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    Funds perf persistence_2006 Funds perf persistence_2006 Document Transcript

    • January 29, 2007 Standard & Poors Mutual Fund Performance Persistence Scorecard, Year-End 2006 The semi-annual S&P Mutual Fund Performance Persistence ScorecardAnalytical Contacts tracks consistency of top performers over three and five consecutive-yearRosanne Pane periods and measures performance consistency, corrected for survivorship(212) 438-5057 bias, through transition matrices for one-, three- and five-year non-overlappingrosanne_pane@sandp.com holding periods.Srikant Dash(212) 438-3012 Very few funds manage to consistently repeat top half or top quartilesrikant_dash@sandp.com performance. Over five years ending 2006, only 71 (13.2%) large-cap funds, 16 (9.9%) mid-cap funds, and 24 (10.0%) of small-cap funds maintained a top- half ranking over five consecutive 12-month periods. A total of eight large cap funds (3.0%), two mid-cap funds (2.5%) and zero small-cap funds maintainedMedia Contact a top-quartile ranking over the same period.Dave Guarino Looking at longer term performance, only 17.3% of large cap funds with a(212) 438-1471 top quartile ranking over five years ending 2001 maintained a top quartiledave_guarino@sandp.com ranking over the next five years ending 2006. Only 10.4% of mid cap funds and 17.7% of small cap funds maintained a top quartile performance over the same period. Random expectations would suggest a repeat rate of 25%. Our research suggests screening for top quartile funds may be inappropriate. A healthy percent, in most cases a majority, of top quartile funds in the future come from ranks of prior period second and third quartiles. Furthermore, the low absolute counts of repeat top performers suggest that past performance cannot be the sole or the most important criteria in fund selection. What distinguishes the few consistent top performers from the rest? Comparing characteristics of these consistent performers with their peers, we see that manager tenure and expense ratios stand out as key differentiators. In general, consistently top performing funds have lower expense ratios and have managers who been at the helm longer. It is interesting to note that bottom quartile funds had a much higher probability of disappearing than any other group. The five-year transition matrix notes that more than 40% of bottom quartile funds disappeared due to mergers or liquidations, the comparable number for top-quartile funds being less than 10%. Clearly, fund companies actively cull from the ranks of their bottom ranking funds as this makes their slate of funds look better. www.standardandpoors.com
    • Standard & Poor’s Mutual Fund Performance Persistence Scorecard Introduction The Standard & Poors Mutual Fund Performance Persistence Scorecard provides semi-annual results on the persistence of top performing funds in the current market. These reports show performances of actively managed mutual funds within their capitalization peer groups and monitor the consistency of their performance results. While historical research has reviewed the likelihood of repeat performance, this report is unique in a few respects: • Apples to Apples Comparison: In our experience, a majority of professional money managers follow disciplined and repeatable investment processes. Often, mutual funds with conservative growth, relative value, or other tilts may appear in nearby style boxes. For the persistence reports, we track all funds within their capitalization levels (large, mid-, or small), comparing, for example, a large cap fund with another large cap fund rather than a small cap fund. The ranking reports correct for • Historical Rankings without Survivorship bias: For anyone making an investment survivorship bias. decision at the beginning