Fund Performance Persistence

January 29, 2007

Standard & Poor's Mutual Fund Performance
Persistence Scorecard, Year-End 2006
The semi-annual S&P Mutual Fund Performance Persistence Scorecard
Analytical Contacts
tracks consistency of top performers over three and five consecutive-year
Rosanne Pane periods and measures performance consistency, corrected for survivorship
(212) 438-5057 bias, through transition matrices for one-, three- and five-year non-overlapping
rosanne_pane@sandp.com
holding periods.
Srikant Dash
(212) 438-3012
Very few funds manage to consistently repeat top half or top quartile
srikant_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 maintained
Media 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 quartile
dave_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.

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Standard & Poor’s Mutual Fund Performance Persistence Scorecard

Introduction

The Standard & Poor's 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


Very few funds consistently repeat top half or top quartile performance

The low count of funds Over five years ending 2006, only 71 (13.2%) large-cap funds, 16 (9.9%) mid-cap funds, and
that consistently 24 (10.0%) of small-cap funds maintained a top-half ranking over five consecutive 12-month
maintain 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 low
reminder about the counts are a sobering reminder about the validity of the often-footnoted disclaimer - “Past
risks 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 statistically
irrelevant, but
choosing funds based We reference random expectations because they set a benchmark for the usefulness of
on quartiles may be screening funds based on past returns. The fact that in many cases the repeat rates are higher
inappropriate as a than random expectations suggests that past performance should not be dismissed as
practical 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


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 compares
performing funds characteristics of the roster of consistent top half performers with their peers. Looking at the
have managers who characteristics of the universe versus the characteristics of the sections below, we see that
have been at the helm manager tenure and expense ratios stands out as an important factor. In general, consistently
longer.
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 quartiles
have a high over the subsequent three and five years respectively. One of the most interesting
probability of observations from these reports is the fate of bottom quartile funds. Bottom quartile funds
disappearing. 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 & Poor's Mutual Fund Performance Persistence Scorecard

Report 1: Performance Persistence over Three Consecutive 12-Month Periods
Fund Count at Percentage Remaining in Top
Start Quartile
Mutual Fund Category 12/31/2004 Dec-05 Dec-06

Top Quartile
All Domestic Funds 538 39.22 10.04

Large-Cap Funds 279 38.71 15.77
Mid-Cap Funds 90 31.11 5.56
Small-Cap Funds 129 27.91 5.43

Fund Count at Percentage Remaining in Top
Start Half
12/31/2004 Dec-05 Dec-06

Top Half
All Domestic Funds 1075 59.81 32.28

Large-Cap Funds 557 53.50 31.06
Mid-Cap Funds 180 55.56 28.89
Small-Cap Funds 258 51.94 28.68

Source: Standard & Poor's. For Periods Ending December 31, 2006


Report 2: Performance Persistence over Five Consecutive 12-Month Periods
Fund Count at
Start Percentage Remaining in Top Quartile
Mutual Fund Category Dec-02 Dec-03 Dec-04 Dec-05 Dec-06

Top Quartile
All Domestic Funds 492 26.02 19.51 6.50 2.24

Large-Cap Funds 270 18.15 10.74 3.33 2.96
Mid-Cap Funds 81 11.11 8.64 3.70 2.47
Small-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-06

Top Half
All Domestic Funds 983 43.95 35.50 21.36 13.12

Large-Cap Funds 540 40.37 29.26 17.41 13.15
Mid-Cap Funds 161 32.92 24.84 15.53 9.94
Small-Cap Funds 239 41.42 28.03 15.48 10.04



Report 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-05
All Domestic Funds
1st Quartile 550 21.45 20.91 25.27 30.00 1.82 0.55 100.00
2nd Quartile 549 23.32 27.32 24.04 20.04 4.37 0.91 100.00
3rd Quartile 549 25.68 22.77 22.77 21.49 6.74 0.55 100.00
4th Quartile 550 21.27 21.64 20.73 24.91 10.73 0.73 100.00

Large-Cap Funds
1st Quartile 277 23.47 20.58 22.74 27.08 3.25 2.89 100.00
2nd Quartile 276 23.55 25.72 22.83 19.57 5.07 3.26 100.00
3rd Quartile 276 26.81 21.38 22.83 22.10 6.16 0.72 100.00
4th Quartile 277 16.61 23.47 20.22 25.27 12.27 2.17 100.00

