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One Main Street, Cambridge, Massachusetts 02142-1524 (617) 374-1300; F: (617) 374-1313 www.nepc.com

Oklahoma State Pension Commission. Fourth Quarter 2007 Investment Performance Analysis. February 13, 2008. Allan Martin Partner. Shane Burke Senior Analyst. One Main Street, Cambridge, Massachusetts 02142-1524 (617) 374-1300; F: (617) 374-1313 www.nepc.com. Table of Contents.

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One Main Street, Cambridge, Massachusetts 02142-1524 (617) 374-1300; F: (617) 374-1313 www.nepc.com

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  1. Oklahoma State Pension Commission Fourth Quarter 2007 Investment Performance Analysis February 13, 2008 Allan Martin Partner Shane Burke Senior Analyst One Main Street, Cambridge, Massachusetts 02142-1524 (617) 374-1300; F: (617) 374-1313 www.nepc.com

  2. Table of Contents > Market Environment > Asset Allocation / Investment Policy Targets > Performance Summary > Performance Detail 1. Teachers 2. PERS 3. Firefighters 4. Police 5. Law Enforcement 6. Judges & Justices 7. Department of Wildlife 8. Appendix

  3. Market Environment – Overview (As of 12/31/2007)

  4. Relative Size – All Funds (as of 12/31/07) (Dollars in $000)

  5. Investment Policy Asset Allocation Targets *The Russell 3000 index was broken down into Large, Mid, & Small Cap allocations for the PERS & Judges retirement plans **For the Police Pension, 12.5% Target Alternative Inv. (low-volatility hedge funds) is classified as fixed income **For the Firefighters Pension, 5% Target Alternative Inv. (low-volatility hedge funds) & 5% Target Real Estate are classified as fixed income Please note that allocation targets may not add to 100 due to rounding, and cash accounts within the plans. Total Equity does not include Private Equity

  6. Equity Commitment (as of 12/31/07) 70.0% 68.0% 62.0% 61.0% 59.0% 56.0% 54.0% 52.0%

  7. Risk / Return Analysis Teachers PERS S&P 500 Police Firefighters Sharpe Ratio is a measure of risk-adjusted return. It is used to characterize how well the return of an asset compensates the investor for the risk taken. The higher the ratio, the better its risk-adjusted performance. LB Aggregate

  8. Risk / Return Analysis (cont.) S&P 500 Judges Law Sharpe Ratio is a measure of risk-adjusted return. It is used to characterize how well the return of an asset compensates the investor for the risk taken. The higher the ratio, the better its risk-adjusted performance. Wildlife LB Aggregate

  9. Composite Performance Periods Ending December 31

  10. Composite Performance Years Ending December 31

  11. Style Analysis D D (Movement over the last two years)

  12. Teachers Assets in ($000)

  13. Teachers 5 Year Total Return vs. Risk

  14. Teachers Total Return Periods Ending December 31 Years Ending December 31

  15. Teachers Performance Periods Ending December 31

  16. Teachers Performance Periods Ending December 31

  17. Teachers Performance Periods Ending December 31

  18. PERS Assets in ($000)

  19. PERS 5 Year Total Return vs. Risk

  20. PERS Total Return Periods Ending December 31 Years Ending December 31

  21. PERS Performance Periods Ending December 31

  22. PERS Performance Periods Ending December 31

  23. PERS Performance Periods Ending December 31

  24. Firefighters Assets in ($000)

  25. Firefighters 5 Year Total Return vs. Risk

  26. Firefighters Total Return Periods Ending December 31 Years Ending December 31

  27. Firefighters Performance Periods Ending December 31

  28. Firefighters Performance Periods Ending December 31 Manager Ranked Against Appropriate Peer Group

  29. Firefighters Performance Periods Ending December 31

  30. Police Alternatives Include: Real Assets 4.5% Pvt Equity 8.3% Low-Vol HF 12.4% Assets in ($000) *Private Equity manager allocation is given on page 38.

  31. Police Total 5 Year Return vs. Risk

  32. Police Total Return Periods Ending December 31 Years Ending December 31

  33. Police Performance Periods Ending December 31 Oaktree & Fischer Francis each have Domestic and International bond allocations in their portfolios and their individual returns can’t be verified. As a result, the Fixed Income Only Composite contains both Domestic & International bond allocations.

  34. Police Performance Periods Ending December 31

  35. Police Performance Periods Ending December 31

  36. Police Private Equity Allocation Period Ending December 31 Total = 8.3%

  37. Law Enforcement Assets in ($000)

  38. Law 5 Year Total Return vs. Risk

  39. Law Total Return Periods Ending December 31 Years Ending December 31

  40. Law Performance Periods Ending December 31

  41. Law Performance Periods Ending December 31

  42. Law Performance Periods Ending December 31

  43. Judges & Justices Assets in ($000)

  44. Judges & Justices 5 Year Total Return vs. Risk

  45. Judges & Justices Total Return Periods Ending December 31 Years Ending December 31

  46. Judges & Justices Performance Periods Ending December 31

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