of a time period, all funds available at that time are part of the initial opportunity set. The Persistence Scorecard rank all funds available at each point in time and track the top-quartile and top-half performers throughout the time period. Many funds might liquidate or merge during a period of study; often, performance persistence reports use a finite set of funds that cover the complete The reports track historical time period, in essence, ranking the survivors. consistent performers over three or five • Consecutive 12-Month Top Performers: The performance persistence reports track consecutive years. the percentages of funds that remain in the top-quartile or top-half rankings for three or five consecutive years. Transition matrices • Transition Matrices: The performance persistence reports extend the analyses to highlight movements highlight the movements between quartiles and halves for two non-overlapping one-, between quartiles and three- and five-year periods. These reports also track the percentage of funds that halves over non- overlapping one-, have merged or liquidated. We also monitor movements between capitalization three- and five-year levels, for example, if some large cap funds have moved to being mid or small cap periods. funds. • Identifying Characteristics of Consistent Performers: The Persistence Scorecard provides averages of various fund characteristics (expenses, manager tenure, turnover etc.) in comparing consistently above average funds versus their peer universe. • Clean Universe: The mutual fund universe used in these reports is actively managed domestic U.S. equity funds. Index funds, sector funds and index-based dynamic (bull/bear) funds are excluded from the sample. The All Domestic Funds category also includes recently introduced funds in the recently introduced all-cap category. • No Double Counting of Multiple Share Classes: To avoid double counting, the data used is the return of the largest share class of the fund, net of fees, but excluding loads. Standard & Poor’s Performance Persistence Scorecard is the only comprehensive, periodic and publicly available source of such data. The semi-annual reports can be found online at www.standardandpoors.com.Standard & Poor’s 2
    • Standard & Poor’s Mutual Fund Performance Persistence Scorecard Very few funds consistently repeat top half or top quartile performanceThe low count of funds Over five years ending 2006, only 71 (13.2%) large-cap funds, 16 (9.9%) mid-cap funds, andthat consistently 24 (10.0%) of small-cap funds maintained a top-half ranking over five consecutive 12-monthmaintain top quartile periods. A total of eight large cap funds (3.0%), two mid-cap funds (2.5%) and zero small-rankings is a sobering cap funds maintained a top-quartile ranking over the same period. (See Report 2.) These lowreminder about the counts are a sobering reminder about the validity of the often-footnoted disclaimer - “Pastrisks of chasing past performance is no guarantee of future results.”performance. While, low by themselves, it is important to remember that these numbers are similar or slightly higher than random expectations. If fund returns are random and independent of prior returns, one would expect the top half repeat rate to be 6.25% and the top quartile repeat rate to be 0.4%. Looking at longer term performance, only 17.3% of large cap funds with a top quartile ranking over five years ending 2001 maintained a top quartile ranking over the next five years ending 2006. Only 10.4% of mid cap funds and 17.7% of small cap funds maintained a top quartile performance over the same period. Similarly, 37.0% of large cap funds, 31.6% of mid cap funds and 47.5% of small cap funds with a top half ranking over five years ending 2001 maintained a top half ranking over the next five years ending 2006. (See