Mid-Cap Funds
1st Quartile 91 13.19 24.18 21.98 26.37 1.10 13.19 100.00
2nd Quartile 91 24.18 20.88 26.37 20.88 0.00 7.69 100.00
3rd Quartile 90 18.89 24.44 25.56 13.33 4.44 13.33 100.00
4th Quartile 91 17.58 16.48 16.48 21.98 13.19 14.29 100.00

Small-Cap Funds
1st Quartile 142 17.61 26.76 19.01 25.35 2.11 9.15 100.00
2nd Quartile 141 26.95 22.70 24.82 17.73 4.26 3.55 100.00
3rd Quartile 141 22.70 25.53 24.11 17.73 7.09 2.84 100.00
4th Quartile 142 23.24 17.61 19.72 29.58 7.75 2.11 100.00

Based On Halves
One-Year Percentages at End
Merged/
No of funds at Top Half Bottom Half Liquidated Style
Start (%) (%) (%) Changed (%) Total (%)
All Domestic Funds
Top Half 1099 46.50 49.68 3.09 0.73 100.00
Bottom Half 1099 45.68 44.95 8.74 0.64 100.00

Large-Cap Funds
Top Half 553 46.65 46.11 4.16 3.07 100.00
Bottom Half 553 44.12 45.21 9.22 1.45 100.00

Mid-Cap Funds
Top Half 182 41.21 47.80 0.55 10.44 100.00
Bottom Half 181 38.67 38.67 8.84 13.81 100.00

Small-Cap Funds
Top Half 283 47.00 43.46 3.18 6.36 100.00
Bottom Half 283 44.52 45.58 7.42 2.47 100.00

Source: Standard & Poor's. For Periods Ending December 31, 2006.


Report 4: Three-Year Transition Matrix
(Performance over Two Non-Overlapping Three-Year Periods)

Based On Quartiles
Three-Year Percentages at End
Merged/
Dec-03
All Domestic Funds
1st Quartile 458 44.54 26.20 14.41 8.73 5.68 0.44 100.00
2nd Quartile 458 24.02 24.67 23.58 14.41 12.66 0.66 100.00
3rd Quartile 458 5.02 16.16 30.13 27.29 20.96 0.44 100.00
4th Quartile 458 6.77 8.30 15.72 39.30 29.69 0.22 100.00

Large-Cap Funds
1st Quartile 247 45.75 24.70 11.34 7.29 8.10 2.83 100.00
2nd Quartile 247 18.62 22.67 30.36 12.15 16.19 0.00 100.00
3rd Quartile 247 5.67 18.22 21.46 24.29 28.34 2.02 100.00
4th Quartile 247 1.62 6.07 16.19 40.89 30.77 4.45 100.00

Mid-Cap Funds
1st Quartile 77 35.06 19.48 11.69 10.39 1.30 22.08 100.00
2nd Quartile 76 17.11 27.63 18.42 14.47 11.84 10.53 100.00
3rd Quartile 76 9.21 14.47 27.63 28.95 13.16 6.58 100.00
4th Quartile 77 11.69 10.39 15.58 27.27 20.78 14.29 100.00

Small-Cap Funds
1st Quartile 110 42.73 30.00 10.91 9.09 3.64 3.64 100.00
2nd Quartile 109 25.69 26.61 24.77 12.84 9.17 0.92 100.00
3rd Quartile 109 5.50 16.51 31.19 31.19 14.68 0.92 100.00
4th Quartile 110 6.36 10.00 16.36 39.09 27.27 0.91 100.00

Based On Halves
Three-Year Percentages at End
Merged/
All Domestic Funds
Top Half 916 59.72 30.57 9.17 0.55 100.00
Bottom Half 916 18.12 56.22 25.33 0.33 100.00

Large-Cap Funds
Top Half 494 55.87 30.57 12.15 1.42 100.00
Bottom Half 494 15.79 51.42 29.55 3.24 100.00

Mid-Cap Funds
Top Half 153 49.67 27.45 6.54 16.34 100.00
Bottom Half 153 22.88 49.67 16.99 10.46 100.00

