Post

Trade Independence.
Transparency.
Value.

Analysis

City of Ft. Lauderdale Police & Fire

11/18/2009
lewtown Square, PA 19073
Phone: 267-675-6300
Fax:212-385-5698
imail: info@qtsadvisors.com
 Ft. Lauderdale Police & Firefighters Retirement System

Executive Summary

As part of its brokerage consulting services agreement, GTS Advisors provided independent Fiduciary
oversight and administration for the November 18 manager rebalancing of the Ft. Lauderdale Police &
Firefighters Retirement System.

GTS coordinated all processes with Plan Administrator, Lynn Wenguer, Jason Pulos and Cindy Short of
the Asset Consulting Group, the plan's custodian Northern Trust, the fund managers, and all other
interested parties associated with this transition.

GTS was responsible for all administration, pre trade coordination, broker selection, trade strategy, real
time trade oversight, settlement and post trade reporting.

This event involved the liquidation of assets held by managers INTECH, Sawgrass, Systematic,
Northpointe and Lee Munder.

This assignment required a high level of administrative and operational coordination. The transition
portfolio contained U.S. large, mid and small cap equities, 590 individual securities, and 5 individual
managers. There was an exceptional level of coordination between all parties. All cash movements were
funded without issue in accordance with the projected timeline and completion dates.

The market environment on the trade date was negative. Overall, major averages declined
approximately (-70) basis points in early trading in response to weaker than expected housing starts and
higher than anticipated CPI. As a result, GTS instructed ITG, the top performing broker in our most
recent quarterly rankings, to utilize a conservative and patient trading strategy looking for opportunities
for price improvement over the remainder of the session. For the balance of the day, the market settled
into a narrow trading range and moved little from the opening prices on relatively light volume. Given
there were no liquidity issues in the transition portfolio, all orders were completed on the trade date.

Total transaction costs for this event were ($176,539) or 70.8 basis points.

Total transaction costs are comprised of 3 components: 1. market impact = the bid offer spread that
exists between the prices at which a security can either be bought or sold 2. Timing cost = the effect
market performance has on the price movement of the transition portfolio during trading and 3.
Commission cost - the agreed rate as stated in our contract. This fee includes all clearing and settlement
costs as well as the commission paid to the executing broker. Since all brokers in GTS' broker universe
receive the same rate, GTS recommends executing brokers based exclusively on performance.

Detailed transaction costs for this assignment were:

1. Market Impact ($7,905) or 3.2 basis points
2. Timing Cost ($153,323) or 61.5 basis points
3. Commissions ($15,311) or 6.1 basis points.

The full GTS oost trade analysis is attached as Dart of this document.
 GTS to Provide Additional Brokerage Consulting Services:

As part of its contract, GTS to provide additional brokerage consulting services at no cost to the Fund:

GTS Fixed Income Stress Test:

An independent and comprehensive analysis and evaluation of liquidity, estimated transaction costs and
mark-to-market valuation differentials in fixed income portfolios. The "Stress Test" is a confidential
report that will help clients achieve greater transparency and ensure best brokerage practices are in
place in their fixed income portfolios by:
• Evaluating liquidity at the portfolio, sector, asset class and individual security level
• Estimating transaction costs of potential changes to the underlying portfolio or
managers
• Identifying mark-to-market valuation differentials between custodian, manager and
market valuations
• Calculating sector and sub sector exposures by asset class (corporate, asset backed,
mortgage backed etc)
• Computing credit quality and duration using latest available pricing information

GTS Execution Cost Management (ECM):

GTS' unique tick based analysis isolates the cumulative impact of your trading decisions and helps clients
drill into the specifics of trading activity by measuring execution and transaction costs:
• Uncover key drivers of trading costs
• Analyze brokers, managers, algorithms, strategies and trade destinations with
confidence
• Determine your trading related strengths and weaknesses
• Monitor your brokerage performance relative to your peers
• Fine tune your entire trade process and improve your competitive edge
• Demonstrate best execution

GTS University:
GTS University was established for the purpose of providing education and information to trustees,
boards and investment staff on commonly misunderstood brokerage related matters. The program is
designed to acquaint fiduciaries with the terminology, methodologies, tools and processes used to
manage event based trading and to review and monitor transaction costs and execution performance by
the plan's investment managers, broker dealers and commission recapture providers. Interactive topics
include:
• Determinants of brokerage costs
• Terms and definitions of event based trading
• Trade administration
• Pre Trade Analysis
o Portfolio characteristics
o Trade strategy
o Broker Selection
o Cost estimation
• Real time trade oversight
• Post trade reporting
• Transaction cost analysis
 C i t y of Ft L a u d e r d a l e P o l i c e & Fire R e t i r e m e n t S y s t e m

1. Executive Summary:
GTS Advisors (GTS) has completed the following post-trade analysis for the domestic equity transition on behalf of
the City of Ft Lauderdale Police & Fire Retirement System. The transition involved:
—> The liquidation of approximately $25 million in domestic equity securities.
—> GTS coordinated all pre-transition processes with the underlying custodian, fund managers, and other
interested parties associated with this transition.

2. Portfolio Summary:

Legacy Target Total

Number of Securities 590 0 590
Total Value (USD) $ 50,594,681 $ - $ 50,594,681
Total Shares 1,020,763 1,020,763
In Kinds - .

