SPIVA 2009 Midyear

August 20, 2009
Standard & Poor's Indices Versus Active

Funds Scorecard, Midyear 2009
The S&P Indices Versus Active Funds (SPIVA) Scorecard reports
performance comparisons corrected for survivorship bias, shows equal- and asset-
weighted peer averages, and provides measures of style consistency for actively
Srikant Dash, CFA, FRM
(212) 438-3012 managed U.S. equity, international equity, and fixed income mutual funds.
srikant_dash@sandp.com
The CRSP Survivor-Bias-Free U.S. Mutual Fund Database provides the
underlying data. To accommodate CRSP release schedules, SPIVA is now
published semi-annually with a 6 to 8 week lag.
As a result of the market volatility over the past year, domestic and
Media Contacts international equity funds have performed in line or marginally ahead of
Dave Guarino benchmarks. However, both taxable and tax exempt fixed income funds’ asset-
(212) 438-1471 weighted returns trail benchmarks by large margins.
dave_guarino@sandp.com
The latest five-year SPIVA data for equity funds can be interpreted favorably
by proponents of both active and passive management. Passive management
believers can point out that indices have outperformed a majority of active
managers across all major domestic and international equity categories, with real
estate being the lone exception. Proponents of active management can point to
asset-weighted averages suggesting a more level playing field, with active
managers level or ahead of benchmarks in most categories, with the exception of
midcaps and emerging markets.
The five-year data is unequivocal for fixed income funds. Across all
categories except emerging market debt, more than three-fourths of active
managers have failed to beat fixed income benchmarks. Similarly, five-year asset-
weighted average returns are lower for active funds in all but two categories.
The turmoil of the past year saw 9% of domestic equity funds, 5% of

international equity funds and 6% of fixed income funds merge or liquidate.
www.standardandpoors.com
Standard & Poor’s Indices Versus Active Funds Scorecard
A Unique Scorecard for the Active Versus Passive Debate

The Standard & Poor's Indices Versus Active Funds (SPIVA) Scorecard presents the
performances of actively managed mutual funds as compared to benchmark indices. The
report covers U.S. equity, international equity, and fixed income categories. SPIVA’s
popularity stems from a few unique attributes:
• Survivorship bias correction: Many funds might be liquidated or merged

during a period of study; however, for someone making an investment decision
at the beginning of the period, these funds are part of the opportunity set. Unlike
commonly available comparison reports, SPIVA removes this survivorship bias.
• Apples-to-apples comparison: Fund returns are often compared to popular

benchmarks such as the S&P 500 regardless of size or style classification. An
appropriate comparison would be to measure a fund's returns against the returns
of a benchmark for that particular style and size category. SPIVA does this type
of comparison.
• Asset-weighted returns: Average returns for a fund group are often calculated
using only equal-weighting. This results in the returns of a US$ 10 billion fund
affecting the average in the same manner as the returns of a US$ 10 million
fund. A more accurate representation of how investors fared in a particular
period can be ascertained by calculating weighted-average returns where each
fund’s return is weighted by net assets. SPIVA reports show both equal- and
asset-weighted averages to address this problem.
• Style consistency: Style consistency is an important metric because style drift

(the tendency of funds to move away from their initial investment
categorization) can have an impact on asset allocation decisions. SPIVA reports
measure style consistency for each style category across different time horizons.
• Data cleaning: SPIVA avoids double counting of multiple share classes in all
count based calculations where only the share class with bigger assets is used.
Index funds, leveraged and inverse funds, and other index-linked products are
excluded since this is meant to be a scorecard for active managers.
Subsequent pages discuss only comprehensive, periodic and publicly available sources
of such data. Previous SPIVA Scorecards are archived at
www.spiva.standardandpoors.com.
Standard & Poor’s 2

Report 1: Percentage of U.S. Equity Funds Outperformed by Benchmarks
Fund Category Comparison Index One-Year Three-Year Five-Year
All Domestic Equity Funds S&P Composite 1500 54.71 58.50 59.05
All LargeCap Funds S&P 500 51.52 52.37 62.95

All MidCap Funds S&P MidCap 400 57.18 64.46 73.48
All SmallCap Funds S&P SmallCap 600 58.07 58.40 67.68
All MultiCap Funds S&P Composite 1500 54.13 57.66 57.44
LargeCap Growth Funds S&P 500 Growth 76.69 76.21 71.22

