Description of Universe Classifications

Transcription

1 U.S. EQUITY Description of Universe Classifications Growth/ All Capitalization Equity - universe includes growth equity accounts and composites of accounts where earnings growth measures and/or profitability measures are the major determinants in the stock selection process. Typically invests in companies of all capitalization ranges. The Russell 3000 Growth and S&P 500/Citigroup Growth are commonly used benchmarks in this universe. Growth/Large Capitalization Equity - universe includes growth equity accounts and composites of accounts where earnings growth measures and/or profitability measures are the major determinants in the stock selection process. The weighted average market capitalization is in excess of $10 billion. The Russell 1000 Growth and S&P 500/Citigroup Growth are commonly used benchmarks in this universe. Growth/Mid Capitalization Equity - universe includes growth equity accounts and composites of accounts where earnings growth measures and/or profitability measures are the major determinants in the stock selection process. The weighted average market capitalization falls between $6 billion and $10 billion. The Russell Midcap Growth Index and the S&P MidCap 400/Citigroup Growth Index are commonly used benchmarks in this universe. Growth/SMID Capitalization Equity - universe includes growth equity accounts and composites of accounts where earnings growth measures and/or profitability measures are the major determinants in the stock selection process. The weighted average market capitalization falls between $2 billion and $6 billion. The Russell 2500 Growth Index is the commonly used benchmark in this universe. Growth/Small Capitalization Equity - universe includes growth equity accounts and composites of accounts where earnings growth measures and/or profitability measures are the major determinants in the stock selection process. The weighted average market capitalization falls below $2 billion. The Russell 2000 Growth Index and the S&P SmallCap 600/Citigroup Growth Index are commonly used benchmarks in this universe. Value/ All Capitalization Equity - universe includes equity accounts and composites of accounts where price and valuation are major determinants of stock selection; examples of widely used valuation considerations and or metrics include relative price/earnings ratio, price/book ratio, dividend yield, or asset value. Typically invests in companies of all capitalization ranges. The Russell 3000 Value Index and the S&P 500/Citigroup Value Index are commonly used benchmarks in this universe. Value/Large Capitalization Equity - universe includes equity accounts and composites of accounts where price and valuation are major determinants of stock selection; examples of widely used valuation considerations and or metrics include relative price/earnings ratio, price/book ratio, dividend yield, or asset value. The weighted average market capitalization is in excess of $10 billion. The Russell 1000 Value Index and the S&P 500/Citigroup Value Index are commonly used benchmarks in this universe. Value/Mid Capitalization Equity - universe includes equity accounts and composites of accounts where price and valuation are major determinants of stock selection; examples of widely used valuation considerations and or metrics include relative price/earnings ratio, price/book ratio, dividend yield, or asset value. The weighted average market capitalization falls between $6 billion and $10 billion. The Russell Midcap Value Index and the S&P MidCap 400/Citigroup Value Index are commonly used benchmarks in this universe. Value/SMID Capitalization Equity - universe includes equity accounts and composites of accounts where price and valuation are major determinants of stock selection; examples of widely used valuation considerations and or metrics include relative price/earnings ratio, price/book ratio, dividend yield, or asset value. The weighted average market capitalization falls between $2 billion and $6 billion. The Russell 2500 Value Index is the commonly used benchmark in this universe. Value/Small Capitalization Equity - universe includes equity accounts and composites of accounts where price and valuation are major determinants of stock selection; examples of widely used valuation considerations and or metrics include relative price/earnings ratio, price/book ratio, dividend yield, or

2 asset value. The weighted average market capitalization falls below $2 billion. The Russell 2000 Value Index and the S&P SmallCap 600/Citigroup Value Index are commonly used benchmarks in this universe. U.S. EQUITY Con t Core/All Capitalization Equity - universe includes accounts and composites of accounts where the investment strategy can include a blend of both value and growth considerations. Typically invests in companies of all capitalization ranges. The Russell 3000 Index and the S&P 500 Index are commonly used benchmarks in this universe. Core/Large Capitalization Equity - universe includes accounts and composites of accounts where the investment strategy can include a blend of both value and growth considerations. The weighted average market capitalization is in excess of $10 billion. The Russell 1000 Index and the S&P 500 Index are commonly used benchmarks in this universe. Core/Mid Capitalization Equity - universe includes accounts and composites of accounts where the investment strategy can include a blend of both value and growth considerations. The weighted average market capitalization falls between $6 billion and $10 billion. The Russell Midcap Index and the S&P Mid Cap 400 Index are commonly used benchmarks in this universe. Core/SMID Capitalization Equity - universe includes accounts and composites of accounts where the investment strategy can include a blend of both value and growth considerations. The weighted average market capitalization falls between $2 billion and $6 billion. The Russell 2500 Index is commonly used as a benchmark in this universe. Core/Small Capitalization Equity - universe includes accounts and composites of accounts where the investment strategy can include a blend of both value and growth considerations. The weighted average market capitalization falls below $2 billion. The Russell 2000 Index and the S&P SmallCap 600 Index are commonly used benchmarks in this universe. Market Neutral universe includes U.S. equity strategies that seek to be, more or less, equally weighted on long and short positions on a dollar basis. U.S. REIT Universe includes accounts and composites of accounts where the primary investments are real estate investment trusts. Other Equity universe is the equity accounts and composite of accounts whose investment style is neither growth nor value-oriented. It includes eclectic strategies where the major criterion in portfolio creation is sector weighting/rotation, thematic, or concentrated stock picking.

