Publicado nas Atas da 8th International Conference da

Portuguese Finance Network, Univ. Algarve, 2014

Mutual Funds Performance Dispersion and Persistence

José Soares da Fonseca * Pedro Godinho**

Abstract

This article uses two types of daily time-varying Treynor ratios to compare the
performance of four categories of European mutual funds that invest in stocks. One of
those Treynor ratios is based on the original Capital Asset Pricing Model (CAPM),
while the other is based on the Lower Partial Moments (LPM) approach, thus
considering the possibility that investors may weight more heavily the losses than the
gains, with reference to their target return. The cross-section dispersion measure of the
daily Treynor ratios is analysed, both for the overall sample and for two sub-samples, in
order to analyse the evolution of the performance differences between those funds,
along time and across different states of the financial markets. Finally, an analysis of the
persistence of Treynor ratios is performed, based on a ranking of the funds according to
their annual and quarterly performance. We find persistence in the Treynor ratios
calculated by both methods and, for most categories, this persistence is higher for an
annual time period.
* Faculty of Economics, University of Coimbra and GEMF. Email: jfonseca@fe.uc.pt
** Faculty of Economics, University of Coimbra and GEMF. Email: pgodinho@fe.uc.pt

1 Introduction

The present article uses two types of time-varying Treynor ratios to evaluate and
compare the performance of four groups of European mutual funds with stock
portfolios. One of those Treynor ratios is based on the original Capital Asset Pricing
Model (CAPM) developed by Sharpe (1964), similarly to those initially proposed by
Treynor (1965). CAPM includes the assumptions that security returns are normally
distributed and that investors utility functions weight equally the return distribution
above and below the expected return. The possibility that investors utility functions
weight more heavily the losses than the gains relatively to their target return is taken
into consideration by the Lower Partial Moments (LPM) approach proposed by Bawa
and Lindberg (1977). This is the alternative asset pricing model used in the present
paper to calculate Treynor ratios. The reason for calculating these two alternative types
of performance measures is twofold: 1) to determine if they give the investor different

1
suggestions about selectivity opportunities and 2) to verify if the pattern of performance
persistence similar in both models. The rest of the paper is organized as follows. Section
2 presents methodology, Section 3 presents data and empirical results, and Section 4
concludes.

2 Methodology

The Capital Asset Pricing Model and the Lower Partial Moments model are used
in the present paper to estimate beta coefficients of eighty European equity funds, with a
European index playing the role of market portfolio. The market-timing hypothesis,
proposed by Treynor and Mazuy (1966) is also taken into consideration in this paper’s
empirical analysis. According to the empirical evidence provided by these authors, the
professional managers of mutual funds are usually successful in anticipating the major
turns in the stock market. Henriksson and Merton (1981) define market timing as the
ability to forecast when the stock market outperforms the bond market. The
market-timing ability of a mutual fund manager is put in evidence by changes of the
fund’s beta parameter, according to the stock market conditions. Additionally, when
betas are time-varying, it becomes possible to calculate a dynamic performance
measure, given by time-varying Treynor ratios, which increases the flexibility of funds
management. Treynor ratios, originally proposed by Treynor (1965) to evaluate funds
performance by unit of systematic risk, are analysed in order to obtain the following
information: 1) the identification of the best performing funds at each period; 2) the
identification of the persistence of the best performing funds, along different periods.
This comparative analysis is complemented by the calculation of Cross Section
Dispersion Measures (CSDM) of the Treynor ratios. The statistical analysis of the
CSDM time series provides evidence on the evolution of the performance differences
between those funds, along time and across different states of the financial markets.

The Lower Partial Moments approach used in the present article, as a

complement of the Capital Asset Pricing Model, is to statistical moments what semi-
variance is to variance, and it offers the advantage of not requiring the assumption of the
normal distribution of returns, as it is the case of CAPM. However, the LPM approach
is limited by the assumption that investors are concerned exclusively with the returns
below the target return. The main difference in the utility function assumptions of the
CAPM and the LPM, is that the CAPM utility functions imply risk minimization in all

2
the return spectrum, which can be represented by the following quadratic utility
function:

U  a  bR  cR2 (1)

where a, b, c>0, and the asset or porfolio’s return being R<b/2c. In LPM utility
functions, by the contrary, risk aversion only exists relatively to the returns segment
below the target, which becomes the only returns segment which is relevant for risk
minimizing purposes. Thus, under the quadratic utility function hypothesis, the LPM
based utility function takes the following representation:

U  a  bR  c    R  for R   (2)
2

and

U  a  bR for R   (3)

The CAPM representation under the market-timing hypothesis is:

Et  Ri   rf ,t  i,t  Zt   Et  RM   rf ,t  (4)

where Et(Ri) is the expected return of asset i on period t, Et(RM) is the expected return of
the market portfolio, during the same period, and rf,t is the risk free interest rate. The
beta parameter depends on the variable Zt, which provides information on market-
timing, through the following linear relation:

i,t  Zt   0  1Zt (5)

Under the Treynor and Mazuy approach to market-timing, which is used in the
present paper, the beta parameter varies with the market portfolio excess return, i.e.:

Zt  RM ,t  rf ,t (6).

The LPM asset pricing model representation is:

 LPM 
Et  Ri   rf ,t  i ,t  Zt   Et  RM   rf ,t  (7)

where

3
  LPM 
 Et  RM   r f ,t 
   Et  RM   r f ,t if Et  RM   rf ,t   (8)

and
 LPM 
 Et  RM   rf ,t 
   0 if Et  RM   rf ,t   (9)

In the present paper the target return taken into consideration on the LPM
estimations is a moving average of the market portfolio’s excess return calculated over
the past 250 days. This approach is suitable to identify bearish and bullish management
behavior, through the parameters estimators, which measure the fund’s sensitivity to the
market portfolios returns below the target. There is not a consensus in literature about
the ability of LPM to represent an effective alternative to CAPM. In fact, while
Jahankhani (1976) considers that there is no significant difference between the models
Price et al. (1982) have an opposite point of view, which enhances the differences
between the beta parameters estimated with both models. This discussion will be taken
into consideration in the present paper, in the comparison between the parameters
estimated by both models.
The testable version of the CAPM is:

Ri*,t  i  0 RM* ,t  1  RM* ,t    i ,t (10)

2

where R*i,t = Ri,t -rf,t is the ex post excess current return of portfolio i, R*M,t = RM,t -rf,t is
the ex post excess current return of the market portfolio. The LPM testable version can
also be represented by this equation, defining R*M,t=0 whenever RM,t-rf,t>π. The
empirical versions of these models also give as output the  parameter, which,
according to Jensen (1968) provides information on how the manager's forecasting
ability contributes to the fund's returns. The estimation of CAPM and LPM empirical
models is followed by the calculation of Treynor ratios, which were proposed by
Treynor (1965) to evaluate funds performance, and are given by the following relation
between excess return and beta parameters:

Et  Ri   rf ,t
Ti  (11)
 i ,t

4
 The original Treynor ratios calculated with constant betas have limited ability to
make intertemporal performance comparisons. In the present article, by the contrary, the
use of the market-timing approach to beta estimation allows the calculation of time-
varying Treynor ratios which are permanently adapted to the changes in stock markets
conditions. Additionally, in the present paper, the time-varying Treynor ratios were
calculated using the ex-post returns, as represented below:

Ri.t  rf ,t
Ti ,t  (12)
 i ,t

which provides a series of performance measures of the mutual funds under analysis,
and allows a more robust comparison between them. The comparison between the
Treynor ratios of this group of mutual funds includes: 1) their basic statistics (i.e., mean,
standard deviation, maximum and minimum); 2) The calculation of a Cross-Section
Dispersion Measure between the Treynor ratios of each group of funds; 3) The analysis
of performance persistence.
The Cross-Section Dispersion Measure proposed by Solnik and Roullet (2000),
initially to be applied to stock returns, varies inversely with instantaneous average
correlation, and so provides information regarding dynamic correlation. This measure,
applied in this paper, is represented by the variance across the fund group Treynor
ratios, and was calculated daily. Its representation, referred to each period t, is given by
the following expression:

 
N
CSDM t   Ti ,t  T t (13)
i 1

where T t is the average Treynor ratio over period t. The statistical analysis of the series
of the CSDM, through different subsamples of the period under analysis, gives
information regarding the intertemporal evolution of the proximity of the performance
of the funds under analysis.

The issue of performance persistence has been analysed by several authors, with
different results. To perform such an analysis, a measure of performance is calculated
for the funds, usually a measure of the abnormal return, and mutual funds are ranked

5
according to this measure. Afterwards, an analysis is made concerning the performance
of the funds in the following periods, in order to find out if funds ranked higher tend to
perform better afterwards. Brown and Goetzman (1995) consider fund returns measured
by changes in the net asset value per share. The authors find performance persistence
when considering a broad sample of US funds, and show that it is robust to adjustments
for risk. The authors also conclude that much of the persistence is due to funds that
repeatedly lag the benchmark. Carhart (1997) considers mutual fund portfolios formed
according to the respective performance in the previous year. The author concludes that
common factors in stock returns, like size, book-to-market equity and momentum, as
well as investment expenses, almost completely explain the persistence in mutual funds
returns. Cortez et al. (1999) consider the Portuguese mutual funds investing in the
domestic market, considering quarterly periods of analysis. The authors apply several
different tests and finding little evidence of performance persistence. Ibbotson and Patel
(2002) consider U.S. mutual funds investing in the domestic market, and try to assess
the existence of performance persistence after adjusting for the corresponding
investment style. The authors conclude that winning funds repeat good performance and
that the highest persistence is found in the best ranked funds, according to the abnormal
return. Bollen and Busse (2004) consider performance persistence over different time
periods. When they rank the funds based on the quarterly risk-adjusted return and
analyse the posterior performance, they find evidence of persistence. However, when
the authors increase the length of time over which risk-adjusted returns are measured,
they get no evidence of persistence, leading the authors to suggest that persistence is a
short-lived phenomenon.

Most of the studies in performance persistence consider a measure of the

abnormal return. In this paper we will take a different view, we will analyse the
persistence in the Treynor ratios, considering the CAPM and LPM models that we have
been using. The persistence analysis is developed using a Bayesian approach that
calculates the probability of a fund belonging to a given performance segment, at period
t, given that is was at that segment during period t-1.

We must note that the persistence of Treynor ratios may not be equivalent to the
classical notion of performance persistence. In fact, a fund with low systematic risk will
tend to have either very high or very low values of the Treynor ratio, so it will tend to

6
be in the higher or in the lower quantiles of the distribution of Treynor ratios. So, the
fact that there is persistence in the funds that compose the higher or the lower quantiles
of this distribution may be related to specific characteristics of the funds, like the
systematic risk of the fund, instead of meaning that managers of such funds
systematically outperform or underperform the competitors. Still, we believe that such
an analysis of the persistence of Treynor ratios is interesting for several reasons. On the
one hand, if we consider the 50% quantile, then we can broadly assume that persistence
in Treynor ratios means that managers with above-median performance in a given
period tend to repeat such above-median performance in the next period, and the
distortions caused by specific characteristics of the funds will no longer have a
significant impact. On the other hand, if the Treynor ratio is assumed to be the relevant
performance measure for some investors, then it will be relevant to determine if there
seems to be persistence in that measure, even if we know that such persistence may be
due to specific fund characteristics.

In order to assess whether the time period considered in the analysis may be
relevant to the persistence in Treynor ratios, we considered two different periods: a year
and a quarter of an year. The analysis was based on daily Treynor ratios, which were
calculated using the CAPM and the LPM approaches. Two methods were used for the
analysis. The first one was based on the ranking of the funds, according to their Treynor
ratios, for each period of analysis. It consisted on calculating the average of daily
Treynor ratios over each period of analysis, and then comparing how the quantiles to
which each fund belonged, in the Treynor ratio-based ranking, evolved from one period
to the next. Particularly, we calculated the percentage of funds in the top quartile that
were also in the top quartile in the next period; the percentage of funds in the bottom
quartile that were also in the bottom quartile in the next period; and finally the
percentage of above-median funds that were also above-median in the next period.

The second method was based on a daily ranking of funds according to Treynor
ratios, and it consisted on determining if the funds that appeared most frequently in
given quartiles in a period also appeared more frequently in the same quartiles in the
following period. Particularly, we analysed the percentage of the 25% funds appearing
more frequently in the top quartile in a period that were also in the 25% funds more
frequently in the top quartile in the following period; the percentage of the 25% funds
appearing more frequently in the bottom quartile in a period that were also in the 25%

7
funds more frequently in the bottom quartile in the following period; the percentage of
the 50% funds having more frequently above-median daily Treynor ratios in a period
that were also in the 50% funds having more frequently above-median daily Treynor
ratios in the following period.