LargeCap Core Funds S&P 500 51.15 54.51 68.75
LargeCap Value Funds S&P 500 Value 29.66 25.00 47.64
MidCap Growth Funds S&P MidCap 400 Growth 65.28 73.37 75.88
MidCap Core Funds S&P MidCap 400 52.89 64.49 75.00
MidCap Value Funds S&P MidCap 400 Value 45.19 54.65 63.75
SmallCap Growth Funds S&P SmallCap 600 Growth 60.66 66.15 76.88
SmallCap Core Funds S&P SmallCap 600 53.72 60.00 67.37
SmallCap Value Funds S&PSmallCap 600 Value 53.85 50.00 52.94
MultiCap Growth Funds S&P Composite 1500 Growth 75.00 81.56 63.64
MultiCap Core Funds S&P Composite 1500 46.09 48.37 53.44
MultiCap Value Funds S&P Composite 1500 Value 46.25 43.21 56.07
Real Estate Funds S&P BMI United States REIT 29.57 48.78 48.61
Source: Standard & Poor's, CRSP. For periods ending June 30, 2009. Outperformance is based upon equal-weighted fund counts.

Report 2: Survivorship and Style Consistency of U.S. Equity Funds

One-Year
Fund Category No. of Funds at Start Survivorship (%) Style Consistency (%)
All Domestic Funds 2462 90.86 78.96
All LargeCap Funds 759 91.44 85.38

All MidCap Funds 418 91.63 77.27
All SmallCap Funds 570 89.30 80.18
All MultiCap Funds 715 91.05 72.17
LargeCap Growth Funds 236 90.68 84.75

LargeCap Blend Funds 260 89.62 81.92
LargeCap Value Funds 263 93.92 89.35
MidCap Growth Funds 193 88.60 77.72

MidCap Blend Funds 121 94.21 80.99
MidCap Value Funds 104 94.23 72.12
SmallCap Growth Funds 211 88.63 80.57

SmallCap Blend Funds 242 88.84 80.58
SmallCap Value Funds 117 91.45 78.63
MultiCap Growth Funds 184 91.85 69.02

MultiCap Core Funds 371 90.30 74.93
MultiCap Value Funds 160 91.88 69.38
Real Estate Funds 115 93.91 93.91
Three-Year






Data: Standard & Poor's, CRSP. For periods ending June 30, 2009. Report continues on
next page

Report 2 Continued: Survivorship and Style Consistency of U.S. Equity Funds
Five-Year






Data: Standard & Poor's, CRSP. For periods ending June 30, 2009.

Report 3: Average U.S. Equity Fund Performance (Equal-Weighted)

Category One-Year (%) Three-Year (Annualized %) Five-Year (Annualized %)
S&P Composite 1500 -26.34 -8.22 -1.97
All Domestic Funds -26.33 -8.40 -1.78
S&P 500 -26.22 -8.22 -2.25

All LargeCap Funds -25.93 -7.73 -2.21
S&P MidCap 400 -28.01 -7.53 0.37

All MidCap Funds -28.69 -8.21 -0.86
S&P SmallCap 600 -25.31 -9.57 -0.90

All SmallCap Funds -25.26 -9.87 -2.02
S&P Composite 1500 -26.34 -8.22 -1.97

All MultiCap Funds -26.39 -8.20 -1.72
LargeCap
S&P 500 Growth -23.86 -5.05 -1.84
LargeCap Growth Funds -27.34 -6.81 -2.40
S&P 500 -26.22 -8.22 -2.25

LargeCap Core Funds -25.52 -7.78 -2.51
S&P 500 Value -28.63 -11.51 -2.80

LargeCap Value Funds -25.15 -8.59 -1.62
MidCap
S&P MidCap 400 Growth -28.91 -5.96 0.74
MidCap Growth Funds -31.01 -8.15 -1.08
S&P MidCap 400 -28.01 -7.53 0.37

MidCap Core Funds -28.29 -8.88 -1.36
S&P MidCap 400 Value -27.25 -9.19 -0.13

MidCap Value Funds -24.75 -8.03 -0.20
SmallCap
S&P SmallCap 600 Growth -26.72 -8.49 -0.46

SmallCap Growth Funds -26.36 -9.55 -2.45
S&P SmallCap 600 -25.31 -9.57 -0.90

SmallCap Core Funds -25.14 -10.21 -1.92
S&P SmallCap 600 Value -24.31 -10.73 -1.43

SmallCap Value Funds -23.62 -9.94 -1.42
MultiCap
S&P Composite 1500 Growth -24.35 -5.24 -1.87
MultiCap Growth Funds -28.03 -7.49 -1.62
S&P Composite 1500 -26.34 -8.22 -1.97

MultiCap Core Funds -25.47 -7.81 -1.70
S&P Composite 1500 Value -28.38 -11.29 -2.20

MultiCap Value Funds -26.93 -10.30 -2.41
Real Estate
S&P BMI U.S. REIT -43.94 -18.60 -3.02

Real Estate Funds -38.48 -16.68 -1.92
Source: Standard & Poor's, CRSP. For periods ending June 30, 2009.

