ATHENA EQUITY
STRATEGY BENCHMARKS
STRATEGY SUMMARY | DECEMBER 31, 2016
BEHAVIORAL PORTFOLIO MANAGEMENT
MEANINGFUL ACTIVE EQUITY BENCHMARKS
Athena organizes the active equity mutual fund universe around the investment strategies being pursued by managers. This system, known as Strategy
Based InvestingTM (SBI), is based on years of our own research and is consistent with independent studies conducted by top academic researchers from
around the country. Using a sophisticated, patented algorithm along with 60,000+ pieces of strategy information, Athena first identifies the self-declared
strategy being pursued by active equity mutual funds. Once a mutual fund is strategy identified, Athena forms Strategy Peer Groups consisting of funds
pursuing the same primary strategy. These groups are listed below.
ACTIVE EQUITY STRATEGY DESCRIPTIONS
COMPETITIVE POSITION
Fund managers seek companies with traits such as high-quality management, defensible market position and a track
record of innovation.
ECONOMIC CONDITIONS
Fund managers start with a top-down approach and, using macro-economic forecasting, work their way down to
favored industries and stocks.
FUTURE GROWTH
Fund managers search for companies poised to grow rapidly relative to others, but are not limited to stocks that
traditionally fall under the “growth” category.
MARKET CONDITIONS
Fund managers take into consideration a stock’s recent price and volume history relative to the market and similar
stocks as well as the overall stock market conditions.
OPPORTUNITY
Employing strategies popular with hedge funds, these managers focus on market imbalances that are driven by events
such as earnings surprises, mergers and acquisitions, spin-offs and companies “going private.”
PROFITABILITY
Fund managers favor companies with impressive gross, operating and net margins and/or return on equity.
QUANTITATIVE
Fund managers using mathematical and statistical modeling with little or no regard to company or market
fundamentals.
RISK
Fund managers look to control overall risk, with increasing returns as a secondary consideration.
SOCIAL CONSIDERATIONS
Corporate social responsibility, ecological awareness or religious tenets are a factor for these fund managers when
selecting companies. The fund manager may look for these traits or for a lack of these traits.
VALUATION
Fund managers use financial statements, ratios, and other information to determine stock valuations and invest in
companies that are underpriced, but are not limited to stocks that have traditionally been labeled as “value.”
STRATEGY PEER GROUP ADVANTAGES
•
•
•
•
Managers are free to pursue their stated investment strategy
Managers following similar investment processes are grouped together
Strategy based peer groups remain stable over time, allowing for meaningful long-term comparisons
Managers can be ranked by the consistency and conviction with which they pursue their strategy
Copyright © 2016 AthenaInvest, Inc. All Rights Reserved.
US EQUITY STRATEGY BENCHMARK SUMMARY (1/1/2007 - 12/31/2016)
The charts and tables included on this page present strategy peer group performance information. In order to be included in this presentation, a mutual fund
must be pursuing an active equity strategy. The hypothetical growth chart gauges overall active versus passive performance within the asset class over the
most recent 10 year period, while the remainder of the page provides greater detail on the individual strategy peer groups.
