Style Research R-B Profile

 

Style Research Returns-Based Fund Profiles are based on the analysis of the performance of funds and of the performance of basic Style paradigm portfolios. These Profiles provide key data and information on fund performance and risk characteristics and also estimate the Style exposures, or Style model, implicit in fund performance patterns.

 

Portfolio Style Exposure

Portfolio Style Exposure shows the estimated Style composition of a fund's portfolio of investments through time. This imputed Style Model is based on rolling 24 month estimates of the combinations of the basic Style-based paradigm portfolios that best approximate the monthly returns of the fund itself. Paradigm portfolios are bespoke to the appropriate equity market or region of each fund's investments. Large / Small is based on the largest 80% / smallest 20% of companies weighted by Market Cap; and Value / Growth is based on highest 50% / lowest 50% by Book to Price, also weighted by Market Cap. The R-Squared statistics provide an estimate of the goodness of fit of the imputed composition over trailing 24 month periods and can be interpreted as showing the percentage of the actual returns of the fund that can be explained simply in terms of the returns of the imputed Style composition.

Portfolio Beta/Alpha

The Portfolio Beta / Alpha chart shows a fund's rolling Portfolio Beta vs the total market over the previous 24 months of returns. This is an estimate of the fund's market relative volatility. Alpha measures the return of the fund in excess of what would have been expected by simply estimating the fund's returns from the market returns and the Portfolio Beta.

Return Volatility

Return Volatility shows the volatility of a fund's historic absolute returns, the volatility of fund's historic returns relative to the benchmark (i.e. Tracking Error) and the volatility of the fund's historic returns relative to the Style Model returns. All volatilities are based on 3 years of monthly returns and are expressed as annualized percentages.

Portfolio Style vs Benchmark Returns

The Portfolio Style vs Benchmark Returns chart shows the cumulative past performance of the estimated Style exposures, or Style Model, of the fund relative to the performance of the benchmark, consisting of all equity securities in the investment region of the fund. This provides an estimate of the record of success of the fund manager's Style timing decisions.

Fund Performance

Fund Performance data are based on NAV figures and are quoted gross of income tax and without any purchasing or selling fees. Fund performance, performance of the market (consisting of all equity securities in the investment region) and performance of the relevant Style paradigm portfolios are quoted over 1, 3, 6, 12, 36 and 60 months.

Portfolio vs Benchmark Returns

Portfolio vs Benchmark Returns shows the cumulative performance of a fund relative to the benchmark, consisting of all equity securities in the investment region.

Gain / Loss Ratio & Maximum Drawdown

The Gain / Loss Ratio & Maximum Drawdown chart shows a fund's Gain / Loss record, calculated as the Average Gain divided by the Average Loss of the fund over rolling historic 24 month periods. The Average Gain is the average of all of the positive relative monthly returns. The Average Loss is calculated as the average of all of the zero or negative relative monthly returns. The Maximum Drawdown is calculated over rolling 24 month periods and reports the worst possible negative percent return delivered by a fund during each period.

Risk / Return Appraisal

The Risk / Return Appraisal chart relates the historic returns of a fund to its historic volatility. The Sharpe Ratio considers the return / risk of the fund with respect to Cash (i.e., the "Risk-Free" rate) and the considers the return / risk of the fund with respect to its equity market benchmark.

Portfolio vs Style Model Returns

Portfolio vs Style Model Returns (Portfolio Stock Selection) shows the cumulative past performance of the portfolio relative to the performance from the fund's estimated Style exposures. This provides an estimate of the impact of Stock Selection on fund performance.