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) 28SFund ‘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