3 Data and empirical results presentation

The empirical analysis of the present paper uses market values of eighty equity
mutual funds of four categories, twenty of each category, the European Overnight
Interest Average (EONIA), which represents the risk-free interest rate, and the Europe
MSCI index, which plays the role of market portfolio. The database begins at the 2nd
January 2007 and ends at the 31st December 2013, comprising 1828 observations of
each variable. Mutual fund categories were based on the Morningstar classification. The
four mutual funds categories are the large capitalization – value category, the large
capitalization – growth category, the large capitalization – mixed category, and the
small capitalization category, which will hereinafter will be represented by FLCV,
FLCG, FLCM and FSCAP, respectively. In order to ensure complete comparability and
avoid possible tax-related differences in performance, it was decided to use funds based
on a single country. Since Luxembourg was the country in which a larger number of the
considered funds were based, only funds based in this country and priced in euros were
considered. The fund prices from the beginning of 2007 to the end of 2013 were
collected from Datastream. Funds without prices for the whole period were not
included.
A preliminary analysis of the daily fund returns was performed, which led to the
conclusion that different funds from the same issuer often had highly correlated returns.
To avoid comparing such highly correlated funds, it was decided to choose 20 funds in
each category, and using funds from different issuers when possible. In the case of the
large capitalization – mixed category, it was possible to find 20 eligible mutual funds
from different issuers, but for the other categories there were less than 20 eligible funds
from different issuers. So, for these other categories, we picked two funds from some
issuers, in order to get a total 20 funds, taking care to ensure that the funds chosen from
the same issuer did not have highly correlated returns.

8
 The basic statistics of the excess return (mean, standard deviation, minimum and
maximum) of all funds are shown in the Table I. The average values of the mean excess
return and the standard deviation of each fund category are also presented in Table I.
According to these statistics there are no significant differences between the standard
deviation of the excess return of the four fund categories. By the contrary, the mean
values show clear differences. More specifically, the mean excess return of the large
capitalization – value funds are clearly below the mean excess return of the other three
categories.
(INSERT TABLE I ABOUT HERE)

The results of the CAPM estimations, given by Table II, show that the
parameter is not significantly different from zero in the major part of the cases. These
results do not necessarily mean lack of forecasting ability of the fund managers. In fact,
as Jensen (1972) underlined, the use of a market timing strategy reduces the explanatory
power of the parameter, which may even become negative. The 0estimators are
positive and significantly different from zero in all the estimations. The 1 estimators
are not significantly different from zero in a certain number of cases, but they are
negative and significantly different from zero in a well representative number of CAPM
estimations. This result shows that frequently the funds sensitivity to the market
portfolio returns varies inversely with the market conditions, which can be considered
as an evidence of a bearish behavior during the period under study. The results of the
LPM estimations are given in Table III. In the LPM estimations, all the and beta
estimators, 0 and 1, are positive and significantly different from zero. The results
concerning the parameters are a natural consequence of the characteristics of the
explanatory variable in the model, which only represents the market returns which are
below the moving average. The fact the 1 estimators are positive and significantly
different from zero can be considered as providing evidence that funds managers follow
attentively the market and that change positively their funds sensitivity, when the
market return is below the target ad shows from positive changes

(INSERT TABLES II AND III ABOUT HERE)

The mean values of the Treynor ratios, sorted by value decreasing order, are
shown in the Table IV. The funds order, within each category, according to the Treynor

9
ratio value, is different between the CAPM based Treynor ratios and the LPM based
Treynor ratios, and this difference is observed in the four fund categories. This means
that an investor with a CAPM utility function and an investor with a LPM utility
function, make different portfolio choices within each fund category.

(INSERT TABLE IV ABOUT HERE)

The Cross Section Dispersion Measure of the Treynor ratios, within each fund
category, showed different patterns between the subsample 2007-2009 and the
subsample 2010-2013. The CSDM values are higher in the first subsample than in the
second. This result is observed for all fund categories, and both for CAPM-based and
LPM-based Treynor ratios. This pattern difference is shown by the CSDM mean values,
given by Table V, and also by their graphical representations in Charts I to VIII. Chart
IX, representing the Europe Index series, shows that the period between 2007 and 2009
was dominated by a downward trend in stock prices, while the opposite trend in equity
prices was observed during the years between 2010 and 2013. Thus, the performance
dispersion within each of these four groups of funds, have been higher during the
downward phases of the European stock market than during its upward phases.

(INSERT TABLE V ABOUT HERE)

(INSERT CHARTS ABOUT HERE)

The results of the persistence analysis are shown in Tables VI and VII. If there
was neither performance persistence nor anti-persistence, we would expect the
percentage of funds that stay in the same segment in two consecutive periods to be close
to 25% for the top and bottom quartiles and close to 50% for the above-median values.
Looking at Tables VI and VII we realize that the values presented in these tables are, in
the large majority of cases, above those non-persistence reference values. This means
that there is clear evidence of persistence in the values of Treynor ratios.

(INSERT TABLES VI AND VII ABOUT HERE)

Comparing the persistence found in the different models, we can see that the
LPM model tends to lead to higher persistence in the top quartile, while the CAPM
usually leads to higher persistence in the above median segment. For the bottom
quartile, the average values of the Treynor ratio (Table VI) do not allow us to reach a
10
clear conclusion, but the analysis based on the frequency of the presence in the different
segments (Table VII) indicates higher persistence when the LPM model is used.
Looking at the persistence found for periods of different length, we can see that,
for the large capitalization categories, persistence is usually higher when annual periods
are considered. In fact, for these categories, the analysis based on the average values of
the Treynor ratio (Table VI) always shows higher persistence for annual values, while
the analysis based on the frequency of the presence in the different segments (Table
VII) shows higher persistence for annual periods in most of the cases. In the case of the
small capitalization category, we cannot find a consistent pattern that allows us to
conclude that persistence is higher for either annual or quarterly periods of analysis.

Conclusions

This article analyzed and compared the performance of European mutual funds with
equity portfolios of four categories, resorting to two different types of daily Treynor
ratios: Treynor ratios based on the CAPM and Treynor ratios based on the LPM
approach, both taking market timing into account. The first conclusion of the empirical
analysis of the present paper is that these two methods lead to different portfolio choices
by the investors. The second conclusion is that the performance dispersion between the
funds of each category is higher during downward periods of the financial market than
during the upward periods. We also conclude that investors seeking to maximize the
Treynor ratio should look at the past performance of the funds concerning this measure,
since we found clear evidence of persistence in the values of these ratios. Additionally,
we may point out that persistence usually seems to be stronger when annual periods of
analysis are used, and less strong when analysis is based on quarterly periods. This
result suggests that an analysis based on annual periods is less subject to random
factors, occurring on specific periods, than an analysis based on small time periods.

