Active versus Passive Management of International Mutual Funds ...

Active versus Passive Management of International Mutual Funds:
Evidence from 1995 - 2008
Dale A. Prondzinski
Nova Southeastern University
Davenport University
dale.prondzinski@davenport.edu

2
Active Versus Passive Management of International Mutual Funds: Evidence
from 1995 to 2008
Dale A. Prondzinski
Nova Southeastern University
Davenport University
dale.prondzinski@davenport.edu
ABSTRACT
Modern Portfolio Theory commenced the ensuing debate regarding the benefits of active
versus passive management. Both camps claim they produce superior risk-adjusted performance.
This paper explores the research question: During the 1995-2008 time periods which
management style, active or passive, produced the best international mutual fund performance on
a risk adjusted basis
The Sharpe composite portfolio performance measure, that combines risk and return into
a single value, was used to measure, analyze, and rank risk-adjusted performance.
The time frame of the study is significant in the fact it covers two market expansions
followed by two bear markets. The study tested six hypotheses regarding active versus passive
investments. Based on previous domestic research one would expect the passive management
styles to out perform the active styles during expansion whereas the performance would reverse
during market contraction. This was not the case as the study suggests it may be beneficial to
select actively managed international funds instead of index funds given the indices examined.
Active Versus Passive Management of International Mutual Funds: Evidence
from 1995 to 2008
INTRODUCTION
As the investment dollars under management continue to decrease, active mutual fund
managers must show value for the expenses charged to the fund. The combined assets of the
nation’s mutual funds decreased by $191 billion, or 2.0 percent, to $9.411 trillion in January
2009 from the previous month according to the Investment Company Institute’s official survey
of the mutual fund industry [48]. The decline in the combined assets of the nation’s mutual funds
represents a decrease of 22 % from the December 2007 level of $12.0 trillion [48].
This trend was further evidenced in the international mutual fund assets, as the total
world assets at the end of 2008, were $19 trillion, which was a $10.1 trillion decrease from 2007.
The total assets invested outside the United States were $9.7 trillion, which represented a
decrease of $4.4 trillion from the previous year [49].
Researchers have provided mixed results as to whether active management provides more
value than passive management given the higher expense ratios of actively managed funds
compared to passively managed funds [7;37;65]. The higher expense ratio of active funds,
coupled with the fact that anomalies have been discovered in various categories of mutual funds,
continues fueling the active versus passive management debate, challenging active management
proponents to justify their higher expense ratio. As markets become more efficient, one might

suspect that anomalies would disappear or shift to different mutual fund classifications
dependent upon current economic trends and information availability.
Purpose of the study
The purpose of the study was to determine the international mutual fund management
style (active or passive) that performed best on a risk adjusted basis from 1995 until 2008, and to
ascertain whether findings previously identified in the literature remain the same or have
changed.
Justification of the study
Actively managed mutual funds attempt to add value by selecting securities for a
portfolio that are expected to provide a better risk-return trade-off than its benchmark index.
Actively managed funds also monitor the market and revise portfolio selections in response to
current market conditions [78]. The fact investors continue to use active funds as part of their
portfolio suggests the acceptance of the value added concept. Arnott and Darnell [7] concur that
it is possible to add value, as evidenced by the articles in the academic journals, investment
management experience, and by capital market observers. The rationale for the conclusion that
active funds add value is that market inefficiencies and anomalies exist [7].
Base theory
Markowitz [63] first defined Modern Portfolio Theory (MPT), the base theory for the
study. Markowitz believed that investors considered expected return as desirable while variance
was something they did not want [63]. Tobin [81] subsequently found a weakness in the
Markowitz model as he addressed the investor’s preference for liquidity. Tobin’s research
postulated that investors would prefer to hold cash or risk free government securities, rather than
selecting an entire portfolio of risky securities.
Sharpe [77] provided a simplified model for portfolio analysis to determine a selection of
securities that would meet the investor’s preferences. Sharpe’s model provided the framework
for the development of the Capital Market Theory [76].
Treynor [84] developed the first of three major performance measures for the study of
portfolio management. The slope of the Treynor measure was compared to the security market
line; if the managers’ Treynor value was above the line, they beat the market whereas, if their
value was below the line, their performance was below the index. Sharpe [75] enhanced the
ability to measure portfolio management with the reward-to-variability ratio. This ratio used the
standard deviation of the portfolio to measure risk instead of the beta. The measure works well
for portfolios, but will not measure risk for a stand alone security [68]. Jenson’s [52] study
concluded that managers were not able to select a portfolio that would out perform the market.
His work presented the third performance measure to identify the best portfolio managers.
Samuelson [71] posited that stock prices fluctuate randomly; therefore, a portfolio of
securities will not be able to beat the market. His work was a prelude to the Efficient Market
Hypothesis (EMH). The Samuelson [71] and Jenson [52] studies were a prelude to Fama [35] in
which the EMH provided the basis for the active versus passive management debate. The EMH
indicates that no manager should be able to gain a significant advantage over the index. Given
the EMH, Samuelson [70] and Ellis [30] continued to call for portfolio managers to form index
funds. The challenge was finally accepted by Bogle in 1975, when he started the first index fund
[19].
Lehmann and Modest [59] argued the importance of selecting the appropriate index to
utilize as the benchmark to measure the performance of portfolio managers. Their study initiated
the comparison of actively managed mutual funds to the various passive indices. They observed
3

little similarity between mutual fund rankings when alternative benchmarks were utilized [59].
Sharpe [74] reiterated the need to define terms and benchmarks when making
comparisons to measure performance. He defined the terms active and passive investor and
determined that the best way to measure performance was with a comparative alternative [74].
At the same time, Fama [34] reaffirmed the existence of market efficiency in relation to EMH.
He noted that certain markets, such as the international market with limited information,
provided opportunities for abnormal returns [34].
Ambachtsheer [2] proposed that an active manager must add value rather than just adding
more assets to an asset-based fee schedule. In addition, it is important to note that 60% of the
funds available are actively managed.
Using the Morningstar Style Boxes, Bogle [18] determined that index funds were a better
investment than actively managed funds. Bogle’s results were again supported for a 10-year
period ending in 2001, when he found that the risk-adjusted return of the index fund was superior
to the respective actively managed fund in eight of the style boxes [17]. Fortin and Michelson
[39] reaffirmed that anomalies exist in the market, but indexing is still the best option for
investors. They observed that active managers outperformed the associated index in only the
small capitalization funds [39].
Flood and Ramachandran [36] noted that both active and passive management styles had
strengths and weaknesses. Their research did not favor one style as an alternative to the other.
They felt the styles should be complementary [36]. Davis [28], Damato [27], and Frino and
Gallagher [40] offered additional support for the use of index funds in their studies. They noted
that the passively managed funds outperformed the actively managed funds in most cases, but
that anomalies still existed.
Fortin and Michelson [38] observed an anomaly in their study as they discovered actively
managed small company equity funds and international stock funds significantly outperformed
the index over most of their study period. Their research continued to support the ability of
active managers to gain excess returns above the index in international markets.
Adrangi, Chatrath, and Shank [1] showed further support that active managed funds
could beat the index at least in the short term. Their study was limited in scope. They used the
Treynor [84], Sharpe [75], and Jensen [52] performance measures [1]. Arnott and Darnell [7]
concurred that it is possible to add value, as evidenced by the articles in the academic journals,
the investment management practice experience, and by capital market observers. The rationale
for this conclusion is that market inefficiencies and anomalies exist [7].
Kjetsaa [57] compared the Morningstar style boxes to the comparative Russell indices,
Standard and Poors 500 (S&P 500), and the fund category averages. He observed that a superior
portfolio may contain a blend of index and actively managed funds [57]. Blitzer [13] added a
behavioral link to beating the market as he believed that there will always be someone who feels
they can do better than the index. He believed the use of computers would allow financial
engineers the ability to create portfolios they suspected would beat the index [13].
Fortin and Michelson [37] found that actively managed international mutual funds outperformed
their respective indices in four of the five categories they identified. They further
documented that net mutual fund assets of $134 billion in 1980 increased to more than $6 trillion
in 2002 and that more than 49.6% of American households own some type of mutual fund [37].
The newest revelation in financial engineering, the concept of fundamental indexing was
initiated by Arnott, Hsu, and Moore. They noted the advantages of cap-weighting could be
combined with additional selection methods for equities which would increase the return to
4

investors [6]. Siegel [79] added to fundamental indexing as his research supported indexing
utilizing dividend weighted portfolios in lieu of cap-weighted portfolios. He believed anomalies
existed and the investor could capture the additional basis points over the passive index [79].
Asness [9] argued that fundamental indexing was nothing more than an active strategy.
His advocacy for the continued use of passive indexing was supported by Bogle and Malkiel,
while Arnott and Siegel supported the use of fundamental indexing.
Cremers and Petajisto [25] introduced the concept of the active share where they found
that funds with the highest active share out-performed their associated index. Additionally, they
noted that smaller funds are more active and that large funds are closet indexers, which they
described as active managers, who maintained the composition of their portfolio closely
weighted to the associated benchmark index [25].
Miller [65] derived a formula for computing the active expense ratio and active alpha
leading to potential identification of mutual fund returns. Their findings further identified that
some funds fall in between benchmarks and therefore do not have a suitable benchmark for
comparison [65].
Edelen, Evans, and Kadlec [29] found that funds where the trade size is small have a
positive relationship to fund returns while funds with a large trade size are negatively related to
fund returns. This finding supports the research that trading costs have the potential to reduce the
return of active managers below the corresponding passive index performance [29].
Perold [67] added additional support for fundamental indexing as he noted the research
thus far supports the viability of the theory, while Kaplan [55] provided rationale for why it may
or may not work. Kaplan [55] concluded that fundamental index proponents use conjecture
rather than a clear theory to base their strategy. The debate continues regarding active versus
passive investing as Bogle and Sullivan [15] acknowledged the fact that the overall drop in the
market from its previous highs may have created mispricing of securities. The mispricing gives
investors opportunities to generate potential excess returns over the index.
Research question
The study’s primary research question will be: During the 1995-2008 time periods which
management style, active or passive, produced the best international mutual fund performance on
a risk adjusted basis
Definition of terms
Modern Portfolio Theory. An investor will seek a combination of available securities to
maximize expected return while utilizing diversification to minimize variance [63].
Active Investor/Manager. The active investor attempts to beat the market by selecting
superior securities that are believed to be mispriced. The mispricing of securities is determined
by extensive market and equity research. Active management incurs the additional costs of
research, personnel, infrastructure, and transaction expenses related to higher portfolio turnover.
Active managers tend to trade frequently as perceptions of mispricing change [74].
Passive Investor/Manager. The passive investor seeks to match the performance of a
given market index in the belief that the market offers 100% of the potential return available.
The passive investor attempts to accomplish their investment objective by replicating the
performance of a market segment, commonly the S&P 500 or the Wilshire 5000 (total stock
market). The passive investor holds every security of the market represented in the same
proportion [74].
Index. A group of securities that meet specific criteria combined to form an index to track
performance such as the S&P 500 or Wilshire 5000 Index [68].
5

6
Risk adjusted return. The fund’s yearly return adjusted for the risk undertaken by the
fund manager is the risk adjusted return [73].
Summary
The introduction provided the background and history of the problem associated with
active versus passive management. The justification for the study and the research question were
identified. The next section, the literature review, will provide the support for the research
question of the study and will lead to the development of the hypotheses that will be addressed.
LITERATURE REVIEW
The literature review will encompass the studies and findings of various financial authors
predominantly from 1964 to the present. The information will be provided in chronological
order.
Keynes [56] acknowledged that our decisions are based on the state of long-term
expectation which includes not only our assessment of the probability of occurrence but our level
of confidence the desire outcome will be achieved. If our confidence level is high, then we will
be more likely to invest in a particular security. His belief was that the investor must select the
security that everyone else desires. This selection will lead to an increase in value of the
underlying asset as other investors will desire to obtain the same asset. This process of selection
of the optimal security created the need for investment analysis and portfolio management [56].
The first major break through in portfolio management was the identification of MPT by
Markowitz in 1952. Markowitz believed investors would seek maximum returns through
maximizing expected returns with acceptable levels of variances of these returns based on their
utility. He believed in diversification across industries with different economic conditions to
achieve this end [63]. The Markowitz model is based on the following assumptions of investor
behavior [63]:
1. Investments are considered based on the probability of expected returns while being
held.
2. Investors desire to maximize utility during the time the investment is held.
3. Risk is estimated based on the variability of expected returns.
4. Utility curves are a function of expected returns and variance.
5. Investors prefer higher returns for a given level of risk and they prefer less risk instead
of more risk.
Tobin [81] identified a weakness in the Markowitz model. Tobin showed the risk of
portfolio could be reduced by holding cash or cash equivalents. The rationale to hold such
instruments was to maintain transactional balances and investment balances. As interest rates
increased the propensity to hold cash balances increased. Portfolios would be constructed based
on investors’ risk tolerance using varying combinations of securities and risk free assets [81].
Sharpe [77] extended the work of the Markowitz model by analyzing the future
performance of securities to determine an efficient set of portfolios using the computer. This
work further identified that diversification will allow the investor to eliminate all of the risk
except economic activity cycles [76]. The study marked the development of the Capital Market
Theory for which Sharpe won the Nobel Prize. The risk-free asset would provide the risk-free
rate of return that would serve as the foundation for the expected rate of return. The capital
market line delineates the highest level of expected return in excess of the risk free rate per unit
of risk for any available portfolio of risky assets [68].

Portfolio performance measures
Treynor [84] developed the first of three major performance measures for the study of
investments. The Treynor measure increased the clarity of the ratings used by mutual fund
managers. The measure is as follows [84].
Treynor Measure = (R i – R f ) / B i (1)
Where:
R i = risk of the investment
R f = risk of a risk free investment
B i = Beta of the investment
The greater the result, the better the performance for varying levels of risk. The differences are
independent of market fluctuations and provided a useful basis for reviewing the performance of
fund management [84].
Samuelson [71] proposed that all information was available and no one could gain
arbitrage opportunities in the market place. His work was a prelude to the EMH and to the need
for an index fund if asset managers, given the costs, could not enhance value added to portfolio
management [71].
To enhance how mutual fund performance was calculated Sharpe extended the work of
Treynor, who incorporated the volatility of a fund’s return. Sharpe’s model, the reward-tovariability
(R/V) ratio, has the numerator equal to the funds average annual return minus the risk
free rate. The denominator is the standard deviation of the annual rate of return [75]. The
difference between the two is that the Treynor ratio measures returns relative to beta and the R/V
ratio measures risk according to the standard deviation of the returns. The Sharpe measure relates
to total risk where unsystematic risk can be diversified away. The Sharpe measure will not work
for a single security as it contains substantial unsystematic risk [68].
S = (R i – R FR ) / б i (2)
Where:
R i = arithmetic mean return of security i
R FR = average rate of return on a risk-free investment during the same
time period
б i = standard deviation of returns on security i
Jensen [52] developed a third model to complement the Treynor measure and Sharpe’s
R/V ratio. His research showed that on average mutual fund managers were not able to
outperform a market buy-and-hold strategy. The research further suggested that if someone did
better than the market it was perhaps by random chance [52]. The model is identified below:
б i = (R i – R f ) – B i (R m – R f ) (3)
Where:
б i = standard deviation of returns on security
R i = arithmetic mean return of security
R f = risk free rate
B i = Beta of investment
R m = market risk
An excess return is the difference between a realized return and the risk free rate. Finance theory
requires that securities with a beta of zero have an excess return of zero. Therefore, the standard
deviation should be zero. If the term is positive, it indicates an upward trend in security prices; if
it is negative, a downward trend is indicated. The Jensen measure is no longer widely used at this
time [68].
7

Efficient market hypothesis
In 1970, Fama published the EMH theory. The theory is concerned with whether or not
stock prices fully reflect all available information. The weak form of the EMH theory tests
historical information and is fairly well supported. The semi-strong form tests all publicly
available information. The strong-form tests whether or not advantages can be gained by
insiders. As stated earlier, the weak form is fairly well supported, as is the semi-strong form.
Support for the strong-form is not as well documented [35]. If one believes in the EMH, then one
would believe that mutual fund managers cannot beat the market, and should therefore invest in a
passive index.
Treynor and Black [83] contributed to the debate regarding ownership of the index or
seeking active management. Their question was whether or not a manager should balance
underpriced long securities positions and underpriced short securities positions or should the
portfolio be diversified until only market risk remains. In their model, they assume that security
analysis can improve the performance of the portfolio. They conclude that it is useful to
rebalance a portfolio. A portfolio consists of three parts: a riskless part, a diversified part, and an
active part. The active part will depend upon security analysis and be independent of the active
index [83].
Origin of index funds
Samuelson [70] restated that most money managers would not outperform the market. If
they do, their returns are reduced by the transaction costs making it more appropriate to hold a
specifically weighted segment of the market. The thinking, therefore, was to emulate the market
with an index fund [70].
Ellis [30] reiterated the call of Samuelson [70] to form index funds, as he could not find a
group of managers that would consistently beat the market. Since individuals continue to believe
they can beat the market, active management will continue as a concept of one’s self-esteem and
self-worth. He termed investing in the market a “Loser’s Game,” as the more you tried to win the
better chance you had to lose. He did not state that the evidence led to a passive or index fund,
but the null hypothesis was hard to disprove [30]. Bogle took the challenge and started the first
index fund in 1975, called the Vanguard 500 index trust. The fund started with $11 million under
management and by 1995 reached $18 billion [19].
Transaction costs and benchmark measures
Ambachtsheer and Farrell [3] found that successful active management is not dependent
on any specific valuation method. They found that successful active management is dependent
on the ability to make judgments with predictive content that can be placed into unbiased
valuations. The managers must then deal with the transaction costs and risk control. The use of
computers in providing the processing needs was essential [3].
Lehmann and Modest [59] argued that it was necessary to have a benchmark for normal
performance. The usual proxy for the market portfolio was the Capital Asset Pricing Model
benchmarks. In their research they utilized the Arbitrage Pricing Model. The study examined 130
mutual funds from January 1968 through December 1982, finding considerable differences
between the performance measures given by the Capital Asset Pricing Model and Arbitrage
Pricing Model benchmarks. The importance of the study indicated that knowing the benchmark
was critical when comparing mutual fund performance [59].
Essayyad and Wu [32] conducted a study that compared the performance of 18
international mutual funds as identified in Wiesenberger Investment Company Services. Their
study addressed the period from January 1, 1977 to June 30, 1984. Previous studies incorporated
8

hypothetical portfolios as a means of comparison. Their findings indicated 16 of the 18
international mutual funds outperformed the S&P 500 stock index on a risk adjusted basis. The
implication of their study demonstrated the ability of international funds to provide
diversification possibilities for U.S. investors.
As funds under passive management continued to grow the debate over active versus
passive strategies intensified. Ippolito [50] conducted a study of mutual fund performance for
every fund listed in the 1985 edition of Investment Companies incorporating funds from 1964 to
1985. The findings indicated that mutual funds, net of all fees and expenses, outperformed index
funds on a risk adjusted basis. The findings were in contrast to previous studies [i.e, 52; 75] [50].
Grinold [44] published the fundamental law of active management, where the value
added can be divided into two components: the skill of the investment manager and the breadth
of the strategy. Given this information, one still would have difficulty in finding a manager that
can consistently beat the market [44].
Grinblatt and Titman’s study utilized data from the CDA Investment Technologies, Inc.
to calculate the Jensen measure of four benchmark portfolios. These portfolios were the monthly
rebalanced portfolio of all Center for Research in Security Prices (CRSP) securities, the CRSP
value-weighted index, the 10 factor portfolios based on Lehmann and Modest [59], and the eightportfolio
benchmark developed in Grinblatt & Titman [43]. They found areas where active
management generated excess returns. Their research indicated that superior performance may
exist among aggressive growth and growth funds provided the funds had smaller net asset values
[42].
Cumby and Glen [26] compared international mutual fund performance to the Morgan
Stanley world index and to a two-portfolio benchmark consisting of the world index and an
equally weighted portfolio of Eurocurrency deposits. Their study utilized the Jensen [52]
measure of performance and the Grinblatt and Titman [42] positive period weighting measure.
Their sample was comprised of 15 mutual funds from the CDA Investment Technologies, Inc.,
with returns for the period from January 1982 to June 1988. They found no evidence that the
funds provided investors superior performance over the broad international equity index. They
postulated that active management of these funds does not provide superior performance over the
index for investors. Their findings were contrary to Essayyad and Wu [32].
Sharpe [74] postulated that certain terms must be defined before determining whether
passive management is better than active. One must first define the market, which in most cases
is the S&P 500, and then the evaluator must distinguish the difference between an active and
passive investor. According to Sharpe [74], active investors are ones who are not passive and
their portfolio may vary from the passive investor part of the time. A passive investor is one that
holds every security in the market. Sharpe determined that the best way to measure performance
was with a comparable alternative such as a benchmark or normal portfolio [74].
Garcia and Gould [41] articulated that no one has shown a clear superiority between
active management and indexing. They noted that style preferences by managers actually made
each one active as they selected varying sized portfolios. The sizes of these portfolios were
influenced by all of the managers in the playing field; therefore, they considered all managers
active. They felt that one could not exist without the other [41].
Fama [34] reaffirmed his market efficiency thesis by providing substantial information
supporting his hypothesis. The information supported the weak and semi-strong form. The strong
form research did not hold with the theory. The literature indicated that insider information can
give an investor an advantage. Additionally, international markets, for example, with limited
9