Report 4: Average U.S. Equity Fund Performance (Asset-Weighted)

S&P Composite 1500 -26.34 -8.22 -1.97
All Domestic Funds -26.07 -7.57 -1.11
S&P 500 -26.22 -8.22 -2.25

All LargeCap Funds -25.44 -7.72 -1.87
S&P MidCap 400 -28.01 -7.53 0.37

All MidCap Funds -28.04 -7.26 0.12
S&P SmallCap 600 -25.31 -9.57 -0.90

All SmallCap Funds -25.35 -8.66 -0.92
S&P Composite 1500 -26.34 -8.22 -1.97

All MultiCap Funds -26.45 -7.27 -0.60
LargeCap
S&P 500 Growth -23.86 -5.05 -1.84
S&P 500 -26.22 -8.22 -2.25

S&P 500 Value -28.63 -11.51 -2.80

MidCap
S&P MidCap 400 Growth -28.91 -5.96 0.74
MidCap Growth Funds -30.23 -6.67 0.39
S&P MidCap 400 -28.01 -7.53 0.37

S&P MidCap 400 Value -27.25 -9.19 -0.13

SmallCap
S&P SmallCap 600 Growth -26.72 -8.49 -0.46
S&P SmallCap 600 -25.31 -9.57 -0.90

S&P SmallCap 600 Value -24.31 -10.73 -1.43

MultiCap
S&P Composite 1500 Growth -24.35 -5.24 -1.87
S&P Composite 1500 -26.34 -8.22 -1.97

S&P Composite 1500 Value -28.38 -11.29 -2.20

Real Estate
S&P BMI U.S. REIT -43.94 -18.60 -3.02

Report 5: Quartile Breakpoints of U.S. Equity Funds

One-Year
Fund Category Third Quartile Second Quartile First Quartile
Three-Year
Five-Year
LargeCap Value Funds -3.16 -1.45 0.16
MidCap Growth Funds -3.03 -0.50 1.17
MidCap Core Funds -2.06 -0.43 0.85
MidCap Value Funds -2.68 -0.42 1.16
SmallCap Core Funds -3.40 -1.78 0.53
SmallCap Value Funds -3.17 -1.16 0.87
MultiCap Growth Funds -2.77 -1.50 0.31
MultiCap Core Funds -2.52 -1.33 0.02
Source: Standard & Poor's, CRSP. All data as of June 30, 2009

Report 6: Percentage of International Equity Funds Outperformed by Benchmarks
Global Funds S&P Global 1200 51.92 60.19 60.40
International Funds S&P 700 61.49 79.85 86.52
International SmallCap Funds S&P World Ex-U.S. SmallCap 43.75 48.94 70.59
Emerging Markets Funds S&P/IFCI Composite 70.19 82.09 89.71

Report 7: Survivorship and Style Consistency of International Equity Funds

One-Year
Global Funds 156 92.95 92.31
International Funds 348 93.97 93.68
International SmallCap Funds 64 95.31 89.06
Emerging Markets Funds 104 98.08 98.08
Three-Year
Global Funds 108 87.96 87.04
Five-Year
Global Funds 101 80.20 77.23


Report 8: Average International Equity Fund Performance (Equal-Weighted)

S&P Global 1200 -28.81 -7.06 0.88
Global Funds -27.35 -6.72 0.97
S&P 700 -31.00 -5.90 4.40

International Funds -31.87 -7.63 2.38
S&P World Ex-U.S. SmallCap -31.34 -8.21 4.10

International Small-Cap Funds -31.05 -7.84 4.06
S&P/IFCI Composite -27.34 3.45 15.75

Emerging Markets Funds -31.90 0.27 12.85
Report 9: Average International Equity Fund Performance (Asset-Weighted)

S&P Global 1200 -28.81 -7.06 0.88
Global Funds -24.01 -4.64 2.95
S&P 700 -31 -5.9 4.4

International Funds -30.45 -6.48 3.41
S&P World Ex-U.S. SmallCap -31.34 -8.21 4.1

International Small Cap Funds -27.06 -5.49 5.66
S&P/IFCI Composite -27.34 3.45 15.75


Report 10: Quartile Breakpoints of International Equity Funds

One-Year
Global Funds -32.03 -28.63 -23.44
International Funds -35.46 -32.09 -28.48
International SmallCap Funds -35.04 -30.22 -27.15
Emerging Markets Funds -35.49 -31.52 -25.77
Three-Year
Global Funds -9.34 -7.27 -4.88
International Funds -9.73 -7.76 -6.12
International SmallCap Funds -9.90 -7.71 -5.12
Five-Year
Global Funds -1.44 0.60 2.54
International Funds 0.77 2.40 3.68
International SmallCap Funds 1.10 3.28 4.89
Emerging Markets Funds 11.40 12.77 13.86
Report 11: Percentage of Fixed Income Funds Outperformed by Benchmarks
Government Long Funds Barclays Long Government 70.00 91.30 97.67

