Page 173 - AugDefComp

Definitions & Disclosures 6/30/2021

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R-Squared (R ) - The diversification measure R indicates the percentage of volatility in portfolio returns which can be “explained” by market volatility. This statistic indicates the degree to which the
observed values of one variable, such as the returns of a managed portfolio, can be explained by, or are associated with the values of another variable, such as a Market Index. It is especially
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helpful in assessing how likely it is that Alpha and Beta are statistically significant. The R values generally range from 0.0 to 1.0. An investment with an R of 1.0 is perfectly correlated with the
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market whereas an investment with an R of 0.0 will behave independently of the market. An R of 0.95, for example, implies that 95% of the fluctuations in a portfolio are explained by fluctuations in
the market.
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Predicted Style R-Squared -The methodology used to calculate Predicted Style R is similar to that of Style R . The difference between the two is that, in each predicted style return estimation
window, the point being estimated is excluded from the optimization. In optimizations performed to calculate style returns, the point being estimated is included. Excluding the estimation point itself
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from the optimization process results in a more fair assessment of how well the style analysis model is working (as represented by Predicted Style R ).
Sector Allocations - The percentage a manager has allocated to specific economic sectors.
Sharpe Ratio - The Sharpe Ratio indicates the excess return per unit of total risk as measured by Standard Deviation. It is a ratio of the arithmetic average of excess returns over the risk free rate to
the Standard Deviation. The Sharpe Ratio is a measure of the premium earned for the risk incurred by the portfolio.
Significance Level - The Significance Level of a test is the probability that the test statistic will reject the null hypothesis when the hypothesis is true. Significance is a property of the distribution of a
test statistic, not of any particular draw of the statistic.

Skewness - Skewness describes the degree of asymmetry of a distribution around its mean. A distribution is said to be symmetric if has the same shape to both the left and right of the mean. A
perfectly symmetrical distribution has a Skewness of 0. A positively skewed distribution has larger gains than losses, while a negatively skewed distribution has a longer tail of losses.

Standard Deviation (StdDev) - A measure of the extent to which observations in a series vary from the arithmetic mean of the series. The Standard Deviation of a series of asset returns is a
measure of volatility or risk of the asset.

Style Map - Plots the historical exposures of a fund's style across appropriate dimensions, such as growth vs. value for equity funds and credit quality for fixed income funds. By viewing this chart,
an investor can determine a manager's style consistency over time.

Top Ten Holdings - The investment manager's ten largest individual security holdings in the portfolio and their percent of the total fund's market value.
Tracking Error (Excess Standard Deviation) - Tracking Error is a measure of how closely an investment's returns track the returns of the selected Market Index. It is the annualized Standard
Deviation of the differences between the investment's and the associated index's returns. If an investment tracks its associated index closely, then Tracking Error will be low. If an investment tracks
its associated index perfectly, then Tracking Error will be zero.

Treynor Ratio - The Treynor Ratio is defined as the ratio of the manager's excess geometrically annualized return over the portfolio Beta. Excess returns are computed versus the cash index.
Up Market (Mkt) Capture Ratio - Up Market Capture Ratio is a measure of a product's performance in up markets relative to the market itself. An up market is one in which the market's return is
greater than or equal to zero. The higher the investment's Up Market Capture Ratio, the better the investment capitalized on a rising market.
YTD - Year to Date.
Returns-Based Style Analysis/Asset Loadings Chart - Returns-based style analysis which was developed by Nobel Laureate William F. Sharpe as an alternative method for determining a
manager’s style without any information about the individual securities held in the manager’s portfolio. The underlying principle behind this analysis was that the style of a manager can be
determined by analyzing the total return pattern of the manager’s portfolio. For example, if a manager’s return pattern were identical to the return pattern of a Small Cap growth benchmark, the
manager could be viewed as a Small Cap growth manager. Based on a mathematical formula which considers the performance benchmarks that are most highly correlated with the total returns of
the portfolio, returns-based style analysis may be used to assess a fund manager’s true investment style.

Returns-based style analysis compares an investment’s returns to the returns of certain indices. These comparisons imply which index each investment is most similar to, and which characteristics
that investment is most likely to exhibit. The “Manager Style (36-Month Moving Windows, Computed Monthly)” chart includes points of varying sizes, where a smaller point represents an earlier
moving window. The Russell Generic Corners include the following indices: Russell 1000 Value (rvalue), the Russell 1000 Growth (rgrowth), Russell 2000 Value (r2value), and Russell 2000 Value
(r2growth).

Past performance is no guarantee of future results. Rankings provided based on total returns. Performance quoted for mutual funds may include performance of a predecessor
fund/share class prior to the share class commencement of operations.

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