Water and Power Employees’ Retirement Plan (WPERP) 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. March 2010 Quarterly Report Q1-10

HEDGE FUND OF FUNDS PORTFOLIO SUMMARY

As of March 31, 2010, the WPERP of Funds Portfolio had an aggregate value of $70.8 million.

Recent Investment Performance Trends

During the most recent quarter, the WPERP Hedge Fund of Funds Portfolio outperformed its policy benchmark by 1.8%, net of fees. Over the latest 1-year period, the portfolio outperformed its benchmark by 13.6%, 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 3.6%, 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 1.6 2.6 2.6 16.8 1.7 2.1 Policy Benchmark*** 0.3 0.8 0.8 3.2 4.8 5.0 Excess Return 1.3 1.8 1.8 13.6 -3.1 -2.9

Performance vs. Median Fund** Month Quarter YTD 1 Year 3 Year Since Inc.**** Total Portfolio 1.6 2.6 2.6 16.8 1.7 2.1 Median Fund** 1.3 1.9 1.9 11.0 -2.2 -1.5 Excess Return 0.3 0.7 0.7 5.8 3.9 3.6 *Net of Fees **HFRI Conservative Index ***Benchmark is Tbills + 3% ****Inception is 2/2007

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Quarterly Report Q1-10

WPERP Hedge Fund of Funds Risk/Return Analysis Period ending March 31, 2010

Since Inception Annualized Risk/Return 10.0%

8.0% Barclays Aggregate 6.0% Tbills + 3 4.0% WPERP Hedge FoF Aggregate 2.0% Tbills

0.0% HFRI Diversified Annualized Return -2.0% HFRI Conservative S&P 500 -4.0%

-6.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% Standard Deviation

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Quarterly Report Q1-10

LADWP Hedge Fund of Funds Performance Charts LADWP Hedge Fund Total Period ending March 31, 2010

Growth of $100 Monthly Returns versus Policy

LADWP Hedge Total Benchmark, S&P 500 Index Tbills + 3% Net of Fees 120

110 3 LADWP Hedge Total 2 100 1 Excess 0 90 -1 -2 80 -3 Growth of $100 -4 70 Excess Return, % Return, Excess -5

60 -6 -7 50 -8 Mar-07 Sep-07 Mar-08 Sep-08 1.5Mar-09 Sep-09 Mar-10 Feb-07 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10

1 12-Month Rolling

0.5

0

S&P 500 -0.5 BC Aggregate MSCI ACWI ex US ML Global Bond -1

-1.5

-2 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 4

Quarterly Report Q1-10

Actual Asset Allocation Comparison* – Hedge Fund of Funds Portfolio, March 31, 2010

LADWP Hedge Fund of Funds Total

0.0% 2.3%

22.4% Relative Value

Event Driven Opportunistic 48.1% Other

27.3% Cash

Aetos PAAMCO 2.50% 0.0% 2.0% 0.00%

21.0% Relative Value 23.80% Relative Value Event Driven Event Driven 38.0% Opportunistic Opportunistic

Other 57.80% 16.00% Other 39.0% Cash Cash

*Please refer to Glossary Section for a list of Strategy Definitions. 5

Quarterly Report Q1-10

LADWP Hedge Fund of Funds Performance Charts Aetos Period ending March 31, 2010

Growth of $100 Monthly Returns versus Policy Benchmark, Aetos LADWP S&P 500 Index Tbills + 3% Net of Fees 120

3 110 Aetos LADWP 2

100 1 Excess

0 90 -1

-2 80

Growth of $100 -3

70 % Return, Excess -4

-5 60 -6

50 -7 Mar-07 Sep-07 Mar-08 Sep-08 Mar-09 Sep-09 Mar-10 Feb-07 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10