3 U.S. FIXED INCOME Cash/Short Duration Fixed Income universe includes fixed income accounts and composites of accounts with a weighted average duration of less than 1 year. Limited Duration Fixed Income universe includes all fixed income accounts and composites of accounts with a weighted average duration between 1 and 2.5 years. Intermediate Duration Fixed Income universe includes fixed income accounts and composites of accounts with a weighted average duration between 2.5 and 4 years. CORE Broad Market Fixed Income universe includes fixed income accounts and composites of accounts with a weighted average duration between 4 and 6 years. This universe excludes the use of non-investment grade securities, non-dollar securities, or emerging market securities. CORE+ Broad Market Fixed Income universe includes fixed income accounts and composites of accounts with a weighted average duration between 4 and 6 years. Products in this universe may use non-investment grade securities, non-dollar securities, or emerging market securities. Long Duration (>6) Fixed Income universe includes fixed income accounts and composites of accounts with a weighted average duration greater than 6 years. Other Fixed Income universe is the fixed income accounts and composites of accounts whose investment style is best described as not limited duration, intermediate duration, broad market, or long duration. It includes accounts where the major criterion in portfolio creation is either an option/futures specialization, or an immunization/dedication strategy. Convertible Bond universe includes all convertible bond commingled funds, separate accounts, and composites of accounts. GIC/Stable Value Universe includes all commingled funds, separate accounts, and composites of accounts that invest primarily in traditional or synthetic guaranteed investment contracts (GIC's). Valuation and returns are based on book value accounting standards producing very low volatility of returns. Government Bond universe includes all U.S. Treasury bond commingled funds, separate accounts, and composite of accounts. Products in this universe will hold government bonds nearly exclusively. High Yield Bond universe includes all high yield bond commingled funds, separate accounts, and composites of accounts. Investment Grade Corporate Bond universe includes all investment grade corporate bond commingled funds, separate accounts, and composite of accounts. Products in this universe will hold investment grade corporate bonds almost exclusively. Mortgage-Backed Bond universe includes all mortgage-backed bonds commingled funds, separate accounts, and composite of accounts. Products in this universe will hold mortgage bonds almost exclusively. Municipal Bond universe includes all municipal bond commingled funds, separate accounts, and composite of accounts. TIPS (Treasury Inflation-Linked Protected Securities) - Universe includes all separate accounts, commingled funds, and composite of accounts that invest primarily in inflation-linked bonds.

