This report reviews key aspects of the investment performance of the G, F, C, S, I, and L Funds through September 2011. Investment manager performance and tracking error, trading costs, and TSP fund performance are reviewed.
This report reviews key aspects of the investment performance of the G, F, C, S, I, and L Funds through September 2011. Investment manager performance and tracking error, trading costs, and TSP fund performance are reviewed.
This report reviews key aspects of the investment performance of the G, F, C, S, I, and L Funds through September 2011. Investment manager performance and tracking error, trading costs, and TSP fund performance are reviewed.
This report reviews key aspects of the investment performance of the G, F, C, S, I, and L Funds through September 2011. Investment manager performance and tracking error, trading costs, and TSP fund performance are reviewed.
FEDERAL RETIREMENT THRIFT INVESTMENT BOARD.
1250 H Street, NW Washington, DC 20008
‘Setobor 7.2044
MEMORANDUM FOR BOARD MEMBERS SAUL, SANCHEZ, DUFFY,
KENNEDY, AND BILYEU
‘SUBJECT: September 201 Performance Review -G, F,C, S, |, and L Funds
INTRODUCTION
‘This report reviews key aspects cto investment perfrmance ofthe GF, , and. Funds
through September 2011, investment manager performance ad racking err, wading costs, TSP fund
perfomance, and L Fund patpaton,
ERROR
‘September Tracking Error
% BTC Fund % index ‘Tracking
Fund Performance Performance ‘nor
Fixed income 073 oa 0.00
Large Cap 793 703 0.00
‘Smal Mi C 1073 1079 0.06
International 56 953 403
2011 Tracking Error
‘%48TC Fund % Index Tracking
und Performance Performance nor
Fixed come 668 655 003
Large Cap 268 358 0.00
Small Mid Cap 1486 1505, 0.
International “1568 496 2
‘The Blackrock Entonded Equly Market Fund € ouperormed by 6 basis point in August and
by 19 basis pins yoar to date, pimariy as a resut of he optination proses. The BlackRock
-EAFE Equfy Index Fund E underperformed by 103 basis points in September, and 70 bass,
Points year o dat, primarly as erect fa valuation ofthe fund on September 30,2011,Fund
Soptember 2011
Yearto-Dato
coun
September 2011
Yearto-Dat
September 2011
YoortoDate
und
‘Soptember 2011
vesrto-Date
766,904,553
1,508.411,971
6.110.466.6588
007. 040277
11,889,08734
1367412661
13286492
—_—Tnnaing Costs __
tec Basis Points
508,030 68
saett 29
244667 15
009,638 24
104455) (8)
4280087 “4
3.039.018
(280)
28SFund
‘The flowing table compares the G Fund rat tobe paid inthe month noted tothe 3 month
‘Treasury bl the 10 year Treasury note and tho 90 year Treasury band athe te te rae was set
‘SEund
an
October 1.63%
September 1.88
August 228
sly 263,
dune 250
May 288
Apt 3.00
Maren 3.00
Fenay 288
sewary 238
Fay
Decomber 2.38
November 213
‘Oder 213
September 218
August 250
ay 263
Ste 248
Mey 335
‘er 338
Merch 3s
Femuay 313.
sana 350
2009
December 288
November 3.13
aber 3.00,
Septonser 3.25
August 325
Sy 325
Sure 325,
Mey 2a8
fot 250
Mr 20
Femvay 275
samiary a3
‘month Tt
002%
001
oa
0.02
006
005
0.00
034
045
073
car
oa
cae
ota
cas
car
ce
C6
cM
13
08
coe
005,
0.08.
0.08
ba.
038.
on
oa.
05.
029
a3
02
over T-note
192%
22
280
318
306
320
347
343
a7
320
263
263
2ar
201
203
323
365
Bet
359
320
338
aa
340
348
34
346
312
2a7
302
284
221
‘yaar bond
201%
360
an
«a7
423
440
451
457
4m
ait
598
360
352
390
389
421
452
an
456
409
464
49
az
405
48
40
4a
4
40
350
an
300
28