information still yielded opportunities for abnormal returns [34].
Eun, Kolodny, and Resnick [33] examined the performance of 19 international mutual
funds as compared to Morgan Stanley Capital International World Index, and a self-constructed
index of U.S. multinational firms for the period from 1977 to 1986. Data for the study was
collected from the CRSP Monthly Return File, ISL, and the Wall Street Journal. They found the
majority of funds for the period outperformed the S&P 500 but did not beat the Morgan Stanley
Capital International World Index [33].
Sharpe [73] reiterated the need for active managers to be able to show their worth as
passive managed funds continued to grow. To this end, Sharpe emphasized the validity of the
model, the need for its use as a performance measure for fund managers, and renamed the
reward-to-variability ratio the Sharpe ratio, as the original name never managed to gain notoriety
[73].
Ambachtsheer [2] continued the debate of active versus passive management noting that
actively managed funds charged, on average, an additional 19 basis points. The question then
becomes what investors are receiving for these additional fees. His research question was
whether or not an investor could determine an efficient manager prior to the fact [2].
Survivor bias
Malkiel [62] conducted a study of mutual fund performance from 1971 to 1991 based on
the data received from Lipper Analytic Services. He included all the mutual funds in existence
during the period and eliminated funds that did not survive. He felt survivor bias was critical to
assessing the overall performance of managers. His research found that funds underperform the
market after fees are deducted, concluding that an investor would be better off buying the index
than attempting to secure an active manager [62].
Elton, Gruber, and Blake [31] determined that historic pricing carries information about
the future through 1- and 3-year alphas. In their study, they eliminated survivorship bias. The
data for funds existing during the period of study were obtained from Interactive Data
Corporation and supplemented by information from the funds. They concluded that the
employment of MPT to form optimal portfolios leads to a positive significant return [31].
Gruber’s [45] study was comprised of all funds listed in Weisenberger’s Mutual Funds
Panorama and addressed the period from 1985 to 1994. He found these funds to underperform
the index on a risk-adjusted basis, meaning the investor would be better off purchasing the index.
He believed that there were two types of investors: the sophisticated and unsophisticated. The
sophisticated investor directed money to funds based on performance while unsophisticated
investors direct money to funds based on other reasons. The money under active management
continued to increase due to institutionally and tax disadvantaged investors [45].
According to Carhart [23], persistence in mutual fund performance does not reflect skill
in the selection of stock picks but rather differences in expenses and transaction costs. His study
covered funds from January 1962 to December 1993 and his data was obtained from
Micropal/Investment Company Data, Inc. During this period, he noted that expense ratios,
portfolio turnover, and load fees were significantly negatively related to performance as he
discovered the average load fund underperformed the average no load fund by 80 basis points
per year. He suggested avoiding poor performing funds as their negative activity will continue.
Expenses have a negative impact on performance and funds that performed well in the previous
year may perform well in the current year but not beyond [23].
Mutual fund categories
Bogle [18] subdivided mutual funds by using the Morningstar categories. His study
10

covered funds from 1992 to 1996 and utilized the data from the Morningstar Principia database.
During the same period, the passively managed funds exceeded the returns of the actively
managed funds. In two of the categories the results were about equal and in just one category, the
small-cap growth funds, the managed funds performed better [18]. The research gave additional
support to index funds that Bogle started 23 years earlier.
Larsen and Resnick [58] continued to address anomalies where active managed funds out
paced passive index funds. Their study was comprised of 200 high capitalization and 200 low
capitalization funds covering the 1981 to 1995 time period using data obtained from the CRSP
monthly data files. They observed that high capitalization stocks track the index better than the
small capitalization stocks. This inferred that the high capitalization stock indexes are more
efficient than the small capitalization indices [58].
Fortin and Michelson [39] reaffirmed that anomalies exist in the active versus passive
management debate. Their study comprised 6,997 mutual funds from the Morningstar database
Mutual Funds OnDisc, covering January 1, 1976 through December 31, 1995. The funds were
grouped into seven categories: Aggressive Growth and Growth; Growth/Income and
Equity/Income; Small Company Equity; International Stock; Corporate Bond, Government
Bond, and Municipal Bond. These categories were compared to the S&P 500; Russell 3000;
Russell 2000; Russell 1000; Morgan Stanley Capital International Europe Australia and Far East;
Lehman Brothers Corporate; Lehman Brothers Government and Lehman Brothers Municipal
indices. Their results indicated there were significant advantages to indexing. The only area
indicating active management outperformed the index was in small caps, where four out of five
cases resulted in alphas when expenses and transaction costs were considered [39].
Malkiel [61] offered the following rationale as the justification concerning why investors
continue to seek active fund managers:
1. Indexing only works in rising markets.
2. The inflow of funds into the stock market has led to a self-fulfilling prophecy.
3. Index funds only comprise 9% of the equity mutual funds.
4. If everyone indexes, who will ensure the market is priced efficiently.
5. If the market is inefficient, indexing will not work.
6. If large stocks underperform, indexing will not work.
Malkiel refutes these arguments by stating index funds offer cost advantages and tax
benefits, avoiding capital gains by holding rather than actively trading. Therefore, investors
should invest in mutual funds, because active managers do not consistently outperform the
market [61].
Bowen [20] noted that passive managers construct their portfolios to mirror the
performance of a well-known index. He believed active managers should use a strategy that
identifies stocks that will offer above average returns while maintaining low costs [20]. This,
perhaps, was the beginning of the formulation of fundamental indexing, though still several years
in the making.
Johnson and Collins [53] continued to call for active management. They felt that active
managers have the ability to lock in profits and shift funds to alternative investments. Index
funds do not manage risks; only active managers do so [53].
Flood and Ramachandran [36] espoused two schools of thought concerning security
selection. The first school of thought argues that managers should actively select securities in an
asset class to outperform the benchmark, while the second school of thought was that investors
should passively invest in each asset class and devote their resources to making the optimal asset
11

allocations. They did not determine whether active or passive management was better, but that
both had compelling strengths and weaknesses. They felt that active and passive management
should be complementary rather than battling to see which one survives [36].
Batten [11] provided a study of 22 funds using Morningstar Principia Pro data covering
the 1970 to 1999 period. The results indicated that active management could provide some value
through superior risk adjusted returns. The study was limited in scope and did not adequately or
significantly support the argument for active versus passive management of mutual funds.
Davis [28] supported the purchase of the index instead of actively managed funds. He
used the U.S. Mutual Fund Database from the CRSP covering the period 1962 to 1998; the
sample consisted of 4,687 funds. The significance of the study was that all funds during the
period were included, even those that died. The only good news for actively managed funds was
evidence of abnormal performance among some of the best performing growth funds, but this
performance was not sustainable for more than 1 year [28].
Damato [27] supported the growing trend to indexing. She reported the active managers
did well in 1999, as they achieved an average gain of 29.2% versus the S&P 500’s 21% return.
In 2000, the S&P 500 lost 9.1% while the active managers lost only 1.3%. Unfortunately, for the
previous 20-year period, the result was much different. She stated that according to Lipper the
average diversified fund returned an average of 13.23% while the S&P 500 index returned
15.48% [27].
Frino and Gallagher [40] conducted a narrowly focused study of 42 S&P 500 index funds
from the Morningstar Principia Pro CD-ROM, covering a 5-year period ending in February
1999. The study focused on the tracking error of the passive fund compared to the index. They
found statistical evidence that tracking error was positively and significantly correlated with
dividend payments from the securities comprising the S&P 500. Additionally, they observed
that, on average, actively managed funds significantly underperform passive benchmarks.
Furthermore, the S&P 500 index funds earned higher risk adjusted returns than active large
capitalization funds. They felt there was no economic benefit for the average investor to invest in
actively managed funds [40].
Israelsen [51] reiterated previous thoughts that active versus passive management was not
good versus evil, but should be viewed as complementary. He felt both approaches are correct.
The planner, whether selecting active, passive, or a combination of both, should stay the course.
Constant change will lead to a loss of capital for the client [51].
Adrangi, Chatrath, and Shank [1] revisited the EMH as they tested active manager and
passive index portfolios against randomly selected dartboard selections. They utilized the
Treynor [84], Sharpe [75], and Jensen [52] risk-adjusted portfolio performance measures. Their
findings indicated that active managers beat the short term, 6-month performance of the
dartboard portfolios and the market indices. The study findings were limited in scope and
indicated, in the short term, that the market does not reflect all available information [1].
Bogle [17] provided additional support for his findings in Bogle [18] by addressing the
period July 1, 1991 through June 30, 2001. This period included the quiet period of 1992 to
1994, the boom of 1995 to 1999, and the bust of 2000-2001. The results were similar as the small
cap funds outpaced the large and mid cap value funds. The Sharpe ratio of the index funds (1.23)
exceeded the average managed fund (0.99), the high cost funds (0.84), and the low cost funds
(1.13) [17]. The only area where active managers appeared to be better was in the small-cap
growth category that was consistent with the previous study.
Fortin and Michelson [38] provided support for index funds, but also identified categories
12

where anomalies continue to exist. Their study used the Morningstar Principia Pro Plus for
Mutual Funds, covering the period 1976 to 2000. The funds were grouped into eight investment
categories: aggressive growth and growth, growth/income and equity/income, specialty equity,
small company equity, corporate bond, government bond, international stock, and asset
allocation and balanced. The comparison index funds included the Vanguard Index 500,
Vanguard Total Bond Index, Vanguard Small Cap Index, Vanguard Total International Index,
and Vanguard Balanced Index. The final sample contained 9329 funds. The results showed that
on average index funds outperform actively managed funds for most categories. However,
actively managed funds in the small company equity and international stock funds categories
significantly outperformed the index during the period of the study [38]. This would indicate
inefficient markets in these areas where active managers have an advantage.
Arnott and Darnell [7] noted that financial bubbles exist, which have led to market
inefficiencies. Market inefficiencies allow active managers to add value to the investment
portfolio. The literature has identified these inefficiencies, has shown that they change over time,
and are not static. Therefore, they concur the active manager can add value [7].
Kjetsaa [57] continued to look for anomalies in the passive versus active management
styles. His study utilized the Morningstar Principia Pro Plus for Mutual Funds database. The
mutual funds were classified by investment objective and 12-month, 3-year, 5-year, 10-year, 15-
year compound average annual total return data were itemized along with annual expense ratios
and beta coefficients for the study [57]. The categories used for the study were large growth,
midcap growth, small growth, large blend, midcap blend, small blend, large value, midcap value,
and small value. These categories were, respectively, benchmarked to the Russell 1000 Growth
Index, Russell Midcap Growth Index, Russell 2000 Growth Index, Russell 1000 Index, Russell
Midcap Index, Russell 2000 Index, Russell 1000 value Index, Russell Midcap Value Index, and
Russell 2000 Value Index. The results generally supported the EMH, but discovered several
areas where active managers provided excess returns. These results indicated that a combination
of passive index funds and actively managed funds provided excellent portfolios [57].
Shukla [78] measured the value of interim portfolios to see if the revisions added value to
the portfolio. The mutual fund data were collected from the Morningstar Principia CD-ROM and
the security data were taken from the CRSP monthly returns file. Quarterly data were collected
from April 1995 through November 2002; portfolio snapshots were taken each quarter. He
observed that interim revision of mutual fund portfolios does not generate excess returns net of
trading costs. Funds that generate the highest excess returns are concentrated and have minimal
turnover [78]. The study supported passive management of a specific index.
Efficient market hypothesis revisited
The argument for active versus passive management continued with the concession made
by Fama at a University of Chicago Graduate School of Business conference where he made the
case that poorly informed investors could theoretically lead the market astray. Markets may be
less efficient than was previously thought [46]. This statement provided additional support for
the fact that anomalies will exist in the EMH over time and these anomalies should be explored
to seek excess returns.
Fortin and Michelson [37] showed that not all markets are efficient. The literature has
indicated that domestic markets have anomalies over periods that are not static due to
inefficiencies. The study used data from the January 2001 Morningstar Principia Pro Plus for
Mutual Funds, and contained information for all funds through December 31, 2001. The study
grouped funds into five major categories: World, Foreign, Europe, Pacific, and Emerging
13

Markets. The comparison indices included: Morgan Stanley Capital Index World; Morgan
Stanley Capital Index Europe; Australia and Far East; Morgan Stanley Capital Index Europe;
Morgan Stanley Capital Index Pacific; and Morgan Stanley Capital Index Emerging Markets
Funds. The period of the study was from 1976 to 2000. The results of the study showed that there
is an advantage for active fund managers in the international mutual fund category as they
outperformed the passive indexes in three of five categories [37]. The study documented the
need for active management in the international sector.
Blitzer [13] thought that statistical papers will continue to grow in popularity as new
thoughts are developed on beating the index. The behavioral nature of investors makes this a
reality.
Fundamental indexing
Arnott, Hsu, and Moore [6] started the newest revelation in financial engineering with the
concept of fundamental indexing. They acknowledged that cap-weighted portfolios and indexes
have advantages. Capitalization weighting is a passive strategy requiring little trading, therefore,
transaction costs are low. A cap-weighted index provides an easy way to participate in a broad
equity market, and cap-weighting is highly correlated with liquidity therefore; heavily traded
stocks are emphasized. Considering these advantages, any alternative to indexing should strive to
include these fundamentals. To this end, they based their concept of fundamental indexing on
these advantages with an annual portfolio rebalancing [6].
To create the fundamental index companies were ranked by book value, trailing 5-year
average cash flow, trailing 5-year average revenue, trailing 5-year average gross sales, trailing 5-
year average gross dividends and total employment. The 1000 largest were then selected by each
metric and included in the index. The financial statement data were obtained from
CRSP/Compustat database. The portfolio was rebalanced once a year on the last trading day [6].
The results of the study showed the portfolios outperformed the S&P 500 by an average
of 1.97 percentage points a year during the 43-year period. The results were considered robust
since varying economic conditions were included in the period. The excess returns over the S&P
500 were from superior market portfolio construction, price inefficiency, and additional exposure
to distress risk, or a combination of the three [6].
Brinson [21] supported the fact that bubbles have existed in the financial markets for
centuries and will continue to exist in the future. He believed that value can be added by active
management strategies during very long time periods, which allow the active manager to capture
the anomalies as they occur in the economic cycles during short-term intervals. He further stated
the investment managers should move away from using past performance for anything but
accounting value. The market is efficient in the long term, but potentially inefficient in short
intervals [21].
Treynor [82] supported the work of Arnott, Hsu, and Moore [6] and postulated why
fundamental indexing provided added value. Market Valuation Indifferent Indexing avoids the
cap-weighted indexing problem by linking the covariances of the portfolio weights with market
price per share, true value per share and errors in market price per share. He believed that all
stocks have random pricing errors. Therefore, by randomly investing one can take advantage of
the market’s pricing errors [82].
Asness [10] continued the support for passive indexing with caveats. He believed an
investor cannot use long term historical stock trends to determine the expected stock return. The
fact that the stock market has not lost over time does not mean it will not lose in the future.
Investors must realize they cannot all be in the market at the same time as a dollar invested
14

means someone sold their position. He recommended that investors should diversify widely,
keep costs low, rebalance in disciplined fashion, spend less, make less heroic assumptions about
future returns, not watch the markets in the short run, and work less on investing [10].
Siegel [79] added to the support for fundamental indexing. Fundamental indexing means
that each stock in a portfolio is not weighted by its market capitalization, but rather by some
other metric such as sales or dividends. His research has indicated dividend weighted indexes
outperform capitalization weighted indexes and are valuable at withstanding bear markets. He
noted that research by Bogle [17], Ellis [30], Malkiel [62], and himself that active fund managers
fail to beat the index on average. He felt that fundamental indexation will improve passive
indexing as the prices of securities are subject to temporary shocks called noise. These shocks
may last for days or years. He called these temporary shocks the noisy market hypothesis [79].
He believes the way an investor can capture these anomalies is through fundamental indexation.
Hsu [47] supported fundamental indexing as his research indicated that cap-weighted
portfolios are sub-optimal. The benefits of a cap-weighted portfolio include: minimal
management fees, portfolio rebalancing as prices fluctuate, assigning the greatest weights to the
largest companies, and a broad based cap weighted portfolio that is automatically Sharpe Ratio
maximized. He provided mathematical proof that a cap weighted portfolio was sub-optimal if the
prices are noisy and do not fully reflect the firm fundamentals [47].
Fundamental index debate
Asness [9] joined the camp of Bogle and Malkiel in his thoughts that fundamental
indexing supported by Arnott and Siegel was no more than a new version of value investing and
therefore should not be called an index. He felt investors were not looking at anything that had
not already been debated in the past. Investors were being presented a clever marketing package
[9].
Arnott [5] provided further insight and support for fundamental indexing in response to
the concepts challenged by Asness [9], Bogle [17], and Malkiel [61]. The starting point of the
argument was that most investors cannot outperform the capitalization-weighted portfolio. The
proponents of fundamental indexing believed that there was a pricing error or noise that created a
size effect, a value effect, long-horizon mean-reversion, and performance drag for cap-weighted
indexes relative to a valuation-indifferent fundamentally based index [5]. The size effect was
defined as small and midcap companies outperforming large-cap companies and the value effect
was companies with low price-to-earnings ratios, low price-to-book value ratios, low price-tosales
ratios and high dividend yields tend to outperform growth stocks [5].
Based on the noise or pricing error fundamental indexes have been able to create/add
value to investment portfolios. Arnott [5] showed 210 basis points of excess returns during a 43-
year period. Arnott [5] agreed with his challengers that if only cap-weighted strategies can be an
index than fundamental indexing is an active strategy. The arguments to this point seem to be
descriptive rather than value added to investment portfolios.
Rosella and Pugliese [69] postulated that active management may be back in vogue with
the increasing popularity of exchange traded funds (EFT). The normal premise of an ETF is to
mimic an underlying index of securities. An actively managed EFT would seek to provide an
actively managed strategy over the index much like fundamental indexing.
Miller [64] asserted that the passive indices included in his study collectively
outperformed the active indices on a risk adjusted basis. His study included data from the
Thomson Financials InvestmentView software and matched the categories of active mutual
funds to appropriate corresponding passive indices.
15

Cashman, Deli, Nardari, and Villupuram [24] observed that investors increased outflows
when funds performed poorly. Their data was gathered from the N-SAR filings of the Securities
and Exchange Commission and CRSP. Their research showed that not only do investors leave
funds that perform poorly, but they also noted that investors increase inflows to funds having
both good and bad performance [24].
Perhaps the greatest advantage for passive management is the fact fees are low in respect
to actively managed funds. Miller [65] computed the implicit costs of active management. The
study used the January 2005 Morningstar mutual fund database. The database contains
information on 17,411 funds through December 31, 2004. After screening the funds to eliminate
index funds, funds managing less than $10 million, funds with a front- or back load of greater
than 1%, funds not generally available to the public and funds with expense ratios of less than 30
basis points a sample size of 4754 funds remained. The results indicated the potential that both
the active expense ratio and active alpha may be able to give additional information regarding
the performance of investment managers [65]. The study did not add additional information that
had not already been identified in Carhart [23].
Cremers and Petajisto [25] studied active share in predicting mutual fund performance.
They suggested that the actively managed funds with the highest active share outperform their
benchmark indices before and after expenses. Their data was taken from the Thomson
CDA/Spectrum mutual fund database and CRSP and comprised the period January 1979 to
December 2004. They noted that smaller funds tended to be more active than larger funds. The
tendency observed was that some of the larger funds may be closet indexers [25].
Shankar [72] performed a comparison of the S&P 500 and S&P 600 indices to their
corresponding counterparts the Russell 1000 and Russell 2000 indices for the period from 1994
to 2004. The study found the S&P 500 and the Russell 1000 performance was similar while the
S&P 600 substantially outperformed the Russell 2000. Given this information, individuals could
surmise that investors would be indifferent to the S&P 500 and Russell 1000 but, would select
the S&P 600 in lieu of the Russell 2000. The results of the study indicated the exact opposite.
This anomaly may occur due to the length of existence and the popularity of the Russell 2000
index. Since the S&P indices are actively constructed, the study adds to the debate supporting
active management when the portfolios do not comprise the entire market [72].
Jun and Malkiel [54] analyzed the performance of fundamental indexing. Thus far,
fundamental indexing has attracted more than $10 billion in portfolio investments and has
outperformed the S&P 500 and the Russell 1000 capitalization weighted indexes by substantial
margins; the higher returns have been achieved with lower volatility, thus producing higher
Sharpe ratios. The study compared a fundamental index to the S&P 500 and a hypothetical
portfolio consisting of 33% Equal Weighted Index, 33% Midcap value, and 33% Russell 1000
value indices that were rebalanced monthly. The period covered was from 2000 to 2007. The
fundamental index outperformed the S&P 500 substantially, but did not outperform the
hypothetical portfolio which had a higher Sharpe ratio. The results of this study indicated that a
combination of indices can generate similar returns if they contain a factor tilt. The argument
from the study indicated the fundamental index does not outperform the traditional cap-weighted
indices as a result of strategy, but rather rewards the managers for taking advantage of the factor
tilts--size and value risk factors [54].
The argument whether or not fundamental indexing is a passive or active strategy was
continued by Perold [67]. He stated that a new finance theory was being proposed where holding
stocks in proportion to their market capitalization is an inferior investment strategy. The theory is
16