Government Intermediate Funds Barclays Intermediate Government 50.00 84.62 78.43
Government Short Funds Barclays 1-3 Year Government 60.00 83.72 80.95
Investment-Grade Long Funds Barclays Long Government/Credit 80.95 86.87 92.38

Investment-Grade Intermediate Funds Barclays Intermediate Government/Credit 63.79 80.81 79.56
Investment-Grade Short Funds Barclays 1-3 Year Government/Credit 95.56 96.05 96.55
High Yield Funds Barclays High Yield 78.95 83.21 88.62
Mortgage-Backed Securities Funds Barclays Mortgage-Backed Securities 98.15 98.04 98.08
Global Income Funds Barclays Global Aggregate 71.08 85.71 76.09

Emerging Markets Debt Funds Barclays Emerging Markets 79.31 68.42 43.75
General Municipal Debt Funds S&P National AMT-Free Municipal Bond 75.56 78.31 93.90
California Municipal Debt Funds S&P California AMT-Free Municipal Bond 74.42 87.50 100.00
New York Municipal Debt Funds S&P New York AMT-Free Municipal Bond 91.89 94.44 100.00

Report 12: Survivorship and Style Consistency of Fixed Income Funds

One-Year
Government Long Funds 50 96 96
Government Intermediate Funds 50 92 88
Government Short Funds 45 95.56 95.56
Investment-Grade Long Funds 105 91.43 88.57

Investment-Grade Intermediate Funds 243 94.24 93.42
Investment-Grade Short Funds 90 94.44 94.44
High Yield Funds 152 92.11 92.11
Mortgage-Backed Securities Funds 54 98.15 98.15
Global Income Funds 83 96.39 96.39

Emerging Markets Debt Funds 29 100 96.55
General Municipal Debt Funds 90 94.44 94.44

California Municipal Debt Funds 43 93.02 93.02
New York Municipal Debt Funds 37 94.59 94.59
Three-Year
Government Long Funds 46 93.48 86.96
Government Intermediate Funds 52 92.31 78.85


Emerging Markets Debt Funds 19 100.00 94.74

Five-Year
Government Long Funds 43 95.35 83.72
Government Intermediate Funds 51 92.16 74.51


Emerging Markets Debt Funds 16 100.00 93.75


Report 13: Average Fixed Income Fund Performance (Equal-Weighted)

Barclays Long Government 6.93 8.39 6.94
Government Long Funds 5.06 6.03 4.63
Barclays Intermediate Government 6.43 6.99 5.00

Government Intermediate Funds 5.31 5.82 4.29
Barclays 1-3 Year Government 4.95 5.74 4.21

Government Short Funds 3.70 4.67 3.63
Barclays Long Government/Credit 5.36 6.38 5.65

Investment-Grade Long Funds 1.61 3.87 3.60
Barclays Intermediate Government/Credit 5.27 6.14 4.57

Investment-Grade Intermediate Funds 2.37 3.82 3.29
Barclays 1-3 Year Government/Credit 5.12 5.50 4.23

Investment-Grade Short Funds -1.19 1.75 1.98
Barclays High Yield -2.41 2.09 4.34

High Yield Funds -7.44 -0.31 2.58
Barclays Mortgage-Backed Securities 9.38 7.86 5.98

Mortgage-Backed Securities Funds 4.44 4.92 3.99
Barclays Global Aggregate 2.76 6.69 5.53

Global Income Funds -0.06 4.35 4.40
Barclays Emerging Markets 0.59 5.26 8.20

Emerging Markets Debt Funds -3.18 4.50 8.32
S&P National AMT-Free Municipal Bond 3.17 3.64 4.11

General Municipal Debt Funds 0.40 1.95 2.90
S&P California AMT-Free Municipal Bond 0.65 2.76 3.75

California Municipal Debt Funds -1.79 0.97 2.53
S&P New York AMT-Free Municipal Bond 3.99 4.09 4.33

New York Municipal Debt Funds 0.60 2.23 3.01

Report 14: Average Fixed Income Fund Performance (Asset-Weighted)

Barclays Long Government 6.93 8.39 6.94
Barclays Intermediate Government 6.43 6.99 5.00

Barclays 1-3 Year Government 4.95 5.74 4.21

Barclays Long Government/Credit 5.36 6.38 5.65

Investment-Grade Long Funds -1.78 2.59 3.01
Barclays Intermediate
Government/Credit 5.27 6.14 4.57
Barclays 1-3 Year Government/Credit 5.12 5.50 4.23

