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ICC Report Exhibits

• Unique ICC Exhibits– Universe Floating Bar Exhibits

– Other Graphics Exhibits

– All Text Exhibits

• Exhibit Types -- Features Summary

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• This is one of the standard universe exhibit types, and is produced for most universes and asset classes (huge list)

• Key features: – 8 floating bars– Represents universe results for one asset class/measure in a single universe over standard

time periods.– Portfolios with ranks (if more than 8 portfolios are selected, another page is generated

automatically); each portfolio is assigned a symbol and a color– Line separating quarterly and annual data -- may not be required?– Universe median (no room for quartile numbers)

• Template Considerations: – The standard single universe report template that is being designed will support defining the

existing ICC exhibits based on this format. Users would define a report template by choosing the asset class, measure=return, and time period for each column (bar). At run time, they could choose the universe.

– In addition, because it is the most commonly used universe report, we could define a specific template (e.g., ‘Standard Universe’), and users would only need to specify a universe and an asset class either at run time or when creating their custom report template.

Floating Bar - Single Universe

ICC Exhibit 0076-a

Exhibit Type 1

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• In PERS/ICC, this exhibit is a continuation of the prior exhibit with additional standard time periods• Time Periods in this format:

– PERIODS ENDING mm/yy: Cumulative time periods, last 6 years thru- last 10 years– YEARS ENDING (each of the most recent 5 years, prior 5 years, on separate pages)

(Note: the ICC would like to display 15 years of data; we only go back 10 years at this point)• Features:

– 5 floating bars– This exhibit is produced only if one of the portfolios has data for one of the time periods

displayed. Otherwise, the same rules as apply to the prior exhibit• Template Considerations

– The standard single universe report template that is being designed will support defining the existing ICC exhibits based on this format.

– It would be desirable if this exhibit was generated automatically if the user selects more time periods

– Do we need to specify a separate template if only 5 time periods are chosen? Can the system adjust automatically?

– Not sure why we don’t just display 10 bars for each of the last 10 years rather than printing two pages.

Floating Bar - Single Universe

ICC Exhibit 0076-b

Exhibit Type 1

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Floating Bar -- Multi-Asset Class

Exhibit 0076-d

• Key Features:– 2 x 3 bars, grouped by time period– Represents total fund and one asset class’ returns for one universe over 3 (market

cycle) time periods– Lines separate the two time periods

• Produced for:– Total Funds - Total vs. Bond Only Returns– Total Funds - Total vs. Equity Only Returns

• Same format used for:– Exhibit 0076 Total Funds - Total Rates of Return– Exhibit 0076 Total Funds - Total Income Rates of Return– Exhibit 0078 Equity Funds - Total Rates of Return– Exhibit 0081 Bond Funds - Total vs. Bond Only Returns

• Template Considerations– The standard single universe report template that is being designed will support defining

the existing ICC exhibits based on this format; no need for a ‘custom’ template?

Exhibit Type 2

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• The format of this exhibit is the same as Exhibit Type #2, except that the types of data displayed differ from different hierarchies.

• Key Features– 2 x 3 bars– Represents actual equity return vs. buy/hold equity return for a single universeover 3

(market cycle) time periods. – Lines separate the two time periods– Data elements (measures) are from different schemes/hierarchies, and perhaps (from a

State Street point of view) different rates rules• Template Considerations

– The standard single universe report template that is being designed will support defining the existing ICC exhibits based on this format; no need for a ‘custom’ template?

• ISSUE: DO WE NEED 6 month buy/hold???

Floating Bar -- Multi-Measure

Exhibit 0079-i

Exhibit Type 3

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• Displays return distributions for each style on a single page for a single time period. • Key Features

– 9 bars (for equity styles); 7 bars (for bond styles)– Each style is a separate universe– Displays same asset class, measure, and time period for all styles on a page– Portfolios are ranked only against their assigned style universe.