called the Noisy Market Hypothesis. The theory supposes that market errors in pricing of
individual stocks occur randomly and that some stocks are overvalued, while others are
undervalued. The argument continued to allude to classification of the strategy as opposed to
whether or not the strategy outperforms the index. The present research supports the fact
fundamental indexing is beating the market.
Kaplan [55] discussed why fundamental indexing may not work, suggesting that the
variables are not observable. Therefore, one cannot devise empirical tests other than historical
performance to see if fundamental indexing or market cap-weighting is a better strategy. Kaplan
believed the greatest advantage to market cap-weighting was the fact that the portfolio does not
have to be continually rebalanced even though fundamental index portfolio rebalancing is kept to
a minimum. Kaplan concluded that fundamental index proponents do not have a clear theory to
base their strategy upon, but rather use conjecture [55].
Arnott and Hsu [4] attempted to add support for fundamental indexing in lieu of the
passive indices. They proposed a one-factor economy with price noise. They argued that their
model was able to explain stock price mean-reversion and the size and value effects. They felt
that the paper contributed to the literature by suggesting size and value factors can arise
empirically. Furthermore, value, size, and stock price mean-reversion are driven by market
imperfection and they suggested that behavioral and rational models can generate stock price
overreactions resulting in contrarian strategy profits [4].
Bogle [16] identified a catastrophic risk faced by investors in the world. He named this
risk a Black Swan [80]. A Black Swan is identified as an outlier beyond the realm of regular
expectations, an event that will have an extreme impact, and after its occurrence investors will
find rationale as to why the event was predictable [80]. As investors continued to believe the
markets will perform as they have in the past, they will follow the investment strategies of active
management, passive indexing, and fundamental indexing. Rather than look to the past, investors
should seek evidence that is contrarian to their assumptions. Evidence has shown they must stay
the course. Be careful of jumping in and out of the market, as events can occur quickly that will
destroy wealth. This strategy would lead them to believe a form of passive and/or fundamental
indexing would be prudent. Investors have several risks to consider: Social Security and
Medicare payments, Federal Government deficits, threat of global warming, global competition,
the trade deficit, and the decline in the value of the dollar. If the Black Swan were to occur, will
investors be ready [16].
Nocera [66] summarized the passive index versus fundamental indexing debate. The core
argument is whether fundamental indexing is superior to traditional indexing and whether or not
the strategy is truly indexing or a form of active management. Fundamental indexing is
supported by Arnott, Siegel, and Markowitz while its opponents are Bogle, Malkiel, Perold, and
Kaplan. All appear to believe that fundamental indexing works given the factor tilts prevalent in
the market and if one believes there are errors in pricing. The issue appears to be one of ego as
the fundamental indexing group emphasized that investors need to throw out the old theories and
support the new, while the old guard claimed the theory is no more than value investing
recreated [66].
Blitz and Swinkels [12] supported Perold [67] and Asness [9] with respect to the fact that
fundamental indices only differ from market cap-weighted indexes because of differences in
valuation ratios. They illustrated value tilting by regressing the returns of the RAFI 1000 index
on the returns of the traditional market factors indices. The results provided strong empirical
support that the fundamental indices are tilted towards value stocks. Based on this research
17

fundamental indices resembled an active strategy, as fundamental indices cannot be held in
equilibrium by every investor. Fundamental indexing requires a rebalancing at some time period
and subjective choices must be made as to the construction of the index. These choices may
include book value, sales, earnings, dividends, etc. [12].
Cai and Houge [22] added support to active management fundamentals as they illustrated
the impact of rebalancing the portfolio. They examined the annual additions and deletions of the
Russell 2000 from mid 1979 through 2004. They found that a buy-and-hold strategy
outperformed an annually rebalanced Russell 2000 by an average of 2.22 percent during the 1st
year and by 17.29 percent for up to 5 years after reconstitution. These results suggested that
index construction methodology may provide an incentive for portfolio managers to deviate from
their benchmark styles [22].
Arugaslan, Edwards, and Samant [8] conducted a study that evaluated the performance of
50 large U.S. based international equity funds for the period from 1994 to 2003 for a five-year
and ten-year performance period. Their study utilized data from the Morningstar (2004) edition
and compared returns to the Morgan Stanley Capital International Index Europe, Australia, and
Far East Index and the S&P 500 index. Their study utilized quarterly data and calculated the
Sharpe, Treynor, and Jensen measures. They then used the Modigliani and Miller M squared
measure to evaluate the performance of the international funds to the benchmark indices. Their
study found that once risk was included in the analysis of the highest performing funds investors
may find them less attractive [8].
Li [60], in one of the most recent studies regarding active versus passive management,
found that a combination approach may be the better solution toward portfolio management. Li’s
study analyzed the period from 1994 through 2008 using the data from the Morningstar database.
By calculating Jensen’s Alpha, Li makes mutual fund allocation recommendations by investment
categories [60].
Bogle and Sullivan [15] reaffirmed the debate between active and passive investing.
Bogle noted that the risks are dominated by money and vested interests as the view of Congress
and the administration is short term. The changes will continue, because individuals own only
24% of all stocks. The index fund is a good innovation, as investors will do better by simply
owning the market at a low cost rather than owning the market at a high cost. If investors truly
believe that the value of U.S. companies had not dropped by $9 trillion dollars in the last year,
then there is value in owning the index [15]. By inference, one would have to believe noise has
been created through the incorrect pricing of the securities and opportunities exist for
fundamental indexing whether one believes it is passive or active.
Summary
The literature review has presented a chronological review of the evolution of the theory,
thought, and status of the active versus passive management debate. The information presented
started with the development of MPT and concluded with current thoughts of future investment
within the global market.
Bogle and Sullivan [15] identified the continued need for research in the passive versus
active management debate. Their inference of potential mispricing of the market securities due to
the recession, pose an excellent foundation for either side to profess the value of their strategy.
Lehmann and Modest [59] illustrated the fact that a suitable benchmark was needed to
measure the performance of actively and passively managed funds. To this end, researchers have
used the S&P 500 index as the appropriate index to benchmark returns when comparing the two
management styles. Since then researchers have incorporated various indices, such as the Russell
18

19
indices, Morgan Stanley Capital International, and the Vanguard indices [i.e., 39; 38; 57; & 64]
and various databases such as the Morningstar Principia Pro database [i.e., 18; 39; 11; 40; 17; 38;
57; 78; 37; & 65], CRSP [i.e., 58; 28; 24; & 25], and the Thomson Financials Investment View
software [i.e., 64; & 25] for comparison.
Bogle [18] was the first to use the Morningstar categories in his study from 1992 to 1996
and again in 2002 for the period July 1, 1991 through June 30, 2001 [17]. Kjetsaa [57]
additionally used the Morningstar style boxes in his study for the period prior to May 2002.
These style boxes divide the mutual funds into specific categories that can more accurately track
the associated index for a better comparison. The significance of the style boxes is that funds are
compared relative to their peers (i.e., large cap to large cap) [18]. Previously, the S&P 500 index
was the only standard used by researchers to measure a fund’s performance against the market.
The S&P 500 did not accurately serve as a benchmark as it only represented 72% of the market’s
total capitalization [18].
The Morningstar style boxes, previously identified by Bogle [18] and Bogle [17] were
used by the Kjetsaa [57] study to compare active management versus the corresponding passive
Russell Indices, S& P 500, and fund category average for periods of 12 months, 3 years, 5 years,
10 years, and 15 years prior to April, 2002. The results of the study showed that 100% of the
small growth funds exceeded the Russell 1000 index for a period of 15 years. As identified in the
research, the author suggested the anomalies in various groups will change over time and are not
static [57]. The fact these anomalies exist was reiterated by Fortin and Michelson [38], Arnott
and Darnell [7], Hilsenrath [46], and Brinson [21].
Fortin and Michelson [37] showed that not all markets are efficient and documented the
need for active management in the international sector. The found the Foreign, Pacific, and
Emerging market categories to outperform their associated indices.
Arugaslan, Edwards, and Samant [8] conducted a study that indicated once risk was
included in the analysis of the highest performing international funds investors may find them
less attractive. There evaluation was limited as it included only 50 large U.S. based international
equity funds.
The study was conducted to fill the gap in the previous literature by testing the 13-year
period from 1995 to 2008, a period that has not been examined with the indices addressed and to
determine if the findings of Fortin and Michelson [37] remained consistent during the study’s
time frame. The next section will build on the literature review by identifying the methodology
of the study that was used to fill the current gap in the research. The section presents the research
question, develops the hypotheses, and illustrates the research process to be conducted.
METHODOLOGY
This section identifies the research process to test the hypotheses derived from the
research question. The sample and data collection methods are described and the variables are
defined. Finally, the data analysis methods are explained.
Sample and population
Morningstar Direct, the industry’s leading premier research and presentation tool
containing data on more than 17,000 mutual funds, was the database used for the research. A
comparison was made using two of the active categories, Equity Europe and Equity Asia Pacific.
The Equity Europe category contained 3224 funds while the Equity Asia Pacific category
contained 395 funds. These categories were identified from the open ended mutual funds in the

20
Global Investment Sector. The data contained surviving funds during the period studied. The
categories were matched to the following passive index benchmarks. The Equity Europe
category was first compared to the DAX, a German stock index for 30 selected blue chip stocks.
The equities use free float shares in the index calculation. The second passive index compared to
the Equity Europe category was the FTSE 100, a capitalization-weighted index of the 100 most
highly capitalized companies traded on the London Stock Exchange. The third index used in the
comparison was the Dow Jones EURO STOXX 50 Index, a free-float market capitalizationweighted
index of 50 European blue-chip stocks from those countries participating in the EMU
[14].
The three indices from the Pacific Region matched to the Equity Asia Pacific active
mutual fund category were the Nikkei-225 Stock Average, a price-weighted average of 225 toprated
Japanese companies listed in the first section of the Tokyo Stock Exchange. The second
index was the Hang Seng Index, a free-float capitalization-weighted index of select companies
from the Hong Kong Stock Exchange. The final Pacific Region index used was the S&P/ASX
200 which measures the performance of the 200 largest index-eligible stocks listed on the ASX
by float-adjusted market capitalization [14].
Table 1 depicts the paired index relationships referenced above. The active index on the
left-hand side of the table maps to the passive index on the right-hand side of the table.
Table 1. Paired Index Relationships
Active Index Benchmark Index
1. Equity Europe Dow Jones EURO STOXX 50 Index
2. Equity Europe FTSE 100
3. Equity Europe DAX
4. Equity Asia Pacific Nikkei 225
5. Equity Asia Pacific Hang Seng
6. Equity Asia Pacific S&P/ASX
Data collection methods
Secondary data will be collected and analyzed from the Morningstar Direct database.
Daily data points will be extracted and used for each set of paired index comparisons. The daily
data points of paired indices were exported into the Microsoft Excel computer program
spreadsheet. The means, variances, and related risk-adjusted measures of each of the paired
indices were calculated, compared, and analyzed.
Research model and variables
Figure 1 shown in Appendix A presents the research model identified in Miller [64]. It
details the relationships among the variables and presents a general flow of the study’s logic and
potential outcomes. The independent variable was management style, passive versus active while
investment performance was the dependent variable.
Risk-adjusted returns were measured using the Sharpe composite performance measure, a
measure combining risk and return into a single value. The Sharpe ratio was used to compare the
passive and active fund performance [64]. The Sharpe ratio, also known as the reward-tovariability
ratio, was derived from the earlier work of Markowitz’s mean-variance model. The
Sharpe measure of portfolio performance, S, is stated as:
S = (R i –R FR ) / б i (4)
Where:
R i = the average portfolio return during a specified time period.
R FR = the average return of a risk-free investment during the same time.

б i = the standard deviation of the portfolio’s rate of return during the
period.
The ratio’s numerator is the portfolio’s return minus the risk-free rate; this measure is also called
the market premium or excess return [68].
Sharpe [73] measured the total risk by including the standard deviation of returns rather
than considering only the systematic risk summarized by beta. The numerator is the portfolio’s
risk premium, indicating the risk premium earned per unit of total risk. The Sharpe portfolio
performance measure uses total risk to compare portfolios to a capital market line (standard
deviation of return is the x-axis; rate of return is the y-axis [75]. The Sharpe measure uses the
standard deviation of returns as the measure of total risk. Sharpe, therefore, evaluates the
portfolio manager based on both rate of return and diversification [68].
Research question and hypotheses
The study’s primary research question was: During the 1995-2008 time periods which
management style, active or passive, produced the best international mutual fund performance on
a risk adjusted basis Six hypotheses, derived from the above research question, were tested for
the time period from 1995-2008.
Equity Europe Morningstar Investment Category
H1 0 : For the 1995 to 2008 periods, there is no significant difference between the mean Sharpe
ratio for the passively managed Dow Jones EURO STOXX 50 Index and the actively managed
Equity Europe Investment Category.
H1 a : For the 1995 to 2008 periods, there is a significant difference between the mean Sharpe
ratio for the passively managed Dow Jones EURO STOXX 50 Index and the actively managed
Equity Europe Investment Category.
H2 0 : For the 1995 to 2008 periods, there is no significant difference between the mean Sharpe
ratio for the passively managed FTSE 100 Index and the actively managed Equity Europe
Investment Category.
H2 a : For the 1995 to 2008 periods, there is a significant difference between the mean Sharpe
ratio for the passively managed FTSE 100 Index and the actively managed Equity Europe
Investment Category.
H3 0 : For the 1995 to 2008 periods, there is no significant difference between the mean Sharpe
ratio for the passively managed DAX Index and the actively managed Equity Europe Investment
Category.
H3 a : For the 1995 to 2008 periods, there is a significant difference between the mean Sharpe
ratio for the passively managed DAX Index and the actively managed Equity Europe Investment
Category.
Equity Asia Pacific Morningstar Investment Category
H4 0 : For the 1995 to 2008 periods, there is no significant difference between the mean Sharpe
ratio for the passively managed Nikkei 225 Index and the actively managed Equity Asia Pacific
Investment Category.
H4 a : For the 1995 to 2008 periods, there is a significant difference between the mean Sharpe
ratio for the passively managed Nikkei 225 Index and the actively managed Equity Asia Pacific
Investment Category.
H5 0 : For the 1995 to 2008 periods, there is no significant difference between the mean Sharpe
ratio for the passively managed Hang Seng Index and the actively managed Equity Asia Pacific
Investment Category.
H5 a : For the 1995 to 2008 periods, there is a significant difference between the mean Sharpe
21

22
ratio for the passively managed Hang Seng Index and the actively managed Equity Asia Pacific
Investment Category.
H6 0 : For the 1995 to 2008 periods, there is no significant difference between the mean Sharpe
ratio for the passively managed S&P/ASX Index and the actively managed Equity Asia Pacific
Investment Category.
H6 a : For the 1995 to 2008 periods, there is a significant difference between the mean Sharpe
ratio for the passively managed S&P/ASX Index and the actively managed Equity Asia Pacific
Investment Category.
Table 2. Hypothesis-Methodology
Hypothesis Test
Methodology
H1 0 Equity Europe versus Dow Jones EURO STOXX F-test two sample for
50
variance
H2 0 Equity Europe versus FTSE 100 F-test two sample for
variance
H3 0 Equity Europe versus DAX F-test two sample for
variance
H4 0 Equity Asia Pacific versus Nikkei 225 F-test two sample for
variance
H5 0 Equity Asia Pacific versus Hang Seng F-test two sample for
variance
H6 0 Equity Asia Pacific versus S&P/ASX F-test two sample for
variance
Data analysis methods
Data analysis was conducted using statistical analyses and hypothesis testing. The F-test
Two Sample for Variances was used to test for significant differences between the population
means of passive indices and active investment categories as identified in Table 2 [64].
ANALYSIS AND PRESENTATION OF FINDINGS
The following details the results and findings of the study’s hypotheses tests based on the
data extracted from the Morningstar Direct Database and thereby addresses the study’s research
question. The findings of the research are presented in the order in which the hypotheses have
been stated. The research question for the study was: During the 1995-2008 time periods which
management style, active or passive, produced the best international mutual fund performance on
a risk adjusted basis
Equity Europe Morningstar investment category
Hypothesis 1
H1 0 : For the 1995 to 2008 periods, there is no significant difference between the mean
Sharpe ratio for the passively managed Dow Jones EURO STOXX 50 Index and the actively
managed Equity Europe Investment Category.
H1 a : For the 1995 to 2008 periods, there is a significant difference between the mean
Sharpe ratio for the passively managed Dow Jones EURO STOXX 50 Index and the actively
managed Equity Europe Investment Category.
Weekly Sharpe ratios were calculated from daily data for the Dow Jones EURO STOXX
50 Index and Morningstar Equity Europe Investment Category for the period January 1, 1995-
December 31, 2008 with 731 periods. Appendix B presents a side-by-side comparison of the

23
indices’ weekly Sharpe ratios.
Table 3 below shows the F-test two-sample for variances result. The 2.541 F-value for
the Morningstar Equity Europe Investment Category is more than the 1.130 F-critical one-tail
value, therefore the null hypothesis is rejected. Furthermore, the 1.73569E-35 p-value is less than
the assumed .05 level of significance (alpha); another indication the null hypothesis is rejected.
Table 3. F-Test Two Sample for Variances of Sharpe Ratios for Morningstar Equity Europe
Investment Category versus Dow Jones EURO STOXX 50 Index
Variables Equity Europe Investment Category Dow Jones EURO STOXX 50
Mean 0.193265287 0.084527473
Variance 0.909860845 0.358045535
Observations 731 731
Df 730 730
F 2.541187522 1.1295
P(F

24
critical value.
Hypothesis 3
H3 0 : For the 1995 to 2008 periods, there is no significant difference between the mean
Sharpe ratio for the passively managed DAX Index and the actively managed Equity Europe
Investment Category.
H3 a : For the 1995 to 2008 periods, there is a significant difference between the mean
Sharpe ratio for the passively managed DAX Index and the actively managed Equity Europe
Investment Category.
Weekly Sharpe ratios were calculated from daily data for the DAX Index and
Morningstar Equity Europe Investment Category for the period January 1, 1995-December 31,
2008 with 730 data points. Appendix B presents a side-by-side comparison of the indices’
weekly Sharpe ratios.
Table 5 below shows the F-test two-sample for variances result. The 2.847 F-value for
the Morningstar Europe Investment Category is more than the 1.130 F-critical one-tail value.
The indication is a rejection of the null hypothesis because the variances due to the larger F-
value. The 9.72834E-44 p-value is less than the assumed .05 level of significance (alpha); an
indication the null hypothesis is rejected.
Table 5. F-Test Two Sample for Variances of Sharpe Ratios for Morningstar Equity Europe
Investment Category versus DAX Index
Equity Europe Investment
Variables Category
DAX
Mean 0.193265287 0.087182963
Variance 0.909860845 0.319585899
Observations 731 730
Df 730 729
F 2.846999345 1.1296
P(F

25
(alpha); a further indication the null hypothesis is rejected.
Table 6: F-Test Two Sample for Variances of Sharpe Ratios for Morningstar Equity Asia Pacific
Investment Category versus Nikkei 225 Index
Equity Asia Pacific Investment
Variables
Category Nikkei 225
Mean 0.062940803 0.002897799
Variance 1.007490036 0.301374391
Observations 731 712
Df 730 711
F 3.34298489 1.131
P(F

26
Sharpe ratio for the passively managed S&P/ASX Index and the actively managed Equity Asia
Pacific Investment Category.
H6 a : For the 1995 to 2008 periods, there is a significant difference between the mean
Sharpe ratio for the passively managed S&P/ASX Index and the actively managed Equity Asia
Pacific Investment Category.
Weekly Sharpe ratios were calculated from daily data for the S&P/ASX Index and
Morningstar Equity Asia Pacific Investment Category for the period January 1, 1995-December
31, 2008 with 731 data points. Appendix C presents a side-by-side comparison of the indices’
weekly Sharpe ratios.
Table 8 below shows the F-test two-sample for variances result. The 3.118 F-value for
the Morningstar Equity Asia Pacific Investment Category is more than the 1.130 F-critical onetail
value. The indication is a rejection of the null hypothesis due to the large F-value. The
5.68521E-51 p-value is less than the assumed .05 level of significance (alpha); an indication the
null hypothesis is rejected.
Table 8: F-Test Two Sample for Variances of Sharpe Ratios for Morningstar Equity Asia Pacific
Investment Category versus S&P/ASX Index
Equity Asia Pacific Investment
Variables
Category
S&P/ASX
Mean 0.062940803 0.10391187
Variance 1.007490036 0.323131947
Observations 731 731
Df 730 730
F 3.117890527 1.13
P(F

tend to outperform active managers in the domestic market whereas research has been limited
regarding international mutual fund management. In regards to international mutual fund
management, Fortin and Michelson [37] found that 3 out 5 of the actively managed Morningstar
mutual fund categories outperformed the index and Arugaslan, Edwards, and Samant [8] found
that once risk is incorporated, investors may find actively managed mutual funds less attractive.
In this study the actively managed Equity Europe and Equity Asia Pacific categories
outperformed the passive indices (proxies for passive management) in all six hypotheses tested.
This study adds support to the findings of Fortin and Michelson [37]. Their findings, as
addressed previously, showed the active Pacific category to outperform the benchmark index
whereas the Europe category did not outperform the associated index. This study utilized
different benchmark indices but found the Equity Europe and Equity Asia Pacific actively
managed categories to outperform the tested indices.
Given Fama’s [34] reaffirmation of the Efficient Market Hypothesis where he suggests
that limited information availability in international markets will lead to abnormal returns
supports the findings of this study. The investor must beware as risk may significantly reduce the
attractiveness of the international funds as evidenced by the study of Arugaslan, Edwards, and
Samant [8].
Limitations of the study
A limitation of the study was that survivorship may have skewed the findings toward the
actively managed categories. In addition, management fees were not included in the study. Again
this may tilt the results toward the actively managed categories as the fees are notably higher for
active funds as opposed to passive index funds. Furthermore, the indices used were not the
benchmark indices addressed in the prospectus of funds within the categories tested.
Another limitation of the study was the inclusive period, 1995-2008. Although the
actively managed categories outperformed the passive indices in the period one would expect the
disaggregated bull market performance would be significantly superior.
Implications
Given the findings of the study, investors may want to consider additional diversification
into the international market. This diversification should however consider the associated risk
with any given investment. In addition, based on the results of this study it appears to be in the
best interest of the investor to seek active management for international mutual funds.
Recommendations for future research
Future researchers may want to disaggregate the bull and bear markets, consider
benchmark indices addressed in the prospectus of the funds included in the study, include non
surviving funds in the study, disaggregate the fund categories into smaller cross sections such as
large cap and small cap, and test other international indices such as Russell Global Large Cap
Index and Russell Global Small Cap Index.
27