11
References

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Sharpe, W. (1964). "Capital Asset Prices – A Theory of Market Equilibrium Under
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13
 Table I –Excess return basic statistics
a) Funds Large Caps Value

Fund Mean Std. Error Minimum Maximum

FLCV1 -0.000030 0.016394 -0.107909 0.100432
FLCV2 -0.000052 0.016371 -0.108770 0.100061
FLCV3 -0.000012 0.016427 -0.108536 0.100642
FLCV4 0.000157 0.014435 -0.102383 0.093224
FLCV5 0.000108 0.014438 -0.101870 0.093346
FLCV6 -0.000005 0.015086 -0.086919 0.106123
FLCV7 0.000012 0.012779 -0.108524 0.078338
FLCV8 -0.000151 0.018744 -0.098178 0.139119
FLCV9 0.000122 0.010738 -0.065949 0.068667
FLCV10 0.000030 0.013405 -0.086190 0.082680
FLCV11 -0.000053 0.014015 -0.078334 0.097491
FLCV12 0.000025 0.013914 -0.078331 0.096226
FLCV13 0.000151 0.014718 -0.111577 0.100171
FLCV14 -0.000015 0.013054 -0.078234 0.074750
FLCV15 -0.000083 0.012983 -0.060750 0.076858
FLCV16 -0.000019 0.013012 -0.096177 0.078194
FLCV17 -0.000008 0.015754 -0.092831 0.104319
FLCV18 0.000106 0.012765 -0.113931 0.093478
FLCV19 0.000038 0.014030 -0.085008 0.100686
FLCV20 -0.000185 0.012915 -0.108645 0.078346
Average 0,000007 0.014299

14
 b) Funds Large Value- Growth

Fund Mean Std. Error Minimum Maximum

FLCG1 0.000340 0.012663 -0.088889 0.072244
FLCG2 0.000242 0.012030 -0.086896 0.076203
FLCG3 0.000273 0.012065 -0.087391 0.076419
FLCG4 0.000210 0.011624 -0.062808 0.090264
FLCG5 0.000006 0.009679 -0.072676 0.046995
FLCG6 0.000158 0.011915 -0.059031 0.080289
FLCG7 0.000133 0.011944 -0.058765 0.079920
FLCG8 0.000151 0.015242 -0.093619 0.119655
FLCG9 0.000069 0.011773 -0.081013 0.061126
FLCG10 0.000126 0.011759 -0.080915 0.060890
FLCG11 0.000116 0.011573 -0.071208 0.075369
FLCG12 0.000098 0.011574 -0.071214 0.076678
FLCG13 0.000025 0.013185 -0.075226 0.103232
FLCG14 0.000258 0.013803 -0.091158 0.113120
FLCG15 -0.000001 0.013379 -0.092372 0.094969
FLCG16 0.000181 0.013283 -0.093752 0.098380
FLCG17 0.000177 0.014242 -0.318615 0.100578
FLCG18 0.000234 0.009722 -0.058919 0.076562
FLCG19 0.000235 0.012104 -0.058143 0.080034
FLCG20 0.000054 0.010078 -0.065129 0.108668
Average 0.000154 0.012182

15
 c) Funds Large Caps Mix

Fund Mean Std. Error Minimum Maximum

FLCM1 0.000015 0.013400 -0.096094 0.102783
FLCM2 0.000176 0.013376 -0.097580 0.084845
FLCM3 0.000071 0.013438 -0.081027 0.105043
FLCM4 0.000138 0.013699 -0.083536 0.111139
FLCM5 -0.000031 0.013491 -0.093083 0.075175
FLCM6 0.000097 0.014915 -0.085794 0.107030
FLCM7 0.000175 0.013113 -0.097984 0.085973
FLCM8 -0.000058 0.014407 -0.079600 0.099293
FLCM9 0.000077 0.013469 -0.090905 0.089239
FLCM10 0.000147 0.013994 -0.096813 0.118269
FLCM11 0.000113 0.011984 -0.092245 0.076562
FLCM12 0.000108 0.013489 -0.077920 0.104016
FLCM13 -0.000025 0.013879 -0.077717 0.094127
FLCM14 0.000080 0.013878 -0.078338 0.099527
FLCM15 0.000048 0.013910 -0.079144 0.106902
FLCM16 0.000074 0.013701 -0.120542 0.105382
FLCM17 0.000072 0.014403 -0.086857 0.115644
FLCM18 0.000107 0.013479 -0.078917 0.083737
FLCM19 0.000117 0.009516 -0.061228 0.078408
FLCM20 0.000148 0.010495 -0.048754 0.060738
Average 0.000082 0.013302

16
 d) Funds Small Caps
Fund Mean Std. Error Minimum Maximum
FSCAP1 0.000216 0.013047 -0.076586 0.095221
FSCAP2 -0.000045 0.009576 -0.053237 0.055605
FSCAP3 -0.000055 0.013216 -0.077885 0.079862
FSCAP4 0.000132 0.012061 -0.068962 0.063941
FSCAP5 0.000140 0.010391 -0.068142 0.063118
FSCAP6 0.000261 0.009732 -0.059801 0.051394
FSCAP7 0.000252 0.011892 -0.065448 0.057646
FSCAP8 0.000200 0.015224 -0.147399 0.161650
FSCAP9 0.000036 0.012340 -0.073553 0.064376
FSCAP10 0.000117 0.012718 -0.071750 0.074806
FSCAP11 0.000051 0.013023 -0.077569 0.079102
FSCAP12 0.000105 0.012736 -0.077347 0.065744
FSCAP13 0.000009 0.010724 -0.059293 0.055876
FSCAP14 -0.000291 0.023011 -0.798745 0.070977
FSCAP15 -0.000071 0.014085 -0.148301 0.071037
FSCAP16 0.000162 0.012123 -0.064630 0.073696
FSCAP17 0.000101 0.011367 -0.079936 0.066321
FSCAP18 0.000176 0.011388 -0.079687 0.066817
FSCAP19 0.000191 0.014423 -0.072883 0.069814
FSCAP20 0.000133 0.012339 -0.065851 0.056760
Average 0.000091 0.012771

17
 Table II: CAPM with market timing parameters estimators
(Standard error within brackets)
a) For Large capitalization – Value funds
 β0 β1 Adj. R2
***
0.00006 0.96363 -0.40961 0.65583
(0.00023) (0.01647) (0.40895)
0.00004 0.95333*** -0.41142 0.64372
(0.00024) (0.01673) (0.41548)
0.00008 0.96352*** -0.42353 0.65306
(0.00024) (0.01657) (0.41141)
0.00038* 0.84239 ***
-1.08339*** 0.64667
(0.00021) (0.01469) (0.36484)
0.00033 0.84089*** -1.1008*** 0.64412
(0.00021) (0.01475) (0.36623)
0.00011 1.04847*** -0.47783*** 0.91789
(0.00010) (0.00744) (0.18454)
***
0.00031 0.72785 -1.51602*** 0.61749
(0.00019) (0.01353) (0.33605)
-0.00024 1.21363*** 0.51662 0.80174
(0.00021) (0.01433) (0.35549)
0.00031** 0.6654*** -0.90445*** 0.72935
(0.00013) (0.00957) (0.23753)
***
0.00023 0.85878 -0.9874*** 0.77932
(0.00016) (0.01078) (0.26777)
-0.00007 0.96903*** 0.21041 0.90916
(0.00010) (0.00723) (0.17961)
0.00002 0.96666*** 0.1479 0.91774
(0.00010) (0.00683) (0.16968)
***
0.00013 0.95175 0.17395 0.79501
(0.00016) (0.01141) (0.28334)
0.00023 0.85168*** -1.21373*** 0.80876
(0.00014) (0.00978) (0.24274)
0.00027 0.75878*** -1.75843*** 0.65087
(0.00019) (0.01314) (0.32619)
***
0.00024 0.78353 -1.29749*** 0.68917
(0.00018) (0.01242) (0.30846)
-0.000035 1.11121*** 0.26686* 0.94628
(0.00009) (0.00625) (0.15526)
0.00040* 0.66105*** -1.50507*** 0.51067
(0.00022) (0.01529) (0.37969)
***
0.00009 0.92294 -0.24568 0.82336
(0.00015) (0.01014) (0.25158)
0.00015 0.72819*** -1.48129*** 0.60273
(0.00021) (0.01404) (0.34824)
*** Significant at the 1% level ** Significant at the 5% level * Significant at the 10% level