Investment-Grade Short Funds 0.79 2.69 2.55
Barclays High Yield -2.41 2.09 4.34

High Yield Funds -8.57 -0.41 2.48
Barclays Mortgage-Backed Securities 9.38 7.86 5.98

Barclays Global Aggregate 2.76 6.69 5.53

Global Income Funds 2.50 6.20 5.80
Barclays Emerging Markets 0.59 5.26 8.20

Emerging Markets Debt Funds -4.70 4.38 8.71
S&P National AMT-Free Municipal Bond 3.17 3.64 4.11

General Municipal Debt Funds -0.26 1.66 2.85
S&P California AMT-Free Municipal

Bond 0.65 2.76 3.75
California Municipal Debt Funds -2.26 0.76 2.58
S&P New York AMT-Free Municipal

Bond 3.99 4.09 4.33
New York Municipal Debt Funds -2.49 0.63 2.59

Report 15: Quartile Breakpoints of Fixed Income Funds

One-Year
Investment-Grade Long Funds -1.32 2.58 4.94
Investment-Grade Short Funds -2.77 1.96 3.85
High Yield Funds -8.50 -5.81 -2.98
Global Income Funds -2.96 0.18 3.50
Emerging Markets Debt Funds -8.44 -1.51 0.27
General Municipal Debt Funds -0.95 1.51 3.24
California Municipal Debt Funds -2.68 -0.63 0.70
Three-Year
High Yield Funds -0.72 0.63 1.72
Emerging Markets Debt Funds 4.47 4.96 5.65
California Municipal Debt Funds 0.76 1.89 2.46
Five-Year
High Yield Funds 2.2 3.0 3.8
Emerging Markets Debt Funds 7.4 8.3 9.1
California Municipal Debt Funds 2.3 2.9 3.3

Appendix A
SPIVA Styles and Lipper Fund Classifications
The CRSP Survivor-Bias-Free US Mutual Fund Database is the only complete database of both active and
liquidated/merged mutual funds. It was created in 1995 and contains fund data from December 1961. Current and
historical data from August 1998 has been supplied by Lipper and Thomson Reuters. The fund classifications are
based upon the Lipper fund classification system. SPIVA reports cover domestic equity, global equity and global
fixed income categories.
U.S. Equity
SPIVA covers major capitalization levels (large-, mid-, small-, and multicap funds) and investment styles (growth,
core, and value). S&P uses the Lipper fund classifications, which determines a fund portfolio’s capitalization and
investment style assignments.
Lipper assigns a market-capitalization for each fund based upon the percentages of a fund’s three-year weighted
equity assets which fall into each of Lipper’s three defined market capitalization slices. The market capitalization
breakpoints are calculated using all common stocks, excluding all non-US domiciled stocks and ADRs, trading on
the NYSE, AMEX and NASDAQ. Funds are assigned to the capitalization level in which they have a 75% or
higher weighting. Any fund that has less than 75% of their three-year weighted allocation in any of the three
market capitalization ranges is classified as a multicap fund.
For investment style selection, the Lipper classification system uses three-year fundamental portfolio characteristics
(price/earnings, price/book, and three-year sales-per-share growth) and, if necessary, confirming secondary
characteristics (price-to-sales and price-to-operating cash flow). Fund statistics are compared to their relevant S&P
capitalization-level index to determine the growth, core, or value style.
In some cases, S&P combines closely-related Lipper fund classifications in one SPIVA category. Exhibit 1 maps
the SPIVA U.S. Equity fund categories to Lipper classifications.

Exhibit 1
U.S. Equity Category Mappings
SPIVA Category Lipper Fund Classification

LargeCap Growth Funds Large-Cap Growth Funds
LargeCap Core Funds Large-Cap Core Funds
LargeCap Value Funds Large-Cap Value Funds
Equity Income Funds
MidCap Growth Funds Mid-Cap Growth Funds

MidCap Core Funds Mid-Cap Core Funds
MidCap Value Funds Mid-Cap Value Funds
SmallCap Growth Funds Small-Cap Growth Funds

SmallCap Core Funds Small-Cap Core Funds
SmallCap Value Funds Small-Cap Value Funds
MultiCap Growth Funds Multi-Cap Growth Funds

MultiCap Core Funds Multi-Cap Core Funds
MultiCap Value Funds Multi-Cap Value Funds
Real Estate Funds Real Estate Funds

International Equity
For International Equity, SPIVA reports on four major categories (Global, International, International SmallCap,
and Emerging Markets funds) of interest to global asset allocators. These categories also include multiple Lipper
capitalization/style classifications.
Exhibit 2
Global Equity Category Mappings