Report 5.) Random expectations would suggest a top half repeat rate of 50% and a top quartile repeat rate of 25%. Report 1 presents the repeat rate of top half and top quartile performers for three consecutive 12-month periods. Report 4 presents the transition matrix for funds over three non- overlapping five-year periods. Both reports show that top half and top quartile performance over these periods was higher than random expectations.Past performance is Is screening for funds based on quartiles in prior periods appropriate?not statisticallyirrelevant, butchoosing funds based We reference random expectations because they set a benchmark for the usefulness ofon quartiles may be screening funds based on past returns. The fact that in many cases the repeat rates are higherinappropriate as a than random expectations suggests that past performance should not be dismissed aspractical matter. completely irrelevant. However, as a practical matter, we believe the commonly used screening for funds based on top quartiles may be inappropriate for the following reasons: • The low absolute counts of repeat top performers suggest that past performance cannot be the sole or the most important criteria in fund selection. • Furthermore, the transition matrices of Report 4 and 5 suggest that a healthy percent, in most cases a majority, of top quartile funds in the subsequent period come from prior period second or third quartiles. An illustration of where the top quartile performers over a five-year horizon ranked in the previous five years is shown in charts in the next page. There does seem a sound logic for ignoring funds in the bottom quartile – many of the bottom quartile funds are merged or liquidated, and if they survive their performance is likely to be in the bottom half. However, advisors and consultants who use granular rankings such as. quartile, or even deciles and quintiles, may be missing out funds that should belong to their initial selection set.Standard & Poor’s 3
    • Standard & Poor’s Mutual Fund Performance Persistence Scorecard Where did top quartile large cap funds for last Where did top quartile small cap funds for last five years come from? five years come from? 4th Quartile in 4th Quartile in Previous 5 Previous 5 1st Quartile in Years Years Previous 5 1st Quartile in 11% 5% Years Previous 5 3rd Quartile in 25% Years Previous 5 3rd Quartile in 31% Years Previous 5 27% Years 23% 2nd Quartile in 2nd Quartile in Previous 5 Previous 5 Years Years 35% 43% Source: Reports 4 and 5. Universe is funds that had at least a 10-year history ending 2006. What distinguishes the few consistent top performers from the rest?Consistently top We list the some of the consistently top performing funds in Report 6. Report 7 comparesperforming funds characteristics of the roster of consistent top half performers with their peers. Looking at thehave managers who characteristics of the universe versus the characteristics of the sections below, we see thathave been at the helm manager tenure and expense ratios stands out as an important factor. In general, consistentlylonger. top performing funds have managers who been at the helm longer and charge lower expense ratios. What happens to the bottom quartile funds?Bottom quartile funds The transition matrices of Reports 4 and 5 track the fortunes of the funds in different quartileshave a high over the subsequent three and five years respectively. One of the most interestingprobability of observations from these reports is the fate of bottom quartile funds. Bottom quartile fundsdisappearing. had a much higher probability of disappearing than any other group. The five-year transition matrix notes that more than 40% of 4th quartile funds disappeared due to mergers or liquidations, the comparable number for top-quartile funds being less than 10%. Clearly, fund companies seem to actively cull from the ranks of their bottom ranking funds. This makes obvious sense – bottom quartile funds often bleed assets and become unprofitable, and they make the slate of funds marketed by the company look worse. From our scorecard, this culling also seems to benefit investors as well - a bottom quartile funds that did survive were more likely to show a bottom half in the next period.. Standard & Poor’s 4