18
 Table II (cont.): CAPM with market timing parameters estimators
(Standard error within brackets)
b) For Large capitalization – growth funds
 β0 β1 Adj. R2
** *** **
0.00058 0.46249 -1.18782 0.25386
(0.00027) (0.01873) (0.46510)
*** ***
0.00052 0.69385 -1.42668*** 0.63306
(0.00018) (0.01248) (0.30987)
0.00055*** 0.693*** -1.39607*** 0.62779
(0.00018) (0.01260) (0.31298)
0.00028* 0.73495*** -0.31953 0.75874
(0.00014) (0.00983) (0.24386)
*** ***
0.00039 0.61102 -1.95548*** 0.76401
(0.00012) (0.00805) (0.19992)
0.00032*** 0.81197*** -0.7437*** 0.88181
(0.00010) (0.00701) (0.17418)
0.00029*** 0.8131*** -0.7307*** 0.88002
(0.00010) (0.00708) (0.17591)
***
0.00018 1.02001 0.08504 0.85199
(0.00017) (0.01009) (0.25030)
0.00039** 0.67211*** -1.60016*** 0.62125
(0.00018) (0.01241) (0.30806)
0.00045** 0.67227*** -1.61973*** 0.62311
(0.00018) (0.01236) (0.30695)
*** ***
0.00046 0.65842 -1.73914*** 0.61791
(0.00018) (0.01225) (0.30416)
0.00044** 0.65971*** -1.72018*** 0.62007
(0.00018) (0.01222) (0.30333)
0.000053 0.91211*** -0.0458 0.90942
(0.00010) (0.00679) (0.16873)
***
0.00032 0.76926 -0.24104 0.58952
(0.00022) (0.01514) (0.37603)
-0.00001 0.92303*** 0.15763 0.90508
(0.00010) (0.00706) (0.17526)
0.00002 0.90596*** 0.95707*** 0.88794
(0.00011) (0.00761) (0.18906)
***
0.00013 0.6248 0.31058 0.36569
(0.00028) (0.01942) (0.48230)
0.00034*** 0.6207*** -0.45425** 0.77267
(0.00011) (0.00799) (0.19809)
0.00030** 0.80943*** -0.25585 0.84933
(0.00012) (0.00804) (0.19977)
***
0.00013 0.64877 -0.33983* 0.78679
(0.00012) (0.00797) (0.19787)
*** Significant at the 1% level ** Significant at the 5% level * Significant at the 10% level

19
 Table II (cont.): CAPM with market timing parameters estimators
(Standard error within brackets)
c)For Large capitalization –– mixed funds
 β0 β1 Adj. R2
0.00047* 0.59188*** -2.36522*** 0.37617
(0.00026) (0.01812) (0.45003)
0.00037* 0.79022*** -0.91088*** 0.66264
(0.00019) (0.01330) (0.33034)
0.00008 0.94385*** 0.07051 0.93781
(0.00008) (0.00574) (0.14250)
0.00015 0.78423*** 0.0306 0.62256
(0.00021) (0.01441) (0.35785)
0.00025 0.6456*** -1.42124*** 0.43574
(0.00025) (0.01735) (0.43091)
0.00024** 1.03705*** -0.65133*** 0.91807
(0.00011) (0.00731) (0.18152)
0.00052* 0.51677*** -1.77866*** 0.29765
(0.00027) (0.01882) (0.46727)
0.000005 1.01732*** -0.22389 0.94720
(0.00008) (0.00567) (0.14077)
0.00032* 0.81259*** -1.21101*** 0.69145
(0.00018) (0.01281) (0.31813)
0.00016 0.78848*** 0.02379 0.60305
(0.00022) (0.01510) (0.37489)
0.00032* 0.71408*** -0.99476*** 0.67432
(0.00017) (0.01171) (0.29080)
0.00013 0.94606*** -0.02928 0.93488
(0.00009) (0.00589) (0.14636)
-0.00006 0.70716*** 0.22355 0.49549
(0.00025) (0.01694) (0.42005)
0.00008 0.98047*** 0.09437 0.94887
(0.00008) (0.00537) (0.13343)
0.00006 0.97609*** 0.05758 0.93608
(0.00009) (0.00602) (0.14953)
0.00033 0.71439*** -1.2771*** 0.51672
(0.00024) (0.01631) (0.40498)
0.00012 0.997*** -0.14509 0.91044
(0.00011) (0.00738) (0.18327)
0.00015 0.92767*** -0.11343 0.89999
(0.00016) (0.00730) (0.18125)
0.00014* 0.64331*** -0.06396 0.86834
(0.00009) (0.00591) (0.14682)
0.00027 0.70366*** -0.56248*** 0.85349
(0.0001) (0.00688) (0.17081)
*** Significant at the 1% level ** Significant at the 5% level * Significant at the 10% level

20
 Table II (cont.): CAPM with market timing parameters estimators
(Standard error within brackets)
d)For small capitalization funds
 β0 β1 Adj. R2
0.00058** 0.48102*** -1.8826*** 0.26153
(0.00028) (0.01920) (0.47673)
0.00039** 0.52472*** -2.2618*** 0.58244
(0.00015) (0.01065) (0.26405)
0.00032* 0.83251*** -1.98809*** 0.76023
(0.00016) (0.01112) (0.27569)
0.00041* 0.61738*** -1.3928*** 0.49887
(0.00021) (0.01462) (0.36305)
0.00052*** 0.66385*** -1.91069*** 0.78067
(0.00012) (0.00833) (0.20691)
0.00056*** 0.50519*** -1.53932*** 0.51567
(0.00017) (0.01160) (0.28797)
0.00063*** 0.68654*** -1.91079*** 0.63679
(0.00018) (0.01227) (0.30475)
0.00070** 0.57055*** -2.56481*** 0.27204
(0.00032) (0.02224) (0.55229)
0.00060** 0.42571*** -2.90985*** 0.23878
(0.00027) (0.01844) (0.45780)
0.00042*** 0.82874*** -1.48873*** 0.80756
(0.00014) (0.00955) (0.23723)
0.00048** 0.7211*** -2.17457*** 0.58667
(0.00021) (0.01434) (0.35600)
0.00050** 0.72558*** -2.01928*** 0.62017
(0.00020) (0.01344) (0.33374)
0.00036** 0.64267*** -1.79844*** 0.68633
(0.00015) (0.01028) (0.25539)
-0.00008 0.83033*** -1.00918 0.24651
(0.00050) (0.03420) (0.84933)
0.00021 0.85676*** -1.398*** 0.70320
(0.00019) (0.01314) (0.32628)
0.00050*** 0.74649*** -1.57502*** 0.72081
(0.00016) (0.01104) (0.27375)
0.00047** 0.54978*** -1.90951*** 0.44904
(0.00021) (0.01445) (0.35875)
0.00054*** 0.55036*** -1.88574*** 0.44811
(0.00021) (0.01449) (0.35973)
0.00061*** 0.85223*** -2.12253*** 0.66595
(0.00021) (0.01427) (0.35446)
0.00056*** 0.76738*** -2.18066*** 0.73948
(0.00016) (0.01078) (0.26779)
*** Significant at the 1% level ** Significant at the 5% level * Significant at the 10% level