28
APPENDIX A
Independent
Variable
Passive Mgmt.
Style
Composite Dependent
Benchmark Risk Variable/
Indices Measure Hypotheses
1995-2008
DJ Euro STOXX
50, FTSE 100,
DAX, Nikkei
225, Hang Seng,
S&P/ASX
Mean
Std. Dev.
Sharpe Ratio
Passive Performance =
Active Performance
Passive Performance ≠
Active Performance
Independent
Variable
Active Mgmt.
Style
1995-2008
Equity Europe
Equity Asia
Pacific
Mean
Std. Dev.
Sharpe Ratio
Active Performance =
Passive Performance
Active Performance ≠
Passive Performance
Figure 1. Research Model 1
1 From “Active versus passive investing: Evidence from 1995-2002 market
Cycle,” by M. Miller, 2006, Retrieved from Dissertations and Theses database. (AAT
3205544). Adapted with permission of the author.
APPENDIX B
Weekly Sharpe Ratios: Morningstar Equity Europe Investment Category versus Dow Jones
EURO STOXX 50 Index, FTSE 100, and FSE DAX
Period
Return
Dates
Equity
Europe
Sharpe Ratio
Dow Jones
Stoxx Index
Euro Sharpe
Ratio
FTSE 100 PR
GBP Sharpe
Ratio
FSE DAX TR EUR
Sharpe Ratio
01/02/1995 -0.485 ‐0.448 ‐0.028 ‐0.638
01/09/1995 -1.583 ‐0.569 ‐0.315 0.123
01/16/1995 0.089 0.125 ‐0.446 ‐0.157
01/23/1995 -0.694 ‐0.123 0.187 ‐0.202
01/30/1995 -0.007 0.249 0.305 0.437
02/06/1995 0.843 0.636 0.899 0.746
02/13/1995 -0.977 ‐0.513 ‐1.061 ‐0.152
02/20/1995 -1.560 ‐0.347 ‐0.091 ‐0.034

02/27/1995 -0.655 ‐0.268 ‐0.156 ‐0.260
03/06/1995 -2.685 ‐0.743 ‐0.052 ‐0.747
03/13/1995 -0.052 0.071 0.481 ‐0.158
03/20/1995 0.265 ‐0.128 0.834 ‐0.469
03/27/1995 0.339 0.133 ‐0.128 ‐0.181
04/03/1995 1.167 0.740 0.793 1.000
04/10/1995 0.292 0.658 ‐0.090 0.089
04/17/1995 ‐0.593 ‐0.056 ‐0.134 0.016
04/24/1995 2.071 0.424 0.334 0.327
05/01/1995 1.502 0.454 0.412 0.015
05/08/1995 1.135 2.449 0.684 3.045
05/15/1995 ‐0.319 ‐0.800 ‐1.096 ‐0.527
05/22/1995 0.021 ‐0.120 0.460 0.000
05/29/1995 0.815 0.576 0.640 2.042
06/05/1995 ‐0.158 ‐0.460 ‐0.071 ‐0.290
06/12/1995 ‐0.543 0.012 0.321 0.294
06/19/1995 3.143 0.336 0.098 0.101
06/26/1995 ‐2.472 ‐1.062 ‐0.360 ‐0.632
07/03/1995 1.004 0.890 0.917 0.658
07/10/1995 1.371 0.373 ‐0.712 0.478
07/17/1995 ‐0.721 ‐0.188 ‐0.242 0.045
07/24/1995 1.579 0.621 1.188 0.190
07/31/1995 1.421 0.165 0.071 0.159
08/07/1995 0.167 0.259 ‐0.454 ‐0.171
08/14/1995 0.627 0.295 0.321 0.430
08/21/1995 0.163 ‐0.527 0.147 ‐0.306
08/28/1995 ‐1.373 ‐0.648 ‐0.161 ‐0.194
09/04/1995 1.194 0.801 0.624 0.485
09/11/1995 0.738 0.424 0.065 0.473
09/18/1995 ‐0.699 ‐0.673 ‐0.403 ‐0.256
09/25/1995 ‐0.883 ‐0.068 ‐0.073 ‐0.044
10/02/1995 ‐0.351 ‐0.429 0.208 ‐0.407
10/09/1995 ‐0.049 0.155 0.182 0.225
10/16/1995 ‐0.749 ‐1.015 ‐0.181 ‐0.787
10/23/1995 ‐0.634 ‐0.300 ‐0.897 ‐0.312
10/30/1995 2.001 1.017 ‐0.007 0.593
11/06/1995 ‐0.138 ‐0.160 0.297 0.092
11/13/1995 0.336 0.822 1.077 0.391
11/20/1995 0.770 0.404 0.082 0.295
11/27/1995 0.378 0.262 1.093 0.676
12/04/1995 ‐0.104 0.177 ‐1.321 0.144
12/11/1995 0.316 0.246 0.088 0.215
12/18/1995 ‐0.142 0.161 0.064 ‐0.049
29

12/25/1995 1.082 ‐0.194 0.634 ‐0.719
01/01/1996 1.191 0.420 0.174 0.448
01/08/1996 ‐0.309 0.171 ‐0.555 0.436
01/15/1996 0.994 1.065 0.675 1.499
01/22/1996 0.050 0.111 ‐0.177 0.459
01/29/1996 1.186 0.738 0.538 0.108
02/05/1996 ‐0.419 ‐0.525 ‐0.798 ‐0.175
02/12/1996 0.161 ‐0.016 0.584 ‐0.445
02/19/1996 0.114 0.098 ‐0.322 0.167
02/26/1996 1.400 0.401 0.075 0.405
03/04/1996 0.580 ‐0.508 ‐0.359 ‐0.566
03/11/1996 ‐0.449 ‐0.189 ‐0.393 0.072
03/18/1996 1.333 0.641 0.895 0.235
03/25/1996 0.576 0.295 ‐0.098 0.064
04/01/1996 1.407 0.861 0.751 0.113
04/08/1996 0.589 0.245 0.090 0.349
04/15/1996 1.057 0.405 0.764 0.084
04/22/1996 1.325 0.905 ‐0.420 0.021
04/29/1996 ‐0.573 ‐0.547 ‐1.104 ‐0.806
05/06/1996 ‐0.912 0.027 ‐0.003 0.346
05/13/1996 1.381 0.514 0.256 0.710
05/20/1996 0.828 0.192 ‐0.537 ‐0.068
05/27/1996 0.074 ‐0.248 ‐0.095 ‐0.582
06/03/1996 3.555 ‐0.128 ‐0.329 0.128
06/10/1996 ‐0.177 ‐0.061 0.522 0.076
06/17/1996 ‐0.449 ‐0.399 ‐0.572 0.010
06/24/1996 0.506 0.350 ‐0.116 0.236
07/01/1996 0.959 ‐0.267 0.231 ‐0.082
07/08/1996 ‐0.775 ‐0.879 ‐0.245 ‐0.464
07/15/1996 ‐0.929 ‐0.282 ‐0.092 ‐0.361
07/22/1996 ‐2.013 ‐0.434 ‐0.284 ‐0.271
07/29/1996 0.524 1.236 0.896 0.816
08/05/1996 0.638 ‐0.239 0.645 0.255
08/12/1996 0.644 0.779 0.725 0.499
08/19/1996 0.913 0.177 0.395 ‐0.081
08/26/1996 ‐0.412 ‐1.052 ‐0.482 ‐0.680
09/02/1996 ‐0.393 0.201 0.225 0.147
09/09/1996 1.431 1.108 0.780 1.296
09/16/1996 0.607 0.364 ‐0.098 0.485
09/23/1996 0.611 0.520 ‐0.168 0.190
09/30/1996 3.351 0.793 0.726 0.539
10/07/1996 0.355 ‐0.130 0.001 ‐0.287
10/14/1996 0.869 0.604 0.237 0.532
30

10/21/1996 ‐0.989 ‐0.383 ‐0.264 ‐0.365
10/28/1996 ‐0.573 ‐0.318 ‐0.695 ‐0.288
11/04/1996 1.031 0.515 ‐0.397 0.673
11/11/1996 1.114 1.121 0.538 0.976
11/18/1996 1.010 0.273 0.358 ‐0.379
11/25/1996 0.767 0.585 0.353 0.756
12/02/1996 ‐0.267 ‐0.312 ‐0.471 ‐0.092
12/09/1996 ‐0.387 ‐0.181 0.030 ‐0.100
12/16/1996 1.039 0.745 0.980 0.165
12/23/1996 0.761 0.496 0.443 0.624
12/30/1996 0.385 0.058 ‐0.028 0.011
01/06/1997 1.742 1.697 ‐0.340 0.394
01/13/1997 2.005 1.606 1.006 1.097
01/20/1997 0.462 ‐0.045 0.039 ‐0.176
01/27/1997 0.172 0.363 0.352 0.423
02/03/1997 1.460 0.767 0.220 1.311
02/10/1997 2.229 1.199 0.516 0.845
02/17/1997 ‐0.484 ‐0.764 ‐0.105 ‐0.552
02/24/1997 0.497 0.054 ‐0.348 0.361
03/03/1997 1.224 0.801 0.952 0.925
03/10/1997 ‐0.342 ‐0.113 0.001 ‐0.114
03/17/1997 ‐1.869 ‐0.404 ‐1.214 ‐0.474
03/24/1997 1.352 0.642 0.303 0.539
03/31/1997 ‐1.196 ‐0.678 ‐0.506 ‐0.565
04/07/1997 1.985 0.407 0.199 0.290
04/14/1997 0.169 0.172 0.364 0.202
04/21/1997 0.232 0.160 0.492 0.092
04/28/1997 0.871 0.609 1.012 0.782
05/05/1997 1.114 0.460 1.322 0.208
05/12/1997 1.753 1.135 0.627 0.173
05/19/1997 0.062 0.016 ‐0.207 0.180
05/26/1997 ‐0.706 ‐0.484 ‐0.352 ‐0.273
06/02/1997 1.032 2.209 0.093 1.150
06/09/1997 0.938 0.672 1.033 0.273
06/16/1997 0.356 0.341 ‐1.554 0.243
06/23/1997 1.669 0.562 0.321 0.105
06/30/1997 1.535 0.563 0.501 0.558
07/07/1997 0.813 0.224 ‐0.121 0.600
07/14/1997 0.949 0.117 0.262 0.177
07/21/1997 0.235 0.332 ‐0.135 0.565
07/28/1997 0.476 0.066 0.327 ‐0.110
08/04/1997 0.048 ‐0.071 0.478 0.009
08/11/1997 ‐1.291 ‐0.868 ‐0.515 ‐0.709
31

08/18/1997 ‐0.152 0.057 0.103 0.028
08/25/1997 ‐1.214 ‐1.050 ‐0.576 ‐0.667
09/01/1997 1.087 0.708 1.068 0.404
09/08/1997 ‐1.096 ‐1.572 ‐1.486 ‐0.758
09/15/1997 1.329 1.287 0.952 0.576
09/22/1997 1.181 0.322 0.498 0.489
09/29/1997 2.343 1.012 0.547 0.509
10/06/1997 ‐0.614 ‐0.699 ‐0.821 ‐0.392
10/13/1997 ‐0.005 ‐0.116 0.186 ‐0.406
10/20/1997 ‐0.374 ‐0.195 ‐0.937 ‐0.147
10/27/1997 ‐0.509 ‐0.217 ‐0.249 ‐0.299
11/03/1997 0.105 ‐0.109 ‐0.267 ‐0.096
11/10/1997 ‐0.910 0.175 ‐0.118 ‐0.385
11/17/1997 1.292 0.978 0.740 0.991
11/24/1997 0.003 ‐0.159 ‐0.703 0.082
12/01/1997 1.617 0.555 1.361 0.561
12/08/1997 ‐0.580 ‐0.489 ‐0.384 ‐0.439
12/15/1997 0.017 ‐0.044 ‐0.055 ‐0.015
12/22/1997 ‐0.073 0.722 ‐0.099 0.473
12/29/1997 1.687 1.040 0.823 0.542
01/05/1998 ‐0.023 ‐0.333 ‐0.193 ‐0.574
01/12/1998 0.066 0.133 0.389 ‐0.072
01/19/1998 0.440 ‐0.173 ‐0.527 0.012
01/26/1998 1.547 2.362 2.610 1.585
02/02/1998 1.281 0.475 0.539 0.399
02/09/1998 0.237 0.026 ‐0.309 ‐0.118
02/16/1998 1.207 0.517 0.922 0.240
02/23/1998 1.181 0.726 0.038 0.466
03/02/1998 0.230 0.259 0.033 0.188
03/09/1998 1.513 0.791 ‐0.045 0.639
03/16/1998 1.093 0.804 0.630 0.716
03/23/1998 1.084 0.382 ‐0.109 0.061
03/30/1998 1.390 1.097 0.575 1.398
04/06/1998 ‐0.208 ‐0.044 0.193 0.191
04/13/1998 ‐0.158 0.032 ‐0.998 0.041
04/20/1998 ‐0.488 ‐0.668 ‐0.458 ‐0.513
04/27/1998 ‐0.302 0.053 0.286 0.162
05/04/1998 0.560 0.131 ‐0.277 0.055
05/11/1998 0.434 0.249 ‐0.232 0.573
05/18/1998 0.362 0.281 0.116 0.335
05/25/1998 0.052 ‐0.039 ‐0.386 0.049
06/01/1998 0.477 0.457 0.264 0.558
06/08/1998 ‐0.201 ‐0.516 ‐0.435 ‐0.222
32

06/15/1998 ‐0.225 ‐0.170 ‐0.076 0.025
06/22/1998 0.612 0.939 0.644 0.813
06/29/1998 2.806 0.654 0.414 0.254
07/06/1998 0.284 0.262 ‐0.494 0.237
07/13/1998 1.542 1.738 0.752 0.932
07/20/1998 ‐0.692 ‐0.605 ‐0.978 ‐0.528
07/27/1998 ‐0.737 ‐0.542 ‐0.215 ‐0.374
08/03/1998 ‐2.181 ‐0.498 ‐0.436 ‐0.738
08/10/1998 ‐0.573 ‐0.178 ‐0.520 ‐0.180
08/17/1998 0.047 ‐0.158 0.035 ‐0.334
08/24/1998 ‐0.832 ‐0.513 ‐0.371 ‐0.338
08/31/1998 ‐0.624 ‐0.036 ‐0.213 ‐0.108
09/07/1998 ‐0.303 ‐0.302 ‐0.076 ‐0.145
09/14/1998 ‐0.310 ‐0.259 ‐0.114 ‐0.191
09/21/1998 ‐0.255 ‐0.075 0.007 ‐0.046
09/28/1998 ‐0.768 ‐0.805 ‐0.695 ‐0.734
10/05/1998 ‐0.434 0.062 0.103 ‐0.043
10/12/1998 2.259 0.942 0.624 0.773
10/19/1998 0.697 0.080 0.180 0.026
10/26/1998 0.761 0.297 0.796 0.430
11/02/1998 1.781 0.310 0.105 0.238
11/09/1998 ‐0.868 ‐0.447 ‐0.168 ‐0.789
11/16/1998 1.016 0.807 0.706 0.586
11/23/1998 0.970 0.671 0.323 0.608
11/30/1998 ‐0.793 ‐0.520 ‐0.504 ‐0.535
12/07/1998 ‐0.092 ‐0.232 ‐0.129 ‐1.298
12/14/1998 0.615 0.509 1.212 0.371
12/21/1998 1.387 0.803 0.331 0.890
12/28/1998 0.847 0.229 0.044 0.120
01/04/1999 0.816 0.555 0.577 0.471
01/11/1999 ‐1.223 ‐0.417 ‐0.375 ‐0.768
01/18/1999 0.216 0.004 ‐0.113 0.058
01/25/1999 0.509 1.037 0.430 0.772
02/01/1999 ‐0.144 ‐0.271 ‐0.110 ‐0.277
02/08/1999 ‐0.329 ‐0.254 0.260 ‐0.402
02/15/1999 0.088 0.040 0.260 ‐0.315
02/22/1999 0.492 0.265 0.293 0.166
03/01/1999 ‐0.110 0.158 0.066 ‐0.111
03/08/1999 0.935 0.188 0.270 0.252
03/15/1999 ‐0.257 0.387 ‐0.500 0.291
03/22/1999 ‐0.495 ‐0.549 ‐0.081 ‐0.767
03/29/1999 1.694 0.644 0.821 0.552
04/05/1999 1.413 0.800 0.579 0.910
33

04/12/1999 ‐0.273 ‐0.239 ‐0.244 0.024
04/19/1999 0.052 0.021 0.011 0.086
04/26/1999 0.947 0.518 0.317 0.616
05/03/1999 ‐0.459 ‐0.545 ‐0.722 ‐0.447
05/10/1999 0.096 ‐0.306 ‐0.119 ‐0.482
05/17/1999 0.013 0.192 0.106 0.231
05/24/1999 ‐1.110 ‐0.505 ‐0.720 ‐0.597
05/31/1999 1.531 0.610 1.166 0.188
06/07/1999 0.635 0.469 0.487 0.541
06/14/1999 0.840 0.713 0.179 0.145
06/21/1999 ‐0.444 ‐0.461 ‐0.357 0.004
06/28/1999 0.773 1.027 0.106 0.885
07/05/1999 0.389 0.358 0.242 0.449
07/12/1999 0.174 ‐0.072 ‐0.008 ‐0.105
07/19/1999 ‐1.597 ‐1.538 ‐2.931 ‐1.226
07/26/1999 ‐0.638 ‐0.275 0.041 ‐0.438
08/02/1999 ‐0.663 ‐0.677 ‐0.326 ‐0.263
08/09/1999 0.517 0.653 0.219 0.518
08/16/1999 0.355 0.014 ‐0.212 0.136
08/23/1999 2.383 0.851 0.598 1.012
08/30/1999 ‐0.592 ‐0.129 ‐0.090 ‐0.143
09/06/1999 0.698 0.689 ‐0.585 0.959
09/13/1999 ‐2.286 ‐2.426 ‐0.924 ‐1.161
09/20/1999 ‐0.555 ‐0.272 ‐0.355 ‐0.320
09/27/1999 ‐0.372 ‐0.283 0.072 ‐0.197
10/04/1999 2.431 1.380 0.994 1.554
10/11/1999 ‐0.772 ‐1.317 ‐0.982 ‐1.737
10/18/1999 0.145 0.503 0.333 0.398
10/25/1999 0.855 0.645 0.476 0.505
11/01/1999 2.136 0.920 0.621 0.673
11/08/1999 2.120 0.864 0.557 1.038
11/15/1999 7.734 0.943 ‐0.159 0.647
11/22/1999 0.415 0.259 0.598 0.001
11/29/1999 0.777 0.209 0.149 0.336
12/06/1999 1.351 0.031 ‐0.027 ‐0.194
12/13/1999 0.308 0.577 ‐0.079 1.376
12/20/1999 1.695 0.949 0.554 0.724
12/27/1999 1.162 0.573 0.569 0.798
01/03/2000 ‐0.651 ‐0.391 ‐0.696 ‐0.162
01/10/2000 0.820 0.485 0.345 0.767
01/17/2000 ‐0.022 ‐0.329 ‐0.896 ‐0.332
01/24/2000 0.230 0.215 0.061 0.109
01/31/2000 0.595 0.688 ‐0.501 0.414
34

02/07/2000 0.810 0.183 0.010 0.204
02/14/2000 ‐0.120 ‐0.359 ‐0.055 ‐0.055
02/21/2000 0.444 0.452 0.057 0.494
02/28/2000 1.129 0.523 0.592 0.322
03/06/2000 0.311 ‐0.156 0.165 0.027
03/13/2000 ‐0.725 ‐0.294 ‐0.041 ‐0.251
03/20/2000 0.176 0.490 0.506 0.293
03/27/2000 ‐0.458 ‐0.329 ‐0.450 ‐0.723
04/03/2000 ‐0.103 0.016 0.057 ‐0.104
04/10/2000 ‐0.781 ‐0.602 ‐0.964 ‐0.620
04/17/2000 ‐0.008 0.315 0.106 ‐0.394
04/24/2000 0.792 0.459 0.187 0.362
05/01/2000 0.287 0.100 ‐0.192 0.171
05/08/2000 ‐0.365 ‐0.218 0.091 ‐0.414
05/15/2000 ‐0.366 ‐0.280 ‐0.457 ‐0.397
05/22/2000 ‐0.546 ‐0.120 0.645 ‐0.113
05/29/2000 1.367 2.117 1.051 1.382
06/05/2000 0.065 ‐0.816 ‐1.152 ‐1.279
06/12/2000 ‐0.276 ‐0.065 0.298 ‐0.215
06/19/2000 ‐0.458 ‐0.253 ‐0.730 ‐0.542
06/26/2000 ‐1.159 ‐0.209 ‐0.275 ‐0.188
07/03/2000 0.663 0.409 0.419 0.597
07/10/2000 1.103 0.424 ‐0.167 0.638
07/17/2000 0.086 ‐0.373 ‐0.343 0.101
07/24/2000 ‐1.117 ‐0.681 ‐0.567 ‐1.142
07/31/2000 ‐0.292 ‐0.051 0.093 ‐0.467
08/07/2000 1.017 1.185 0.079 1.524
08/14/2000 0.754 ‐0.035 1.055 ‐0.786
08/21/2000 0.107 ‐0.066 0.106 0.286
08/28/2000 0.700 0.398 0.951 0.068
09/04/2000 ‐0.203 ‐0.195 ‐1.071 ‐0.203
09/11/2000 ‐1.055 ‐0.163 ‐0.475 ‐0.877
09/18/2000 ‐1.802 ‐1.109 ‐0.769 ‐0.528
09/25/2000 0.250 ‐0.210 0.388 0.258
10/02/2000 0.063 0.169 0.548 ‐0.073
10/09/2000 ‐1.954 ‐0.463 ‐0.408 ‐0.177
10/16/2000 0.342 0.198 0.162 ‐0.107
10/23/2000 0.575 0.199 0.204 0.583
10/30/2000 1.000 0.902 0.057 0.594
11/06/2000 ‐0.838 ‐1.156 0.037 ‐1.358
11/13/2000 ‐0.117 0.049 0.073 ‐0.141
11/20/2000 ‐0.593 ‐0.046 ‐0.234 ‐0.144
11/27/2000 ‐0.345 ‐0.296 ‐0.452 ‐0.225
35