Small-Cap Funds
Top Half 219 62.56 28.77 6.39 2.28 100.00
Bottom Half 219 19.18 58.90 21.00 0.91 100.00



Report 5: Five-Year Transition Matrix
(Performance over Two Non-Overlapping Five-Year Periods)

Based On Quartiles
Five-Year Percentages at End
Merged/
Dec-01
All Domestic Funds
1st Quartile 306 29.08 24.84 19.93 19.61 6.54 0.00 100.00
2nd Quartile 306 16.99 24.84 21.24 19.93 16.01 0.98 100.00
3rd Quartile 306 16.67 19.61 18.95 17.32 27.12 0.33 100.00
4th Quartile 306 7.19 11.44 13.40 23.86 43.46 0.65 100.00

Large-Cap Funds
1st Quartile 168 17.26 15.48 22.02 25.60 8.93 10.71 100.00
2nd Quartile 167 20.36 20.96 16.17 16.17 20.96 5.39 100.00
3rd Quartile 167 13.17 18.56 17.96 18.56 26.95 4.79 100.00
4th Quartile 167 5.99 10.18 16.17 15.57 45.51 6.59 100.00

Mid-Cap Funds
1st Quartile 48 10.42 20.83 22.92 10.42 8.33 27.08 100.00
2nd Quartile 47 14.89 17.02 19.15 14.89 6.38 27.66 100.00
3rd Quartile 47 14.89 12.77 10.64 14.89 21.28 25.53 100.00
4th Quartile 48 8.33 0.00 14.58 12.50 41.67 22.92 100.00

Small-Cap Funds
1st Quartile 79 17.72 22.78 17.72 20.25 5.06 16.46 100.00
2nd Quartile 79 30.38 24.05 15.19 8.86 15.19 6.33 100.00
3rd Quartile 78 19.23 10.26 17.95 11.54 24.36 16.67 100.00
4th Quartile 79 3.80 5.06 12.66 21.52 44.30 12.66 100.00

Based On Halves
Five-Year Percentages at End
Merged/
All Domestic Funds
Top Half 612 47.88 40.36 11.27 0.49 100.00
Bottom Half 612 27.45 36.76 35.29 0.49 100.00

Large-Cap Funds
Top Half 335 37.01 40.00 14.93 8.06 100.00
Bottom Half 334 23.95 34.13 36.23 5.69 100.00

Mid-Cap Funds
Top Half 95 31.58 33.68 7.37 27.37 100.00
Bottom Half 95 17.89 26.32 31.58 24.21 100.00

Small-Cap Funds
Top Half 158 47.47 31.01 10.13 11.39 100.00
Bottom Half 157 19.11 31.85 34.39 14.65 100.00

Source: Standard & Poor's. For Periods Ending December 31, 2006.


Report 6: Performance Persistence over Five Consecutive 12-Month Periods
Top-Ten Funds within each Category (Ranked by Five-Year Annualized Returns)

Five-Year
Fund Name Ticker (Annualized %) Fund Status1

Large Cap (A total of 71 funds maintained a top half performance for five consecutive 12 month periods)
Marsico 21st Century MXXIX 15.83 Open
HW Large Cap Value/I HWLIX 14.28 Closed
RiverSource Dvsfd Eq/A INDZX 13.17 Open
Dodge & Cox Stock DODGX 12.84 Closed
Am Beacon LCVl/AMR AAGAX 12.56 Open
DFA US Large Cap Val III DFUVX 12.48 Open
DFA US Large Cap Val II DFCVX 12.46 Open
LWAS/DFA US Hi Bk to Mkt DFBMX 12.28 Open
Target:Large Cap Value TALVX 12.23 Open
Amana Mutual Fd Tr Income AMANX 12.17 Open
S&P 500 Index 6.19