    • Standard & Poors Mutual Fund Performance Persistence ScorecardReport 1: Performance Persistence over Three Consecutive 12-Month Periods Fund Count at Percentage Remaining in Top Start QuartileMutual Fund Category 12/31/2004 Dec-05 Dec-06Top QuartileAll Domestic Funds 538 39.22 10.04Large-Cap Funds 279 38.71 15.77Mid-Cap Funds 90 31.11 5.56Small-Cap Funds 129 27.91 5.43 Fund Count at Percentage Remaining in Top Start Half 12/31/2004 Dec-05 Dec-06Top HalfAll Domestic Funds 1075 59.81 32.28Large-Cap Funds 557 53.50 31.06Mid-Cap Funds 180 55.56 28.89Small-Cap Funds 258 51.94 28.68Source: Standard & Poors. For Periods Ending December 31, 2006
    • Standard & Poors Mutual Fund Performance Persistence ScorecardReport 2: Performance Persistence over Five Consecutive 12-Month Periods Fund Count at Start Percentage Remaining in Top QuartileMutual Fund Category Dec-02 Dec-03 Dec-04 Dec-05 Dec-06Top QuartileAll Domestic Funds 492 26.02 19.51 6.50 2.24Large-Cap Funds 270 18.15 10.74 3.33 2.96Mid-Cap Funds 81 11.11 8.64 3.70 2.47Small-Cap Funds 120 20.00 15.00 4.17 0.00 Fund Count at Start Percentage Remaining in Top Half Dec-02 Dec-03 Dec-04 Dec-05 Dec-06Top HalfAll Domestic Funds 983 43.95 35.50 21.36 13.12Large-Cap Funds 540 40.37 29.26 17.41 13.15Mid-Cap Funds 161 32.92 24.84 15.53 9.94Small-Cap Funds 239 41.42 28.03 15.48 10.04Source: Standard & Poors. For Periods Ending December 31, 2006
    • Standard & Poors Mutual Fund Performance Persistence ScorecardReport 3: One-Year Transition Matrix(Performance over Two Non-Overlapping One-Year Periods)Based On Quartiles One-Year Percentages at End Merged/ No of Funds at 1st Quartile 2nd Quartile 3rd Quartile 4th Quartile Liquidated Style Start (%) (%) (%) (%) (%) Changed (%) Total (%) Dec-05All Domestic Funds1st Quartile 550 21.45 20.91 25.27 30.00 1.82 0.55 100.002nd Quartile 549 23.32 27.32 24.04 20.04 4.37 0.91 100.003rd Quartile 549 25.68 22.77 22.77 21.49 6.74 0.55 100.004th Quartile 550 21.27 21.64 20.73 24.91 10.73 0.73 100.00Large-Cap Funds1st Quartile 277 23.47 20.58 22.74 27.08 3.25 2.89 100.002nd Quartile 276 23.55 25.72 22.83 19.57 5.07 3.26 100.003rd Quartile 276 26.81 21.38 22.83 22.10 6.16 0.72 100.004th Quartile 277 16.61 23.47 20.22 25.27 12.27 2.17 100.00Mid-Cap Funds1st Quartile 91 13.19 24.18 21.98 26.37 1.10 13.19 100.002nd Quartile 91 24.18 20.88 26.37 20.88 0.00 7.69 100.003rd Quartile 90 18.89 24.44 25.56 13.33 4.44 13.33 100.004th Quartile 91 17.58 16.48 16.48 21.98 13.19 14.29 100.00Small-Cap Funds1st Quartile 142 17.61 26.76 19.01 25.35 2.11 9.15 100.002nd Quartile 141 26.95 22.70 24.82 17.73 4.26 3.55 100.003rd Quartile 141 22.70 25.53 24.11 17.73 7.09 2.84 100.004th Quartile 142 23.24 17.61 19.72 29.58 7.75 2.11 100.00Based On Halves One-Year Percentages at End Merged/ No of funds at Top Half Bottom Half Liquidated Style Start (%) (%) (%) Changed (%) Total (%)All Domestic FundsTop Half 1099 46.50 49.68 3.09 0.73 100.00Bottom Half 1099 45.68 44.95 8.74 0.64 100.00Large-Cap FundsTop Half 553 46.65 46.11 4.16 3.07 100.00Bottom Half 553 44.12 45.21 9.22 1.45 100.00Mid-Cap FundsTop Half 182 41.21 47.80 0.55 10.44 100.00Bottom Half 181 38.67 38.67 8.84 13.81 100.00Small-Cap FundsTop Half 283 47.00 43.46 3.18 6.36 100.00Bottom Half 283 44.52 45.58 7.42 2.47 100.00Source: Standard & Poors. For Periods Ending December 31, 2006.
