analysis, 88 Values as of June 30, 2006 Funds not used above $10B (14) Funds not used below $150M (45) Funds used in universe (88)

26. Public Fund Universe Characteristics 88 Funds range in size $150M - $10B 88 Funds range in size $150M - $10B

27. Public Fund Universe Statistical Summary