Mid Cap (A total of 16 funds maintained a top half performance for five consecutive 12 month periods)
Fidelity Leveraged Co Stk FLVCX 27.08 Open
HW Mid-Cap Value/I HWMIX 17.92 Closed
Artisan Mid Cap Value ARTQX 16.96 Closed
SEI Instl Mgd Mid-Cp/A SEMCX 14.29 Open
Columbia Mid Cap Val/Z NAMAX 14.21 Open
Vanguard Selected Value VASVX 14.12 Open
n/i numeric inv MidCap NIGVX 13.81 Open
Vanguard Strategic Eqty VSEQX 13.43 Open
Accessor:Sm to Mid Cp/Adv ASMCX 13.38 Open
Rainier:Small/Md Cp Eq RIMSX 13.09 Closed
S&P Midcap 400 Index 10.88

Small Cap (A total of 24 funds maintained a top half performance for five consecutive 12 month periods)
Perritt Capital Growth PRCGX 20.15 Open
n/i numeric inv Sm Cap Vl NISVX 19.52 Closed
DFA US Small Cap Value/II DFAVX 19.21 Open
Gartmore Small Cap/A GSXAX 19.13 Open
DFA US Small Cap Value DFSVX 18.90 Open
DFA US Targeted Val Port DFFVX 17.81 Open
Pacific Cap Small Cap/Y PSCYX 17.64 Open
Boston Co Sml Cap Value STSVX 16.86 Closed
Satuit Cap Mgmt MCp SATMX 16.71 Open
Target:Small Cap Value TASVX 16.69 Open
S&P SmallCap 600 Index 12.49

Source: Standard & Poor's. 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 Return
Complete Universe
All Domestic Funds 5.8 1.26 135.9 30.7 81.1 1.26 0.05 0.74 11.57 1.11 84.27 -27.93
Large-Cap Funds 5.6 1.03 105.0 38.2 64.1 1.03 -0.02 0.84 8.80 1.03 64.28 -35.44
Mid-Cap Funds 5.7 1.33 113.2 26.0 83.7 1.29 0.12 0.73 11.85 1.21 92.44 -26.12
Small-Cap Funds 5.5 1.30 193.6 23.4 85.1 1.51 0.03 0.67 14.39 1.07 98.62 -20.74

Performance Persistence over Three Consecutive 12-Month Periods
Top-Half Performers
Large-Cap Funds 7.5 0.93 136.7 37.5 57.5 1.00 0.23 0.83 7.61 1.38 103.93 -25.24
Mid-Cap Funds 5.9 1.10 134.8 21.6 73.7 1.27 0.22 0.73 10.31 1.29 131.71 -15.68
Small-Cap Funds 7.8 1.21 284.8 20.4 71.9 1.48 0.08 0.67 12.51 1.08 141.11 3.90

Performance Persistence over Five Consecutive 12-Month Periods
Top-Half Performers
Large-Cap Funds 9.5 0.92 163.3 33.2 58.8 1.00 0.22 0.84 7.62 1.37 106.53 -23.81
Mid-Cap Funds 7.6 1.02 182.9 20.2 74.8 1.31 0.23 0.71 10.85 1.29 157.90 -8.91
Small-Cap Funds 7.9 1.19 378.9 25.4 96.5 1.56 0.03 0.69 13.06 1.04 155.22 10.46

Three-Year Transition Matrix (Performance over Two Non-Overlapping Three-Year Periods)
Top-Half Performers
Large-Cap Funds 8.6 1.01 117.5 33.1 55.4 0.99 0.17 0.83 7.53 1.27 98.60 -23.62
Mid-Cap Funds 7.1 1.13 125.7 22.7 66.5 1.26 0.13 0.74 10.20 1.19 125.97 -7.49
Small-Cap Funds 8.7 1.23 283.2 21.8 60.7 1.48 0.00 0.66 12.58 0.98 134.54 7.38

Five-Year Transition Matrix (Performance over Two Non-Overlapping Five-Year Periods)
Top-Half Performers
Large-Cap Funds 11.5 0.94 120.0 32.3 51.7 1.00 0.11 0.86 8.45 1.25 72.41 -25.16
Mid-Cap Funds 7.6 1.08 123.0 21.5 79.7 1.29 0.19 0.78 11.30 1.31 98.65 -12.46
Small-Cap Funds 11.1 1.11 319.0 23.1 64.6 1.38 0.33 0.69 12.94 1.38 110.46 5.13

For more information, please go to www.spiva.standardandpoors.com

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Fund Performance Persistence

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