    • Standard & Poors Mutual Fund Performance Persistence ScorecardReport 4: Three-Year Transition Matrix(Performance over Two Non-Overlapping Three-Year Periods)Based On Quartiles Three-Year Percentages at End Merged/ No of Funds at 1st Quartile 2nd Quartile 3rd Quartile 4th Quartile Liquidated Style Start (%) (%) (%) (%) (%) Changed (%) Total (%) Dec-03All Domestic Funds1st Quartile 458 44.54 26.20 14.41 8.73 5.68 0.44 100.002nd Quartile 458 24.02 24.67 23.58 14.41 12.66 0.66 100.003rd Quartile 458 5.02 16.16 30.13 27.29 20.96 0.44 100.004th Quartile 458 6.77 8.30 15.72 39.30 29.69 0.22 100.00Large-Cap Funds1st Quartile 247 45.75 24.70 11.34 7.29 8.10 2.83 100.002nd Quartile 247 18.62 22.67 30.36 12.15 16.19 0.00 100.003rd Quartile 247 5.67 18.22 21.46 24.29 28.34 2.02 100.004th Quartile 247 1.62 6.07 16.19 40.89 30.77 4.45 100.00Mid-Cap Funds1st Quartile 77 35.06 19.48 11.69 10.39 1.30 22.08 100.002nd Quartile 76 17.11 27.63 18.42 14.47 11.84 10.53 100.003rd Quartile 76 9.21 14.47 27.63 28.95 13.16 6.58 100.004th Quartile 77 11.69 10.39 15.58 27.27 20.78 14.29 100.00Small-Cap Funds1st Quartile 110 42.73 30.00 10.91 9.09 3.64 3.64 100.002nd Quartile 109 25.69 26.61 24.77 12.84 9.17 0.92 100.003rd Quartile 109 5.50 16.51 31.19 31.19 14.68 0.92 100.004th Quartile 110 6.36 10.00 16.36 39.09 27.27 0.91 100.00Based On Halves Three-Year Percentages at End Merged/ No of funds at Top Half Bottom Half Liquidated Style Start (%) (%) (%) Changed (%) Total (%)All Domestic FundsTop Half 916 59.72 30.57 9.17 0.55 100.00Bottom Half 916 18.12 56.22 25.33 0.33 100.00Large-Cap FundsTop Half 494 55.87 30.57 12.15 1.42 100.00Bottom Half 494 15.79 51.42 29.55 3.24 100.00Mid-Cap FundsTop Half 153 49.67 27.45 6.54 16.34 100.00Bottom Half 153 22.88 49.67 16.99 10.46 100.00Small-Cap FundsTop Half 219 62.56 28.77 6.39 2.28 100.00Bottom Half 219 19.18 58.90 21.00 0.91 100.00Source: Standard & Poors. For Periods Ending December 31, 2006
    • Standard & Poors Mutual Fund Performance Persistence ScorecardReport 5: Five-Year Transition Matrix(Performance over Two Non-Overlapping Five-Year Periods)Based On Quartiles Five-Year Percentages at End Merged/ No of Funds at 1st Quartile 2nd Quartile 3rd Quartile 4th Quartile Liquidated Style Start (%) (%) (%) (%) (%) Changed (%) Total (%) Dec-01All Domestic Funds1st Quartile 306 29.08 24.84 19.93 19.61 6.54 0.00 100.002nd Quartile 306 16.99 24.84 21.24 19.93 16.01 0.98 100.003rd Quartile 306 16.67 19.61 18.95 17.32 27.12 0.33 100.004th Quartile 306 7.19 11.44 13.40 23.86 43.46 0.65 100.00Large-Cap Funds1st Quartile 168 17.26 15.48 22.02 25.60 8.93 10.71 100.002nd Quartile 167 20.36 20.96 16.17 16.17 20.96 5.39 100.003rd Quartile 167 13.17 18.56 17.96 18.56 26.95 4.79 100.004th Quartile 167 5.99 10.18 16.17 15.57 45.51 6.59 100.00Mid-Cap Funds1st Quartile 48 10.42 20.83 22.92 10.42 8.33 27.08 100.002nd Quartile 47 14.89 17.02 19.15 14.89 6.38 27.66 100.003rd Quartile 47 14.89 12.77 10.64 14.89 21.28 25.53 100.004th Quartile 48 8.33 0.00 14.58 12.50 41.67 22.92 100.00Small-Cap Funds1st Quartile 79 17.72 22.78 17.72 20.25 5.06 16.46 100.002nd Quartile 79 30.38 24.05 15.19 8.86 15.19 6.33 100.003rd Quartile 78 19.23 10.26 17.95 11.54 24.36 16.67 100.004th Quartile 79 3.80 5.06 12.66 21.52 44.30 12.66 100.00Based On Halves Five-Year Percentages at End Merged/ No of funds at Top Half Bottom Half Liquidated Style Start (%) (%) (%) Changed (%) Total (%)All Domestic FundsTop Half 612 47.88 40.36 11.27 0.49 100.00Bottom Half 612 27.45 36.76 35.29 0.49 100.00Large-Cap FundsTop Half 335 37.01 40.00 14.93 8.06 100.00Bottom Half 334 23.95 34.13 36.23 5.69 100.00Mid-Cap FundsTop Half 95 31.58 33.68 7.37 27.37 100.00Bottom Half 95 17.89 26.32 31.58 24.21 100.00Small-Cap FundsTop Half 158 47.47 31.01 10.13 11.39 100.00Bottom Half 157 19.11 31.85 34.39 14.65 100.00Source: Standard & Poors. For Periods Ending December 31, 2006.