1 12-Month Rolling Beta

0.5

0

S&P 500

BC Aggregate

-0.5 MSCI ACWI ex US

ML Global Bond

-1

-1.5 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 6

Quarterly Report Q1-10

Manager Allocation and Turnover Period ending March 31, 2010 Aetos

Fund % Status Fund % Status Hedged Equity- Convertible 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% 0 0 Conatus Capital Partners, LP Directional 0 0 CamCap Energy Relative Value 0 0 Highside Capital Partners, LP GMO Reversion to Mean Fund Relative Value 1 0 Joho Partners, LP AQR RT Fund New 1Q2010* Biased 0 0 New 1Q2010* Subtotal 5.00% Distres sed 0 0 Millgate Partners II, LP Quarterly Turnover 30 North River Partners, LP Short-Biased Credit/Equity Tiger Consumer New 1Q2010* Icarus Qualified Partners, LP Viking Global Equities LP Subtotal 2.00% Subtotal 36.00% Distressed Merger-Event Driven Arbitrage Aurelius Capital Partners, LP Davidson Kempner Partners, LP Watershed Capital Partners, LP Offshore Investors, Inc. Anchorage Capital Partners, LP Oceanw ood Global Opportunities Fund, LP King Street Capital, LP Subtotal 19.00% AG Mortgage Value Silver Point Capital Fund, LP Fixed Income Arbitrage Davidson Kemper Bracebridge FFIP, LP Subtotal 20.00% Parsec Trading Corporation Subtotal 9.00%

*Represents a new manager position

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Quarterly Report Q1-10

Latest Quarter During the first quarter for the LADWP Portfolio, Aetos hired three new managers, AQR RT Fund, Marshall Wace, and Tiger Consumer.

Additions

. AQR RT Fund, L.P. (1/1/10) - The AQR RT (Rapid Trading) Fund executes a strategy that seeks to take advantage of small, temporary pricing differentials between the price of a company and a basket of similar . In addition to price action, the Fund incorporates additional inputs such as timing of news events, change in volume, and time of day. Aetos made an investment in the Fund due to its non-correlation to the overall market and to the other managers within the Portfolio.

. Marshall Wace TOPS Fund Limited (1/1/10) – The Marshall Wace TOPS Fund executes a -short equity strategy using a vast pool of sell-side recommendations. Marshall Wace collects recommendations from nearly 2,000 contributors, both salespeople and research analysts, globally. The TOPS system uses quantitative methods to identify patterns in contributor ideas and to cross reference their trade ideas with others, ultimately resulting in a ranking of trade ideas. Aetos believes the Marshall Wace TOPS Fund represents a differentiated long/short strategy with a record of generating attractive risk adjusted returns. In addition, the Fund’s unique approach, which combines fundamental stock-picking with quantitative portfolio optimization, is attractive for its excellent liquidity and moderate correlations to major markets and their other long/short equity managers.

. Tiger Consumer Partners, L.P. (1/1/10) - Tiger Consumer is a long/short equity fund focused on the U.S. consumer sector, which employs a deep, fundamental bottom-up research process. Aetos feels that having a sector focused manager with deep expertise in the retail and consumer sector will be a differentiated addition to the Portfolio. In addition, they believe that the consumer and retail sector is an attractive sector for long/short equity investing given the fact it is an extremely competitive sector where the outcomes consist of clear winners and losers, hence making it an ideal sector for generation on both the long and short side. Additionally, Tiger Consumer is an established manager who has a nine year track record with consistent returns and the ability to preserve capital in times of market downturn; they expect that Tiger Consumer will be able to continue generating attractive risk- adjusted returns.

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Quarterly Report Q1-10

LADWP Hedge Fund of Funds Performance Charts PAAMCO Period ending March 31, 2010 Growth of $100 Monthly Returns versus Policy

PAAMCO--LADWP Benchmark, S&P 500 Index Tbills + 3% Net of Fees 120

110 6 PAAMCO--LADWP 100 4 Excess 2 90 0

80 -2 Growth of $100 -4 70 Excess Return, % -6 60 -8

50 -10 Mar-07 Sep-07 Mar-08 Sep-08 Mar-09 Sep-09 Mar-10 Feb-07 Jun-07 Sep-07 Dec-07 Mar-08 Jun-08 Sep-08 Dec-08 Mar-09 Jun-09 Sep-09 Dec-09 Mar-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 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 9