HYPOTHETICAL GROWTH OF $1 MIL OVER TEN YEARS
TEN YEAR PERFORMANCE BY STRATEGY
STRATEGY BENCHMARK
2007
•
2008
2009
2010
2011
2012
•
US ACTIVE EQUITY = $1.65 Mil
2013
2014
2015
2016
S&P 500 INDEX = $1.96 Mil
RETURN STD DEV
FUNDS
Competitive Position
6.1 %
16.4
3,053
Economic Conditions
4.9 %
15.3
249
Future Growth
6.5 %
16.9
1,498
Market Conditions
3.9 %
14.8
68
Quantitative
5.4 %
16.0
471
Opportunity
4.1 %
14.2
487
Profitability
5.7 %
16.0
207
Risk
3.0 %
13.8
204
Social Considerations
6.3 %
15.7
193
Valuation
5.1 %
16.1
2,809
AVERAGE / TOTAL
5.1 %
15.5
9,239
S&P 500 Index
6.9 %
15.2
US EQUITY STRATEGY BENCHMARK ANNUAL RETURN CHART(1/1/2007 - 12/31/2016)
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
Ec |
14.4%
Sc |
-34.0%
Fg |
36.8%
Fg |
20.0%
Ix |
2.1%
Ix |
16.0%
Fg |
35.4%
Ix |
13.7%
Ix |
1.4%
V|
15.0%
Fg |
12.8%
O|
-34.7%
P|
35.2%
P|
18.2%
Q|
0.0%
Cp |
14.6%
Cp |
34.4%
Q|
9.4%
Fg |
1.3%
Q|
12.8%
R|
11.9%
Mc |
-36.1%
Cp |
34.1%
Cp |
18.1%
P|
-1.5%
Fg |
14.3%
Sc |
34.3%
Sc |
8.5%
R|
-1.1%
P|
12.4%
Cp |
8.9%
V|
-36.9%
Ec |
32.4%
Mc |
18.0%
V|
-2.7%
Q|
14.1%
Q|
33.0%
Cp |
8.2%
Mc |
-1.8%
Ix |
12.0%
Sc |
7.4%
Ix |
-37.0%
Sc |
32.0%
V|
17.0%
Fg |
-2.9%
V|
14.0%
Ix |
32.4%
Fg |
7.6%
Cp |
-2.9%
Sc |
10.9%
Mc |
7.3%
R|
-37.0%
R|
31.6%
Q|
17.0%
O|
-3.3%
Sc |
13.3%
V|
32.2%
V|
7.6%
Sc |
-3.0%
Cp |
10.3%
P|
7.2%
Q|
-38.4%
V|
28.9%
Ec |
16.9%
Cp |
-3.4%
P|
12.8%
P|
32.0%
P|
7.6%
Q|
-3.3%
O|
9.3%
Ix |
5.5%
Ec |
-39.0%
O|
27.7%
O|
15.4%
Sc |
-3.5%
O|
12.0%
Mc |
28.8%
Mc |
6.1%
O|
-3.4%
Ec |
8.3%
Q|
3.6%
Cp |
-39.1%
Ix |
26.5%
Ix |
15.1%
R|
-3.6%
Ec |
10.4%
Ec |
28.8%
Ec |
5.7%
Ec |
-3.8%
Mc |
7.1%
O|
2.6%
P|
-40.1%
Q|
25.2%
Sc |
14.8%
Mc |
-3.9%
Mc |
9.1%
O|
26.0%
R|
5.7%
P|
-4.0%
R|
6.9%
V|
1.3%
Fg |
-41.6%
Mc |
19.9%
R|
11.8%
Ec |
-4.5%
R|
5.2%
R|
14.1%
O|
5.2%
V|
-5.6%
Fg |
5.4%
Copyright © 2016 AthenaInvest, Inc. All Rights Reserved.
INTERNATIONAL EQUITY STRATEGY BENCHMARK SUMMARY (1/1/2007 - 12/31/2016)
The charts and tables included on this page present strategy peer group performance information. In order to be included in this presentation, a mutual fund
must be pursuing an active equity strategy. The hypothetical growth chart gauges overall active versus passive performance within the asset class over the
most recent 10 year period, while the remainder of the page provides greater detail on the individual strategy peer groups.