Global Funds Global Large-Cap Growth Funds
Global Large-Cap Core Funds
Global Large-Cap Value Funds
Global Multi-Cap Growth Funds
Global Multi-Cap Core Funds
Global Multi-Cap Value Funds
International Funds International Large-Cap Growth Funds

International Large-Cap Core Funds
International Large-Cap Value Funds
International Multi-Cap Growth Funds
International Multi-Cap Core Funds
International Multi-Cap Value Funds
International SmallCap Funds International Small/Mid-Cap Growth

Funds
International Small/Mid-Cap Core Funds
International Small/Mid-Cap Value Funds
Emerging Markets Funds Emerging Markets Funds

Fixed Income
SPIVA reports on eight domestic, two global, and three municipal fixed income categories. The Lipper domestic
fixed income classifications are based upon maturity and credit quality. For maturity, long is 10+ years,
intermediate is 5-10 years, short/intermediate is 1-5 years and short is 1-3.5 years. For credit quality, bonds are
assigned to the U.S. Treasury, U.S. Government (includes Government and agency issues), A- or BBB-rated, and
High Yield classifications. Lipper also includes U.S. Mortgages and GNMA classifications.
In global fixed income, Lipper differentiates between global (including the U.S.) and international (excluding the
U.S.) objectives. For municipal debt funds, we include the general (invests in the top four credit ratings)
classification plus two state funds (California and New York).
Exhibit 3
Fixed Income Category Mappings

Government Long Funds General U.S. Government Funds
General U.S. Treasury Funds
Government Intermediate Funds Intermediate U.S. Government
Short-Intermediate U.S. Government
Government Short Funds Short U.S. Government Funds
Short U.S. Treasury
Investment-Grade Long Funds Corporate Debt Funds A Rated

Corporate Debt Funds BBB-Rated
Investment-Grade Intermediate Intermediate Investment-Grade Debt
Funds Funds
Short-Intermediate Investment-Grade
Debt Funds
Investment-Grade Short Funds Short Investment-Grade Debt Funds
High Yield Funds High Current Yield Funds
Mortgage-Backed Securities Funds U.S. Mortgage Funds

GNMA Funds
Global Income Funds Global Income Funds

International Income Funds
Emerging Market Debt Funds Emerging Markets Debt Funds
General Municipal Debt Funds General Municipal Debt Funds

California Municipal Debt Funds California Municipal Debt Funds
New York Municipal Debt Funds New York Municipal Debt Funds

Appendix B
Glossary – Reports
Percentage of Funds Outperformed by the Index
To correct for survivorship bias, S&P uses the opportunity set available at the beginning of the period as the
denominator. We determine the count of funds that have survived and beat the index. We then report the index
outperformance percentage.
Survivorship (%)
This measure calculates the percentage of funds that are still active at the end of the time period at the beginning of
the time period.
Style Consistency (%)

This calculation shows the percentage of funds that had the same style classification at the end of the time period as
the beginning of the time period.
Equal-Weighted Fund Performance

Equal-weighted returns for a particular style category in a month are determined by calculating a simple average
return of all active funds in that category in that particular month.
Asset-Weighted Fund Performance

Asset-weighted returns for a particular style category in a month are determined by calculating a weighted average
return of all funds in that category in that particular month, with each fund's return weighted by its total net assets.
Asset-weighted returns are a better indicator of fund category performance measurement because they more
accurately reflect the returns of the total money invested in that particular style category.
Quartile Breakpoints
The pth -percentile for a set of data is the value which is greater than or equal to p% of the data, but is less than or
equal to (100 - p)% of the data. So, it is a value that divides the data into two parts: the lower p% of the values and
the upper (100-p)% of the values. The first quartile is the 75th percentile, the value separating the elements of a
population into the lower 75% and the upper 25%. The second quartile is the 50th percentile and the third quartile
is the 25th percentile. For fund category quartiles in a particular time horizon, the data used is the return of the
largest share class of the fund net of fees, but excluding loads.
Survivorship Bias
Many funds might liquidate or merge during a period of study. Most of these occur because of continued poor
performance by the fund. Therefore, if index returns are compared to fund returns using only surviving funds, the
comparison would be biased in favor of the fund category. These reports remove this bias by (a) taking all available
funds in that particular category as the investment opportunity set as the denominator for outperformance
calculations, (b) explicitly showing the survivorship rate in each category, and (c) constructing peer average return
series for each category based on all available funds at that period of time.
Fees
The fund returns used are net of fees, excluding loads.