• In PERS/ICC, this exhibit is automatically generated for many time periods (each on a separate page):

– QUARTER ENDING mm/yy– 1, 2, 3, 4, 5 YEARS ENDING mm/yy– 1, 2, 3, 4, 5 YEARS AGO

• In PERS/ICC, this exhibit is generated for Total Returns and for the appropriate asset class (Equity Only or Bond Only)

• Produced for:– Exhibit 0063 Equity Manager Spectrum Style Analysis– Exhibit 0179 Int’l Developed Mkt Equity Manager Style Analysis– Exhibit 0025 Fixed Income Manager Spectrum Style Analysis

Floating Bar

Exhibit 0063

Exhibit Type 4

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Floating Bar -- Multi-Universe

Exhibit 0025

• See discussion for Exhibit Type #4• Notes:

– Core Plus recently replaced Interest Rate Anticipator (too few observations to create a universe)

– The Bond Universe is included (probably because there was room)– We should plan to add Hedge Fund style page as well.

Exhibit Type 4

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• Key Features– 10 bars– Displays one measure for multiple asset classes (sectors) for a single time period for

one universe• In PERS/ICC, this exhibit is automatically prepared for two time periods:

– Quarter Ending mm/yy– Year Ending mm/yy

• Produce:– Exhibit 0018 Rates of Return by Industry Sector– Exhibit 0017 Diversification by Industry Sector

Floating Bar -- Multi-Asset Class

Exhibit 0018

Exhibit Type 5

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• See discussion for Exhibit Type #5

Floating Bar -- Multi-Asset Class

Exhibit 0017

Exhibit Type 5

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• Key Features– 4 x 2 bars– Displays distributions for two measures (purchase turnover and sales turnover) in a

single universe for four time periods– Line separates the two measures

• Template Considerations– The standard single universe report template that is being designed will support

defining the existing ICC exhibits based on this format; no need for a ‘custom’ template?

– In PERS today, there is no choice of measures, but in the future state there is no reason not to allow that choice.

Floating Bar -- Multi-Measure

Exhibit 0079-h

Exhibit Type 6

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• Shows effects of a characteristic on returns by showing returns for portfolios that have a characteristic value within a specified range.

• Key Features– 4 x 2 bars– One universe, one asset class, one measure segmented by a second measure

(characteristic) value ranges, for two time periods– Portfolios are ranked only against the appropriate stratum– Line separates the two time periods

• ICC?PERS produces separate exhibits for:– Equity Only Returns Effects of Beta– Equity Only Returns Effects of Diversification– Equity Only Returns Effects of P/E Ratio– Bond Only Returns Effects of Maturity– Bond Only Returns Effects of Duration– Bond Only Returns Effects of Coupon– Total Returns Effects of Equity Allocation– Total Income Returns Effects of Equity Allocation

Floating Bar -- Effects Of

Exhibit 0020

Exhibit Type 7

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• See discussion in prior exhibit (Exhibit Type #7)• In PERS/ICC, this exhibit is produced for two pairs of time periods:

– QUARTER ENDING mm/yy + YEAR ENDDING mm/yy– 3 YEARS ENDING mm/yy + 5 YEARS ENDING mm/yy

• Template Considerations– This exhibit type will require its own universe template.

Floating Bar -- Effects Of

Exhibit 0024

Exhibit Type 7

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Floating Bar -- Effects Of

Exhibit 0076-e

Exhibit Type 7

• See discussion in prior exhibit (Exhibit Type #7)• In PERS/ICC, this exhibit is produced for two pairs of time periods:

– QUARTER ENDING mm/yy + YEAR ENDDING mm/yy– 3 YEARS ENDING mm/yy + 5 YEARS ENDING mm/yy

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• This exhibit contains some very useful information, but the content is not immediately obvious. For each characteristic, it displays the distribution of that characteristic and where a portfolio falls within the universe, plus an indication of whether that characteristics was an important distinguishing factor of portfolio returns.

