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2002 CIF Cover Front STATE OF CONNECTICUT OFFICE OF THE TREASURER 2002 COMBINED INVESTMENT FUNDS COMPREHENSIVE ANNUAL FINANCIAL REPORT For the fiscal year ended June 30, 2002 STATE OF CONNECTICUT Office of the State Treasurer The State Motto “Qui Transtulit Sustinet,” (He Who Transplanted Still Sustains), has been associ- ated with the various versions of the state seal from the creation of the Saybrook Colony Seal. Introductory Section COMBINED INVESTMENT FUNDS COMPREHENSIVE ANNUAL FINANCIAL REPORT FOR FISCAL YEAR ENDED JUNE 30, 2002 Table of Contents INTRODUCTORY SECTION Letter from the Treasurer ..................................................................................................................... 3 Certificate of Achievement for Excellence in Financial Reporting ........................................... 6 The Connecticut State Treasury ........................................................................................................ 7 Pension Funds Management Administration .................................................................................. 8 List of Principal Officials ...................................................................................................................... 9 Investment Advisory Council ........................................................................................................... 10 List of External Advisors ...................................................................................................................... 11 FINANCIAL SECTION Report of Auditors of Public Accounts ...........................................................................................15 Management’s Discussion and Analysis ........................................................................................ 17 Management’s Report ..................................................................................................................... 20 Combined Investment Funds .......................................................................................................... 21 Statement of Net Assets ...................................................................................................... 21 Statement of Operations..................................................................................................... 22 Statements of Changes in Net Assets ............................................................................... 23 Notes to Financial Statements ........................................................................................... 25 INVESTMENT SECTION Pension Funds Management Division ............................................................................................ 37 Division Overview ................................................................................................................. 37 Investment Policy ................................................................................................................. 38 The Year in Review ................................................................................................................ 40 Total Fund Performance ............................................................................................... 40 2002 Division Performance and Management Initiatives ...................................... 42 Proxy Voting..................................................................................................................... 43 Asset Recovery ............................................................................................................... 44 Cash Reserve Account ................................................................................................. 48 Mutual Equity Fund ........................................................................................................ 52 International Stock Fund ............................................................................................... 55 Real Estate Fund ............................................................................................................. 59 Mutual Fixed Income Fund........................................................................................... 64 Commercial Mortgage Fund ....................................................................................... 69 Private Investment Fund................................................................................................ 73 Schedule of Investment Advisors and Fees in Excess of $5,000 ................................................ 79 Combined Investment Funds Schedule of Brokerage Commissions ....................................... 81 STATE OF CONNECTICUT, OFFICE OF THE TREASURER, DENISE L. NAPPIER 1 TABLE OF CONTENTS STATISTICAL SECTION Combined Investment Funds Total Net Asset Value by Pension Plans and Trusts .................. 85 Combined Investment Funds Statement of Investment Activity by Pension Plan ................ 86 Combined Investment Funds Statement of Investment Activity by Trust ................................ 88 Combined Investment Funds Financial Highlights ....................................................................... 91 Combined Investment Funds Summary of Operations............................................................... 92 Pension and Trust Funds Balances in Combined Investment Funds ......................................... 92 Combined Investment Funds List of Investment Advisors and Net Assets Under Management ..... 93 Schedule of Consulting Services in Excess of $5,000 .................................................................. 96 Combined Investment Funds Investment Summary.................................................................... 97 Combined Investment Funds Top Ten Holdings ........................................................................... 99 Combined Investment Funds Glossary of Investment Terms ................................................... 101 Understanding Investment Performance .................................................................................... 105 2COMBINED INVESTMENT FUNDS 2002 COMPREHENSIVE FINANCIAL ANNUAL REPORT LETTER FROM THE TREASURER December 4, 2002 To the State of Connecticut Combined Investment Funds Fellow Beneficiaries I am pleased to submit to you this Comprehensive Annual Financial Report (CAFR) of the State of Connecticut Office of the Treasurer Combined Investment Fund (CIF) for the fiscal year ended June 30, 2002. In this report, you will find a level of disclosure consistent with the highest standards of finan- cial reporting in conformity with generally accepted accounting principles (GAAP) and au- dited in accordance with generally accepted auditing standards by the State of Connecticut’s independent Auditors of Public Accounts. For the first time this year, this report incorporates the reporting requirements of the provi- sions of Governmental Accounting Standards Board (GASB) Statement No. 34. Implementation of this new reporting standard is consistent with the Treasurer’s commitment to both compre- hensive and accurate disclosure of financial information. To this end, audited financial state- ments and all disclosures necessary to enable the reader to gain an understanding of the Combined Investment Funds financial activities have been included herein for your review. State of Connecticut Combined Investment Funds The Combined Investment Funds are separate legally defined funds which have been es- tablished by the Treasurer of the State of Connecticut under the authority of the Connecticut General Statutes Section 3-31b. The Funds are open-end portfolios consisting of the Cash Re- serve Fund, Mutual Equity Fund, Mutual Fixed Income Fund, International Stock Fund, Real Es- tate Fund, Commercial Mortgage Fund, and the Private Investment Fund. The Funds were established to provide a means for investing pension and other trust fund assets entrusted to the Treasurer in a variety of investment classes. The units of the Funds are owned by these pension and trust funds which include the Teachers’ Retirement Fund, State Employees’ Retirement Fund, Connecticut Municipal Employees’ Retirement Fund, State Judges’ Retirement Fund, Probate Court Retirement Fund, State’s Attorney Retirement Fund, Soldiers’ Sailors’ & Marines’ Fund, Police and Fireman’ Survivors’ Benefit Fund, Connecticut Arts Endowment Fund, School Fund, Ida Eaton Cotton Fund, Hopemead Fund, Andrew C. Clark Fund, Agricultural College Fund and the Tobacco and Health Trust Fund. The Treasurer, as principal fiduciary of the Combined Investment Funds, is authorized to invest in a broad range of equity and fixed income securities, as well as real estate properties, mortgages and private equity. In April 2002, the Investment Advisory Council approved the Investment Policy Statement (IPS) including the asset allocation plan, which governs Fund in- STATE OF CONNECTICUT, OFFICE OF THE TREASURER, DENISE L. NAPPIER 3 LETTER FROM THE TREASURER vestments today. The Asset Allocation Plan’s main objective is to maximize investment returns over the long term at an acceptable level of risk, primarily through asset diversification. Risk, in this context, is defined as volatility of investment returns. (See the Understanding Investment Performance discussion in the Supplemental Section.) The Funds are not registered with the Securities and Exchange Commission as an invest- ment company. Investments are stated at fair value for each of the funds and the investments of the Cash Reserve Fund are valued at
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