4 U.S. BALANCED/TAA Balanced universe includes all balanced commingled funds, separate accounts, and composites of accounts. Tactical Asset Allocation universe includes all tactical asset allocation (TAA) commingled funds, separate accounts, and composites of accounts. INTERNATIONAL/GLOBAL EQUITY International Equity Index universe includes all international equity index commingled funds, separate accounts, and composites of accounts which are most appropriately compared to the MSCI EAFE Index and has a tracking error between 0 -.5%. International Equity Enhanced Index universe includes all international equity enhanced index commingled funds, separate accounts, and composites of accounts which are most appropriately compared to the MSCI EAFE Index and has a tracking error between.5 2%. International Small Capitalization Equity universe includes all international small capitalization equity commingled funds, separate accounts, and composites of accounts which are most appropriately compared to the SSB EPAC EMI, MSCI EAFE Small Cap, or the FTS&P Europe & Pacific Medium/Small Capitalization Index and have market capitalizations less than $2 billion. International Active Conservative Growth universe includes international growth equity commingled funds, separate accounts, and composites of accounts where earnings growth measures and/or profitability measures are the major determinant in the stock selection process. Tracking error versus the SSB EPAC PMI Growth or MSCI EAFE Growth is between 2-6%. International Active Growth universe includes international growth equity commingled funds, separate accounts, and composites of accounts where earnings growth measures and/or profitability measures are the major determinant in the stock selection process. Tracking error versus the SSB EPAC PMI Growth or MSCI EAFE Growth can be greater than 6%. International Active Conservative Value universe includes international equity commingled funds, separate accounts, and composites of accounts where price is a major determinant of stock selection and focus is based on relative price/earnings ratios, price/book ratios, dividend yield, or asset value. Tracking error versus the SSB EPAC PMI Value or MSCI EAFE Value is between 2-6%. International Active Value universe includes international equity commingled funds, separate accounts, and composites of accounts where price is a major determinant of stock selection and focus is based on relative price/earnings ratios, price/book ratios, dividend yield, or asset value. Tracking error versus the SSB EPAC PMI Value or MSCI EAFE Value can be greater than 6%. International Active Conservative Core universe includes all international equity commingled funds, separate accounts, and composites of accounts where the investment strategy can best be described as benchmark driven rather than style driven. Tracking error versus the SSB EPAC PMI or MSCI EAFE is between 2-6%. International Active Core universe includes all international equity commingled funds, separate accounts, and composites of accounts where the investment strategy can best be described as benchmark driven rather than style driven. Tracking error versus the SSB EPAC PMI or MSCI EAFE can be greater than 6% or where tracking error is not used. Global Equity universe includes all global equity (includes U.S.) commingled funds, separate accounts, and composites of accounts which are most appropriately compared to the SSB World PMI Index.

5 INTERNATIONAL EQUITY Cont. Global Small Capitalization Equity universe includes all global small capitalization equity commingled funds, separate accounts, and composites of accounts which are most appropriately compared to the SSB World EMI Index and has a market capitalization less than $2 billion. Currency- universe includes all currency focused equity commingled funds, separate accounts, and composites of accounts. European Equity universe includes all European equity commingled funds, separate accounts, and composites of accounts which are most appropriately compared to the SSB Europe PMI Index. Pacific Basin Equity universe includes all Pacific Basin (includes Japan) commingled funds, separate accounts, and composites of accounts which are most appropriately compared to the SSB Asia-Pacific PMI Index. Pacific Basin Excluding Japan Equity universe includes all Pacific Basin excluding Japan commingled funds, separate accounts, and composites of accounts which are most appropriately compared to the SSB Asia-Pacific Ex Japan PMI Index. Japan Equity universe includes all Japanese equity commingled funds, separate accounts, and composites of accounts, which are most appropriately compared to the SSB Japan PMI Index. Latin American Equity Universe includes all commingled funds, separate accounts, and composites of accounts, which primarily invest in Latin American countries. Emerging Markets Equity universe includes all emerging markets commingled funds, separate accounts, and composites of accounts, which are most appropriately compared to the IFC Composite or the MSCI EM or EMF Index. Other International/Global Equity are the international and global equity commingled funds, separate accounts, and composites of accounts which are most appropriately compared to only a portion of the MSCI EAFE Index.

6 INTERNATIONAL/GLOBAL FIXED INCOME International Fixed Income Hedged universe includes all international fixed income commingled funds, separate accounts, and composites of accounts, which are most appropriately compared to the Salomon World Government Bond Ex U.S. Hedged Index. International Fixed Income Unhedged universe includes all international fixed income commingled funds, separate accounts, and composites of accounts which are most appropriately compared to the Salomon World Government Bond Ex U.S. Unhedged Index. Global Fixed Income Hedged universe includes all global fixed income (includes U.S.) commingled funds, separate accounts, and composites of accounts which are most appropriately compared to the Salomon World Government Bond Hedged Index. Global Fixed Income Unhedged universe includes all global fixed income (includes U.S.) commingled funds, separate accounts, and composites of accounts which are most appropriately compared to the Salomon World Government Bond Unhedged Index. Other International/Global Fixed Income are the international and global fixed income commingled funds, separate accounts, and composites of accounts which are most appropriately compared to only a portion of the Salomon World Government Bond Index. This universe also includes other accounts where the investment strategy can best be described as benchmark driven or indexed. Emerging Markets Fixed Income universe includes all emerging markets fixed income commingled funds, separate accounts, and composites of accounts, which are most appropriately compared to the JP Morgan Emerging Markets Bond Index. Global High Yield universe includes all products that actively hold both U.S. high yield and emerging market securities. INTERNATIONAL/GLOBAL BALANCED/TAA Emerging Markets Balanced/TAA - universe includes all balanced/taa commingled funds, separate accounts, and composites of account, which are invested in the emerging markets. Global Balanced/TAA universe includes all global balanced/taa commingled funds, separate accounts, and composites of accounts. CANADIAN Canadian Equity universe includes all Canadian equity commingled funds, separate accounts, and composites of accounts. Performance is calculated in Canadian dollars. Canadian Fixed Income universe includes all Canadian fixed income commingled funds, separate accounts, and composites of accounts. Performance is calculated in Canadian dollars. Canadian Balanced universe includes all Canadian balanced commingled funds, separate accounts, and composites of accounts. Performance is calculated in Canadian dollars. Canadian International/Global Equity universe includes all Canadian international or global (including US) equity commingled funds, separate accounts, and composites of accounts. Performance is calculated in Canadian dollars. Canadian International/Global Fixed Income universe includes all Canadian international or global (including US) fixed income commingled funds, separate accounts, and composites of accounts. Performance is calculated in Canadian dollars.

