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Second Quarter Hedge Fund of Funds Performance Report As of June 30, 2010

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Second Quarter Hedge Fund of Funds Performance Report As of June 30, 2010 3. Presentation by Pension Consulting Alliance, Inc. - Second Quarter Hedge Fund of Funds Performance Report as of June 30, 2010 3 Water and Power Employees’ Retirement Plan (WPERP) Hedge Fund of Funds Investment Portfolio Quarterly Report Executive Summary This report is solely for the use of client personnel. No part of it may be circulated, quoted, or reproduced for distribution outside the client organization without prior written approval from Pension Consulting Alliance, Inc. Nothing herein is intended to serve as investment advice, a recommendation of any particular investment or type of investment, a suggestion of the merits of purchasing or selling securities, or an invitation or inducement to engage in investment activity. Pension Consulting Alliance Inc J 2010 Quarterly Report Q2-10 HEDGE FUND OF FUNDS PORTFOLIO SUMMARY As of June 30, 2010, the WPERP Hedge Fund of Funds Portfolio had an aggregate value of $70.0 million. Recent Investment Performance Trends During the most recent quarter, the WPERP Hedge Fund of Funds Portfolio underperformed its policy benchmark by minus (2.3%), net of fees. Over the latest 1-year period, the portfolio outperformed its benchmark by 6.7%, net of fees. The Portfolio trailed its policy benchmark over the latest 3-year time period. Underperformance over longer time periods can be attributed to severe market corrections in the second half of 2008. However, due to a strong 2009-2010, longer-term performance has improved significantly. Since inception, portfolio performance has been positive, resulting in no principal loss. The Total Portfolio surpassed the Median Fund over all time periods. The WPERP portfolio added significant value over the Median Fund since inception, outperforming 3.4%, net of fees. Recent Investment Performance* Hedge Fund of Funds Performance vs. Policy Benchmark Month Quarter YTD 1 Year 3 Year Since Inc.**** Total Portfolio -0.6 -1.5 0.1 9.9 -0.1 1.5 Policy Benchmark*** 0.3 0.8 1.1 3.2 4.4 6.9 Excess Return -0.9 -2.3 -1.0 6.7 -4.5 -5.4 Performance vs. Median Fund** Month Quarter YTD 1 Year 3 Year Since Inc.**** Total Portfolio -0.6 -1.5 0.1 9.9 -0.1 1.5 Median Fund** -0.6 -1.5 -0.4 5.1 -3.8 -1.9 Excess Return 0.0 0.0 0.5 4.8 3.7 3.4 *Net of Fees **HFRI Conservative Index ***Benchmark is Tbills + 3% ****Inception is 2/2007 2 Quarterly Report Q2-10 WPERP Hedge Fund of Funds Risk/Return Analysis Period ending June 30, 2010 Since Inception Annualized Risk/Return 10.0% 8.0% Barclays Aggregate 6.0% Tbills + 3 4.0% WPERP Hedge FoF 2.0% Tbills Aggregate 0.0% HFRI Diversified -2.0% HFRI Conservative Annualized Return -4.0% -6.0% S&P 500 -8.0% -10.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% Standard Deviation 3 Quarterly Report Q2-10 LADWP Hedge Fund of Funds Performance Charts LADWP Hedge Fund Total Period ending June 30, 2010 Monthly Returns versus Tbills +3% Growth of $100 LADWP Hedge Total Net of Fees S&P 500 Index Tbills + 3% 120 3 110 LADWP Hedge Total 2 1 Excess 100 0 -1 90 -2 -3 80 -4 Excess Return, % Return, Excess Growth of $100 -5 70 -6 -7 60 -8 Feb-07 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 50 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 12-Month Rolling Beta 1.5 1 0.5 S&P 500 0 BC Aggregate MSCI ACWI ex US -0.5 ML Global Bond -1 -1.5 -2 Jan-08 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10 4 Quarterly Report Q2-10 Actual Asset Allocation Comparison* – Hedge Fund of Funds Portfolio, June 30, 2010 LADWP Hedge Fund of Funds Total 0.0% 1.8% Relative Value 33.6% 37.8% Event Driven Opportunistic Other Cash 26.9% Aetos PAAMCO 3.51% 0.0% 0.0% 0.00% 11.0% Relative Value 23.53% Relative Value Event Driven Event Driven Opportunistic Opportunistic 52.0% 37.0% Other 56.26% 16.70% Other Cash Cash *Please refer to Glossary Section for a list of Strategy Definitions. 