Appendix B
Glossary – Indices
Indices1
A benchmark index provides an investment vehicle to compare and assess fund performance.
U.S. Equity:
S&P 500®
Widely regarded as the best single gauge of the U.S. equity market, this market capitalization-weighted index
includes a representative sample of 500 leading companies in leading industries of the U.S. economy and provides
over 80% coverage of U.S. equities.
S&P MidCap 400

This index consists of 400 mid-sized companies and covers approximately 7% of the U.S. equity market.
S&P SmallCap 600

This index consists of 600 smallcap stocks and covers approximately 3% of the U.S. equity market.
S&P Composite 1500

This is a broad market, capitalization-weighted index of 1500 stocks. This index is comprised of three size-based
indices: the S&P 500, the S&P MidCap 400, and the S&P SmallCap 600, which measure the performance of large-,
mid-, and smallcap stocks respectively. This index represents 90% of U.S. equities.
S&P 500 Growth and Value Indices

These indices are an exhaustive, multi-factor style series covering the entire market capitalization of the S&P 500.
Constituents, weighted according to market capitalization, are classified as growth, value or a mix of growth and
value.
S&P MidCap 400 Growth and Value Indices

These indices are an exhaustive, multi-factor style series covering the entire market capitalization of the S&P
MidCap 400.
S&P SmallCap 600 Growth and Value Indices

SmallCap 600.
S&P Composite 1500 Growth and Value Indices

Composite 1500.
S&P United States REIT Index

This index measures the investable universe of publicly traded real estate investment trusts.
1
For more information on Standard & Poor's indices, please visit www.indices.standardandpoors.com.

Appendix B
Glossary – Indices (Cont’d)
International Equity
S&P Global 1200
This index captures approximately 70% of the world’s capital markets, and is a composite of seven headline
indices, many of which are accepted leaders in their regions. It includes the S&P 500 (United States), S&P Europe
350 (Europe), S&P/Topix 150 (Japan), S&P/TSX 60 (Canada), S&P/ASX All Australian 50 (Australia) S&P Asia
50 (Asia Ex-Japan) and the S&P Latin America 40 (Latin America).
S&P 700
This index measures the non-United States component of the global equity markets. The index covers all of the
regions included in the S&P Global 1200 except for the United States (S&P 500).
S&P Developed Ex-U.S. SmallCap

This index represents the smallcap segment, the bottom 15% of the world’s universe of institutionally investable
securities excluding the U.S.
S&P/IFCI Index
This index is widely recognized as a comprehensive and reliable measure of the world’s emerging markets. It
measures the returns of stocks that are legally and practically available to foreign investors.
Fixed Income2
Barclays Capital Long Government Bond Index
This index consists of U.S. Treasury and U.S. Government agency bonds with maturities greater than 10 years.
Barclays Capital Intermediate Government Bond Index

This index consists of U.S. Treasury and U.S. Government agency bonds with maturities from one to 10 years.
Barclays Capital 1-3 Year Government Bond Index

This index consists of U.S. Treasury and U.S. Government agency bonds with maturities from one to three years.
Barclays Capital Long Government/Credit Bond Index

This index covers corporate and non-corporate fixed-income securities that are rated investment grade and have
maturities greater than 10 years.
Barclays Capital Intermediate Government/Credit Bond Index

This index covers corporate and non-corporate fixed-income securities that are rated investment grade with
maturities from one to 10 years.
Barclays Capital 1-3 Year Government/Credit Bond Index

This index covers corporate and non-corporate fixed-income securities that are rated investment grade and have 1-3
years to final maturity.
2
Barclays Capital Fixed Income Indices were formerly the Lehman Brothers Indices.

Appendix B
Glossary – Indices (Cont’d)
Fixed Income (Cont’d)

Barclays Capital High Yield Bond Index
This index includes all fixed income securities with a maximum quality rating of Ba1/BB+ (including defaulted
issues), a minimum amount outstanding of $100 million and at least 1 year to maturity.
Barclays Capital Brothers Mortgage-Backed Securities Index

This index includes 15- and 30-year fixed-rate securities backed by Mortgage pools of the Government National
Mortgage Association (GNMA), Federal Home Loan Mortgage Corporation (FHLMC), and Federal National
Mortgage Association (FNMA).
Barclays Capital Global Aggregate Bond Index

This index covers the most liquid portion of the global investment grade fixed-rate bond market, including
government, credit, and collateralized securities.
Barclays Capital Emerging Markets Index

This index includes fixed and floating rate USD-denominated debt from emerging markets.
S&P National AMT-Free Municipal Bond Index

This index is a broad, comprehensive, market value-weighted index designed to measure the performance of the
investment-grade U.S. municipal bonds that are exempt from the Alternative Minimum Tax.
S&P California AMT-Free Municipal Bond Index

This index is designed to measure the performance of the investment-grade California municipal bonds that are
exempt from the Alternative Minimum Tax.
S&P New York AMT-Free Municipal Bond Index

This index is designed to measure the performance of the investment-grade bonds that are exempt from
the Alternative Minimum Tax.
For more information, please visit www.spiva.standardandpoors.com.