7 Descriptions of Investment Style Classifications EQUITY VALUE: Price is a major determinant of stock selection. Focus is on relative price/earnings ratio, price/book ratio, yield or asset value. Deep Value: Investing in the stocks of companies that are trading at significant discounts to what is perceived is the true or intrinsic value of the underlying business; these perceived discounts are typically the result of operational difficulties the company has experienced. In addition, companies in this category often times exhibit financial distress. These companies are purchased with the belief that the market will eventually recognize the company's true value and bid up the stock price. Relative Value: Investing in stocks that are perceived to be temporarily trading at small discounts to the market, industry peers, or the stock s own historical trading range. Traditional Value: Investing in the stocks of established companies that are trading at below market multiples because they are out of favor or have been overlooked by investors. Value Asset Plays: Emphasizes stocks whose assets are undervalued relative to their market value. Value Contrarian: A selection process that emphasizes out-of-favor stocks or stocks in out-of-favor sectors, which are selling at steep discounts to traditional valuation levels. Value Growth Overlay: While the major criterion is a stock's low valuation levels, earnings growth measures are explicitly factored into the decision process. Value Low Price/Book: The major criteria in security selection and portfolio composition is a low price/book ratio relative to historical trading ranges, and/or relative to the market. Value Low Price/Earnings: The major criteria in security selection and portfolio composition is a low price/earnings ratio relative to historical trading ranges, and/or relative to the market. Value Yield Emphasis: The major criterion in security selection and portfolio composition is yield in either relative or absolute terms. GROWTH: Earnings growth measures and/or profitability measures are the major determinant in the stock selection process. Aggressive Growth: Investing in companies that have, or are expected to, accelerate their rates of revenue or earnings growth; the stock prices of these companies are expected to rise as growth expectations are met or from multiple expansion. These types of companies typically trade at high price multiples and, as such, those who invest in them do not consider valuation as a primary concern. Traditional Growth: Investing in companies with revenue and earnings growth rates greater than that of the general economy. Growth at a Reasonable Price (GARP): Investing in companies with revenue and earnings growth rates at, or slightly greater, than that of the general economy. This differs from aggressive and traditional growth in the sensitivity to the valuation of companies bought. Growth Emerging: Emphasis is on selecting companies with very high near-term growth rates in the early stages of their life cycle. Growth Momentum: Near-term rate of change of growth in earnings is the major factor in stock selection.

8 Growth Stable: Historical growth rates and stability are the major component in security selection. Growth Value Overlay: While the major criterion for stock selection are traditional growth factors, valuation measures are explicitly factored into the decision process. Asset Class Timing: Emphasizes asset allocation timing generally between stock; cash and/or fixed income securities. Benchmark Driven: Emphasizes replicating a selected market index or benchmark in terms of risk, and attempts to add incremental return to the benchmark or index. Derivative Based: Emphasizes investment using derivative securities, such as options and index futures. Indexed: Attempts to replicate the returns of a selected market index/benchmark. Enhanced Index: Focuses on controlling and minimizing tracking error relative to a selected index. A secondary focus may be an attempt to add a small incremental return. Equitized Market Neutral: Strategy that invests both long and short in equities in an attempt to neutralize market risk as well as other factors. EQUITY Cont. Market Neutral: Strategy that invests both long and short in equities in an attempt to neutralize market risk as well as other factors. Long Biased Long/Short - Other: Emphasizes structured (risk-controlled) strategies, investment in derivatives, or single sectors of the stock market. Country/Currency Rotation: Attempts to add value by varying country and currency allocation in an international or global equity portfolio. Country/Regional Emphasis: Portfolio emphasis is on equity securities issued from a particular country or geographic region. Eclectic/Market Oriented: The major criteria in portfolio creation is sector weighting, asset allocation, thematic rotation or concentrated individual stock selection Stock Picker Concentrated: An eclectic analytical process is followed, with no particular investment style or process having a continuing impact on security selection, often resulting in a concentrated portfolio (20 or fewer securities). Sector Rotation: Emphasizes sector selection, weighting and timing as dictated by economic or market analysis as opposed to individual stock analysis. Sector Specific: Emphasizes security selection within a particular market sector Thematic: Emphasizes investment based upon themes, which are based upon market trends or macroeconomic environment.