5 Quarterly Report Q2-10 LADWP Hedge Fund of Funds Performance Charts Aetos Period ending June 30, 2010 Aetos LADWP Monthly Returns versus Tbills +3% Growth of $100 S&P 500 Index Tbills + 3% 120 Net of Fees 110 3 Aetos LADWP 100 2 1 Excess 90 0 -1 80 -2 Growth of $100 -3 70 % Return, Excess -4 -5 60 -6 -7 Feb-07 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 50 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 12-Month Rolling Beta 1 0.5 0 S&P 500 BC Aggregate MSCI ACWI ex US -0.5 ML Global Bond -1 -1.5 Jan-08 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10 6 Quarterly Report Q2-10 Manager Allocation and Turnover Period ending June 30, 2010 Aetos Fund % Status Fund % Status Hedged Equity-Market Neutral Convertible Arbitrage Strategy Allocation Additions Deletions Bay Pond Partners, LP CNH Convertible Arbirtrage Hedged Equity 2 0 Brookside Capital Ishin Fund LLC Merger Arbitrage 0 0 Cadian Fund, LP Subtotal 7.00% Fixed Income Arbitrage 0 0 Conatus Capital Partners, LP Directional 0 0 CamCap Energy Relative Value Convertible Arbitrage 0 0 Highside Capital Partners, LP GMO Reversion to Mean Fund Relative Value 1 0 Joho Partners, LP AQR RT Fund New 1Q2010* Short Biased 0 0 Marshall Wace New 1Q2010* Subtotal 5.00% Distres sed 1 0 Millgate Partners II, LP Quarterly Turnover 40 North River Partners, LP Short-Biased Credit/Equity Tiger Consumer New 1Q2010* Icarus Qualified Partners, LP Viking Global Equities LP Subtotal 2.00% Subtotal 39.00% Distressed Merger-Event Driven Arbitrage AG Mortgage Value Davidson Kempner Partners, LP Anchorage Capital Partners, LP Farallon Capital Offshore Investors, Inc. Aurelius Capital Partners, LP Oceanw ood Global Opportunities Fund, LP Centerbridge Credit New 2Q2010* Subtotal 18.00% Davidson Kemper King Street Capital, LP Fixed Income Arbitrage Silver Point Capital Fund, LP Bracebridge FFIP, LP Watershed Capital Partners, LP Parsec Trading Corporation Subtotal 20.00% Subtotal 9.00% *Represents a new manager position 7 Quarterly Report Q2-10 Latest Quarter During the second quarter for the LADWP Portfolio, Aetos hired one new manager, Centerbridge Credit Partners. Additions . Centerbridge Credit Partners, LP (6/1/10) - Centerbridge Credit Partners is a distressed credit fund that invests across the capital structure in companies undergoing litigation, liquidation or some form of restructuring. Given the two founders’ backgrounds as the former head of the distressed securities business at Angelo Gordon & Co. and former head of the Blackstone Group’s private equity group, they believe that Centerbridge has the economic research capabilities and understanding of the legal and restructuring process needed to select the securities with the best risk/return profiles in the current and upcoming distressed cycle. 8 Quarterly Report Q2-10 LADWP Hedge Fund of Funds Performance Charts PAAMCO Period ending June 30, 2010 Growth of $100 Monthly Returns versus Tbills +3% PAAMCO--LADWP S&P 500 Index Net of Fees Tbills + 3% 120 110 6 PAAMCO--LADWP 4 100 Excess 2 90 0 -2 80 -4 Growth of $100 % Return, Excess 70 -6 -8 60 -10 Feb-07 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 50 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 12-Month Rolling Beta 2 1.5 1 0.5 S&P 500 BC Aggregate 0 MSCI ACWI ex US ML Global Bond -0.5 -1 -1.5 -2 Jan-08 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10 9 Quarterly Report Q2-10 Manager Allocation and Turnover Period ending June 30, 2010 PAAMCO* Fund % Status Fund % Status Fund % Status Convertible Bond Hedging Event-Driven Equity Equity Market Neutral LV103413 1.77% LV105106 0.55% New - March** LV104578 0.96% LV103845 - Term - April LV102934 0.18% LV103688 1.08% LV101299 1.62% LV104937 1.53% LV100707 - Term - April LV100150 0.27% LV105037 1.02% LV103918 1.08% LV100061 0.27% LV105108 1.67% New - March** LV104458 0.60% LV104980 1.39% New - May LV104906 1.43% Subtotal 3.72% LV102015 1.64% Subtotal 6.37% LV100073 0.33% LV103072 1.01% Long/Short Equity Strategy Allocation Additions Deletions LV102013 2.29% LV100187 1.92% Conv. Bond Hedging 1 1 Subtotal 10.58% LV102209 1.33% Fixed Income Rel Value 0 0 LV103917 0.92% Distressed Debt 0 0 Fixed Income Relative Value LV101125 0.98% Long/Short Credit 2 2 LV104921 0.90% LV103521 1.87% Event-Driven Equity 2 0 LV104920 0.93% LV103435 2.08% Long Short Equity 2 1 LV104535 2.92% LV103436 2.45% Equity Market Neutral 0 1 LV101263 4.49% LV103850 1.68% Total Turnover 75 Subtotal 9.23% LV104266 - Term - April LV104898 1.41% Distressed Debt LV104876 1.87% LV105008 1.61% LV104950 1.84% LV102233 0.32% LV104951 1.68% LV103162 0.97% LV104976 1.67% LV104515 2.89% LV105010 1.25% LV103920 3.23% LV105011 1.34% LV104939 1.32% LV105064 0.88% New - March Subtotal 10.33% LV105159 0.56% New - April LV104317 1.39% Long/Short Credit LV103919 1.63% LV104721 2.36% Subtotal 28.77% LV104403 - Transferred LV103297 1.54% LV100047 3.40% LV105163 1.77% Transfer LV100119 3.08% LV104305 1.59% LV100523 - Term - Jan LV101805 1.73% LV104566 0.81% New - April LV104769 1.39% LV103516 4.49% LV102012 3.73% LV104135 1.60% Subtotal 27.49% *Manager Names masked due to Non-disclosure agreement 10 **Represents a new manager position Quarterly Report Q2-10 Latest Quarter During the second quarter of 2010, PAAMCO made six changes to managers in the LADWP portfolio.
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