• Key Features:– 2 characteristics per page, two time periods per characteristic.– For each characteristic, displays distribution of the characteristics plus average return of funds

in each quartile of that characteristic• ICC/PERS currently produces exhibits for the following pairs of characteristics:

– Dividend Yield Capitalization– P/E Ratio 5 Yr EPS Growth– Return on Equity Price/Book– Portfolio Beta Size Exposure– Equity R2 Standard Error– Financial Leverage Growth Exposure– Average Maturity (Yrs) Duration (Yrs)– Coupon Quality

• CAN WE COME UP WITH A BETTER DISPLAY??

Floating Bar -- Single Universe, Pairs, Avg Rtn

Exhibit 0016

Exhibit Type 8

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Scatter Diagram

Exhibit 0076-g

• A scatter diagram shows the relationship between two measures. In this version, each portfolio in the universe is plotted. This exhibit is a standard scatter diagram, with a table ranking accounts against some related measures against that universe..

• Key Features– Point is plotted for each portfolio in a universe– Horizontal and vertical lines indicate the universe medians for the two statistics plotted– Text table at the bottom includes portfolio ranks against the two statistics, plus the Sharpe Ratio– One universe, one asset class, two measures, one time period

• ICC/PERS produces this exhibit for two time periods:– 3 Years Ending mm/yy– 5 Years Ending mm/yy

• ICC/PERS produces this exhibit for Total, Equity Only, and Bond Only Returns asset classes• Template Considerations

– Although PERS/ICC generate this exhibit for two specific statistics (return and standard deviation), there is no reason to limit the statistic/measure to that pair, or even to a single time period. Could display return vs. beta, current returns vs. a prior period’s return, or any pair of portfolio characteristics

– We could off er 3 options for the line: a regression line, a line defined by the measures of two identified portfolios (e.g., Capital Market Line), or the medians -- or none.

– Users should also choose the measures in the text table...

Exhibit Type 9

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• This exhibit is basically the same as the universe scatter diagram (Exhibit Type #9) except that only the selected portfolios are plotted, and the Capital Market Line.

• Key Features– One asset class, two measures, one time period– Line endpoints are determined by the statistics for two specific indices.

• ICC/PERS produces this exhibit for two time periods– 3 Years Ending mm/yy– 5 Years Ending mm/yy

Scatter Diagram -- with Capital Market Line

Exhibit 0015

Exhibit Type 10

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• Same as the prior exhibit, except that Duration rather than standard deviation is the x-axis measure.

Scatter Diagram -- with Capital Market Line

Exhibit 0052

Exhibit Type 10

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• This exhibit shows the range of value/growth and size scores over the time period, as well as the current value.

• Key Features:– For each selected portfolio, the high and low value/growth and size scores for the time

period are plotted as horizontal and vertical lines, and a point representing current values is indicated with the portfolio’s assigned symbol

– The two horizontal lines are at fixed size scores that indicate the distinctions between large, medium, and small portfolios; the two vertical lines are at fixed value/growth scores that distinguish value, core, and growth portfolios.

• Template Considerations– This needs to be a unique exhibit type.– However, there is no reason not to be able to select any two characteristics for display

(I.e., we don’t need to limit it to size and value/growth scores).

Scatter Diagram -- Characteristic Movement

Exhibit 0061

Exhibit Type 11

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• This exhibit includes a pair of histograms each of which displays the current distribution of one security characteristic in the portfolio’s holdings, and plus line plots of the average portfolio value of that characteristic over time.

• Key Features– A pair of security characteristics for one portfolio is featured. Each characteristic is

displayed in two ways:• A histogram displays the distribution of current portfolio holdings for one security

characteristic as of the report date• Line Plot displays the portfolio average of the characteristic over time (time

series)– Vertical lines identify the size and style breakpoints in the histograms– Horizontal lines identify the same breakpoints in the line plots.

• Template Considerations– In PERS/ICC, this exhibit is produced only for style scores; there is no reason to limit to

those characteristics.– Presumably, this exhibit could be a ‘Morningstar’ type

Histogram + Line Plot Combo

Exhibit 0062

Exhibit Type 12

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• Displays the equity (or bond) allocation of selected portfolios over time, plus the universe distribution.