HYPOTHETICAL GROWTH OF $1 MIL OVER TEN YEARS
TEN YEAR PERFORMANCE BY STRATEGY
STRATEGY BENCHMARK
2007
•
2008
2009
2010
2011
2012
•
INTL ACTIVE EQUITY = $1.14 Mil
2013
2014
2015
2016
MSCI EAFE INDEX = $1.08 Mil
RETURN STD DEV
FUNDS
Competitive Position
1.6 %
18.2
1,637
Economic Conditions
1.4 %
18.8
592
Future Growth
2.7 %
18.5
521
Market Conditions
2.8 %
19.0
50
Quantitative
0.1 %
18.2
192
Opportunity
1.4 %
15.2
72
Profitability
0.7 %
16.0
65
Risk
0.7 %
15.9
167
Social Considerations
0.3 %
17.9
93
Valuation
1.1 %
18.1
1,137
AVERAGE / TOTAL
1.3 %
17.6
4,526
MSCI EAFE Index
0.8 %
18.5
INTERNATIONAL EQUITY STRATEGY BENCHMARK ANNUAL RETURN CHART(1/1/2007 - 12/31/2016)
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
Mc |
30.8%
O|
-37.3%
Mc |
57.0%
Fg |
16.7%
P|
-5.8%
Fg |
18.2%
Ix |
22.8%
R|
0.9%
Ix |
-0.8%
Sc |
6.1%
Ec |
23.1%
P|
-40.6%
Ec |
45.9%
Mc |
15.3%
R|
-6.9%
Cp |
18.2%
Sc |
20.7%
P|
0.1%
Fg |
-1.8%
R|
5.6%
R|
19.9%
Ix |
-43.4%
Fg |
43.0%
Cp |
14.6%
Sc |
-11.5%
Ix |
17.3%
Fg |
19.3%
Fg |
-1.1%
Q|
-3.2%
P|
4.7%
O|
19.1%
Sc |
-43.8%
Cp |
40.3%
Ec |
13.9%
Q|
-11.8%
V|
17.1%
O|
18.9%
Cp |
-1.6%
Sc |
-4.7%
V|
4.6%
Fg |
18.5%
Q|
-43.9%
V|
38.4%
V|
12.4%
Ix |
-12.1%
Ec |
16.8%
Cp |
18.6%
Mc |
-2.0%
Cp |
-4.8%
O|
4.6%
Cp |
15.3%
V|
-44.0%
Ix |
31.8%
P|
11.7%
Fg |
-12.3%
Sc |
16.6%
Q|
18.3%
Ec |
-2.3%
P|
-5.1%
Ec |
4.3%
V|
12.8%
R|
-45.2%
Sc |
29.7%
Q|
11.1%
O|
-13.1%
Q|
16.2%
Mc |
17.5%
Sc |
-2.8%
V|
-5.7%
Cp |
4.0%
Ix |
11.2%
Mc |
-45.8%
R|
29.5%
R|
10.8%
Cp |
-13.2%
P|
15.2%
V|
16.7%
O|
-2.9%
O|
-6.0%
Q|
2.4%
Q|
10.4%
Fg |
-45.9%
O|
28.8%
O|
10.2%
V|
-13.2%
Mc |
14.9%
P|
15.1%
V|
-3.0%
R|
-6.1%
Fg |
2.0%
Sc |
6.3%
Cp |
-46.5%
Q|
27.7%
Sc |
8.6%
Ec |
-14.2%
O|
9.6%
Ec |
12.2%
Q|
-3.7%
Mc |
-7.3%
Ix |
1.0%
P|
4.0%
Ec |
-46.8%
P|
25.6%
Ix |
7.8%
Mc |
-16.3%
R|
8.9%
R|
11.7%
Ix |
-4.9%
Ec |
-7.7%
Mc |
0.3%
Copyright © 2016 AthenaInvest, Inc. All Rights Reserved.
PRESENTATION DISCLOSURE
This document is informational in nature and
for use only by sophisticated investors who
meet certain minimum financial requirements.
This information is not intended to constitute
legal, tax, accounting or investment advice.
Prospective clients should consult their own
advisors about such matters.
in a particular Strategy Benchmark changes
when new funds pursuing that strategy are
identified. The underlying holdings of the
mutual funds change over time, and Athena
does not control for the composition or
characteristics of the securities that make up
the Strategy Benchmarks, including sector
weighting, market capitalization, or other
stock characteristics.
instruments included in any such index.
