FEDERAL RETIREMENT THRIFT INVESTMENT BOARD, 1250 H Strest, NW Washington, DC 20005, November 8, 2010 MEMORANDUM FOR THE EXECUTIVE DIRECTOR FROM TRACEY RAY AM CHIEF INVESTMENT OFFICER fH SUBJECT: (October 2010 Performance Review -G, F, C, 8, |, and L Funds INTRODUCTION ‘This report reviews key aspects of the investment perfomance of the G, F.2., 1 and Funds {trough October 2010 investment manager pearance and tacking eer trading cost, TSP fund performance, and Fund pacpaten 1 (T BTC Fund index Tracking und Performance Performance Ener Fed income 036 036 0.00 Large Gap 3.80 30 0.00 Small Mid Cap a7 48 001 Intemational 302 361 01 2010 Tracking Error % BTC Fund Yindox Tracking Fund Performance Performance Enor heed Income 28 333 os Large Cap 738. rea a2 ‘Small Md Cap 1686 1635 034 International 40 an 021 ‘The BlackRock US Debt index Fund E oulbefcrmed by 1Sbasis plns year o date and the BlackRock Extended Equity Market Fund E outperformed ty 21 bale puns year to dete, _rimariy as aresul of the optimizaton process. The BlackRock EAE Equity Index Fund E ‘udperformed by 21 bass points year ta date primary asa osu of he tax elect.und october 2010 Yearto-Date Fund October 2010 Year-to-Date ‘Sun Cctober 2010 Yeorso-Date und October 2010 Year-to-Date 102.443,01 402834 14a 775,381,145 Asn A228 624116681 7407322695 701485074 '6.605.441.083, lana Gost ___ z ‘Basis Points ran 40 2,108,206 54 4988,787) 24 260.790 08 e220) a3 7ene3 te 21048 12 “10,350,309 vr‘G Fund ‘Th flowing able compares the G Fund rate to be pai inthe month noted to the 3 month ‘Treasury bl the 10 year Treasury nota andthe 30 year Teasiry bond a the tine the Yate was Sa. ‘Sune ‘month Tit AvearTnote 0 year bond zo10 November 2.13% 012% 260% 390% October 213 016 2st 363 September 2.13, on 2a 382 August 250 018 2ot 3.00 uly 263 oar 290 389 June 288 036 329 4a May 328 016 386 452 ‘ri 338 014 383 an March 313 oa 361 455 Febuary 3:3 0.08 359 449 January 350 0.08 394 454 2009 December 2.88 005 320 419 Noveriber 313, 0.06 a9 423 October 3.00 0.08 aat 405 September 5.25 0x3 340 438 August 328 018 348 430 sy 325 019 354 433 tne 325 ona 346 44 May 288 ox 32 403 aoa 250 020 297 356 Maren 208 oar 302 sm February 278 ona 284 360 January 213 0.02 221 268Performance of TSP Funds “The chart below shows the G,F, CS, and | Fund nat rate of eum for October 2010 and 2010. ‘TSP Fund Total Returns ‘The ale below compares tho nt rates of rtum forthe F.C, S, and! | Funds othe retums of ‘be caresponding lackRonk funds. October 2010 “otal Return % Fund Ise AIC ference index: Fixe come 038 036 0.00 036 Lage cop 380 3.20 0.00 380 Small Cap 448 4a7 oot 448 Intemsional 363 382 oot 361 2010 “otal Return % Fund TSE BIC Difference Index Fed income 3a 343-902 833 Large cop 724 736 902 788 Small Cap 18701686, oe 1835, Intematonat 4at 43 om 472 The TS? Funds closely racked the BTC Funds forthe mon and year-to-date.‘The net rates of return or the L Funds are shown Below along wit comparable etus fr the G. F.C, 8, and Funds. L Funds vs. Underlying Funds October 2010 6.00 5.00 400 3.00 1.00 0.00 Percent 4.00 L Funds Underlying Funds L Funds vs. Underlying Funds 2010 20.0 ~ Incane 200 2020 2008 2040 ieee Pes Herre Lunds Underlying FundsL Funds vs. Underlying Funds Inception (8-1-2008) to Date ‘annualized 800 6.00 ¥ 500 400 & 3.00 200 Underlying Funds [Altachment 1 provides a summary of TSP invastment activity and patipaton rate, + lnlerfund transfer acvly picked up in October a8 partcpants bansfered nearly 51 blion out ofthe feed come finds int the cul funds 7). + Over $31 billons now invested in the L Funds (p. 8) + In anticipation of te retrement ofthe L2010 Fund, partcpants transfered money ‘nto the 2020 Fund, (p10) AtactentEee eaIa |