12/04/2000 0.378 0.090 0.294 0.250
12/11/2000 ‐0.360 ‐0.510 ‐0.269 ‐0.744
12/18/2000 ‐0.777 ‐0.142 ‐0.231 ‐0.136
12/25/2000 1.104 0.725 0.461 1.021
01/01/2001 ‐0.251 ‐0.144 ‐0.062 ‐0.112
01/08/2001 ‐0.144 0.003 ‐0.132 0.252
01/15/2001 0.694 ‐0.067 0.107 0.443
01/22/2001 0.022 0.365 0.536 0.228
01/29/2001 ‐0.299 ‐0.423 ‐0.283 ‐0.189
02/05/2001 ‐1.034 ‐0.333 ‐0.518 ‐0.307
02/12/2001 ‐0.536 ‐0.208 ‐0.230 ‐0.115
02/19/2001 ‐1.941 ‐1.438 ‐0.521 ‐0.828
02/26/2001 ‐0.577 0.284 ‐0.675 0.214
03/05/2001 0.335 0.127 0.161 0.140
03/12/2001 ‐1.487 ‐0.609 ‐0.691 ‐0.836
03/19/2001 ‐0.783 ‐0.171 ‐0.235 ‐0.211
03/26/2001 0.716 0.449 0.387 0.405
04/02/2001 ‐0.216 ‐0.089 ‐0.074 ‐0.180
04/09/2001 1.050 0.903 0.479 1.188
04/16/2001 0.409 0.107 0.353 0.203
04/23/2001 0.118 0.365 0.292 0.153
04/30/2001 0.047 ‐0.220 ‐0.187 ‐0.095
05/07/2001 0.610 0.188 0.035 ‐0.001
05/14/2001 0.218 0.291 0.028 0.147
05/21/2001 0.200 ‐0.242 ‐0.119 0.114
05/28/2001 ‐1.180 ‐0.515 ‐0.529 ‐0.281
06/04/2001 0.394 0.194 0.760 0.252
06/11/2001 ‐1.883 ‐0.663 ‐1.146 ‐0.793
06/18/2001 ‐0.797 ‐0.233 ‐0.305 0.093
06/25/2001 ‐0.055 0.173 ‐0.080 0.269
07/02/2001 ‐0.419 ‐0.550 ‐0.545 ‐0.590
07/09/2001 ‐0.473 ‐0.153 0.172 0.269
07/16/2001 ‐0.783 ‐0.317 ‐0.684 ‐0.407
07/23/2001 ‐0.123 0.122 0.038 ‐0.019
07/30/2001 0.870 0.167 0.651 ‐0.082
08/06/2001 ‐1.620 ‐0.871 ‐0.578 ‐0.934
08/13/2001 ‐0.399 ‐0.235 ‐0.300 ‐0.510
08/20/2001 0.243 0.915 0.552 0.553
08/27/2001 ‐0.764 ‐0.604 ‐0.681 ‐0.532
09/03/2001 ‐1.091 ‐0.965 ‐0.702 ‐0.778
09/10/2001 ‐1.570 ‐0.563 ‐0.347 ‐0.590
09/17/2001 ‐1.133 ‐0.450 ‐0.541 ‐0.504
09/24/2001 2.338 1.209 1.442 0.997
36

10/01/2001 0.473 0.123 0.287 0.380
10/08/2001 0.666 0.604 0.313 0.296
10/15/2001 ‐0.215 ‐0.218 ‐0.273 ‐0.330
10/22/2001 0.654 0.551 0.400 0.708
10/29/2001 ‐0.224 ‐0.282 ‐0.159 ‐0.489
11/05/2001 1.373 0.548 0.484 0.551
11/12/2001 0.368 0.361 0.110 0.379
11/19/2001 0.080 0.127 0.004 0.232
11/26/2001 ‐0.561 ‐0.569 ‐0.623 ‐0.421
12/03/2001 0.732 0.412 0.143 0.348
12/10/2001 ‐1.934 ‐1.316 ‐1.663 ‐1.246
12/17/2001 0.321 0.359 0.345 0.233
12/24/2001 0.913 0.611 0.993 0.642
12/31/2001 0.524 0.060 0.328 0.705
01/07/2002 ‐2.226 ‐0.623 ‐1.269 ‐0.407
01/14/2002 ‐0.622 ‐0.146 ‐0.279 ‐0.152
01/21/2002 0.276 0.324 0.385 0.106
01/28/2002 ‐0.087 ‐0.110 ‐0.010 ‐0.252
02/04/2002 ‐1.009 ‐0.745 ‐0.271 ‐0.682
02/11/2002 1.074 0.210 0.295 0.066
02/18/2002 ‐0.980 ‐0.495 ‐0.561 ‐0.293
02/25/2002 2.131 1.838 0.412 2.162
03/04/2002 1.164 0.641 0.608 0.798
03/11/2002 ‐0.308 ‐0.780 0.048 0.113
03/18/2002 0.229 0.146 ‐0.349 ‐0.133
03/25/2002 0.236 0.258 0.105 0.112
04/01/2002 ‐0.736 ‐0.812 ‐0.341 ‐0.768
04/08/2002 ‐0.890 ‐0.251 ‐0.254 ‐0.175
04/15/2002 0.609 0.393 0.458 0.308
04/22/2002 ‐1.599 ‐1.581 ‐0.668 ‐1.559
04/29/2002 ‐0.491 ‐0.410 0.252 ‐0.456
05/06/2002 ‐0.188 ‐0.111 ‐0.102 ‐0.019
05/13/2002 0.647 0.466 0.316 0.597
05/20/2002 ‐1.201 ‐0.557 ‐0.414 ‐0.866
05/27/2002 ‐1.214 ‐0.231 ‐0.393 ‐0.210
06/03/2002 ‐1.205 ‐0.780 ‐0.856 ‐0.690
06/10/2002 ‐0.677 ‐0.429 ‐0.902 ‐0.857
06/17/2002 ‐0.321 ‐0.036 ‐0.059 ‐0.124
06/24/2002 0.045 0.202 0.113 0.241
07/01/2002 ‐0.043 0.068 ‐0.050 0.138
07/08/2002 ‐0.732 ‐0.973 ‐0.998 ‐1.005
07/15/2002 ‐0.342 ‐0.297 ‐0.124 ‐0.295
07/22/2002 ‐0.518 ‐0.338 ‐0.094 ‐0.417
37

07/29/2002 0.227 0.034 0.097 ‐0.037
08/05/2002 0.353 0.386 0.480 0.248
08/12/2002 0.150 ‐0.075 0.022 ‐0.174
08/19/2002 1.442 0.303 0.177 0.292
08/26/2002 ‐0.812 ‐0.241 ‐0.356 ‐0.239
09/02/2002 ‐0.636 ‐0.184 ‐0.259 ‐0.326
09/09/2002 ‐0.085 ‐0.179 ‐0.206 ‐0.238
09/16/2002 ‐1.094 ‐1.132 ‐0.354 ‐0.668
09/23/2002 0.010 0.092 0.094 ‐0.273
09/30/2002 ‐0.332 ‐0.224 ‐0.148 ‐0.355
10/07/2002 0.038 0.361 0.311 0.376
10/14/2002 1.584 0.391 0.314 0.374
10/21/2002 ‐0.366 ‐0.200 ‐0.201 ‐0.093
10/28/2002 0.095 0.083 ‐0.117 0.125
11/04/2002 0.018 ‐0.094 0.098 ‐0.140
11/11/2002 0.335 0.386 0.233 0.309
11/18/2002 0.682 0.464 0.354 0.650
11/25/2002 0.163 0.036 ‐0.018 0.009
12/02/2002 ‐1.013 ‐0.688 ‐1.177 ‐0.302
12/09/2002 ‐0.854 ‐0.442 ‐0.539 ‐0.263
12/16/2002 ‐0.215 0.039 0.036 ‐0.093
12/23/2002 ‐0.309 ‐0.342 ‐0.204 ‐0.528
12/30/2002 0.642 0.445 0.963 0.543
01/06/2003 ‐0.140 ‐0.063 ‐0.184 ‐0.144
01/13/2003 ‐0.618 ‐0.499 ‐1.108 ‐0.336
01/20/2003 ‐3.051 ‐2.130 ‐2.735 ‐0.995
01/27/2003 ‐0.244 0.062 ‐0.086 0.122
02/03/2003 ‐0.337 ‐0.428 0.074 ‐0.412
02/10/2003 ‐0.148 0.247 0.051 0.324
02/17/2003 0.124 0.040 0.415 ‐0.065
02/24/2003 ‐0.445 ‐0.237 ‐0.226 ‐0.290
03/03/2003 ‐0.700 ‐1.277 ‐0.796 ‐0.797
03/10/2003 0.098 0.194 0.164 ‐0.032
03/17/2003 1.484 0.653 0.971 1.237
03/24/2003 ‐0.719 ‐0.338 ‐0.498 ‐0.404
03/31/2003 0.301 0.268 0.308 0.296
04/07/2003 0.199 0.094 ‐0.011 0.201
04/14/2003 0.692 0.582 0.330 0.911
04/21/2003 0.082 ‐0.303 ‐0.084 ‐0.217
04/28/2003 0.443 0.280 0.314 0.500
05/05/2003 0.032 ‐0.028 0.072 ‐0.063
05/12/2003 1.606 0.436 0.622 0.179
05/19/2003 ‐0.535 ‐0.411 ‐0.215 ‐0.507
38

05/26/2003 0.568 0.782 0.329 0.908
06/02/2003 1.282 0.488 0.473 0.462
06/09/2003 0.411 0.099 ‐0.133 0.180
06/16/2003 0.283 0.477 0.115 0.259
06/23/2003 ‐0.535 ‐0.420 ‐0.490 ‐0.070
06/30/2003 ‐0.122 ‐0.215 ‐0.209 0.055
07/07/2003 0.266 0.320 0.219 0.301
07/14/2003 0.056 ‐0.125 0.074 0.172
07/21/2003 0.223 ‐0.082 0.304 ‐0.029
07/28/2003 0.895 0.217 ‐0.212 0.366
08/04/2003 ‐0.311 ‐0.127 0.257 ‐0.563
08/11/2003 3.487 0.998 0.822 0.877
08/18/2003 1.006 0.542 ‐0.190 0.535
08/25/2003 ‐0.215 ‐0.294 ‐0.423 ‐0.383
09/01/2003 0.836 0.390 0.636 0.409
09/08/2003 ‐0.594 ‐0.526 ‐0.171 ‐0.419
09/15/2003 0.906 0.333 0.102 0.397
09/22/2003 ‐1.432 ‐1.190 ‐0.840 ‐0.821
09/29/2003 0.231 0.280 0.423 0.218
10/06/2003 0.604 0.014 0.340 0.199
10/13/2003 0.726 0.258 0.181 0.197
10/20/2003 ‐0.730 ‐0.599 ‐0.643 ‐0.239
10/27/2003 3.962 1.580 0.478 1.602
11/03/2003 0.517 0.564 0.538 0.569
11/10/2003 0.043 ‐0.010 0.158 0.102
11/17/2003 ‐0.910 ‐0.501 ‐0.520 ‐0.606
11/24/2003 0.773 0.397 0.136 0.454
12/01/2003 0.399 0.312 0.127 0.397
12/08/2003 ‐0.085 0.133 ‐0.156 0.105
12/15/2003 0.243 0.702 0.582 0.369
12/22/2003 0.290 ‐0.022 0.835 0.049
12/29/2003 1.272 1.010 1.043 0.869
01/05/2004 0.748 0.020 ‐0.403 ‐0.017
01/12/2004 0.695 0.949 0.199 0.590
01/19/2004 0.588 0.332 ‐0.213 0.303
01/26/2004 ‐0.472 ‐0.508 ‐0.490 ‐0.641
02/02/2004 ‐0.117 ‐0.069 0.165 ‐0.118
02/09/2004 0.754 0.211 0.061 0.058
02/16/2004 0.720 0.367 0.515 0.077
02/23/2004 ‐0.238 ‐0.102 ‐0.242 ‐0.293
03/01/2004 1.047 0.471 0.402 0.568
03/08/2004 ‐0.945 ‐0.539 ‐0.329 ‐0.656
03/15/2004 ‐0.304 ‐0.233 ‐0.232 ‐0.270
39

03/22/2004 ‐0.103 ‐0.028 ‐0.226 0.015
03/29/2004 1.476 0.812 0.642 0.805
04/05/2004 0.417 ‐0.227 0.370 0.041
04/12/2004 ‐0.136 0.067 0.371 0.095
04/19/2004 0.396 0.269 0.270 0.404
04/26/2004 ‐0.805 ‐1.162 ‐0.685 ‐0.609
05/03/2004 ‐0.221 ‐0.190 0.043 ‐0.315
05/10/2004 ‐0.505 ‐0.261 ‐0.170 ‐0.237
05/17/2004 0.100 0.017 ‐0.050 0.110
05/24/2004 0.609 0.356 ‐0.013 0.379
05/31/2004 0.286 0.245 0.430 0.299
06/07/2004 0.560 0.337 0.290 0.349
06/14/2004 0.139 0.189 0.127 ‐0.074
06/21/2004 0.011 ‐0.027 ‐0.114 0.062
06/28/2004 ‐0.319 ‐0.415 ‐0.611 ‐0.085
07/05/2004 ‐0.974 ‐0.144 ‐0.141 ‐0.711
07/12/2004 ‐1.376 ‐0.771 ‐0.522 ‐0.628
07/19/2004 ‐0.335 ‐0.300 ‐0.060 ‐0.208
07/26/2004 0.490 0.286 0.432 0.378
08/02/2004 ‐0.555 ‐0.601 ‐0.420 ‐0.716
08/09/2004 ‐0.709 ‐0.411 ‐0.233 ‐0.567
08/16/2004 0.696 0.783 0.656 0.523
08/23/2004 1.469 0.992 1.237 1.146
08/30/2004 0.365 0.300 0.413 0.085
09/06/2004 0.293 0.098 ‐0.102 0.144
09/13/2004 0.644 0.431 0.519 0.672
09/20/2004 ‐0.339 ‐0.517 ‐0.133 ‐0.597
09/27/2004 0.450 0.310 0.332 0.300
10/04/2004 0.481 0.240 0.505 0.157
10/11/2004 ‐1.156 ‐0.720 ‐1.194 ‐0.745
10/18/2004 0.182 0.126 ‐0.068 0.069
10/25/2004 0.072 0.117 0.044 0.094
11/01/2004 1.122 1.223 1.406 0.976
11/08/2004 0.822 0.422 0.436 0.893
11/15/2004 0.009 ‐0.111 ‐0.229 ‐0.045
11/22/2004 ‐0.022 0.064 ‐0.162 0.182
11/29/2004 0.513 0.106 0.034 0.318
12/06/2004 ‐0.576 ‐0.101 ‐0.712 ‐0.234
12/13/2004 0.442 ‐0.117 0.003 0.033
12/20/2004 1.173 1.245 1.093 0.996
12/27/2004 0.833 ‐0.024 0.271 0.034
01/03/2005 0.397 0.308 0.256 0.393
01/10/2005 ‐0.294 ‐0.332 ‐0.285 ‐0.541
40

01/17/2005 0.149 ‐0.131 ‐0.208 ‐0.289
01/24/2005 0.804 0.199 0.311 ‐0.124
01/31/2005 2.033 0.951 0.907 0.921
02/07/2005 0.892 0.466 0.988 0.355
02/14/2005 0.566 ‐0.166 0.247 ‐0.334
02/21/2005 ‐0.181 ‐0.087 ‐0.339 ‐0.087
02/28/2005 1.508 0.569 0.190 0.533
03/07/2005 ‐0.537 ‐0.604 ‐0.574 ‐0.505
03/14/2005 ‐0.367 ‐0.053 ‐0.379 ‐0.172
03/21/2005 ‐0.330 0.071 ‐0.037 0.125
03/28/2005 0.640 ‐0.032 ‐0.164 0.478
04/04/2005 0.697 0.322 0.542 0.229
04/11/2005 ‐0.568 ‐0.538 ‐0.755 ‐0.398
04/18/2005 ‐0.350 ‐0.214 ‐0.216 ‐0.325
04/25/2005 ‐0.669 ‐0.498 ‐0.340 ‐0.315
05/02/2005 1.774 4.437 1.029 2.107
05/09/2005 ‐0.388 ‐0.295 ‐0.487 ‐0.304
05/16/2005 0.789 0.441 0.827 0.449
05/23/2005 1.163 0.419 0.152 0.585
05/30/2005 1.035 0.209 0.082 0.338
06/06/2005 0.594 0.262 0.205 0.442
06/13/2005 1.253 0.478 0.360 0.107
06/20/2005 0.074 ‐0.197 ‐0.010 ‐0.243
06/27/2005 0.195 0.391 0.463 0.306
07/04/2005 0.082 0.075 0.255 ‐0.074
07/11/2005 0.880 0.716 ‐0.029 0.814
07/18/2005 0.339 0.130 0.103 1.121
07/25/2005 2.502 0.619 0.484 0.566
08/01/2005 0.002 ‐0.380 0.306 ‐0.325
08/08/2005 0.666 0.364 0.265 0.415
08/15/2005 ‐0.326 ‐0.060 ‐0.242 ‐0.042
08/22/2005 ‐0.727 ‐1.178 ‐1.323 ‐0.822
08/29/2005 0.760 0.590 0.979 0.424
09/05/2005 1.371 0.996 0.313 1.096
09/12/2005 0.180 0.047 0.324 ‐0.069
09/19/2005 ‐0.326 ‐0.264 0.009 ‐0.385
09/26/2005 1.099 0.504 0.429 0.486
10/03/2005 ‐0.430 ‐0.386 ‐0.637 ‐0.142
10/10/2005 ‐0.621 ‐0.239 ‐0.456 ‐0.208
10/17/2005 ‐0.667 ‐0.640 ‐0.664 ‐0.610
10/24/2005 ‐0.009 ‐0.138 0.292 ‐0.047
10/31/2005 1.439 0.609 0.902 0.685
11/07/2005 0.676 0.481 0.258 0.526
41

11/14/2005 0.190 0.219 0.210 0.269
11/21/2005 1.240 0.498 0.212 0.630
11/28/2005 0.410 0.358 0.006 0.601
12/05/2005 0.605 ‐0.296 ‐0.170 ‐0.186
12/12/2005 0.223 0.665 0.084 0.465
12/19/2005 0.777 0.563 0.758 0.678
12/26/2005 0.137 ‐0.214 0.242 ‐0.087
01/02/2006 1.305 1.124 0.642 0.914
01/09/2006 0.122 ‐0.307 ‐0.149 ‐0.285
01/16/2006 ‐0.327 ‐0.508 ‐0.251 ‐0.496
01/23/2006 0.647 0.780 0.503 0.943
01/30/2006 0.209 ‐0.058 ‐0.179 0.025
02/06/2006 0.234 0.093 0.005 0.188
02/13/2006 0.800 0.925 0.884 0.804
02/20/2006 2.983 0.641 0.080 0.531
02/27/2006 ‐0.319 ‐0.471 ‐0.023 ‐0.371
03/06/2006 ‐0.031 0.492 0.187 0.279
03/13/2006 1.484 0.473 0.924 0.573
03/20/2006 0.726 0.684 0.258 2.683
03/27/2006 ‐0.132 ‐0.111 ‐0.294 ‐0.030
04/03/2006 0.546 ‐0.251 0.317 ‐0.090
04/10/2006 ‐0.674 ‐0.327 ‐0.006 ‐0.142
04/17/2006 1.260 0.820 0.728 0.747
04/24/2006 ‐0.644 ‐0.508 ‐0.910 ‐0.536
05/01/2006 0.680 0.219 0.241 0.307
05/08/2006 ‐0.285 ‐0.648 ‐0.609 ‐0.633
05/15/2006 ‐1.608 ‐0.419 ‐0.711 ‐0.558
05/22/2006 0.061 0.195 0.211 0.187
05/29/2006 0.073 ‐0.260 ‐0.074 ‐0.280
06/05/2006 ‐0.739 ‐0.337 ‐0.551 ‐0.429
06/12/2006 ‐0.094 ‐0.200 0.077 ‐0.207
06/19/2006 1.051 1.858 1.538 1.039
06/26/2006 0.519 0.395 0.492 0.379
07/03/2006 0.157 ‐0.003 0.441 ‐0.017
07/10/2006 ‐0.812 ‐0.742 ‐0.863 ‐0.769
07/17/2006 ‐0.021 0.191 0.027 0.061
07/24/2006 2.860 0.985 1.287 0.918
07/31/2006 0.148 0.022 ‐0.273 0.038
08/07/2006 ‐0.455 ‐0.239 ‐0.383 ‐0.314
08/14/2006 1.110 0.953 0.703 0.937
08/21/2006 ‐0.233 ‐0.119 ‐0.260 ‐0.065
08/28/2006 1.309 0.510 0.460 0.545
09/04/2006 ‐0.564 ‐0.557 ‐0.327 ‐0.406
42