    • Standard & Poors Mutual Fund Performance Persistence ScorecardReport 6: Performance Persistence over Five Consecutive 12-Month PeriodsTop-Ten Funds within each Category (Ranked by Five-Year Annualized Returns) Five-Year Fund Name Ticker (Annualized %) Fund Status1Large Cap (A total of 71 funds maintained a top half performance for five consecutive 12 month periods)Marsico 21st Century MXXIX 15.83 OpenHW Large Cap Value/I HWLIX 14.28 ClosedRiverSource Dvsfd Eq/A INDZX 13.17 OpenDodge & Cox Stock DODGX 12.84 ClosedAm Beacon LCVl/AMR AAGAX 12.56 OpenDFA US Large Cap Val III DFUVX 12.48 OpenDFA US Large Cap Val II DFCVX 12.46 OpenLWAS/DFA US Hi Bk to Mkt DFBMX 12.28 OpenTarget:Large Cap Value TALVX 12.23 OpenAmana Mutual Fd Tr Income AMANX 12.17 Open S&P 500 Index 6.19Mid Cap (A total of 16 funds maintained a top half performance for five consecutive 12 month periods)Fidelity Leveraged Co Stk FLVCX 27.08 OpenHW Mid-Cap Value/I HWMIX 17.92 ClosedArtisan Mid Cap Value ARTQX 16.96 ClosedSEI Instl Mgd Mid-Cp/A SEMCX 14.29 OpenColumbia Mid Cap Val/Z NAMAX 14.21 OpenVanguard Selected Value VASVX 14.12 Openn/i numeric inv MidCap NIGVX 13.81 OpenVanguard Strategic Eqty VSEQX 13.43 OpenAccessor:Sm to Mid Cp/Adv ASMCX 13.38 OpenRainier:Small/Md Cp Eq RIMSX 13.09 ClosedS&P Midcap 400 Index 10.88Small Cap (A total of 24 funds maintained a top half performance for five consecutive 12 month periods)Perritt Capital Growth PRCGX 20.15 Openn/i numeric inv Sm Cap Vl NISVX 19.52 ClosedDFA US Small Cap Value/II DFAVX 19.21 OpenGartmore Small Cap/A GSXAX 19.13 OpenDFA US Small Cap Value DFSVX 18.90 OpenDFA US Targeted Val Port DFFVX 17.81 OpenPacific Cap Small Cap/Y PSCYX 17.64 OpenBoston Co Sml Cap Value STSVX 16.86 ClosedSatuit Cap Mgmt MCp SATMX 16.71 OpenTarget:Small Cap Value TASVX 16.69 OpenS&P SmallCap 600 Index 12.49Source: Standard & Poors. As of December 31, 2006.
