2. The Future The Future Evaluate Skill NOT Style Performance Measurement Performance Measurement And Attribution

3. Luck?? Skill?? Back to Basics

4. Luck?? If you don’t know the problem, you can’t fix it. Old Approaches Don’t Work Old Approaches Don’t Work Skill?? = Style??

5. Off-the-shelf Benchmark Portfolio Results Performance Analysis 1980’s Slicer & Dicer Sector Size Yield P/E

6. Luck Skill Bridge the Gap Is Your Manager Lucky or Skillful? Is Your Manager Lucky or Skillful?

7. Style Matters

8. IS Past IS Prologue: Information Ratios and Sortino Omegas PERSIST * * Gruber(96), Stewart(98), Rudd & Kahn(99,00,01), Ibbotson(01) Getting WHY’s MPT, PMPT, APT, RBSA… Market and Style effects dominate Style-&-market-adjusted success/failure persists Signal / Noise

9. The difference between Style and Skill Styles go in & out of favor Skill persists

10. TheCostOfConfusion

11. Attribution Attribution Against Custom Style Blend Sources of Return Returns or Holdings StyleAnalysis Value Core Growth

12. Evolution of Attribution Evolution of Attribution

13. Value Growth Core Portfolio Custom Benchmark Skill Style Today’s Craft Today’s Craft

14. Sample Analysis of Skill & Style Sample Analysis of Skill & Style

15. A Close Look at Style Effects

16. A Closer Look at Style Effects

17. Details Sector Allocation & Stock Selection Attribution

18. Sector Allocation Custom Style Benchmark Fund Allocation

19. Sector Allocation & Stock Selection Fund Returns Style Opportunities Custom Style Benchmark

20. Attribution

22. Style Matters

23. Style Allocation & Performance

24. Trends Style Allocation Sector Allocation Cumulative Performance Cum Sources of Value Added – Persistence Relative Performance

25. Style Allocation History $

26. Mid Growth Mid Core Mid Value Large Growth Large Core Large Value $

27. Sector Allocation Technology Finance Non-Durables Health $

28. Cumulative Growth Fund Market Style Ranks

29. Consistent Sources of Value Added The Best Picture

30. Sources of Value Added -- Persistence Stock Selection Sector Allocation Activity

31. Sources of Value Added -- Persistence Stock Selection Sector Allocation Activity

32. Benefits Identify Skillful Investment Managers Risk Control (MDAs) Global Hedge Funds

33. Talent Contest Made Easy Talent Contest Made Easy Style-adjusted Winners of the Style-adjusted Performance Race Reasons for Win Confirm People, Process, Philosophy

34. Equity Diversification Equity Diversification Sector : Technology, Consumer, Health Care Characteristics: Capitalization, P/E, yield, R-squared

35. Equity Diversification Equity Diversification Sector : Technology, Consumer, Health Care Characteristics: Capitalization, P/E, yieldStyle

36. Extensions Global Hedge Funds

37. Hedge Funds Leverage Direction Amount long & amount shortStyle

38. Off-the-shelf Benchmark Portfolio Results The Past

39. Value Growth Core Portfolio Custom Benchmark Skill Style The Future The Future

40. No standardization in sight, but… Style Indexes

41. Style Effects (Holdings or Returns-Based) Style Effects (Holdings or Returns-Based) Growth Core Value

42. Some Suggested Criteria Mutually Exclusive : Multicollinearity/ Holdings Reports Exhaustive (Includes everything): Fit/ Holdings Reports Regular Rebalancing : Adjust to Change Core : Value-Growth Compromise

43. Surz Style Definitions Capitalization Large : Top 65% of $s Mid : Next 30% Small : Bottom 5% E/P + y + B/P Value : Top 40% Core : Middle 20% Growth : Bottom 40% Rebalanced Quarterly

44. Research Caution Popularity Popularity is not is notNecessarily Synonymous with Quality Quality

45. Mobius Research Candidates : Russell, Surz, Pru, Wilshire, Vestek Fundamental : All win except Wilshire Tracking error : Surz & Russell Multicollinearity : Surz Coverage : Surz & Russell

46. IMCA Research Candidates : Barclays, Barra, Dow Jones, IIA, OakBrook, Parametric, Prudential, Russell, S&P, Salomon, Surz, Wilshire Criterion : Best Average Fit ( Adjusted R 2 ) Separate Account Winners: Russell, Surz, S&P/BGI Mutual Fund Winners: Russell, Surz, Wilshire

47. FREE Surz Stuff is FREE www.PPCA-Inc.com

48. The Future Style matters Returns-based complements holdings-based Evaluate Style