21
 Table III: LPM with market timing parameters estimators
(Standard error within brackets)
a) For Large capitalization – Value funds
 β0 β1 Adj. R2
*** *** ***
0.00604 1.7444 13.57772 0.41818
(0.00034) (0.07279) (1.76117)
0.00591*** 1.70749*** 12.93106*** 0.40893
(0.00035) (0.07326) (1.77254)
0.00606*** 1.74401*** 13.56455*** 0.41653
(0.00034) (0.07304) (1.76716)
0.00517*** 1.36332 ***
7.35781*** 0.40110
(0.00031) (0.06503) (1.57328)
0.00513*** 1.3662*** 7.43893*** 0.40106
(0.00031) (0.06504) (1.57366)
0.00630*** 1.73826*** 10.41406*** 0.56950
(0.00027) (0.05761) (1.39398)
0.00439*** 1.16983 ***
5.50952*** 0.39829
(0.00028) (0.05770) (1.39602)
0.00680*** 1.86581*** 9.00335*** 0.46693
(0.00038) (0.07965) (1.92730)
0.00467*** 1.38615*** 14.00266*** 0.50679
(0.00021) (0.04390) (1.06209)
0.00557*** 1.63057 ***
14.13741*** 0.50754
(0.00026) (0.05476) (1.32489)
0.00558*** 1.53375*** 8.44078*** 0.53428
(0.00027) (0.05568) (1.34699)
0.00565*** 1.528*** 8.25867*** 0.54235
(0.00026) (0.05479) (1.32564)
0.00534*** 1.29429 ***
2.08871 0.46739
(0.00030) (0.06253) (1.51274)
0.00520*** 1.43812*** 8.69432*** 0.51797
(0.00025) (0.05276) (1.27644)
0.00463*** 1.32563*** 9.10346*** 0.41558
(0.00028) (0.05778) (1.39783)
0.00464*** 1.26025 ***
6.50772*** 0.42990
(0.00027) (0.05719) (1.38368)
0.00648*** 1.76926*** 9.86542*** 0.55941
(0.00029) (0.06087) (1.47269)
0.00396*** 0.99953*** 3.31927** 0.32492
(0.00029) (0.06106) (1.47715)
0.00513*** 1.28748 ***
2.67492* 0.49173
(0.00027) (0.05821) (1.40860)
0.00418 1.17181*** 5.63918*** 0.38818
(0.00028) (0.05879) (1.42261)
*** Significant at the 1% level ** Significant at the 5% level * Significant at the 10% level

22
 Table III (cont.): LPM with market timing parameters estimators
(Standard error within brackets)
b)For Large capitalization – growth funds
 β0 β1 Adj. R2
0.00293*** 0.63364*** 0.44456 0.16117
(0.00032) (0.06751) (1.63340)
0.00437*** 1.09331*** 4.72219*** 0.40493
(0.00025) (0.05402) (1.30701)
0.00439*** 1.09566*** 4.83879*** 0.40123
(0.00026) (0.05435) (1.31482)
0.00424*** 1.01846*** 2.08583* 0.44919
(0.00024) (0.05021) (1.21489)
0.00381*** 1.04587*** 6.19646*** 0.50325
(0.00019) (0.03971) (0.96074)
0.00510*** 1.3883*** 9.52167*** 0.54191
(0.00022) (0.04694) (1.13577)
0.00507*** 1.38882*** 9.53335*** 0.53946
(0.00023) (0.04718) (1.14154)
0.00593*** 1.48111*** 4.05448*** 0.52444
(0.00029) (0.06117) (1.48018)
0.00415*** 1.10174*** 5.71092*** 0.40068
(0.00025) (0.05305) (1.28357)
0.00420*** 1.09885*** 5.63182*** 0.40141
(0.00025) (0.05296) (1.28127)
0.00434*** 1.1971*** 8.60924*** 0.41523
(0.00025) (0.05151) (1.24633)
0.00434*** 1.20435*** 8.73816*** 0.41796
(0.00025) (0.05140) (1.24356)
0.00544*** 1.4831*** 8.61035*** 0.55076
(0.00025) (0.05144) (1.24460)
0.00505*** 1.37843*** 10.69782*** 0.36891
(0.00031) (0.06383) (1.54435)
0.00536*** 1.45381*** 7.78152*** 0.53327
(0.00025) (0.05321) (1.28723)
0.00569*** 1.58963*** 12.69548*** 0.52038
(0.00026) (0.05355) (1.29555)
0.00455*** 1.45709*** 19.57775*** 0.24223
(0.00035) (0.07217) (1.74605)
0.00389*** 0.98112*** 4.6832*** 0.48196
(0.00020) (0.04073) (0.98546)
0.00525*** 1.43166*** 10.80207*** 0.52742
(0.00023) (0.04844) (1.17188)
0.00356*** 0.8759*** 1.34977 0.45897
(0.00021) (0.04315) (1.04402)
*** Significant at the 1% level ** Significant at the 5% level * Significant at the 10% level