Quarterly Report Q1-10

Manager Allocation and Turnover Period ending March 31, 2010 PAAMCO* Fund % Status Fund % Status Fund % Status Hedging Event-Driven Equity Equity Market Neutral LV103413 1.83% LV105106 0.56% New - March** LV104578 0.93% LV103845 0.22% LV102934 0.21% LV103688 1.32% LV101299 1.56% LV104937 1.52% LV100707 1.10% LV100150 0.50% LV105037 0.85% LV103918 1.08% LV100061 0.54% LV105108 1.05% New - March** LV104458 0.61% LV102015 1.61% LV104906 1.40% Subtotal 5.04% LV100073 0.82% Subtotal 5.60% LV103072 1.06% LV102013 2.23% Long/Short Equity Strategy Allocation Additions Deletions Subtotal 10.38% LV100187 1.91% Conv. Bond Hedging 0 0 LV102209 1.36% Fixed Income Rel Value 0 0 Fixed Income Relative Value LV103917 0.95% Distressed Debt 0 0 LV104921 0.88% LV101125 0.99% Long/Short Credit 0 1 LV104920 0.93% LV103521 1.87% Event-Driven Equity 2 0 LV104535 2.21% LV103435 2.13% Long Short Equity 1 0 LV101263 4.37% LV103436 2.66% Equity Market Neutral 0 0 Subtotal 8.39% LV103850 1.76% Total Turnover 31 LV104266 0.59% Distressed Debt LV104898 1.52% LV105008 1.60% LV104876 1.94% LV102233 0.36% LV104950 1.88% LV103162 1.04% LV104951 1.70% LV104515 2.93% LV104976 1.72% LV103920 3.18% LV105010 1.22% LV104939 1.26% LV105011 1.34% Subtotal 10.38% LV105064 0.89% New - March** LV104317 1.37% Long/Short Credit LV103919 1.65% LV104721 2.28% Subtotal 29.46% LV104403 1.95% LV103297 1.58% LV100047 4.38% LV100119 2.92% LV104305 1.45% LV100523 0.00% Term. - Jan** LV101805 2.97% LV104769 1.34% LV103516 4.35% *Manager Names masked due to Non-disclosure agreement LV102012 3.54% **Represents a new manager position LV104135 1.49% Subtotal 28.25% 10

Quarterly Report Q1-10

Latest Quarter During the first quarter of 2010, PAAMCO made four changes to managers in the LADWP portfolio. One manager was terminated and three new managers were hired across the different segments of the LADWP portfolio.

Additions . Long Short Equity - Global real estate fund trading in liquid REITs and real estate related securities,

. Event-Driven Equity - Bottom-up, event driven fund focused on Asia, including Japan and Australia

. Event-Driven Equity - Fundamental manager that looks for hard events to unlock value, European focus

Terminations . Long/Short Credit - The Manager returned the small amount of capital that remained in the fund. The position was only 9 bps of the fund as 12/31/09. .

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Quarterly Report Q1-10

Hedge Fund and Hedge Fund of Funds Industry Overview

In the twelve months of 2009, the onset of the “credit crunch” had severely impacted financial markets on a global basis. This has resulted in an increase in across markets and an uncertainty of economic stability. Public markets have experienced dramatic declines in 2008 and a subsequent rebound in 2009-2010.

The long-term impact of these events on the hedge fund markets continues to be uncertain as regulatory and transparency concerns remain. Among others, a decrease in the ability of hedge fund managers to use leverage and credit to conduct trades and cover positions with brokers has decreased many investment managers’ ability to add value. However, recent events have given way to an increasing number of opportunities for managers in the distressed sector of the marketplace.

CAPITAL ALLOCATED TO HEDGE FUNDS (as of 3/31/2010)

2000

1800

1600

1400

1200

1000

Billions $ 800

600

400

200

0

1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 YTD

Source: HFR

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Quarterly Report Q1-10

The strong performance in 2009 more than compensated for investor redemptions, increasing overall global HF assets to $1.7 trillion, which was $600 billion higher than in Q1 2009. The HFRI Fund Weighted Composite Index is 2% below the peak performance level set in October 2007. Not all funds have shared equally in the recovery of 2009-2010; 1,000 funds have liquidated since the inception of the financial crisis, while over half of all funds have returned to their respective high water mark levels in 2009.

BREAKOUT OF HEDGE FUND INDUSTRY BREAKOUT OF HEDGE FUND INDUSTRY by Major Strategy Type By Assets Performance by Sector (as of 3/31/2010) (as of 3/31/2010)

Quarter 1 Year 3 Years 5 Year 10 Years HFN Event Driven 4.01 33.07 3.35 6.75 8.26 Equity Hedge 46% HFN Macro 1.34 10.77 6.65 7.75 8.74

Macro HFN Relative Value 2.44 21.52 3.71 6.12 7.21 21% HFN Equity Hedge 3.32 27.48 2.19 6.51 7.66 Event Relative Value Driven 13% 20%

Source: HFR

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Quarterly Report Q1-10

Glossary Alpha The premium an investment earns above a set standard. This is usually measured in terms of a common index (i.e., how the stock performs independent of the market). An Alpha is usually generated by regressing a ’s excess return on the S&P 500 excess return.

Annualized Performance The annual rate of return that when compounded t times generates the same t-period holding return as actually occurred from period 1 to period t.