This report is published by Standard & Poor’s Financial Services LLC (S&P), 55 Water Street, New York, NY
10041. Copyright © 2009. S&P is a subsidiary of The McGraw-Hill Companies, Inc. All rights reserved. Standard
& Poor’s does not undertake to advise of changes in the information in this document.
These materials have been prepared solely for informational purposes based upon information generally available
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accuracy or completeness of these materials, whose content may change without notice. Standard & Poor’s
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the prior written consent of Standard & Poor’s.
Standard & Poor’s does not guarantee the accuracy and/or completeness of any Standard & Poor’s Index, any data
included therein, or any data from which it is based, and Standard & Poor’s shall have no liability for any errors,
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obtained from the use of the S&P Indices. Standard & Poor’s makes no express or implied warranties, and
expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the
S&P Indices or any data included therein. Without limiting any of the foregoing, in no event shall Standard &
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preserve the independence and objectivity of each analytic process. Standard & Poor’s has established policies and
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August 20, 2009

Standard & Poor's Indices Versus Active

 The turmoil of the past year saw 9% of domestic equity funds, 5% of

A Unique Scorecard for the Active Versus Passive Debate

• Survivorship bias correction: Many funds might be liquidated or merged

• Apples-to-apples comparison: Fund returns are often compared to popular

• Style consistency: Style consistency is an important metric because style drift

Standard & Poor’s 2

Report 1: Percentage of U.S. Equity Funds Outperformed by Benchmarks

Fund Category Comparison Index One-Year Three-Year Five-Year

All LargeCap Funds S&P 500 51.52 52.37 62.95

LargeCap Growth Funds S&P 500 Growth 76.69 76.21 71.22

Standard & Poor’s 3

Report 2: Survivorship and Style Consistency of U.S. Equity Funds

All LargeCap Funds 759 91.44 85.38

LargeCap Growth Funds 236 90.68 84.75

MidCap Growth Funds 193 88.60 77.72

SmallCap Growth Funds 211 88.63 80.57

MultiCap Growth Funds 184 91.85 69.02

Real Estate Funds 115 93.91 93.91

All LargeCap Funds 695 79.42 67.77

LargeCap Growth Funds 206 75.24 69.42

MidCap Growth Funds 184 82.07 69.02

SmallCap Growth Funds 195 77.95 71.28

MultiCap Growth Funds 141 78.01 53.19

Real Estate Funds 82 89.02 89.02

Standard & Poor’s 4

Report 2 Continued: Survivorship and Style Consistency of U.S. Equity Funds

All LargeCap Funds 753 65.21 52.86

LargeCap Growth Funds 205 61.95 57.56

MidCap Growth Funds 170 72.35 59.41

SmallCap Growth Funds 186 68.82 62.37

MultiCap Growth Funds 143 68.53 44.76

Real Estate Funds 72 86.11 84.72

Standard & Poor’s 5

Report 3: Average U.S. Equity Fund Performance (Equal-Weighted)

S&P 500 -26.22 -8.22 -2.25

S&P MidCap 400 -28.01 -7.53 0.37

S&P SmallCap 600 -25.31 -9.57 -0.90

S&P Composite 1500 -26.34 -8.22 -1.97

S&P 500 -26.22 -8.22 -2.25

S&P 500 Value -28.63 -11.51 -2.80

S&P MidCap 400 -28.01 -7.53 0.37

S&P MidCap 400 Value -27.25 -9.19 -0.13

S&P SmallCap 600 Growth -26.72 -8.49 -0.46

S&P SmallCap 600 -25.31 -9.57 -0.90

S&P SmallCap 600 Value -24.31 -10.73 -1.43

S&P Composite 1500 -26.34 -8.22 -1.97

S&P Composite 1500 Value -28.38 -11.29 -2.20

S&P BMI U.S. REIT -43.94 -18.60 -3.02

Standard & Poor’s 6

Report 4: Average U.S. Equity Fund Performance (Asset-Weighted)

S&P 500 -26.22 -8.22 -2.25

S&P MidCap 400 -28.01 -7.53 0.37

S&P SmallCap 600 -25.31 -9.57 -0.90

S&P Composite 1500 -26.34 -8.22 -1.97

S&P 500 -26.22 -8.22 -2.25

S&P 500 Value -28.63 -11.51 -2.80

S&P MidCap 400 -28.01 -7.53 0.37

S&P MidCap 400 Value -27.25 -9.19 -0.13

S&P SmallCap 600 -25.31 -9.57 -0.90

S&P SmallCap 600 Value -24.31 -10.73 -1.43

The turmoil of the past year saw 9% of domestic equity funds, 5% of