9 FIXED INCOME Active Duration: Attempts to add value by varying the portfolio duration in a restricted fashion in anticipation of changes in interest rates. Benchmark Driven: Emphasizes replicating a selected market index or benchmark in terms of risk, and attempts to add incremental return to the benchmark or index. Convertible Emphasis: Invests primarily in convertible securities. Convertible securities are fixed income securities, which can be exchanged at the owner s discretion into shares of common stock. Corporate Emphasis: Invests primarily in corporate fixed income securities. Country/Currency Emphasis: Attempts to add value by varying country and currency allocation. Country/Regional Emphasis: Portfolio emphasis is on issues from a particular country or geographic region. Derivatives Emphasis: Attempts to add value primarily through the use of derivative contracts and exposures gained or hedged through the use of these contracts Duration Neutral: Attempts to add value while matching the duration of a selected index. Enhanced Index: Focuses on controlling and minimizing tracking error relative to a selected index. A secondary focus may be an attempt to add a small incremental return. Fundamental - Bottom Up: Investment style is primarily influenced by an analysis of company/security specific factors such as balance sheet or cash flow analysis for a corporate entity or structure or collateral analysis for a structured security. Governments/Agency Emphasis: Maintaining the highest quality portfolio relying on U.S. government backed securities including treasuries, agency issues and mortgage backed securities guaranteed by federal agencies. High Yield: Invests primarily in below investment grade bonds. High yield bonds are those bonds with significant credit risk (rated below BBB-). Indexed: Attempts to replicate the returns of a selected market index/benchmark. Industry Rotation: Attempts to add value primarily through the selection of industries. Macro - Top Down: Investment style is primarily influenced by an analysis of macroeconomic fundamentals and/or industry economic trends. Mortgage-Backed Emphasis: Invests primarily in mortgage-backed fixed income securities. Includes all Pass Thru's and CMO's. Municipals: Invests primarily in tax-exempt bonds issued by state or local government entities. Sector Rotation: Attempts to add value primarily through selection of sectors with minimal emphasis on interest rate timing. Stable Value: Invests primarily in traditional or synthetic guaranteed investment contracts (GIC's). Valuation and returns are based on book value accounting standards producing very low volatility of returns. Synthetic GIC: Primarily holds synthetic GIC contracts.

10 FIXED INCOME Con t Traditional GIC: Primarily holds traditional GIC contracts BALANCED/TAA Active Security Selection: Attempts to add value by adjusting individual security weights within a particular asset class or country market Benchmark Driven: Explicitly considers benchmark allocation, risk and return in the investment decision process Bond Emphasis: The strategy relies on the active management of risks within the bond component as the primary source of value added Equity Emphasis: The strategy relies on the active management of risks within the equity component as the primary source of value added Income Emphasis: The strategy seeks income (rather than capital appreciation) opportunities as the primary source of added value Indexed: Market allocations are made to portfolios representing particular asset class or country market indices. Tactical Asset Allocation: Income and capital appreciation are dual goals for funds in this objective. Often used are a flexible combination of stocks, bonds, and cash, which may shift frequently. INTERNATIONAL EQUITY STOCK SELECTION METHODS Active Country / Active Stock: Attempts to add value through both active stock selection and active country allocations (and currency allocations) versus the benchmark Active Country / Passive Stock: Attempts to add value by varying country (and currency) allocation in an international equity portfolio. Momentum: Near-term rate of change of growth in earnings is the major factor in stock selection. Other: Other type of stock selection method, not currently defined above. Passive Country / Active Stock: Attempts to add value through active stock selection while keeping country allocations in line with the benchmark. Passive Country / Passive Stock: Aims to keep country and stock allocations in line with that of the benchmark.