    • Report 7: Fund Characteristics: Fund Universe and Consistent Top-Half Performers Manager Top Ten Bull Bear Tenure Expense No. of Holdings Turnover Sharpe Market Market (Years) Ratio Holdings (%) (%) Beta Alpha R-squared Volatility Ratio Return ReturnComplete UniverseAll Domestic Funds 5.8 1.26 135.9 30.7 81.1 1.26 0.05 0.74 11.57 1.11 84.27 -27.93Large-Cap Funds 5.6 1.03 105.0 38.2 64.1 1.03 -0.02 0.84 8.80 1.03 64.28 -35.44Mid-Cap Funds 5.7 1.33 113.2 26.0 83.7 1.29 0.12 0.73 11.85 1.21 92.44 -26.12Small-Cap Funds 5.5 1.30 193.6 23.4 85.1 1.51 0.03 0.67 14.39 1.07 98.62 -20.74Performance Persistence over Three Consecutive 12-Month PeriodsTop-Half PerformersAll Domestic Funds 7.1 1.12 179.7 28.4 66.9 1.22 0.18 0.75 9.93 1.27 123.15 -14.73Large-Cap Funds 7.5 0.93 136.7 37.5 57.5 1.00 0.23 0.83 7.61 1.38 103.93 -25.24Mid-Cap Funds 5.9 1.10 134.8 21.6 73.7 1.27 0.22 0.73 10.31 1.29 131.71 -15.68Small-Cap Funds 7.8 1.21 284.8 20.4 71.9 1.48 0.08 0.67 12.51 1.08 141.11 3.90Performance Persistence over Five Consecutive 12-Month PeriodsTop-Half PerformersAll Domestic Funds 8.6 1.10 201.4 27.0 61.6 1.32 0.15 0.73 10.80 1.21 134.74 -1.02Large-Cap Funds 9.5 0.92 163.3 33.2 58.8 1.00 0.22 0.84 7.62 1.37 106.53 -23.81Mid-Cap Funds 7.6 1.02 182.9 20.2 74.8 1.31 0.23 0.71 10.85 1.29 157.90 -8.91Small-Cap Funds 7.9 1.19 378.9 25.4 96.5 1.56 0.03 0.69 13.06 1.04 155.22 10.46Three-Year Transition Matrix (Performance over Two Non-Overlapping Three-Year Periods)Top-Half PerformersAll Domestic Funds 8.4 1.15 168.4 27.8 63.3 1.25 0.08 0.73 10.28 1.13 117.75 -10.45Large-Cap Funds 8.6 1.01 117.5 33.1 55.4 0.99 0.17 0.83 7.53 1.27 98.60 -23.62Mid-Cap Funds 7.1 1.13 125.7 22.7 66.5 1.26 0.13 0.74 10.20 1.19 125.97 -7.49Small-Cap Funds 8.7 1.23 283.2 21.8 60.7 1.48 0.00 0.66 12.58 0.98 134.54 7.38Five-Year Transition Matrix (Performance over Two Non-Overlapping Five-Year Periods)Top-Half PerformersAll Domestic Funds 10.9 1.09 160.3 27.8 64.6 1.23 0.18 0.76 11.04 1.29 91.40 -14.97Large-Cap Funds 11.5 0.94 120.0 32.3 51.7 1.00 0.11 0.86 8.45 1.25 72.41 -25.16Mid-Cap Funds 7.6 1.08 123.0 21.5 79.7 1.29 0.19 0.78 11.30 1.31 98.65 -12.46Small-Cap Funds 11.1 1.11 319.0 23.1 64.6 1.38 0.33 0.69 12.94 1.38 110.46 5.13Source: Standard & Poors. For Periods Ending December 31, 2006
    • For more information, please go to www.spiva.standardandpoors.comThis report is published by Standard & Poor’s, 55 Water Street, New York NY 10041.Copyright © 2007Standard & Poor’s is a division of The McGraw-Hill Companies, Inc. All rights reserved.Standard & Poor’s does not undertake to advise you of changes in the information. These materials havebeen prepared solely for informational purposes based upon information generally available to the publicfrom sources believed to be reliable. Standard & Poor’s makes no representation with respect to theaccuracy or completeness of these materials, the content of which may change without notice. Standard &Poor’s disclaims any and all liability relating to these materials, including, without limitation, and makes noexpress or implied representations or warranties concerning the statements made contained in, or omissionsfrom, these materials. No portion of this publication may be reproduced in any format or by any meansincluding electronically or mechanically, by photocopying, recording or by any information storage orretrieval system, or by any other form of manner whatsoever, without the prior written consent of Standard& Poor’s.Occasionally, The McGraw-Hill Companies may use information you have provided to offer you productsand services that may be of interest to you. If you do not wish us to share your information outside of TheMcGraw-Hill Companies, if you have questions about our privacy practices, or wish to confirm theaccuracy of the information you may have provided, please contact us at 212-438-3534 or refer tohttp://www.mcgraw-hill.com/privacy.html.