Accordingly, no representation is made that
the performance or volatility of our
methodology will track or otherwise reflect
any particular index. Index returns may not
reflect transaction costs or the deduction of
fees and it is not possible to invest directly in
an index.
INDEX DEFINITIONS
This information is not intended to be
complete, and material aspects of the
descriptions contained herein may change at
any time. While the information prepared in
this summary is believed to be accurate, we
make no express warranty as to the
completeness nor can we accept responsibility
for errors made in good faith.
BENCHMARK METHODOLOGY
Athena Strategy Peer Groups are designed to
help investors appropriately benchmark active
equity managers by grouping funds which
pursue the same primary investment strategy.
The Strategy Benchmarks are comprised of all
open-end active mutual funds pursuing a
stated investment strategy. Strategy Benchmark
composition is not determined by committee
but by active equity managers' own stated
investment strategy, which can be found in the
funds' prospectuses. Identifying and
categorizing managers by their investment
strategy leads to more meaningful peer groups
within asset classes. AthenaInvest maintains
and publishes 10 US Equity Strategy
Benchmarks and 10 International Equity
Strategy Benchmarks.
CRITERIA FOR BENCHMARK INCLUSION
In order for a mutual fund to be included in a
particular Strategy Benchmark, it must be an
active open-end mutual fund with a stated
investment strategy. Athena's Strategy
Identification Process excludes Index Funds,
ETF's, Asset Allocation, Life Cycle, and other
passively managed or mixed-asset class funds.
More information about Athena's Strategy
Identification Process can be found at our
website: www.athenainvest.com.
The underlying composition of mutual funds
Copyright © 2016 AthenaInvest, Inc. All Rights Reserved.
CRITERIA FOR BENCHMARK REMOVAL
Once a mutual fund is strategy-identified and
becomes part of a particular Strategy
Benchmark, there are only two reasons for
removal: (1) the fund's stated investment
strategy changes and as a result it is identified
as pursuing a different strategy, in which case
it will be included going forward in its new
strategy, or (2) the fund closes.
CALCULATION OF BENCHMARK
PERFORMANCE
Monthly returns for each Strategy Benchmark
are calculated as a simple average of the
monthly returns for all funds which have been
so strategy identified. Returns are net of all
automatically deducted fees including
management fees, administration fees, 12b1,
trading costs, and other fees, but do not reflect
the impact of sales loads.
The Strategy Benchmarks were launched in
May 2009 and cover the time period from
January 1980 through the present. Not all
Strategy Benchmarks start in January 1980 due
to the lack of strategy identified funds in earlier
years. The Strategy Identification Process
began in 2007, so funds that had ceased
operations prior to 2007 are not included in
any Strategy Benchmark. After 2007, all
strategy-identified funds are included in
benchmark performance, even those that have
ceased operations.
MARKET INDICES
Market indexes are included in these materials
only for comparative purposes and as context
reflecting general market results. Our
methodology does not seek to replicate the
composition, or mirror the performance or
volatility, of any such index, and can be
expected to have investments that differ
substantially from the securities or other
The S&P 500 Index is a free float-adjusted
index which measures price movements of the
common stock of 500 large U.S. companies
within leading industries. Stocks in the Index
are chosen for market size (large cap), liquidity
and industry group representation. S&P 500 is
a registered trademark of The McGraw-Hill
Companies.
Morgan Stanley Capital International's Europe,
Australia and Far East ("EAFE") Index is an
unmanaged index that is a generally accepted
benchmark for the major overseas markets.
Data is dollar-adjusted. Investors may not
actually make investments in this index.
PAST PERFORMANCE DOES NOT
GUARANTEE OR INDICATE FUTURE
RESULTS.
DATA SOURCES
December 2016 AthenaInvest and
Morningstar.
RR-SB-201612