09/11/2006 0.468 0.511 ‐0.054 0.909
09/18/2006 0.012 ‐0.011 ‐0.232 ‐0.192
09/25/2006 0.731 0.795 0.616 1.037
10/02/2006 0.382 0.365 0.287 0.594
10/09/2006 1.585 0.760 1.660 0.497
10/16/2006 0.178 ‐0.023 ‐0.037
10/23/2006 0.453 0.259 0.003 0.504
10/30/2006 ‐0.217 ‐0.277 ‐0.187 ‐0.144
11/06/2006 0.716 0.530 0.281 0.548
11/13/2006 0.099 0.113 ‐0.109 0.319
11/20/2006 ‐0.287 ‐0.366 ‐0.740 ‐0.033
11/27/2006 ‐0.324 ‐0.507 ‐0.441 ‐0.475
12/04/2006 0.940 0.802 1.705 1.115
12/11/2006 4.164 2.085 1.107 2.040
12/18/2006 ‐0.328 ‐0.640 ‐0.820 ‐0.442
12/25/2006 0.558 0.290 0.175 0.357
01/01/2007 0.048 0.032 ‐0.018 ‐0.030
01/08/2007 0.310 0.204 0.069 0.349
01/15/2007 0.301 ‐0.045 ‐0.049 0.219
01/22/2007 ‐0.047 ‐0.174 ‐0.053 ‐0.257
01/29/2007 0.854 0.780 0.360 1.494
02/05/2007 0.286 0.172 0.564 0.118
02/12/2007 0.191 ‐0.034 0.216 0.180
02/19/2007 ‐0.062 ‐0.068 ‐0.127 0.189
02/26/2007 ‐1.030 ‐0.910 ‐0.775 ‐0.905
03/05/2007 0.348 0.452 0.446 0.344
03/12/2007 ‐0.305 ‐0.306 ‐0.215 ‐0.234
03/19/2007 3.077 1.052 2.291 1.152
03/26/2007 ‐0.091 ‐0.073 ‐0.188 0.040
04/02/2007 1.127 0.776 0.735 0.845
04/09/2007 0.340 0.358 0.557 0.498
04/16/2007 0.366 0.408 0.084 0.296
04/23/2007 ‐0.009 ‐0.254 ‐0.407 0.108
04/30/2007 0.902 1.326 0.898 1.434
05/07/2007 ‐0.642 ‐0.194 ‐0.255 ‐0.142
05/14/2007 0.823 0.376 0.473 0.447
05/21/2007 0.086 ‐0.141 ‐0.587 0.589
05/28/2007 0.599 0.741 0.805 0.801
06/04/2007 ‐1.310 ‐1.275 ‐0.813 ‐1.124
06/11/2007 0.823 0.480 0.795 0.904
06/18/2007 ‐0.477 ‐0.065 ‐1.584 ‐0.264
06/25/2007 ‐0.038 0.042 0.198 0.122
07/02/2007 0.684 0.195 0.373 0.096
43

07/09/2007 0.187 0.063 0.072 0.076
07/16/2007 ‐0.472 ‐0.373 ‐0.440 ‐0.449
07/23/2007 ‐1.477 ‐0.727 ‐0.813 ‐0.890
07/30/2007 ‐0.009 ‐0.051 0.013 ‐0.040
08/06/2007 ‐0.359 0.117 ‐0.263 ‐0.188
08/13/2007 ‐0.330 ‐0.307 0.026 0.037
08/20/2007 1.155 0.783 0.697 0.853
08/27/2007 0.285 0.213 0.189 0.347
09/03/2007 ‐0.404 ‐0.450 ‐0.270 ‐0.367
09/10/2007 ‐0.052 0.287 0.212 0.180
09/17/2007 0.325 0.415 0.292 0.706
09/24/2007 0.115 0.062 0.030 0.442
10/01/2007 1.407 0.894 1.164 0.903
10/08/2007 0.728 0.163 0.447 0.256
10/15/2007 ‐0.714 ‐0.623 ‐0.676 ‐0.845
10/22/2007 0.066 0.125 0.357 0.172
10/29/2007 ‐0.185 ‐0.139 ‐0.337 ‐0.271
11/05/2007 ‐0.987 ‐0.766 ‐1.006 ‐0.354
11/12/2007 ‐0.543 ‐0.139 ‐0.049 ‐0.844
11/19/2007 ‐0.396 ‐0.051 ‐0.039 ‐0.016
11/26/2007 0.720 0.486 0.339 0.517
12/03/2007 0.192 0.210 0.235 0.332
12/10/2007 ‐0.438 ‐0.260 ‐0.344 ‐0.124
12/17/2007 ‐0.203 ‐0.431 0.089 0.112
12/24/2007 0.869 0.549 0.322 0.680
12/31/2007 ‐0.899 ‐0.849 ‐0.368 ‐0.949
01/07/2008 ‐1.254 ‐0.437 ‐0.756 ‐0.396
01/14/2008 ‐1.083 ‐1.176 ‐0.764 ‐1.279
01/21/2008 ‐0.121 ‐0.191 ‐0.016 ‐0.261
01/28/2008 0.188 0.476 0.327 0.476
02/04/2008 ‐0.676 ‐0.437 ‐0.483 ‐0.299
02/11/2008 0.260 0.054 0.011 0.105
02/18/2008 0.224 0.069 0.224 ‐0.054
02/25/2008 ‐0.026 ‐0.043 ‐0.010 ‐0.111
03/03/2008 ‐0.700 ‐0.502 ‐0.539 ‐0.433
03/10/2008 ‐0.169 ‐0.044 ‐0.173 ‐0.156
03/17/2008 ‐0.387 ‐0.124 ‐0.180 ‐0.149
03/24/2008 0.748 0.453 0.433 0.487
03/31/2008 0.690 0.517 0.763 0.455
04/07/2008 ‐0.479 ‐0.584 ‐0.223 ‐0.564
04/14/2008 0.454 0.442 0.352 0.533
04/21/2008 0.239 ‐0.089 0.184 0.161
04/28/2008 0.521 0.593 0.434 0.564
44

45
05/05/2008 ‐0.072 ‐0.508 ‐0.050 ‐0.163
05/12/2008 1.267 0.735 0.806 1.082
05/19/2008 ‐0.553 ‐0.745 ‐0.444 ‐0.493
05/26/2008 0.125 0.538 ‐0.467 1.044
06/02/2008 ‐0.813 ‐0.930 ‐0.465 ‐1.030
06/09/2008 ‐1.027 ‐0.173 ‐0.318 ‐0.100
06/16/2008 ‐0.569 ‐0.870 ‐0.540 ‐0.496
06/23/2008 ‐0.719 ‐0.325 ‐0.237 ‐0.361
06/30/2008 ‐0.949 ‐0.290 ‐0.239 ‐0.484
07/07/2008 ‐0.392 ‐0.234 ‐0.261 ‐0.202
07/14/2008 0.159 0.407 0.223 0.474
07/21/2008 0.105 0.176 ‐0.066 0.164
07/28/2008 0.021 ‐0.186 0.004 ‐0.116
08/04/2008 0.418 0.396 0.409 0.391
08/11/2008 ‐0.171 ‐0.182 ‐0.115 ‐0.280
08/18/2008 ‐0.192 ‐0.188 0.106 ‐0.206
08/25/2008 0.668 0.315 0.589 0.275
09/01/2008 ‐0.798 ‐0.588 ‐1.172 ‐0.518
09/08/2008 0.094 0.331 0.313 0.286
09/15/2008 ‐0.124 ‐0.014 ‐0.056 ‐0.033
09/22/2008 ‐0.420 ‐0.308 ‐0.519 ‐0.290
09/29/2008 ‐0.449 ‐0.076 ‐0.125 ‐0.340
10/06/2008 ‐1.894 ‐1.323 ‐1.130 ‐1.729
10/13/2008 0.097 0.151 0.125 0.171
10/20/2008 ‐0.358 ‐0.439 ‐0.193 ‐0.819
10/27/2008 0.527 0.752 0.741 0.666
11/03/2008 0.048 0.035 0.001 ‐0.026
11/10/2008 ‐0.406 ‐0.362 ‐0.295 ‐0.297
11/17/2008 ‐1.761 ‐1.210 ‐0.894 ‐1.308
11/24/2008 1.079 0.556 0.632 0.578
12/01/2008 ‐0.580 ‐0.387 ‐0.394 ‐0.331
12/08/2008 0.364 0.350 0.358 0.347
12/15/2008 0.008 0.227 0.049 0.128
12/22/2008 ‐0.664 ‐0.686 ‐0.623 ‐0.538
12/29/2008 1.569 0.534 2.269 1.114
APPENDIX C
Weekly Sharpe Ratios: Morningstar Equity Asia Pacific Investment Category versus Nikkei 225,
Hang Seng, and S&P/ASX 200
Period Return
Dates
Equity Pacific
Sharpe Ratio
Nikkei 225
Average PR JPY
Sharpe Ratio
Hang Seng HIS PR
HKD Sharpe Ratio
S&P/ASX 200
TR Sharpe Ratio

01/02/1995 ‐2.411 ‐0.219 ‐0.577 ‐1.102
01/09/1995 ‐3.325 ‐0.910 ‐0.442
01/16/1995 ‐0.613 0.030 0.279
01/23/1995 ‐0.600 0.023 ‐0.308
01/30/1995 ‐0.044 0.588 ‐0.179
02/06/1995 0.596 ‐0.235 0.541 ‐0.018
02/13/1995 ‐1.438 0.035 0.149
02/20/1995 ‐1.574 0.188 1.066
02/27/1995 ‐0.131 ‐0.066 ‐0.090
03/06/1995 ‐1.363 ‐0.242 ‐0.335 ‐1.726
03/13/1995 ‐0.038 0.895 1.423
03/20/1995 ‐0.881 ‐0.233 ‐0.314
03/27/1995 1.179 0.142 0.189
04/03/1995 ‐0.049 0.199 ‐0.225 0.621
04/10/1995 0.929 0.547 0.898
04/17/1995 ‐0.124 ‐0.130 ‐0.256
04/24/1995 ‐0.190 ‐0.516 0.860
05/01/1995 1.115 ‐0.214 ‐0.092 0.163
05/08/1995 1.347 3.084 ‐0.348
05/15/1995 ‐0.321 ‐1.045 ‐0.617
05/22/1995 ‐0.179 0.485 0.299
05/29/1995 0.533 0.414 ‐0.373
06/05/1995 ‐0.753 ‐0.240 ‐1.188 ‐0.366
06/12/1995 ‐0.902 0.050 ‐0.170
06/19/1995 0.407 ‐0.295 0.623
06/26/1995 ‐1.236 ‐0.146 ‐0.194
07/03/1995 0.819 0.879 0.563 0.371
07/10/1995 1.409 0.346 0.234 0.804
07/17/1995 ‐1.047 0.053 ‐0.777 0.053
07/24/1995 0.318 0.037 0.079 ‐0.087
07/31/1995 0.419 0.061 ‐0.565 0.675
08/07/1995 ‐0.395 0.052 ‐1.017 ‐0.811
08/14/1995 0.616 0.697 ‐0.391 ‐0.483
08/21/1995 ‐0.827 ‐0.367 0.373 0.407
08/28/1995 0.139 0.415 0.600 0.559
09/04/1995 0.115 0.080 0.571 0.085
09/11/1995 1.311 0.938 1.309 0.518
09/18/1995 ‐2.225 ‐0.945 ‐0.963 ‐0.818
09/25/1995 0.078 0.135 0.303 ‐0.022
10/02/1995 0.214 0.499 0.577 ‐0.560
10/09/1995 ‐1.115 ‐0.724 0.004 0.013
46

10/16/1995 ‐1.952 0.430 0.006 0.213
10/23/1995 ‐1.806 ‐1.058 ‐0.640 ‐0.640
10/30/1995 ‐0.433 0.501 0.490 0.311
11/06/1995 ‐0.736 ‐0.561 ‐1.474 0.618
11/13/1995 ‐2.983 0.348 ‐0.563 ‐0.152
11/20/1995 1.693 0.069 0.844 1.261
11/27/1995 1.959 0.671 0.937 0.539
12/04/1995 2.347 0.482 ‐0.028 0.234
12/11/1995 ‐0.455 0.053 ‐0.059 0.717
12/18/1995 0.220 0.389 0.117 ‐0.160
12/25/1995 0.455 0.198 0.770 ‐0.209
01/01/1996 0.837 0.474 0.847 0.750
01/08/1996 ‐0.725 ‐0.688 0.004 ‐0.286
01/15/1996 0.993 0.070 0.328 0.146
01/22/1996 0.813 0.289 0.742 0.068
01/29/1996 0.719 0.458 0.745 0.443
02/05/1996 ‐0.610 0.012 ‐0.798 ‐0.425
02/12/1996 ‐0.121 ‐0.265 0.524 0.341
02/19/1996 ‐2.055 ‐1.001 ‐0.348 ‐0.339
02/26/1996 ‐0.614 ‐0.102 ‐0.349 0.750
03/04/1996 ‐0.392 ‐0.028 0.023 ‐0.577
03/11/1996 ‐0.489 0.019 ‐0.282 ‐0.129
03/18/1996 1.435 0.783 0.675 0.170
03/25/1996 1.256 1.044 ‐0.167 ‐0.267
04/01/1996 1.340 0.385 0.334 ‐0.072
04/08/1996 0.792 ‐0.049 ‐0.827 0.838
04/15/1996 1.012 0.375 ‐0.088 0.345
04/22/1996 1.180 0.565 ‐0.228 0.877
04/29/1996 0.283 ‐1.106 ‐0.004 ‐0.484
05/06/1996 ‐3.572 ‐0.251 ‐0.677 ‐0.613
05/13/1996 0.464 0.240 0.578 ‐0.185
05/20/1996 ‐1.229 ‐0.182 0.422 0.019
05/27/1996 ‐0.812 0.180 0.777 0.329
06/03/1996 ‐0.867 ‐0.192 ‐0.123 ‐0.497
06/10/1996 ‐0.115 0.730 ‐1.220 ‐0.027
06/17/1996 0.101 0.782 ‐0.066 0.674
06/24/1996 0.096 ‐0.049 0.492 ‐0.597
07/01/1996 ‐1.710 ‐1.184 0.464 ‐0.203
07/08/1996 ‐1.125 ‐0.701 ‐0.584 ‐0.766
07/15/1996 ‐0.727 ‐0.199 0.059 ‐0.015
07/22/1996 ‐1.924 ‐0.179 ‐0.346 ‐0.167
47

07/29/1996 ‐0.093 ‐0.210 0.462 0.554
08/05/1996 ‐0.177 ‐0.313 0.406 0.179
08/12/1996 0.513 0.408 0.327 0.268
08/19/1996 1.359 0.499 0.695 0.728
08/26/1996 ‐1.838 ‐1.311 ‐0.677 ‐0.283
09/02/1996 ‐1.003 ‐0.042 ‐0.294 ‐0.493
09/09/1996 1.459 0.585 0.821 0.258
09/16/1996 1.275 0.190 0.469 ‐0.142
09/23/1996 0.381 1.239 0.428 0.483
09/30/1996 0.047 ‐0.845 0.296 0.489
10/07/1996 ‐1.853 ‐0.365 0.519 0.239
10/14/1996 1.253 0.721 0.586 0.275
10/21/1996 ‐1.761 ‐1.562 ‐0.503 ‐0.149
10/28/1996 ‐1.534 ‐0.116 0.198 0.106
11/04/1996 0.940 0.385 0.317 0.337
11/11/1996 0.919 ‐0.392 0.278 0.295
11/18/1996 0.563 0.359 0.493 ‐0.054
11/25/1996 0.504 ‐0.256 0.316 0.056
12/02/1996 ‐0.263 ‐0.415 ‐0.308 ‐0.466
12/09/1996 ‐0.377 0.040 ‐0.360 0.014
12/16/1996 ‐0.426 ‐0.473 0.420 0.580
12/23/1996 0.289 ‐0.186 0.614 1.782
12/30/1996 ‐0.045 ‐1.597 ‐0.312 ‐0.159
01/06/1997 0.026 ‐1.198 ‐0.046 0.443
01/13/1997 1.675 0.417 0.669 ‐0.141
01/20/1997 0.107 ‐0.169 ‐1.048 ‐0.309
01/27/1997 ‐0.553 0.261 ‐0.153 0.044
02/03/1997 0.368 ‐0.518 1.032 1.110
02/10/1997 1.464 1.153 ‐1.093 ‐0.284
02/17/1997 0.415 0.225 0.464 ‐0.133
02/24/1997 ‐0.077 ‐0.413 ‐0.101 ‐0.178
03/03/1997 ‐0.719 ‐0.357 ‐0.198 0.064
03/10/1997 ‐1.028 ‐0.361 ‐1.568 ‐0.710
03/17/1997 ‐1.357 0.915 ‐0.468 0.651
03/24/1997 0.271 ‐0.243 0.043 ‐0.330
03/31/1997 ‐0.732 ‐0.372 ‐0.286 0.000
04/07/1997 0.586 ‐0.013 0.695 1.409
04/14/1997 ‐0.060 0.581 0.018 0.427
04/21/1997 0.959 0.365 0.212 0.728
04/28/1997 0.597 0.918 0.620 0.195
05/05/1997 1.326 0.157 0.628 ‐0.151
48

05/12/1997 1.006 0.498 0.169 0.912
05/19/1997 0.106 ‐0.246 0.739 0.603
05/26/1997 1.193 0.032 0.412 ‐0.080
06/02/1997 1.548 0.431 ‐0.120 0.885
06/09/1997 ‐0.320 0.021 ‐0.418 0.176
06/16/1997 1.111 ‐0.281 0.662 0.583
06/23/1997 0.399 0.136 0.046 ‐0.403
06/30/1997 0.409 ‐0.581 ‐0.720 ‐0.253
07/07/1997 ‐0.304 ‐0.124 0.401 0.157
07/14/1997 1.640 0.266 0.430 0.947
07/21/1997 0.573 0.241 0.097 ‐0.524
07/28/1997 0.657 ‐0.422 0.906 ‐0.270
08/04/1997 0.219 ‐0.232 0.415 ‐0.173
08/11/1997 ‐1.078 ‐0.130 ‐0.583 0.040
08/18/1997 ‐0.543 ‐0.468 ‐0.367 ‐0.528
08/25/1997 ‐1.151 ‐0.417 ‐0.637 0.044
09/01/1997 ‐0.117 0.270 0.137 0.314
09/08/1997 ‐0.089 ‐0.650 ‐0.061 2.461
09/15/1997 ‐1.040 0.078 ‐0.146 ‐0.229
09/22/1997 0.015 ‐0.072 0.247 ‐0.228
09/29/1997 ‐0.089 ‐0.340 0.946 ‐0.551
10/06/1997 ‐1.013 ‐0.265 ‐0.633 ‐0.324
10/13/1997 ‐1.026 0.075 ‐0.538 ‐0.923
10/20/1997 ‐2.050 ‐0.058 ‐0.586 0.851
10/27/1997 ‐0.518 ‐0.347 ‐0.032 ‐0.465
11/03/1997 ‐0.023 ‐0.393 ‐0.237 0.021
11/10/1997 ‐2.081 ‐0.628 ‐0.118 ‐0.064
11/17/1997 0.359 0.454 0.358 0.723
11/24/1997 ‐0.270 ‐0.026 ‐0.027 ‐0.188
12/01/1997 0.707 ‐0.152 1.146 0.214
12/08/1997 ‐0.589 ‐0.272 ‐0.530 0.218
12/15/1997 ‐0.279 ‐0.222 ‐0.155 0.593
12/22/1997 ‐0.612 ‐0.260 ‐0.092 0.117
12/29/1997 0.608 0.400 0.500 0.177
01/05/1998 ‐1.674 ‐0.354 ‐2.331 ‐0.307
01/12/1998 0.138 0.444 0.030 0.099
01/19/1998 0.400 0.568 0.021 0.450
01/26/1998 2.601 ‐0.142 0.536 0.191
02/02/1998 0.979 0.550 0.404 0.249
02/09/1998 0.136 ‐0.261 ‐0.154 ‐0.122
02/16/1998 ‐0.336 ‐0.088 0.278 0.255
49

02/23/1998 0.468 0.047 1.298 0.345
03/02/1998 ‐0.236 0.205 ‐0.415 0.148
03/09/1998 ‐0.511 ‐0.052 0.148 0.763
03/16/1998 0.480 ‐0.205 0.609 0.307
03/23/1998 0.652 ‐0.083 0.385 ‐0.403
03/30/1998 ‐2.474 ‐0.780 ‐1.515 0.451
04/06/1998 0.615 1.147 0.478 0.293
04/13/1998 ‐0.563 ‐0.948 ‐0.609 0.361
04/20/1998 0.364 0.461 ‐0.218 ‐0.516
04/27/1998 ‐1.057 ‐0.352 ‐0.326 ‐0.038
05/04/1998 ‐1.140 ‐0.601 ‐0.740 ‐0.217
05/11/1998 ‐0.466 0.130 ‐0.510 ‐0.962
05/18/1998 ‐0.208 1.177 0.019 ‐0.129
05/25/1998 ‐2.132 ‐0.197 ‐0.579 ‐0.100
06/01/1998 ‐1.462 ‐0.422 ‐0.328 ‐0.808
06/08/1998 ‐2.061 ‐0.294 ‐0.728 ‐0.715
06/15/1998 0.280 0.142 0.347 0.080
06/22/1998 ‐0.555 ‐0.103 0.018 0.401
06/29/1998 1.401 1.150 0.032 1.287
07/06/1998 ‐0.311 ‐0.461 ‐0.520 0.022
07/13/1998 0.600 0.600 0.591 0.489
07/20/1998 ‐0.974 ‐0.277 ‐0.518 ‐1.247
07/27/1998 ‐0.827 0.007 ‐0.454 ‐0.398
08/03/1998 ‐2.793 ‐1.551 ‐1.243 ‐0.956
08/10/1998 ‐1.464 ‐1.203 0.135 ‐0.272
08/17/1998 0.240 0.122 0.270 0.330
08/24/1998 ‐0.871 ‐1.187 0.371 ‐0.791
08/31/1998 ‐0.419 0.119 ‐0.187 ‐0.062
09/07/1998 0.040 ‐0.038 0.065 ‐0.151
09/14/1998 ‐0.052 0.048 ‐0.158 0.545
09/21/1998 ‐0.125 ‐0.135 0.209 0.149
09/28/1998 ‐0.466 ‐0.452 0.273 ‐0.252
10/05/1998 0.345 ‐0.109 0.386 ‐0.252
10/12/1998 0.675 0.206 0.655 0.135
10/19/1998 1.026 0.811 0.065 0.587
10/26/1998 0.598 ‐0.593 0.595 1.676
11/02/1998 1.315 0.324 ‐0.016 0.672
11/09/1998 ‐0.355 0.109 ‐0.096 ‐0.127
11/16/1998 1.868 0.407 0.268 0.370
11/23/1998 0.801 0.272 0.508 0.634
11/30/1998 ‐0.873 ‐0.533 ‐0.720 ‐0.269
50