23
 Table III (cont.): LPM with market timing parameters estimators
(Standard error within brackets)
c)For Large capitalization –– mixed funds
 β0 β1 Adj. R2
0.00342*** 0.84429*** 1.06474 0.24578
(0.00032) (0.06774) (1.63898)
0.00493*** 1.31061*** 7.94066*** 0.40907
(0.00029) (0.05985) (1.44809)
0.00560*** 1.51254*** 8.66393*** 0.55498
(0.00025) (0.05218) (1.26251)
0.00504*** 1.29187*** 5.26311*** 0.44468
(0.00028) (0.05943) (1.43771)
0.00411*** 1.16563*** 8.04122*** 0.29648
(0.00032) (0.06587) (1.59370)
0.00618*** 1.63375*** 8.10076*** 0.55943
(0.00027) (0.05763) (1.39424)
0.00332*** 0.8196*** 2.99692* 0.20126
(0.00033) (0.06822) (1.65049)
0.00595*** 1.63125*** 8.83374*** 0.57607
(0.00026) (0.05461) (1.32114)
0.00497*** 1.33632*** 7.52721*** 0.43429
(0.00028) (0.05897) (1.42678)
0.00499*** 1.37443*** 9.94106*** 0.37294
(0.00031) (0.06451) (1.56063)
0.00437*** 1.16022*** 6.44199*** 0.41621
(0.00025) (0.05330) (1.28960)
0.00564*** 1.4999*** 7.95003*** 0.56080
(0.00025) (0.05204) (1.25896)
0.00347*** 0.80471*** -1.97743 0.27122
(0.00033) (0.06895) (1.66850)
0.00577*** 1.54325*** 8.23854*** 0.55910
(0.00026) (0.05364) (1.29783)
0.00576*** 1.54797*** 8.27684*** 0.55961
(0.00026) (0.05373) (1.30001)
0.00432*** 1.1335*** 5.31345*** 0.32567
(0.00031) (0.06549) (1.58449)
0.00586*** 1.55791*** 7.76587*** 0.54432
(0.00027) (0.05660) (1.36926)
0.00550*** 1.45991*** 7.65661*** 0.53442
(0.00026) (0.05354) (1.29528)
0.00382*** 0.98807*** 4.60969*** 0.51450
(0.000185) (0.03860) (0.93381)
0.00456*** 1.27047*** 10.03505*** 0.53637
(0.00020) (0.04160) (1.00645)
*** Significant at the 1% level ** Significant at the 5% level * Significant at the 10% level

24
 Table III (cont.): LPM with market timing parameters estimators
(Standard error within brackets)
d)For small capitalization funds
 β0 β1 Adj. R2
0.00286*** 0.62244*** -0.77075 0.16837
(0.00033) (0.06926) (1.67567)
0.00313*** 0.81177*** 2.20725** 0.39937
(0.00021) (0.04319) (1.04516)
0.00520*** 1.44722*** 8.63567*** 0.51528
(0.00025) (0.05355) (1.29580)
0.00418*** 1.06745*** 4.3606*** 0.39118
(0.00026) (0.05478) (1.32541)
0.00419*** 1.07079*** 4.50287*** 0.52576
(0.00020) (0.04165) (1.00775)
0.00361*** 1.0019*** 9.35316*** 0.34346
(0.00022) (0.04590) (1.11053)
0.00477*** 1.28308*** 9.40698*** 0.44656
(0.00025) (0.05150) (1.24599)
0.00361*** 0.84981*** 1.21952 0.19020
(0.00038) (0.07975) (1.92939)
0.00259*** 0.60128*** -0.7304 0.17538
(0.00031) (0.06523) (1.57822)
0.00524 1.42485*** 9.11762*** 0.52033
(0.00025) (0.05128) (1.24057)
0.00442*** 1.16921*** 5.52661*** 0.38249
(0.00029) (0.05957) (1.44128)
0.00451*** 1.18356*** 5.81476*** 0.40383
(0.00027) (0.05724) (1.38490)
0.00398*** 1.06294*** 5.07017*** 0.46481
(0.00021) (0.04567) (1.10493)
0.00487*** 1.46265*** 10.45782*** 0.15663
(0.00059) (0.12302) (2.97622)
0.00528*** 1.51089*** 10.54*** 0.45468
(0.00029) (0.06055) (1.46489)
0.00463*** 1.19484*** 5.59928*** 0.46294
(0.00025) (0.05170) (1.25110)
0.00338*** 0.85162*** 2.88537** 0.29583
(0.00027) (0.05552) (1.34335)
0.00346*** 0.85424*** 2.94941** 0.29504
(0.00027) (0.05566) (1.34665)
0.00555*** 1.47287*** 8.77187*** 0.44819
(0.00030) (0.06237) (1.50894)
0.00502*** 1.35047*** 8.32055*** 0.50638
(0.00024) (0.05047) (1.22094)
*** Significant at the 1% level ** Significant at the 5% level * Significant at the 10% level

25
 Table IV: Treynor ratios sorted by average order

Funds Large Caps - Value Funds Large Caps - Growth

Model CAPM Model LPM Model CAPM Model LPM
Fund Mean Fund Mean Fund Mean Fund Mean
FLCV18 0.000593 FLCV20 0.000107 FLCG1 0.001225 FLCG1 0.000490
FLCV9 0.000441 FLCV13 0.000008 FLCG3 0.000777 FLCG4 0.000069
FLCV4 0.000430 FLCV19 -0.000112 FLCG2 0.000740 FLCG3 -0.000047
FLCV7 0.000412 FLCV18 -0.000119 FLCG11 0.000678 FLCG2 -0.000068
FLCV5 0.000377 FLCV4 -0.000250 FLCG10 0.000645 FLCG18 -0.000082
FLCV15 0.000330 FLCV5 -0.000289 FLCG12 0.000644 FLCG8 -0.000083
FLCV16 0.000290 FLCV7 -0.000311 FLCG5 0.000619 FLCG20 -0.000119
FLCV10 0.000253 FLCV12 -0.000351 FLCG9 0.000555 FLCG10 -0.000232
FLCV14 0.000253 FLCV16 -0.000367 FLCG18 0.000477 FLCG9 -0.000289
FLCV20 0.000143 FLCV17 -0.000384 FLCG14 0.000395 FLCG14 -0.000331
FLCV13 0.000124 FLCV6 -0.000410 FLCG6 0.000369 FLCG19 -0.000343
FLCV3 0.000071 FLCV11 -0.000410 FLCG19 0.000351 FLCG6 -0.000348
FLCV1 0.000050 FLCV8 -0.000411 FLCG7 0.000335 FLCG15 -0.000365
FLCV6 0.000034 FLCV14 -0.000422 FLCG4 0.000312 FLCG7 -0.000367
FLCV2 0.000027 FLCV15 -0.000531 FLCG17 0.000189 FLCG13 -0.000378
FLCV19 0.000026 FLCV3 -0.000533 FLCG20 0.000179 FLCG11 -0.000389
FLCV12 -0.000004 FLCV2 -0.000543 FLCG8 0.000107 FLCG5 -0.000398
FLCV17 -0.000053 FLCV1 -0.000544 FLCG13 0.000037 FLCG12 -0.000410
FLCV11 -0.000096 FLCV10 -0.000568 FLCG16 0.000000 FLCG16 -0.000421
FLCV8 -0.000273 FLCV9 -0.000584 FLCG15 -0.000033 FLCG17 -0.000547