• Key Features:– Graph displays selected portfolios plus universe median (not universe distributions)– Text table contains universe quartiles, plus portfolio ranks against the universe– One universe, one asset class, one measure (% of portfolio), time series– 6 points in time

• PERS/ICC produces the following separate exhibits for a number of universes:– Equity Commitment– Bond Commitment

• Template Considerations– There is no reason to limit this format to asset allocation; it could be used for other

measures.– CAN WE COME UP WITH A BETTER DISPLAY??

Line Plot

Exhibit 0004

Exhibit Type 13

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• Displays asset allocation as of a point in time• Key Features

– One portfolio per page– Pie chart, plus table that presents two measures for each asset class (market value and

% of portfolio)– Asset class allocations are based on total invested balance (I.e. excluding net

receivables);– Both individual and aggregate portfolios

• Template Considerations

Pie Chart -- Asset Allocation

Exhibit 0003

Exhibit Type 14

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• Same format as Exhibit Type 14, except that it displays the asset allocation of the component portfolios in an aggregate portfolio, aggregated by a portfolio classification type (e.g., investment mandate)

• Key Features– Aggregate portfolios only– One asset class (typically total fund), one measure (market value or %market value), as

of a data (typically the report date)– PERS aggregates by investment mandate– Pie chart + table

• Template Considerations:– New pie chart template has just been designed– Should be able to aggregate component portfolios by any descriptive characteristic

(portfolio classification) -- e.g., investment mandate, geographic mandate, equity and/or fixed income style, economic sectors or industries, etc.

Pie Chart -- Asset Allocation

Exhibit 0009

Exhibit Type 15

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• Same as Exhibit Types 14 and 15, except that it produces one page with all individual portfolios in an aggregate.

• Could be treated as Exhibit Type 15, where the portfolio classification is Manager Code.

Pie Chart -- Multiple Portfolio

Exhibit 0075

Exhibit Type 16

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• Similar to Exhibit Type 14, except that a comparison to an index is provided.• Key Features:

– Both portfolio and index (or other comparison portfolio) are displayed, with difference between them.

– PERS version is based on issuer type– One page per portfolio (individual or aggregate)– Based on aggregation of fixed income securities.

• Template Considerations– Could use any type of sectors (economic sectors, bond characteristic ranges, etc.)

Pie Chart -- Asset Allocation

Exhibit 0060

Exhibit Type 17

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• This exhibit summarizes the asset class returns and ranks for standard time periods for a single portfolio. The universes against which the portfolio asset classes are ranked are appropriate for that asset class.

• Key Features– One portfolio per page (individual or aggregate or policy index); displays asset classes

with associated benchmarks associated with each asset class– Universe median for each asset class is displayed– Rows are grouped by asset class, with blank lines between asset classes– Benchmarks are grouped with asset classes based on their investment mandate?– Multiple universes (e.g., Total Fund, Equity Only, Bond Only, etc.), multiple asset

classes, one measure, multiple time periods.• Template Considerations

– The user should be able select time periods or a time series in selecting measures displayed.

– Similar to existing non-universe myStateStreet Performance Summary template choices.

Text Table -- Universe

Exhibit 0028

Exhibit Type 18

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• Similar to prior exhibit, except that all portfolios are displayed on a single page, grouped by Investment Mandate, and only one asset class (total fund) is presented.

• Key Features– Multiple portfolios per page, grouped by Investment Mandate, and ranked against the

universe for the investment mandate.– One asset class (total fund), one measure (return), multiple time periods (standard)

• Template Considerations– The user should be able to select time periods or a time series in selecting measures

displayed. – Similar to existing non-universe myStateStreet Performance Summary template

choices.

Text Table -- Universe

Exhibit 0005

Exhibit Type 19

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• Displays the last 10 years of quarterly returns of each asset class vs. the benchmark assigned to that asset class.