Beta The measure of an asset’s risk in relation to the Market (for example, the S&P 500) or to an alternative benchmark or factors. Roughly speaking, a security with a Beta of 1.5, will have moved, on average, 1.5 times the market return.

Bottom-up A management style that de-emphasizes the significance of economic and market cycles, focusing instead on the analysis of individual stocks.

Convertible Arbitrage Hedge Funds Convertible arbitrage is the trading of related securities whose future relationship can be reasonable predicted. Convertible securities are usually either convertible bonds or convertible preferred shares, which are most often exchangeable into the of the company issuing the convertible security. The managers in this category attempt to buy undervalued instruments that are convertible into equity and then hedge out the market risks. Fair value is based on the optionality in the convertible bond and the manager’s assumption of the input variables, namely the future volatility of the stock.

Correlation Correlation expresses the degree to which fluctuations in one variable are related to fluctuations in another variable. It ranges from – 1 to +1.

Drawdown Drawdown measures a period of negative performance. It is generally expressed as a percentage of the net asset value.

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Quarterly Report Q1-10

Distressed Securities Hedge Funds funds invest in the debt or equity of companies experiencing financial or operational difficulties or trade claims of companies that are in financial distress, typically in bankruptcy. These securities generally trade at substantial discounts to par value. Hedge fund managers can invest in a range of instruments from secured debt to common stock. The strategy exploits the fact that many investors are unable to hold below investment grade securities.

Emerging Markets Hedge Funds Emerging market hedge funds focus on equity or fixed income investing in emerging markets as opposed to developed markets. This style is usually more volatile not only because emerging markets are more volatile than developed markets, but because most emerging markets allow for only limited short selling and do not offer a viable futures contract to control risk. The lack of opportunities to control risk suggests that hedge funds in emerging markets have a strong long bias.

Equity Market-Neutral Hedge Funds Equity market-neutral is designed to produce consistent returns with very low volatility and correlation in a variety of market environments. The investment strategy is designed to exploit equity market inefficiencies and usually involves being simultaneously long and short matched equity portfolios of the same size within a country. Market neutral portfolios are designed to be either beta or currency-neutral or both. Equity market-neutral is best defined as either statistical arbitrage or equity long/short with zero exposure to the market.

Event Driven Hedge Funds This investment strategy class focuses on identifying and analyzing securities that can benefit from the occurrence of extraordinary transactions. Event-driven strategies concentrate on companies that are, or may be, subject to restructuring, takeovers, mergers, liquidations, bankruptcies, or other special situations. The securities prices of the companies involved in these events are typically influenced more by the dynamics of the particular event than by the general appreciation or depreciation of the debt and equity markets. For example, the result and timing of factors such as legal decisions, negotiating dynamics, collateralization requirements, or indexing issues play a key element in the success of any event-driven strategy.

Fixed Income Arbitrage Hedge Funds Fixed income arbitrage managers seek to exploit pricing anomalies within and across global fixed income markets and their derivatives, using leverage to enhance returns. In most cases, fixed income arbitrageurs take offsetting long and short positions in similar fixed income securities that are mathematically, fundamentally or historically interrelated. The relationship can be temporarily distorted by market events, investor preferences, exogenous shocks to supply or demand, or structural features of the fixed income market.

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Quarterly Report Q1-10

Global Macro Hedge Funds Macro hedge funds pursue a base strategy such as equity long/short or futures to which large scale and highly leveraged directional bets in other markets are added a few times each year. They move from opportunity to opportunity, from trend to trend, from strategy to strategy.

Hedge Fund A fund (generally not regulated) that typically engages in non-conventional investment techniques and strategies, using derivatives, short positions and borrowing, thereby achieving a leveraged effect.

Long/Short Equity Hedge Funds Long/short strategies combine both long as well as short equity positions. The short positions have three purposes, which can vary over time or by manager. First, the short positions are intended to generate alpha. This is one of the main differences when compared with traditional long-only managers. Stock selection skill can result in doubling the alpha. A long/short equity manager can add value by buying winners as well as selling losers. Second, the short positions can serve the purpose of hedging market risk. Third, the manager earns interest on the short as he collects the short rebate.

Merger Arbitrage Hedge Funds Merger arbitrage (also known as ) specialists invest simultaneously in long and short positions in both companies involved in a merger or acquisition. In stock swap mergers, risk arbitrageurs are typically long the stock of the company being acquired and short the stock of the acquiring company. In the case of a cash tender offer, the risk arbitrageur is seeking to capture the difference between the tender price and the price at which the target company’s stock is trading.