12/07/1998 0.350 ‐0.220 ‐0.001 ‐0.016
12/14/1998 ‐0.245 ‐0.278 0.439 0.101
12/21/1998 ‐0.087 ‐0.459 0.090 0.235
12/28/1998 1.519 0.077 ‐0.677 0.743
01/04/1999 0.565 ‐0.356 0.634 0.229
01/11/1999 ‐0.530 0.444 ‐0.766 ‐0.868
01/18/1999 0.213 0.533 ‐0.361 0.383
01/25/1999 0.019 0.604 ‐0.184 0.452
02/01/1999 ‐0.349 ‐1.772 ‐0.501 0.131
02/08/1999 ‐0.179 0.190 0.275 ‐0.197
02/15/1999 ‐0.767 0.221 ‐0.555 0.293
02/22/1999 2.172 0.313 0.907 ‐0.498
03/01/1999 0.204 0.264 0.442 0.248
03/08/1999 4.274 0.531 0.767 0.952
03/15/1999 0.869 0.409 0.223 0.264
03/22/1999 0.184 ‐0.183 ‐0.340 0.192
03/29/1999 1.248 0.209 0.368 ‐0.226
04/05/1999 1.718 0.988 0.729 0.640
04/12/1999 0.795 ‐0.012 0.425 0.355
04/19/1999 0.322 0.061 0.287 0.134
04/26/1999 1.008 ‐0.418 0.429 ‐0.273
05/03/1999 0.234 0.143 ‐0.229 ‐0.901
05/10/1999 ‐0.703 ‐0.181 ‐0.144 0.840
05/17/1999 ‐0.751 ‐0.504 ‐0.934 ‐0.723
05/24/1999 ‐0.108 ‐0.523 ‐0.276 ‐0.609
05/31/1999 1.660 0.356 0.678 0.401
06/07/1999 3.615 1.019 0.607 0.205
06/14/1999 0.802 0.327 0.561 0.366
06/21/1999 0.550 ‐0.004 0.253 ‐0.265
06/28/1999 1.843 0.446 0.233 0.572
07/05/1999 0.216 ‐0.014 0.034 0.059
07/12/1999 0.682 0.290 ‐0.630 0.194
07/19/1999 ‐1.134 ‐0.481 ‐0.576 0.088
07/26/1999 0.213 0.448 0.108 ‐0.544
08/02/1999 ‐0.639 ‐0.785 ‐0.022 ‐0.122
08/09/1999 ‐0.238 0.745 ‐0.415 ‐0.483
08/16/1999 1.931 0.761 0.977 0.383
08/23/1999 0.818 ‐0.702 ‐0.257 ‐0.034
08/30/1999 0.095 0.014 ‐0.193 ‐0.338
09/06/1999 0.801 0.160 0.593 0.645
09/13/1999 0.104 ‐0.294 ‐0.443 ‐0.849
51

09/20/1999 ‐0.557 ‐0.227 ‐0.828 ‐0.196
09/27/1999 0.105 0.678 ‐0.455 0.177
10/04/1999 0.765 0.575 1.148 ‐0.172
10/11/1999 ‐0.459 ‐0.589 ‐1.434 ‐0.260
10/18/1999 ‐0.078 ‐0.160 0.478 ‐0.126
10/25/1999 1.252 0.329 0.277 0.439
11/01/1999 1.738 0.514 0.365 0.494
11/08/1999 0.881 ‐0.110 0.794 0.634
11/15/1999 0.685 0.447 0.986 0.874
11/22/1999 1.464 0.395 0.165 ‐0.159
11/29/1999 0.100 ‐0.968 0.839 0.264
12/06/1999 0.566 ‐0.155 0.460 0.207
12/13/1999 0.060 ‐1.988 ‐0.231 0.338
12/20/1999 1.520 0.524 0.725 ‐0.022
12/27/1999 3.289 0.592 0.112 0.541
01/03/2000 ‐0.932 ‐0.611 ‐0.460 ‐0.660
01/10/2000 0.529 0.482 0.108 0.339
01/17/2000 ‐0.135 ‐0.056 ‐0.337 ‐0.186
01/24/2000 1.038 0.677 0.967 ‐0.258
01/31/2000 0.725 0.463 ‐0.127 0.191
02/07/2000 0.771 ‐0.075 1.014 0.557
02/14/2000 ‐0.967 0.067 ‐0.468 ‐0.430
02/21/2000 ‐0.188 0.013 0.328 0.050
02/28/2000 1.448 0.115 0.053 0.837
03/06/2000 ‐0.704 ‐0.272 0.381 ‐0.199
03/13/2000 ‐0.265 ‐0.116 ‐0.262 0.020
03/20/2000 0.205 0.648 0.970 0.370
03/27/2000 0.936 0.281 ‐0.188 ‐0.798
04/03/2000 ‐0.742 ‐0.083 ‐0.204 0.287
04/10/2000 ‐0.678 0.115 ‐0.967 ‐0.509
04/17/2000 ‐0.178 ‐0.704 ‐0.201 ‐0.080
04/24/2000 1.071 ‐0.359 0.151 0.373
05/01/2000 1.132 0.472 ‐0.233 ‐0.048
05/08/2000 ‐1.065 ‐0.446 ‐0.074 ‐0.420
05/15/2000 ‐0.194 ‐0.471 ‐0.386 0.006
05/22/2000 ‐1.392 ‐0.677 ‐0.777 ‐0.381
05/29/2000 0.795 1.065 1.171 1.554
06/05/2000 0.776 0.045 0.644 0.104
06/12/2000 ‐1.807 ‐0.631 0.214 ‐0.090
06/19/2000 0.948 0.554 ‐0.841 0.640
06/26/2000 0.184 0.518 0.395 1.258
52

07/03/2000 ‐0.041 ‐0.034 0.857 ‐0.205
07/10/2000 0.558 ‐0.275 0.805 ‐0.089
07/17/2000 ‐0.890 ‐0.366 0.238 0.307
07/24/2000 ‐2.225 ‐1.206 ‐0.667 ‐1.238
07/31/2000 0.367 ‐0.125 0.174 0.553
08/07/2000 0.618 0.418 ‐0.144 0.472
08/14/2000 0.709 0.218 0.140 3.862
08/21/2000 1.663 0.474 ‐0.254 0.456
08/28/2000 0.425 ‐0.201 0.078 ‐0.219
09/04/2000 ‐0.414 ‐0.322 ‐0.063 ‐0.060
09/11/2000 ‐3.512 ‐0.311 ‐1.493 0.077
09/18/2000 ‐0.484 ‐0.267 ‐0.932 ‐0.814
09/25/2000 ‐0.347 ‐0.094 0.547 2.213
10/02/2000 1.405 0.325 0.813 ‐0.100
10/09/2000 ‐2.957 ‐0.917 ‐1.598 ‐1.591
10/16/2000 0.041 ‐0.081 0.183 0.149
10/23/2000 0.055 ‐0.770 ‐0.253 0.068
10/30/2000 0.021 0.280 0.569 0.972
11/06/2000 0.054 0.092 ‐0.310 ‐0.152
11/13/2000 ‐0.727 ‐0.508 ‐0.119 0.257
11/20/2000 ‐2.406 ‐0.767 ‐0.796 ‐0.834
11/27/2000 ‐0.455 0.461 0.036 0.033
12/04/2000 0.035 ‐0.162 0.626 ‐0.008
12/11/2000 ‐0.249 ‐0.112 ‐0.139 ‐0.464
12/18/2000 ‐1.689 ‐1.127 ‐0.260 ‐0.234
12/25/2000 ‐0.295 0.284 0.550 0.087
01/01/2001 0.030 0.117 0.176 0.487
01/08/2001 ‐0.689 ‐0.606 ‐0.158 ‐0.607
01/15/2001 1.839 2.313 0.606 0.735
01/22/2001 0.236 ‐1.010 0.224 0.063
01/29/2001 0.079 ‐0.015 0.015 0.450
02/05/2001 ‐0.683 ‐0.228 ‐0.271 ‐0.371
02/12/2001 0.203 ‐0.560 ‐0.389 0.084
02/19/2001 ‐0.521 0.089 ‐0.405 ‐0.296
02/26/2001 ‐1.144 ‐1.412 ‐1.354 0.460
03/05/2001 0.081 0.416 0.319 0.017
03/12/2001 ‐0.550 ‐0.242 ‐0.576 ‐0.653
03/19/2001 0.763 0.429 ‐0.912 ‐0.870
03/26/2001 0.097 ‐0.081 0.142 0.040
04/02/2001 ‐0.143 0.710 ‐0.243 0.815
04/09/2001 0.060 0.010 0.444 0.455
53

04/16/2001 0.497 0.229 0.239 0.166
04/23/2001 ‐0.030 0.390 ‐0.157 ‐0.213
04/30/2001 1.017 0.433 0.004 0.496
05/07/2001 ‐0.360 ‐0.524 0.480 0.484
05/14/2001 ‐0.253 ‐0.141 ‐0.139 0.151
05/21/2001 1.104 ‐0.124 0.405 0.239
05/28/2001 ‐0.935 ‐0.714 ‐1.205 ‐0.576
06/04/2001 0.435 0.293 1.935 0.617
06/11/2001 ‐2.366 ‐0.775 ‐1.491 ‐0.214
06/18/2001 ‐0.101 0.295 0.065 0.093
06/25/2001 ‐0.067 ‐0.075 ‐0.152 0.361
07/02/2001 ‐0.735 ‐0.889 ‐0.080 ‐1.056
07/09/2001 ‐0.405 0.040 ‐0.450 0.621
07/16/2001 ‐2.073 ‐0.729 ‐0.820 ‐0.213
07/23/2001 ‐0.660 ‐0.108 ‐0.215 ‐0.974
07/30/2001 0.497 0.318 0.094 1.153
08/06/2001 ‐0.818 ‐0.539 ‐0.934 ‐0.087
08/13/2001 ‐0.326 ‐0.196 ‐0.010 ‐0.986
08/20/2001 ‐0.851 ‐0.344 ‐0.667 0.121
08/27/2001 ‐0.602 ‐0.677 ‐0.035 ‐0.473
09/03/2001 ‐0.507 ‐0.147 ‐0.662 ‐0.422
09/10/2001 ‐1.466 ‐0.226 ‐0.327 ‐0.425
09/17/2001 ‐0.856 ‐0.293 ‐0.555 ‐0.415
09/24/2001 0.390 0.594 1.157 0.859
10/01/2001 1.343 0.444 0.352 0.907
10/08/2001 0.469 0.353 0.008 0.237
10/15/2001 0.145 ‐0.091 ‐0.483 ‐0.365
10/22/2001 0.972 0.336 0.609 1.517
10/29/2001 ‐1.033 ‐0.923 ‐0.361 ‐0.818
11/05/2001 0.586 ‐0.141 0.496 0.257
11/12/2001 0.825 0.411 0.942 0.286
11/19/2001 0.603 0.094 0.067 0.224
11/26/2001 ‐0.111 0.005 ‐0.058 0.065
12/03/2001 0.565 0.091 0.672 0.466
12/10/2001 ‐0.860 ‐0.202 ‐0.439 ‐1.173
12/17/2001 ‐0.359 ‐0.306 ‐0.289 1.088
12/24/2001 0.706 0.290 0.871 0.888
12/31/2001 0.493 0.442 0.399 0.079
01/07/2002 ‐0.356 ‐0.751 ‐0.611 ‐0.274
01/14/2002 ‐0.614 ‐0.206 ‐0.396 ‐0.336
01/21/2002 0.236 ‐0.255 ‐0.424 1.462
54

01/28/2002 ‐0.173 ‐0.505 ‐0.090 0.022
02/04/2002 ‐0.722 ‐0.139 ‐0.299 0.041
02/11/2002 2.388 0.795 0.634 0.426
02/18/2002 ‐0.321 0.243 ‐0.636 ‐0.814
02/25/2002 0.732 0.451 ‐0.391 ‐0.057
03/04/2002 1.389 0.737 1.259 0.746
03/11/2002 ‐0.334 ‐0.238 ‐0.060 ‐0.906
03/18/2002 ‐0.419 ‐0.273 ‐0.597 0.242
03/25/2002 0.066 ‐0.412 0.333 ‐0.147
04/01/2002 0.050 0.539 ‐0.620 ‐0.309
04/08/2002 ‐1.633 ‐0.533 ‐0.291 ‐0.481
04/15/2002 1.778 0.915 0.921 1.516
04/22/2002 ‐0.087 0.046 0.223 ‐0.381
04/29/2002 ‐0.393 0.032 0.640 ‐0.199
05/06/2002 ‐0.328 ‐0.021 ‐0.589 ‐0.484
05/13/2002 0.853 0.358 0.751 0.518
05/20/2002 0.574 0.309 ‐0.597 ‐0.312
05/27/2002 ‐1.634 ‐1.080 ‐1.096 ‐0.356
06/03/2002 ‐0.717 ‐0.450 ‐0.053 ‐0.275
06/10/2002 ‐1.458 ‐0.882 ‐1.051 ‐1.075
06/17/2002 ‐1.431 ‐0.448 ‐0.626 ‐0.429
06/24/2002 ‐0.135 0.190 0.010 ‐0.222
07/01/2002 1.078 0.262 0.378 ‐0.018
07/08/2002 ‐0.291 ‐0.223 ‐0.259 ‐0.134
07/15/2002 ‐0.948 ‐0.388 ‐0.596 ‐0.597
07/22/2002 ‐1.065 ‐0.730 ‐0.549 ‐0.615
07/29/2002 0.189 0.129 0.260 0.394
08/05/2002 0.170 0.276 0.029 0.239
08/12/2002 0.556 ‐0.286 0.320 0.361
08/19/2002 0.292 0.122 ‐0.033 0.510
08/26/2002 ‐0.819 ‐0.324 ‐1.814 ‐1.415
09/02/2002 ‐1.300 ‐0.598 ‐0.885 ‐0.158
09/09/2002 0.288 0.177 ‐0.095 0.360
09/16/2002 ‐0.292 0.246 ‐0.394 ‐0.390
09/23/2002 ‐0.280 0.060 ‐0.068 ‐0.526
09/30/2002 ‐1.631 ‐0.859 ‐0.400 ‐0.151
10/07/2002 ‐1.246 ‐0.593 ‐0.170 ‐0.420
10/14/2002 1.893 0.915 0.870 0.898
10/21/2002 ‐0.148 ‐0.467 0.165 ‐0.013
10/28/2002 ‐0.342 ‐0.122 ‐0.501 0.029
11/04/2002 0.149 0.008 0.456 ‐0.012
55

11/11/2002 ‐0.293 ‐0.222 0.148 ‐0.005
11/18/2002 0.340 0.393 1.805 0.650
11/25/2002 1.056 0.561 0.008 0.221
12/02/2002 ‐1.346 ‐0.855 ‐0.144 ‐0.260
12/09/2002 ‐1.372 ‐0.956 ‐0.878 ‐0.578
12/16/2002 ‐0.629 ‐0.233 ‐0.201 0.352
12/23/2002 0.560 0.680 ‐0.736 0.298
12/30/2002 ‐0.061 ‐0.451 0.200 0.228
01/06/2003 ‐0.032 ‐0.220 0.662 0.139
01/13/2003 0.523 1.027 ‐0.190 ‐0.227
01/20/2003 ‐0.649 0.060 ‐0.501 ‐0.438
01/27/2003 ‐1.593 ‐0.905 ‐0.500 ‐0.491
02/03/2003 ‐0.028 0.236 ‐0.545 ‐0.454
02/10/2003 ‐0.047 0.541 0.100 0.265
02/17/2003 0.224 ‐0.492 0.086 ‐0.502
02/24/2003 ‐0.493 ‐0.304 ‐0.640 ‐0.086
03/03/2003 ‐0.853 ‐0.337 ‐0.392 ‐0.380
03/10/2003 ‐0.187 ‐0.209 0.100 0.080
03/17/2003 1.252 0.356 0.305 0.569
03/24/2003 ‐0.121 0.107 ‐0.945 0.376
03/31/2003 ‐0.242 ‐0.258 ‐0.047 0.432
04/07/2003 ‐0.179 ‐0.390 ‐0.273 0.125
04/14/2003 0.153 0.168 ‐0.147 0.041
04/21/2003 ‐0.927 ‐0.281 ‐1.079 0.645
04/28/2003 0.589 0.357 0.585 ‐0.201
05/05/2003 0.833 0.487 0.625 ‐0.359
05/12/2003 0.159 ‐0.094 0.031 ‐0.026
05/19/2003 ‐0.088 0.167 0.506 0.519
05/26/2003 0.503 0.495 0.356 0.192
06/02/2003 1.842 1.147 0.605 0.688
06/09/2003 2.626 0.770 0.461 1.083
06/16/2003 0.622 0.232 0.162 0.021
06/23/2003 ‐0.056 ‐0.018 ‐0.564 ‐0.325
06/30/2003 0.963 0.553 ‐0.091 ‐0.260
07/07/2003 0.378 0.091 0.421 0.406
07/14/2003 ‐0.026 ‐0.162 0.399 0.522
07/21/2003 ‐0.218 0.344 ‐0.667 0.192
07/28/2003 0.375 ‐0.047 0.601 0.400
08/04/2003 ‐0.880 ‐0.724 ‐0.808 0.195
08/11/2003 2.052 1.113 2.413 0.014
08/18/2003 4.827 0.848 0.760 1.166
56

08/25/2003 0.118 0.159 0.338 0.450
09/01/2003 0.703 0.401 0.805 0.364
09/08/2003 ‐0.357 0.064 ‐0.471 ‐0.216
09/15/2003 0.507 0.443 0.178 0.512
09/22/2003 ‐0.642 ‐0.597 0.375 ‐0.329
09/29/2003 0.693 0.607 0.376 0.323
10/06/2003 0.747 0.085 0.938 1.324
10/13/2003 1.346 0.501 0.192 0.926
10/20/2003 ‐0.648 ‐0.549 ‐0.244 ‐0.432
10/27/2003 0.887 0.352 0.634 0.270
11/03/2003 0.273 0.074 0.032 ‐0.256
11/10/2003 ‐0.799 ‐0.570 ‐0.013 ‐0.503
11/17/2003 ‐0.914 ‐0.225 ‐0.719 ‐0.344
11/24/2003 1.074 0.512 0.905 0.347
12/01/2003 0.749 0.351 ‐0.010 0.530
12/08/2003 ‐0.306 ‐0.180 0.402 ‐0.209
12/15/2003 ‐0.092 0.107 ‐0.298 0.158
12/22/2003 0.662 0.626 0.248 0.790
12/29/2003 1.218 0.661 0.753 0.943
01/05/2004 0.957 0.649 1.484 0.005
01/12/2004 0.273 ‐0.141 ‐0.836 ‐0.217
01/19/2004 0.374 0.412 0.861 1.094
01/26/2004 ‐0.342 ‐1.479 ‐0.662 ‐0.772
02/02/2004 ‐1.064 ‐0.686 0.023 0.024
02/09/2004 1.044 0.261 0.689 1.358
02/16/2004 0.771 0.405 0.345 0.326
02/23/2004 0.174 0.363 0.052 0.351
03/01/2004 1.140 1.081 ‐0.680 1.048
03/08/2004 ‐1.266 ‐1.055 ‐0.808 ‐0.038
03/15/2004 0.805 0.414 ‐0.371 0.570
03/22/2004 0.394 0.500 ‐0.452 0.019
03/29/2004 1.388 0.118 0.482 0.125
04/05/2004 0.675 0.118 0.508 0.437
04/12/2004 ‐0.487 ‐0.084 ‐0.484 ‐1.000
04/19/2004 0.221 0.568 ‐0.102 0.517
04/26/2004 ‐1.315 ‐0.641 ‐0.766 ‐0.627
05/03/2004 ‐0.904 ‐0.716 ‐0.053 ‐0.104
05/10/2004 ‐0.644 ‐0.362 ‐0.707 ‐0.265
05/17/2004 0.170 0.175 0.217 0.378
05/24/2004 0.600 0.373 0.940 0.822
05/31/2004 ‐0.543 ‐0.288 ‐0.113 0.385
57

06/07/2004 0.871 0.517 0.552 0.251
06/14/2004 ‐0.291 ‐0.162 ‐0.642 0.690
06/21/2004 0.909 0.751 0.471 0.080
06/28/2004 ‐0.051 ‐0.118 0.066 0.143
07/05/2004 ‐0.702 ‐0.586 ‐0.035 0.739
07/12/2004 ‐0.189 0.019 ‐0.271 ‐0.400
07/19/2004 ‐0.134 ‐0.346 0.425 ‐0.444
07/26/2004 ‐0.082 0.181 ‐0.321 0.710
08/02/2004 ‐0.604 ‐1.003 0.375 ‐0.114
08/09/2004 ‐0.505 ‐0.307 ‐0.428 ‐0.748
08/16/2004 0.404 0.349 0.028 0.598
08/23/2004 5.984 1.133 0.965 0.752
08/30/2004 ‐0.066 ‐0.488 0.278 0.386
09/06/2004 0.015 0.093 0.101 0.837
09/13/2004 0.423 ‐0.003 0.514 1.077
09/20/2004 ‐0.947 ‐0.692 ‐0.294 ‐0.011
09/27/2004 0.280 0.201 0.106 0.570
10/04/2004 0.663 0.536 0.183 0.298
10/11/2004 ‐1.093 ‐0.962 ‐0.460 0.496
10/18/2004 ‐0.493 ‐0.219 ‐0.093 ‐0.224
10/25/2004 0.138 ‐0.127 0.047 0.501
11/01/2004 1.135 0.729 0.955 1.027
11/08/2004 0.087 ‐0.070 0.559 0.352
11/15/2004 0.754 0.109 0.000 0.280
11/22/2004 ‐0.497 ‐0.462 0.180 0.275
11/29/2004 0.295 0.350 0.695 0.208
12/06/2004 ‐3.349 ‐0.714 ‐0.629 ‐0.440
12/13/2004 1.774 0.840 0.198 2.020
12/20/2004 1.164 0.898 0.348 1.383
12/27/2004 1.663 0.402 0.087 0.013
01/03/2005 ‐0.056 ‐0.205 ‐1.169 0.115
01/10/2005 0.794 0.005 ‐0.332 ‐0.082
01/17/2005 ‐0.089 ‐0.664 ‐0.037 ‐0.277
01/24/2005 0.516 0.279 0.315 0.477
01/31/2005 1.039 0.180 ‐0.158 1.966
02/07/2005 0.480 0.552 0.562 0.220
02/14/2005 0.163 0.366 0.505 ‐0.063
02/21/2005 ‐0.040 ‐0.012 0.133 ‐0.212
02/28/2005 0.955 1.705 ‐0.736 1.251
03/07/2005 ‐0.131 0.119 0.430 ‐0.146
03/14/2005 ‐0.219 ‐0.113 ‐0.305 0.489
58