• Key Features:– One portfolio per page, plus related indices.– Exhibit prepared for individual, aggregate portfolios and policy indices.– Multiple asset classes, one measure, time series– Requires two pages to print all asset classes as columns– Quarterly, annual, and cumulative returns are displayed.

• Template Considerations:– Equivalent information may be available via the existing myStateStreet Performance

Journal template.

Text Table - Performance

Exhibit 0029

Exhibit Type 20

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Text Table -- Allocation

Exhibit 0030??

Exhibit Type 21

• Displays the last 10 years of quarterly allocation to each asset class.• Key Features:

– One portfolio per page– Exhibit prepared for individual, aggregate portfolios– Multiple asset classes, one measure, time series– Quarterly, average annual, and overall average allocations are displayed.

• Template Considerations:– Equivalent information may be available via the existing myStateStreet Performance

Journal template. (ISSUE: Will all asset classes fit on a single page?

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Text Table -- Allocation

Exhibit 0002

Exhibit Type 22

• Similar to prior exhibit, except that all portfolios are displayed on a single page, grouped by Investment Mandate. Asset allocations are as of the report date.

• Key Features– Multiple portfolios per page, grouped by Investment Mandate– Multiple asset classes, one measure (% of portfolio), one date

• Template Considerations– Similar to existing non-universe myStateStreet Performance Summary template

choices.

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• Standard sector attribution exhibit.• Key Features:

– One portfolio per page– Economic sector attribution information, one time period.

• Template Considerations– Assume that a myStateStreet exhibit is being designed.

Text Table -- Sector Attribution

Exhibit 0019

Exhibit Type 23

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• Summary of attribution effects for standard time periods• Key Features:

– One portfolio per page– One asset class, multiple measures, multiple time periods (standard)

• Template Considerations:– If we use geometric attribution, this exhibit should be easy to generate using standard

myStateStreet templates.

Text Table -- Attribution History

Exhibit 0010

Exhibit Type 24

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• This exhibit presents fixed income portfolio attribution, based on a proprietary duration-based model. This model is NOT a sector model; it is based on portfolio characteristics and returns.

• Key Features:– Multiple portfolios on a single page– One asset class (either total fund or bond only), multiple measures, for one period are

displayed.– In PERS, the fixed income attribution is calculated at report time, and not stored

historically• ICC/PERS produces this exhibit for:

– Exhibit 0042 Bond Funds– Exhibit 0071(?) Bond Only

• Template Considerations:– Could use a standard myStateStreet template if the attribution factors are stored?

• ISSUE: Do we need to develop this attribution model?

Text Table -- Bond Attribution

Exhibit 0042

Exhibit Type 25

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• Displays portfolio characteristics for a portfolio and its related equity index, plus 10 largest equity holdings, and the top and bottom performers.

• Key Features– One portfolio, data as of the report date.– Multiple portfolio characteristics (fixed list)– Ten largest holdings, top ten and bottom ten performing securities

• Template Considerations– ‘Morningstar’ type of exhibit?– Revamp??

Text Table -- Combo

Exhibit 0014

Exhibit Type 26

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Text Table -- Combo

Exhibit 0022

Exhibit Type 27

• Displays bond portfolio characteristics for a portfolio and its related equity index, plus distributions of portfolio holdings by several characteristics

• Key Features– One portfolio, data as of the report date.– Multiple portfolio characteristics (fixed list)– Distributions of Yield to Maturity, Average Maturity, Duration, Quality, and Coupon

• Template Considerations– ‘Morningstar’ type of exhibit?– Revamp??