In Kind Value (USD) $ $ - $

Net Shares Traded 1,020,763 1,020,763
Cash $ 25,656,016 $ $ 25,656,016
(T-l) Value (USD) $ 24,938,664 $ - $ 24,938,664
Capitalization
Large (> 10B) 59% 0% 59%
Mid(2B-10B) 24% 0% 24%
Small (500M - 2B) 17% 0% 17%
Managers ;
INTECH
Sawgrass
Systematic
NorthPointe
Lee Munder
Liquidity Stocks | Sectors % of Portfolio 1
0%-5% 548 Healthcare 11%
5% - 10% 31 Industrials 12%
10% - 15% 9 Consumer Cyclicals 13%
15% - 25% •2 Financials 15%
25% - 50% 0 Technology 18%
100% - 200% 0
 C i t y of Ft L a u d e r d a l e P o l i c e & Fire R e t i r e m e n t

3. Trading Strategy

GTS utilized an implementation shortfall strategy for this assignment. The executing broker utilized
discretion to employ institutional trading algorithms to quantitatively "parcel" the portfolio relative
to portfolio performance and market movement on the trade date in order to achieve proceeds
improvement versus T-l valuations.

4. Broker Selection:
• GTS has developed the industry's only independent transition trade performance evaluation
process geared specifically towards selecting the most qualified transition broker(s).
" Our evaluation model is a weighted blend of both quantitative and qualitative variables that
determine the ranking mechanism under which the brokers are measured and tracked.
• GTS utilized the broker best qualified to trade the specific asset class.

GTS Broker Rankings

Broker Name
Blended Large, Mid and Small Cap
ITG 1
Jefferies & Co. 2
Knight Equity Markets 3
Morgan Stanley 4
Barclays Capital 5

5. Market Environment:
 City of Ft L a u d e r d a l e Police & Fire Retirem e n t S y s t e m

6. Transition Costs:

I US Equity
Explicit Cost
Commissions - 1,020,763 shares @ 1.5 cps $ (15,311.45) (6.1)

Total Explicit Costs $ (15,311.45) (6.1)

, Implicit Cost $ bps ^^^^^|

Market Impact $ (7,905.00) (3.2)
Timing Cost $ (153,323.07) (61.5)

Total Implicit Cost $ (161,228.07) (64.6)

Tofo/ Transition Cost $ (176,539.52) (70.8)

7. Benchmark Analysis:
I Benchmark $ Savings/(Differential)
bps ^^^^H
Equity Performance vs. Pre Trade Estimate $ 50,924.75 20.4
Equity Performance vs. VWAP $ (68,430.78) (27.4)
Equity Performance vs. Implementation Shortfall $ (116,444.55) (46.7)

Performance vs. Pre Trade Estimate: The market environment and portfolio performance on trade date
were within pre trade expectations.

VWAP Comparison: This benchmark compares the cumulative executed values of each security in the
transition portfolio versus the weighted average execution value at which that security traded over the
course of the entire trading day.

Implementation Shortfall Comparison: This strategy seeks to minimize cost by managing the risk
associated with overnight market movement, estimated transaction costs, intra-day volatility and
liquidity.

8. Performance Execution Details:

Date Side Principal Value $ Change % Change

T-l (Close) 11/17/09 Sell $ 24,938,664.11
Trade Executions 11/18/09 Sell $ 24,785,341.04 $ (153,323.07) -0.6%
T (Close) 11/18/09 Sell $ 24,901,785.59 $ (36,878.52) -0.1%

$ %
I Timing Cost $ (153,323.07) -0.61%

CO
 City of Ft L a u d e r d a l e P o l i c e & Fire R e t i r e m e n t S y s t e m

Portfolio Details
Top Ten - Total Cost

mTHKCOM 47B.2M IE.200

Q QW£S~ COMMUNICATIONS iNTL WC -- 65.199 17.905 -• -
C CITIGROUF INC COM ,4. 7],77fc 17,400 •
m PF.2EP, IHC CCW 301,S92 16.&00 H2 ;-
NATL NATIONAL INTERSTATE CORF COM 1J.620 . I
W7SLA w £7 SEAL INC CL A 50,400 14,400 21* 72
0£ OENERAL ELECTRIC CO CO* - i 227.4M M.200 I
CSCO CISCO SYS IffC COW 276 13.800 :
MSFT MICROSOFT CORf COM -l 13,700 -
CLRT CLAPIEN7 ;NC COM 12.200

Top Ten • Largest Spread

NATIONAL INTERSTATE CORP COM 37,«0 2.21X3 ••••

ttWI VETEP.iNWY SUPPLY iMC COW, 42,724 1,100 99
HOWZON LINES WC COM 45.777 • 1, . . -
T AT&T iNt COM. =i78,2H 18,2GC 273 91
QWtST COMMUNlCXnOKS !KTl INC 68,1S« 17,900 -- -
C 73,7?6 17,400 261 67
IB CHINA INTEGRATED ENERGY INC CD 29,197 4.300 -;
-r- PFtZE1?iNCCOM J01.392 If.SOO 252
TRIPLED MGMT COfiP CL 6 43,004 . - .-
WET SEAL !WC CLA 50,40C> 14,400

Top Ten • Position Size

AT&T INC CCW.

Q QWEST COmUNfCATiONS INTL i^fC

C CITICROUf INC COM
PFE Pf I2£fi ffJC COM
WTSU WET SEAL INC CL A
GENERAL ELECTfifC CC COM
Cisco srs INC COM
MICROSOFT COflP COW
CLARIENT tHC COM
MEPC.E HEALTHCARE iNC COW