Relative Value Strategy Hedge Funds This class of investment strategy seeks to profit by capitalizing on the mis-pricings of related securities or financial instruments. Generally, relative-value and market neutral strategies avoid taking a directional bias with regards to the price movement of a specific stock or market. This makes this style most appealing for investors who are looking for high and stable returns accompanied by low correlation to the equity market.

R-Squared Square of the correlation coefficient. The proportion of the variability in one series that can be explained by the variability of one or more other series a regression model. A measure of the quality of fit. 100% R-square means perfect predictability.

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Quarterly Report Q1-10

Sharpe Ratio This ratio is a risk-adjusted measure of a fund’s performance. It is calculated as follows [(annualized rate of return)-(annualized risk-free interest rate)] / annualized standard deviation. For example, a fund with a Sharpe Ratio greater than 1.0 is achieving more than one unit of excess return per unit of risk undertaken.

Short Selling Hedge Funds The short selling discipline has an equity as well as fixed income component. Short sellers seek to profit from a decline in the value of stocks. In addition, the short seller earns interest on the cash proceeds from the short sale of stock.

Standard Deviation The square root of the variance. A measure of dispersion of a set of data from its mean.

Top-down Investment style that begins with an assessment of the overall economic environment and makes a general asset allocation decision regarding various sectors of the financial markets and various industries.

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Quarterly Report Q1-10

Hedge Funds Characteristics and Terms

Strategies Definition Relative Value Convertible Arbitrage Invests in the convertible securities of a company. A typical investment is to be long the convertible bond and short the common stock of the same company. Positions are designed to generate profits from the fixed income security as well as the short sale of the stock, while protecting the principal from market moves. Fixed Income Arbitrage Fixed income arbitrage managers seek to exploit pricing anomalies within and across global fixed income markets and their derivatives, using leverage to enhance returns. In most cases, fixed income arbitrageurs take offsetting long and short positions in similar fixed income securities that are mathematically, fundamentally or historically interrelated. The relationship can be temporarily distorted by market events, investor preferences, exogenous shocks to supply or demand, or structural features of the fixed income market. Equity Market Neutral Equity market-neutral is designed to produce consistent returns with very low volatility and correlation in a variety of market environments. The investment strategy is designed to exploit equity market inefficiencies and usually involves being simultaneously long and short matched equity portfolios of the same size within a country. Market neutral portfolios are designed to be either beta or currency-neutral or both. Equity market-neutral is best defined as either statistical arbitrage or equity long/short with zero exposure to the market. Event Driven Risk Arbitrage Risk arbitrage (also known as merger arbitrage) specialists invest simultaneously in long and short positions in both companies involved in a merger or acquisition. In stock swap mergers, risk arbitrageurs are typically long the stock of the company being acquired and short the stock of the acquiring company. In the case of a cash tender offer, the risk arbitrageur is seeking to capture the difference between the tender price and the price at which the target company’s stock is trading. Distressed Securities Distressed securities funds invest in the debt or equity of companies experiencing financial or operational difficulties or trade claims of companies that are in financial distress, typically in bankruptcy. These securities generally trade at substantial discounts to par value. Hedge fund managers can invest in a range of instruments from secured debt to common stock. The strategy exploits the fact that many investors are unable to hold below investment grade securities. Opportunistic Macro Macro hedge funds pursue a base strategy such as equity long/short or futures trend following to which large scale and highly leveraged directional bets in other markets are added a few times each year. They move from opportunity to opportunity, from trend to trend, from strategy to strategy. Short Sellers The short selling discipline has an equity as well as fixed income component. Short sellers seek to profit from a decline in the value of stocks. In addition, the short seller earns interest on the cash proceeds from the short sale of stock. Long Region, Industry, Traditional equity fund structured like a hedge fund; ie, uses leverage and permits managers to collect an incentive fee. Focus or Style of the fund could be a specific geographic region (i.e., Japan) , industry (i.e., technology) or style (i.e., growth) Emerging Markets Emerging market hedge funds focus on equity or fixed income investing in emerging markets as opposed to developed markets. This style is usually more volatile not only because emerging markets are more volatile than developed markets, but because most emerging markets allow for only limited short selling and do not offer a viable futures contract to control risk. The lack of opportunities to control risk suggests that hedge funds in emerging markets have a strong long bias. Long/Short Equity Long/short strategies combine both long as well as short equity positions. The short positions have three purposes, which can vary over time or by manager. First, the short positions are intended to generate alpha. This is one of the main differences when compared with traditional long-only managers. Stock selection skill can result in doubling the alpha. A long/short equity manager can add value by buying winners as well as selling losers. Second, the short positions can serve the purpose of hedging market risk. Third, the manager earns interest on the short as he collects the short rebate.