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• Displays security characteristics for portfolio holdings, grouped by economic sector• Key Features

– One portfolio, one asset class, multiple measures (security characteristics and portfolio holding data)

– Holdings in one asset class, multiple security characteristics– Holdings grouped by economic sector,– Measure values aggregated for group

• Template Considerations– In PERS/ICC, users can’t select the holdings measures displayed; there is no reason

not to permit that choice in the myStateStreet environment.– Users should select the asset classes that a custom report template would include, the

security-level measures/statistics to be displayed, and the grouping element.– The grouping element should be selectable, and can be either a descriptive

classification item or a set of custom ranges.– Issue: Do we need to make sure that all holdings are listed somewhere (on this exhibit,

or on a Bond Holdings exhibit, or Other Assets exhibit)

Text Table -- Holdings Details

Exhibit 0031

Exhibit Type 28

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Text Table -- Holdings Detail

Exhibit 0032

Exhibit Type 28

• Similar to prior exhibit, except that different measures are displayed for bond holdings. This exhibit displays security characteristics for portfolio fixed income holdings, grouped by maturity range

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• This exhibit displays the sources of dollar growth in portfolio value for a portfolio for various standard time periods (including since the portfolio’s inception date

• Key Features– One portfolio per page– One asset class (total fund), multiple measures, multiple time periods

• Template Considerations:– Should be able to use an existing standard myStateStreet template (e.g., Performance

Summary).– ISSUE: Insception date as a time period?

Text Table -- $ Growth

Exhibit 0000

Exhibit Type 29

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Text Table -- $ Growth

Exhibit 0001

Exhibit Type 30

• This exhibit displays the sources of dollar growth in portfolio value for individual and aggregate accounts for a single time period

• Key Features– Multiple portfolios per page– One asset class (total fund), multiple measures, one time period

• ICC/PERS produces this exhibit for three time periods– Quarter Ending mm/yy– Year to Date– Year Ending mm/yy

• Template Considerations:– Should be able to produce this exhibit (or something similar) via an existing

myStateStreet template (e.g., Performance Journal)?

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• This exhibit displays the sources of dollar growth in portfolio value for individual and aggregate accounts for a single time period by asset class

• Key Features– Multiple portfolios per page– Multiple asset classes, multiple measures, one time period

• ICC/PERS produces this exhibit for two time periods– Quarter Ending mm/yy– Year Ending mm/yy

• Template Considerations:– Should be able to produce this exhibit (or something similar) via an existing

myStateStreet template (e.g., Performance Journal)?

Text Table -- $ Growth by Asset Class

Exhibit 0027

Exhibit Type 31

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Text Table -- $ Growth by Date

Exhibit 0026

Exhibit Type 32

• This exhibit displays the history of quarterly sources of dollar growth in portfolio value for a single portfolio

• Key Features– One portfolio per page– One asset class (total fund), multiple measures, time series

• Template Considerations:– Should be able to use an existing standard myStateStreet template (e.g., Performance

Journal).

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• This exhibit describes the composition of the Allocation Indices associated with each portfolio in the report package.

• Key Features:– Shows the effective date of each index– Reports the index associated with each asset class in the standard scheme/hierarchy

• Template Considerations:– New template required (different data elements than typically available). Probably just

make it a unique template that users can run but can’t customize.

Text Table -- Allocation Index Composition

Exhibit 0030-b

Exhibit Type 33

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Text Table -- Policy Index Composition

Exhibit 0030-c

Exhibit Type 34

• This exhibit describes the historical composition of the Policy Indices in this report package.• Key Features:

• Shows the effective date of each change to the policy index• Reports the component indices and their weights on each change date.

• Template Considerations:• New template required (different data elements than typically available). Probably just

make it a unique template that users can run but can’t customize.

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• This is a text page describing our equity style methodology. It is included whenever a user selects the equity style exhibit.

• Key Features• Pre-defined (hard-coded) text page

• ICC/PERS methodology pages:• Equity Style Methodology• Fixed Income Style Methodology• International Equity Attribution• Equity Sector Attribution• Disclaimers & Copyright Notices (automatically added to all report packages)

• Template Considerations• We should have a number of pre-defined methodology pages that users may include in

their report packages/bundles.

Text Info

Exhibit 0063-b

Exhibit Type 35

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• See previous exhibit (Exhibit Type #35)

Text Info

Exhibit 0025-b

Exhibit Type 35

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• See Exhibit Type #35• This exhibit is always produced (not selectable). Our lawyers required that we do so.

Text Info

Exhibit 9999

Exhibit Type 35