26
 Table IV: Treynor ratios sorted by average order (Cont.)
Funds Large Caps - Mix Funds Small Caps
Model CAPM Model LPM Model CAPM Model LPM
Fund Mean Fund Mean Fund Mean Fund Mean
FLCM7 0.000994 FLCM13 0.000137 FSCAP9 0.001422 FSCAP1 0.000430
FLCM1 0.000786 FLCM7 -0.000032 FSCAP8 0.001214 FSCAP9 0.000143
FLCM16 0.000443 FLCM1 -0.000068 FSCAP1 0.001199 FSCAP8 0.000139
FLCM2 0.000442 FLCM4 -0.000168 FSCAP6 0.001094 FSCAP18 -0.000026
FLCM11 0.000423 FLCM19 -0.000197 FSCAP18 0.000972 FSCAP17 -0.000110
FLCM9 0.000378 FLCM16 -0.000252 FSCAP7 0.000896 FSCAP4 -0.000152
FLCM5 0.000370 FLCM2 -0.000275 FSCAP17 0.000846 FSCAP5 -0.000153
FLCM6 0.000213 FLCM6 -0.000277 FSCAP5 0.000759 FSCAP16 -0.000180
FLCM19 0.000201 FLCM11 -0.000278 FSCAP19 0.000698 FSCAP2 -0.000241
FLCM10 0.000181 FLCM18 -0.000282 FSCAP12 0.000674 FSCAP12 -0.000244
FLCM4 0.000169 FLCM20 -0.000283 FSCAP2 0.000671 FSCAP19 -0.000272
FLCM18 0.000139 FLCM12 -0.000287 FSCAP11 0.000645 FSCAP11 -0.000277
FLCM12 0.000120 FLCM17 -0.000292 FSCAP4 0.000644 FSCAP7 -0.000294
FLCM17 0.000099 FLCM14 -0.000310 FSCAP16 0.000595 FSCAP13 -0.000316
FLCM14 0.000063 FLCM9 -0.000324 FSCAP13 0.000546 FSCAP20 -0.000347
FLCM3 0.000061 FLCM15 -0.000332 FSCAP10 0.000483 FSCAP10 -0.000350
FLCM15 0.000038 FLCM3 -0.000342 FSCAP20 0.000465 FSCAP6 -0.000355
FLCM20 0.000020 FLCM10 -0.000379 FSCAP3 0.000310 FSCAP3 -0.000445
FLCM8 -0.000016 FLCM8 -0.000405 FSCAP15 0.000227 FSCAP15 -0.000523
FLCM13 -0.000160 FLCM5 -0.000497 FSCAP14 -0.000119 FSCAP14 -0.000692

27
 Table V: CSDM Mean Values

A) Overall Sample 2007-2013

FLCV FLCG FLCM FSCAP
CAPM 0.000100 0.000123 0.000102 0.000166
LPM 0.000047 0.000060 0.000047 0.000072

B) Subsample 2007-2009)
FLCV FLCG FLCM FSCAP
CAPM 0.000166 0.000199 0.000168 0.000251
LPM 0.000080 0.000099 0.000079 0.000107

C) Subsample 2010-2013
FLCV FLCG FLCM FSCAP
CAPM 0.000051 0.000068 0.000051 0.000104
LPM 0.000022 0.000031 0.000023 0.000047

28
Table VI: Percentage of funds whose mean Treynor ratios stay in the same performance segment
for two consecutive periods

A) Annual period

CAPM LPM
FLCV FLCG FLCM FSCAP FLCV FLCG FLCM FSCAP
Top quartile 43.33% 46.67% 56.67% 36.67% 60.00% 50.00% 40.00% 46.67%
Above median 73.33% 73.33% 66.67% 50.00% 63.33% 65.00% 55.00% 51.67%
Bottom quartile 53.33% 56.67% 36.67% 36.67% 53.33% 43.33% 36.67% 36.67%

B) Quarterly period

CAPM LPM
FLCV FLCG FLCM FSCAP FLCV FLCG FLCM FSCAP
Top quartile 37.04% 34.81% 37.78% 38.52% 36.30% 45.19% 39.26% 43.70%
Above median 54.07% 61.85% 56.67% 60.37% 55.93% 60.00% 53.70% 59.63%
Bottom quartile 24.44% 39.26% 34.07% 33.33% 30.37% 35.56% 30.37% 42.22%

29
 Table VII: Percentage of funds whose current daily Treynor ratios stay more frequently in the
same performance segment for two consecutive periods

A) Annual period

CAPM LPM
FLCV FLCG FLCM FSCAP FLCV FLCG FLCM FSCAP
Top quartile 83.33% 76.67% 76.67% 70.97% 83.87% 83.33% 83.33% 77.42%
Above median 67.74% 65.67% 59.38% 58.33% 67.74% 55.38% 53.33% 54.84%
Bottom quartile 76.67% 81.25% 73.33% 81.25% 78.13% 93.33% 83.87% 76.67%

B) Quarterly period

CAPM LPM
FLCV FLCG FLCM FSCAP FLCV FLCG FLCM FSCAP
Top quartile 70.51% 78.01% 77.24% 72.03% 73.61% 79.86% 81.43% 77.03%
Above median 59.34% 61.98% 58.59% 66.03% 58.61% 57.38% 56.25% 59.93%
Bottom quartile 68.53% 79.33% 69.44% 64.05% 69.18% 80.00% 72.03% 68.24%

30
 Chart I Chart II

CSDM_CAPM_FLCV CSDM_LPM_FLCV
0,005 0,0035
0,0045
0,003
0,004
0,0035 0,0025
0,003 0,002
0,0025
0,002 0,0015
0,0015 CSDM_CAPM_FLCV 0,001 CSDM_LPM_FLCV
0,001
0,0005
0,0005
0 0

31
 Chart III Chart IV
CSDM_CAPM_FLCG CSDM_LPM_FLCG
0,014 0,005
0,0045
0,012
0,004
0,01 0,0035
0,008 0,003
0,0025
0,006 0,002
0,004 CSDM_CAPM_FLCG 0,0015 CSDM_LPM_FLCG
0,001
0,002
0,0005
0 0

32
 Chart V Chart VI

CSDM_CAPM_FLCM CSDM_LPM_FLCM
0,005 0,002
0,0045 0,0018
0,004 0,0016
0,0035 0,0014
0,003 0,0012
0,0025 0,001
0,002 0,0008
0,0015 CSDM_CAPM_FLCM 0,0006 CSDM_LPM_FLCM
0,001 0,0004
0,0005 0,0002
0 0

33
 Chart VII Chart VIII

CSDM_CAPM_SCAP CSDM_LPM_SCAP
0,05 0,016
0,045 0,014
0,04
0,012
0,035
0,03 0,01
0,025 0,008
0,02 0,006
0,015 CSDM_CAPM_SCAP CSDM_LPM_SCAP
0,004
0,01
0,005 0,002
0 0

34
 Chart IX

Europe MSCI Index

160
140
120
100
80
60
40
20
0

35