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Quarterly Report Q1-10

Supplemental Performance/Risk Statistics

1 year ending 3/31/2010 Net of Fees, versus the S&P 500 MPT Statis tic s Annualized Return, % Annualized StdDev, % Sharpe Treynor Sortino Information Batting Alpha, % Beta Beta* Beta** Beta*** R-Squared, % Ratio Ratio Ratio Ratio Average**** Total Excess**** Total Excess LADWP Hedge Total 12.2 0.1 0.2 0.1 0.2 13.4 5.4 2.1 NA 5.8 1.000 16.8 13.6 2.9 2.9 Aetos LADWP 13.2 0.1 0.3 0.1 0.2 6.3 4.8 2.8 NA 5.2 0.920 17.1 13.9 3.3 3.3 PAAMCO--LADWP 11.2 0.1 0.1 0.1 0.2 19.7 5.4 1.7 NA 5.8 1.000 16.4 13.2 2.8 2.8 BC Aggregate Bond 7.0 0.0 1.0 0.0 0.4 0.1 2.5 10.6 NA 2.6 0.830 7.7 4.5 3.0 3.0 Tbills + 3 3.0 0.0 0.0 0.0 0.0 7.4 88.7 -44.0 NA NA 0.000 3.2 0.0 0.0 0.0 HFRI FOF: Diversified Index 6.1 0.1 0.0 0.1 0.2 36.9 4.0 0.9 NA 4.3 0.830 12.5 9.3 2.9 2.9 HFRI FOF: Conserv. Index 7.3 0.1 0.1 0.1 0.2 19.0 4.7 1.5 NA 5.0 0.830 11.0 7.8 2.2 2.2 Merrill Lynch 3-month T-Bill 0.0 0.0 0.0 0.0 0.0 0.0 NA NA NA 5.9 0.000 0.2 -3.0 0.0 0.0 S&P 500 Index 0.0 1.0 0.1 0.6 0.6 100.0 3.1 0.5 474.2 3.7 0.750 49.8 46.6 13.3 13.3 *BC Aggregate **M SCI A CWI ex US ***M L Global Bond Index ****Tbills + 3%

Since inception ending 3/31/2010 Net of Fees, versus the S&P 500 MPT Statistics Annualized Return, % Annualized StdDev, % Sharpe Treynor Sortino Information Batting Alpha, % Beta Beta* Beta** Beta*** R-Squared, % Ratio Ratio Ratio Ratio Average**** Total Excess**** Total Excess LADWP Hedge Total 1.3 0.2 0.3 0.2 0.2 37.6 0.0 0.0 0.5 0.3 0.630 2.1 -2.8 7.5 7.5 Aetos LADWP 0.5 0.2 0.3 0.2 0.2 40.3 -0.1 0.0 0.5 0.3 0.550 1.5 -3.4 6.2 6.3 PAAMCO--LADWP 2.1 0.3 0.4 0.3 0.3 32.1 0.1 0.0 0.5 0.3 0.680 2.7 -2.3 9.3 9.3 BC Aggregate Bond 4.4 0.1 1.0 0.1 0.5 9.0 1.0 0.7 11.0 1.5 0.550 6.3 1.4 4.1 4.2 Tbills + 3 2.7 0.0 0.0 0.0 0.0 3.3 13.1 15.0 NA 9.4 0.000 5.0 0.0 0.5 0.0 HFRI FOF: Diversified Index -1.7 0.2 0.2 0.2 0.2 40.6 -0.4 -0.1 -0.2 -0.1 0.530 -0.8 -5.8 7.3 7.4 HFRI FOF: Conserv. Index -2.6 0.2 0.1 0.2 0.1 37.2 -0.5 -0.2 -0.3 -0.2 0.530 -1.5 -6.5 6.5 6.5 Merrill Lynch 3-month T-Bill 0.0 0.0 0.0 0.0 0.0 0.0 NA NA 550.2 3.4 0.000 2.2 -2.8 0.6 0.2 S&P 500 Index 0.0 1.0 1.5 0.7 1.0 100.0 -0.2 -0.1 -0.3 -0.2 0.530 -4.2 -9.2 19.9 19.9 *BC Aggregate **M SCI A CWI ex US ***M L Global Bond Index

****Tbills + 3%

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