Returns-Based Style Analysis Report

The Returns-Based Style Analysis Report uses the historical performance of a subject portfolio to calculate and display the history of investment composition, style drift and relative performance versus its style benchmark and a market benchmark. You are able to change the style benchmark to meet your needs.

To create a new Returns-Based Style Analysis report: on the New menu, point to Reports, and then choose RB Style Analysis.

Illustrate style characteristics over time or explain historical style drifts based on returns analysis.
Choose user-defined style benchmark indexes.
Compare traditional returns-based style analysis to Morningstar�s holdings-based methodology.
Illustrate fixed income style trail in addition to equity style trail.

Displays the style exposures derived from the investment�s historical returns compared with market indexes. By default, the market indexes are pre-specified for the report, but users can change the market indexes. The 36-month windows roll forward once each month, i.e. the historical exposures are on monthly basis. The table summarizes the most recent exposure composites, average exposures, standard deviation and the range of the exposure with the 36-month time period.

These graphs display how consistent the equity and/or fixed-income investment style has been. In the style trail graph, each dot is associated with a specific 36-month time window. The dots of smaller size represent earlier time periods and the dots of larger size represent the more recent time periods. The earliest and the most recent time periods (calculations) are specially marked with circled dots.

Illustrates the performance of the portfolio compared with its style benchmark and market indexes, and a user-defined benchmark. The style benchmark is the weighted average of all the style indexes used in the calculation, which can be found in the Fixed Summary of Historical Exposure table under the �most recent� column.

4Morningstar 4 plus (default)

Morningstar Large Value, Morningstar Large Growth, Morningstar Small Value, Morningstar Small Growth, 90-Day T-Bills

4Morningstar 6 plus

Morningstar Large Value, Morningstar Large Growth, Morningstar Mid Value, Morningstar Mid Growth, Morningstar Small Value, Morningstar Small Growth, 90-Day T-Bills

4Morningstar 9 plus

Morningstar Large Value, Morningstar Large Core, Morningstar Large Growth, Morningstar Mid Value, Morningstar Mid Core, Morningstar Mid Growth, Morningstar Small Value, Morningstar Small Core, Morningstar Small Growth, 90-Day T-Bills

4Russell 4 plus

Russell Top 200 Growth, Russell Top 200 Value, Russell 2000 Growth, Russell 2000 Value, 90-Day T-Bills

4Russell 6 plus

Russell Top 200 Value, Russell Top 200 Growth, Russell MidCap Value, Russell MidCap Growth, Russell 2000 Value, Russell 2000 Growth, 90-Day T-Bills

4Wilshire 6 plus

Wilshire Large Value, Wilshire Large Growth, Wilshire Mid Value, Wilshire Mid Growth, Wilshire Small Value, Wilshire Small Growth, 90-Day T-Bills

4U.S. Allocation

Morningstar Large Value, Morningstar Large Growth, Morningstar Small Value, Morningstar Small Growth, Lehman Brothers Aggregate Bond, 90-Day T-Bills

4International Equity

MSCI AC Americas ID, MSCI AC Europe ID, MSCI AC Far East ex Japan, MSCI Far East Japan, 90-day T-Bill

Market Index

The benchmark you choose will be used as the "Market Index" in the Cumulative Performance section of the report. To choose a benchmark, click on the Find button which opens the Select Benchmark dialog.

RBSA Calculation

Start Date and End Date set the time period for the analysis. By default this is set to the most recent month-end for the end date and end date minus 72 months for the start date.

You can float either date on a monthly, quarterly, semiannually, or yearly basis and also build lag time into the calculation. See below for some examples of how to create floating data points.

Trailing 3-Month Return Floating

Quarterly Returns Floating

Quarterly Returns Floating on 1 Month Lag

Quarter-to-Date Floating

Rolling Window sets the time period for each RBSA calculation within your analysis start and end date. The constraints area allows you to manipulate the constraints place on the RBSA. "Include Long Only" forces all results to be > 0. You cannot change this amount. �Include Long & Short� allows results to be less than 0. For instance, 50% shorting places the lower boundary at �50 instead of 0. For this selection, you will be able to enter a value in the text box.

Style Index Settings

You can use standard style indexes or pick your own (custom). To select a standard set of style indexes, select a standard set from the Standard drop-down menu. "Standard" allows you to choose between a number of indexes.

To create a custom set of style indexes, you need to indicate how many indexes you would like to plot (x) and then choose the indexes which are known as factors. The first x factors are plotted on the chart. In the Custom drop-down, there are the following choices for plotting: 4 indexes square, 6 indexes square, or 9 indexes square. To choose indexes, click the Edit button which opens the Edit Style Indexes dialog. The indexes you add beyond the number that will be plotted are included in the calculation.