03/21/2005 ‐0.583 ‐0.508 ‐0.631 ‐0.685
03/28/2005 ‐0.125 ‐0.074 ‐0.221 0.010
04/04/2005 1.288 0.440 1.348 0.229
04/11/2005 ‐0.984 ‐1.640 ‐0.068 ‐0.951
04/18/2005 ‐0.239 ‐0.291 0.063 0.087
04/25/2005 0.595 ‐0.319 0.790 ‐0.986
05/02/2005 0.872 0.410 0.391 ‐0.010
05/09/2005 ‐0.609 ‐2.360 ‐0.513 0.316
05/16/2005 ‐0.032 ‐0.018 ‐0.300 0.169
05/23/2005 0.289 0.267 ‐0.012 0.777
05/30/2005 3.224 0.434 0.284 0.614
06/06/2005 0.862 0.001 0.638 0.728
06/13/2005 0.949 0.923 ‐0.099 0.964
06/20/2005 0.583 0.085 0.938 ‐1.665
06/27/2005 ‐0.201 0.207 ‐0.095 0.233
07/04/2005 ‐0.286 ‐0.680 ‐0.922 ‐0.343
07/11/2005 1.087 0.580 1.080 0.779
07/18/2005 1.541 ‐0.307 0.840 0.618
07/25/2005 0.987 0.857 0.509 0.211
08/01/2005 ‐0.281 ‐0.362 0.361 ‐0.263
08/08/2005 1.154 1.089 0.571 1.568
08/15/2005 ‐0.057 0.109 ‐0.644 0.000
08/22/2005 0.035 0.310 ‐0.074 ‐0.034
08/29/2005 0.017 0.270 0.321 0.136
09/05/2005 0.715 0.191 ‐0.247 0.022
09/12/2005 0.891 0.439 ‐0.593 0.704
09/19/2005 0.568 0.427 0.234 0.060
09/26/2005 1.046 0.590 0.483 0.472
10/03/2005 ‐0.640 ‐0.361 ‐0.799 ‐0.765
10/10/2005 0.041 0.229 ‐0.463 ‐0.186
10/17/2005 ‐0.976 ‐0.424 ‐0.010 ‐0.191
10/24/2005 0.247 0.242 ‐0.677 0.085
10/31/2005 2.177 1.141 0.749 0.690
11/07/2005 0.606 0.348 0.190 0.387
11/14/2005 0.454 0.705 0.275 1.064
11/21/2005 0.243 1.417 0.483 ‐0.128
11/28/2005 0.821 0.733 0.205 ‐0.133
12/05/2005 0.135 ‐0.025 ‐0.380 ‐0.423
12/12/2005 0.500 ‐0.189 0.379 0.529
12/19/2005 1.931 1.000 0.371 1.078
12/26/2005 0.501 0.167 ‐0.891 0.456
59

01/02/2006 1.162 0.567 0.954 0.399
01/09/2006 0.403 0.021 1.262 0.392
01/16/2006 ‐0.445 ‐0.429 ‐0.190 0.057
01/23/2006 0.355 0.446 0.107 0.324
01/30/2006 0.240 0.245 ‐0.599 ‐0.238
02/06/2006 ‐0.328 ‐0.336 ‐0.030 ‐0.042
02/13/2006 ‐0.629 ‐0.362 0.094 ‐0.399
02/20/2006 0.666 0.252 1.033 0.789
02/27/2006 ‐0.278 ‐0.599 ‐0.156 0.075
03/06/2006 ‐0.095 0.369 ‐0.795 ‐0.073
03/13/2006 0.325 0.203 0.791 0.497
03/20/2006 0.464 0.276 ‐0.113 0.842
03/27/2006 3.078 1.063 0.142 0.833
04/03/2006 1.098 0.638 0.922 0.642
04/10/2006 ‐0.787 ‐0.561 ‐0.101 ‐0.327
04/17/2006 0.832 0.175 0.851 0.355
04/24/2006 ‐0.616 ‐0.409 ‐0.406 0.025
05/01/2006 0.778 0.465 0.650 ‐0.020
05/08/2006 ‐0.144 ‐0.715 ‐0.119 0.206
05/15/2006 ‐0.757 ‐0.459 ‐0.450 ‐1.001
05/22/2006 ‐0.485 ‐0.122 ‐0.319 ‐0.157
05/29/2006 ‐0.312 ‐0.154 0.007 0.100
06/05/2006 ‐0.859 ‐0.937 ‐0.269 ‐0.278
06/12/2006 0.046 0.070 0.142 0.008
06/19/2006 0.145 0.179 ‐0.075 ‐0.019
06/26/2006 0.530 0.294 0.481 0.487
07/03/2006 0.020 ‐0.361 0.359 0.948
07/10/2006 ‐0.582 ‐0.474 ‐0.453 ‐0.629
07/17/2006 ‐0.160 ‐0.016 0.351 ‐0.032
07/24/2006 0.925 0.589 0.812 ‐0.017
07/31/2006 0.082 0.576 ‐0.156 ‐0.024
08/07/2006 0.125 0.047 0.461 ‐0.022
08/14/2006 1.339 0.655 0.132 0.450
08/21/2006 ‐0.592 ‐0.227 ‐0.404 ‐0.084
08/28/2006 0.345 0.216 0.941 0.542
09/04/2006 0.082 ‐0.074 ‐0.487 0.063
09/11/2006 ‐0.370 ‐0.256 0.113 ‐0.223
09/18/2006 ‐0.321 ‐0.382 0.718 ‐0.306
09/25/2006 0.648 0.533 ‐0.088 0.836
10/02/2006 0.369 0.300 0.584 0.297
10/09/2006 0.164 0.190 0.058 0.386
60

10/16/2006 0.583 0.311 0.245
10/23/2006 0.398 0.007 0.615 0.125
10/30/2006 ‐0.165 ‐0.462 0.811 0.560
11/06/2006 ‐0.751 ‐0.595 0.189 0.087
11/13/2006 0.077 ‐0.044 0.587 ‐0.131
11/20/2006 ‐0.157 ‐0.351 0.066 0.101
11/27/2006 0.384 1.075 ‐0.375 ‐0.095
12/04/2006 0.348 0.202 0.039 ‐0.052
12/11/2006 0.564 3.120 0.409 0.826
12/18/2006 0.053 0.238 0.212 0.240
12/25/2006 0.802 0.540 0.627 0.739
01/01/2007 0.055 ‐0.209 0.173 ‐0.773
01/08/2007 ‐0.177 ‐0.043 ‐0.578 0.165
01/15/2007 0.878 0.552 0.699 0.236
01/22/2007 0.136 0.245 ‐0.038 0.774
01/29/2007 0.359 0.252 0.202 0.304
02/05/2007 0.241 ‐0.070 0.162 0.780
02/12/2007 0.712 0.906 ‐0.083 0.156
02/19/2007 0.677 0.682 0.259 0.450
02/26/2007 ‐1.037 ‐0.983 ‐1.147 ‐0.666
03/05/2007 0.016 ‐0.032 ‐0.133 0.117
03/12/2007 ‐0.387 ‐0.318 ‐0.128 0.009
03/19/2007 3.134 1.222 1.241 0.525
03/26/2007 ‐0.208 ‐0.472 0.113 0.213
04/02/2007 0.344 0.168 0.726 0.211
04/09/2007 ‐0.079 ‐0.161 0.243 0.281
04/16/2007 ‐0.046 0.070 0.128 0.244
04/23/2007 ‐0.300 ‐0.092 ‐0.122 ‐0.389
04/30/2007 0.493 ‐0.047 0.318 0.666
05/07/2007 0.494 0.171 ‐0.460 ‐0.067
05/14/2007 ‐0.323 ‐0.308 0.336 0.073
05/21/2007 0.189 0.096 ‐0.668 ‐0.241
05/28/2007 0.800 0.700 0.069 0.282
06/04/2007 0.034 ‐0.286 ‐0.134 ‐0.413
06/11/2007 0.436 0.394 0.736 0.230
06/18/2007 0.568 0.475 0.824 0.670
06/25/2007 ‐0.330 ‐0.074 ‐0.286 ‐0.253
07/02/2007 1.858 ‐0.044 0.885 0.431
07/09/2007 0.336 0.097 0.467 0.158
07/16/2007 0.022 ‐0.170 0.164 0.127
07/23/2007 ‐0.439 ‐1.082 ‐0.495 ‐0.897
61

07/30/2007 ‐0.470 ‐0.340 ‐0.017 ‐0.118
08/06/2007 ‐0.367 ‐0.218 ‐0.291 ‐0.113
08/13/2007 ‐0.990 ‐0.803 ‐0.756 ‐0.621
08/20/2007 1.520 0.824 1.006 0.652
08/27/2007 0.446 0.248 0.462 0.438
09/03/2007 ‐0.037 ‐0.692 ‐0.036 0.244
09/10/2007 ‐0.076 0.000 0.940 0.124
09/17/2007 0.313 0.105 0.381 0.101
09/24/2007 1.979 0.530 0.669 1.129
10/01/2007 0.524 0.442 0.183 0.110
10/08/2007 0.675 0.086 0.552 0.871
10/15/2007 ‐0.673 ‐0.577 0.255 ‐0.170
10/22/2007 0.099 ‐0.289 0.235 ‐0.016
10/29/2007 0.081 0.003 0.020 ‐0.010
11/05/2007 ‐1.222 ‐1.682 ‐0.393 ‐0.274
11/12/2007 ‐0.336 ‐0.297 ‐0.213 ‐0.188
11/19/2007 ‐1.147 ‐0.269 ‐0.310 ‐0.359
11/26/2007 1.154 0.966 0.633 0.463
12/03/2007 0.836 0.330 0.087 0.492
12/10/2007 ‐0.893 ‐0.478 ‐0.431 ‐0.562
12/17/2007 ‐0.344 ‐0.275 0.025 ‐0.408
12/24/2007 0.384 0.048 ‐0.142 0.509
12/31/2007 ‐0.214 ‐0.451 0.061 ‐0.211
01/07/2008 ‐0.592 ‐0.753 ‐0.346 ‐1.203
01/14/2008 ‐0.713 ‐0.181 ‐0.417 ‐0.807
01/21/2008 ‐0.116 ‐0.068 0.022 0.091
01/28/2008 ‐0.046 ‐0.066 ‐0.280 ‐0.023
02/04/2008 ‐0.140 ‐0.249 ‐0.153 ‐0.376
02/11/2008 0.285 0.491 0.224 ‐0.078
02/18/2008 ‐0.156 ‐0.073 ‐0.468 ‐0.085
02/25/2008 0.214 0.074 0.506 0.073
03/03/2008 ‐0.885 ‐0.471 ‐0.791 ‐0.581
03/10/2008 ‐0.678 ‐0.411 ‐0.082 ‐0.098
03/17/2008 ‐0.224 0.161 ‐0.316 ‐0.102
03/24/2008 0.744 0.424 0.748 0.513
03/31/2008 0.498 0.305 0.443 0.823
04/07/2008 0.007 0.024 0.219 ‐1.083
04/14/2008 0.072 0.125 ‐0.198 ‐0.018
04/21/2008 0.891 0.403 1.005 0.329
04/28/2008 0.806 0.264 0.599 0.436
05/05/2008 ‐0.159 ‐0.555 ‐0.824 0.364
62

63
05/12/2008 1.075 1.218 0.506 1.003
05/19/2008 ‐0.724 ‐0.330 ‐0.492 ‐0.698
05/26/2008 0.020 0.215 ‐0.114 ‐0.376
06/02/2008 ‐0.182 0.157 ‐0.087 ‐0.204
06/09/2008 ‐1.223 ‐0.470 ‐0.900 ‐0.440
06/16/2008 ‐0.238 ‐0.023 0.083 ‐0.321
06/23/2008 ‐1.407 ‐0.701 ‐0.630 ‐0.138
06/30/2008 ‐1.295 ‐0.916 ‐0.424 ‐0.426
07/07/2008 ‐0.157 ‐0.243 0.296 ‐0.273
07/14/2008 ‐0.615 ‐0.341 ‐0.117 ‐0.411
07/21/2008 0.524 0.430 0.405 0.216
07/28/2008 ‐0.306 ‐0.249 0.077 ‐0.177
08/04/2008 ‐0.231 0.075 ‐0.690 0.204
08/11/2008 ‐0.117 ‐0.143 ‐0.810 0.003
08/18/2008 ‐0.660 ‐0.448 ‐0.384 ‐0.097
08/25/2008 0.672 0.476 0.386 1.114
09/01/2008 ‐2.899 ‐1.073 ‐1.077 ‐1.065
09/08/2008 ‐0.121 0.006 ‐0.193 0.054
09/15/2008 ‐0.275 ‐0.136 0.017 ‐0.137
09/22/2008 ‐0.161 ‐0.065 ‐0.327 0.170
09/29/2008 ‐0.801 ‐0.910 ‐0.451 ‐0.265
10/06/2008 ‐1.608 ‐1.334 ‐0.695 ‐0.875
10/13/2008 0.048 0.146 ‐0.022 0.032
10/20/2008 ‐0.293 ‐0.404 ‐0.536 ‐0.107
10/27/2008 0.309 0.333 0.227 0.365
11/03/2008 0.215 0.023 0.105 0.087
11/10/2008 ‐0.392 ‐0.047 ‐0.236 ‐0.472
11/17/2008 ‐0.739 ‐0.355 ‐0.425 ‐0.735
11/24/2008 1.161 0.608 0.875 0.590
12/01/2008 ‐0.381 ‐0.463 ‐0.008 ‐0.796
12/08/2008 0.433 0.212 0.248 0.058
12/15/2008 0.537 0.340 0.278 0.503
12/22/2008 ‐0.727 0.217 ‐0.775 ‐0.121
12/29/2008 2.984 0.637 0.490 2.539
REFERENCES
1. Adrangi, B., Chatrath, A., & Shank, T. M. (2002). A comparison of the risk-adjusted
portfolio performance: The dartboard versus professionals and major indices.
American Business Review, 20(1), 82-90.
2. Ambachtsheer, K. P. (1994). Active management that adds value: Reality or illusion

Journal of Portfolio Management, 21(1), 89-92.
3. Ambachtsheer, K. P., & Farrell, Jr., J. L. (1979). Can active management add value
Financial Analysts Journal, 35(6), 39-47.
4. Arnott, R., & Hsu, J. (2008). Noise CAPM and the size and value effects. Journal of
Investment Management, 6(1), 68-78.
5. Arnott, R. (2006, December). Orthodoxy overwrought. Institutional Investor.
6. Arnott, R., Hsu, J., & Moore, P. (2005). Fundamental indexation. Financial Analysts
Journal, 61(2), 83-99.
7. Arnott, R., & Darnell, M. (2003). Active versus passive management: Framing the
decision. Journal of Investing, 12(1), 31.
8. Arugaslan, O., Edwards, E., & Samant A. (2008). Risk-adjusted performance of international
mutual funds. Managerial Finance, 34(1), 5-21.
9. Asness, C. S. (2006, October). The value of fundamental indexing. Institutional
Investor.
10. Asness, C. S. (2005). Rubble logic: What did we learn from the great stock market
bubble Financial Analysts Journal, 61(6), 36-54.
11. Batten, D. G. (2000, October). You can’t eat risk-adjusted returns: Studies critical of
management have examined only the averages, but advisers who dig deeper will
find impressive results. Financial Planning, p. 63-66.
12. Blitz, D., & Swinkels, L. (2008). Fundamental indexation: An active value strategy in
disguise. Journal of Asset Management, 9(4), 264-269.
13. Blitzer, D. M. (2005). Financial innovation and indices: a perspective on financial
innovation. Journal of Applied Finance, 15(1), 35-37.
14. Bloomberg. (2009). World Indexes. Retrieved June 30, 2009 from
http://www.bloomberg.com/markets/stocks/wei.html.
15. Bogle, J. C., & Sullivan, R. N. (2009). Markets in crisis. Financial Analysts Journal, 65(1),
17-24.
16. Bogle, J. C. (2008). Black Monday and black swans. Financial Analysts Journal,
64(2), 30-40.
17. Bogle, J. C. (2002). An index fundamentalist goes back to the drawing board. Journal of
Portfolio Management, 28(3), 31-38.
18. Bogle, J. C. (1998). The implications of style analysts for mutual fund performance
evaluation. Journal of Portfolio Management, 24(4), 34-41.
19. Bogle, J. C. (1997). The first index mutual fund. Retrieved May 26, 2009 from http://
johncbogle.com/speeches/JCB_first_index_mf.pdf
20. Bowen, J. J. (1999, August). Middle ground: Combine the best of passive and active
investment strategies for success. Financial Planning, 1, 149-152.
21. Brinson, G. P. (2005). The future of investment management. Financial Analysts
Journal, 61(4), 24-28.
22. Cai, J., & Houge, T. (2008). Long-Term Impact of Russell 2000 index rebalancing.
Financial Analysts Journal, 64(4), 76-91.
23. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of
Finance, 52(1), 57-82.
24. Cashman, G. D., Deli, D. N., Nardari, F., & Villupuram, S. V. (2006). Investors do respond
to poor mutual fund performance: Evidence from Inflows and Outflows. W. P. Carey
School of Business, Arizona State University working paper.
64

25. Cremers, M., & Petajisto, A. (2007). How active is your fund manager A new measure
that predicts performance. Yale School of Management working paper.
26. Cumby, R. E., & Glen, J. D. (1990). Evaluating the performance of international mutual
funds. The Journal of Finance, 45(2), 497-521.
27. Damato, K. (2001, April 24). Index funds mark 25 years of being average: Portfolios
linked to benchmarks gain favor with investors, but strategy still sparks criticism.
Wall Street Journal, p. 42.
28. Davis, J. L. (2001). Mutual fund performance and manager style. Financial Analysts
Journal, 57(1), 19-28.
29. Edelen, R. M., Evans, R., & Kadlec, G. B. (2007). Scale effects in mutual fund
performance: The role of trading costs. Echo Investment Advisors, LLC working
paper.
30. Ellis, C. D. (1975, July-August). The loser’s game. Financial Analysts Journal, 31,
19-26.
31. Elton, E. J., Gruber, M. J., & Blake, C. (1996). The persistence of risk-adjusted mutual
fund performance. The Journal of Finance, 69, 133-157.
32. Essayyad, M., & Wu, H. K. (1988). The performance of U.S. international mutual funds.
Quarterly Journal of Business and Economics, 27(4), 32-46.
33. Eun, C. S., Kolodny, R., & Resnick, B. G. (1991). U.S.-based international mutual funds: A
performance evaluation. Journal of Portfolio Management, 17(3), 88-94.
34. Fama, E. F. (1991). Efficient capital markets II. The Journal of Finance, 46(5), 1575-1617.
35. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work.
The Journal of Finance, 25(2), 383-417.
36. Flood, E., Jr., & Ramachandran, N. (2000). Integrating active and passive management.
Journal of Portfolio Management, 27(1), 10-19.
37. Fortin, R., & Michelson, S. (2005). Active international mutual fund management; can
managers beat the index Managerial Finance, 31(1), 41-51.
38. Fortin, R., & Michelson, S. (2002). Indexing versus active management. Journal of
Financial Planning, 15(9), 82-94.
39. Fortin, R., & Michelson, S. (1999). Fund indexing vs. active management: The results
are…. Journal of Financial Planning, 12(2), 74-81.
40. Frino, A., & Gallagher, D. R. (2001). Tracking S&P 500 index funds. Journal of
Portfolio Management, 28(1), 44-55.
41. Garcia, C. B., & Gould, J. F. (1991). Some observations on active manager performance
and passive investing. Financial Analysts Journal, 47(6), 11-13..
42. Grinblatt, M., & Titman, S. (1989, July). Mutual fund performance: An analysis of
quarterly portfolio holdings. The Journal of Business, 62(3), 393-416.
43. Grinblatt, M., & Titman, S. (1988). The evaluation of mutual fund performance evaluation:
An analysis of monthly returns. Working paper. Los Angeles: University of California.
44. Grinold, R. C. (1989). The fundamental law of active management. The Journal of
Portfolio Management, 15(3), 30-37.
45. Gruber, M. J. (1996). Another puzzle: The growth in actively managed mutual funds.
The Journal of Finance, 51, 783-810.
46. Hilsenrath, J. E. (2004, Oct 18). Stock characters: As two economists debate markets, the
tide shift; belief in efficient valuation yields ground to role of irrational investors;
65

Mr. Thaler takes on Mr. Fama. Wall Street Journal, A1.
47. Hsu, J. (2006). Cap weighted portfolios are sub-optimal portfolios. Journal of
Investment Management, 4(3), 44-53.
48. Investment Company Institute. (2009a). Trends in Mutual Fund Investing January
2009. Retrieved June 14, 2009 from http://www.ici.org/research/stats/
trends/trends_01_09.
49. Investment Company Institute. (2009b). Investment Company Fact Book. Retrieved
June 14, 2009 from http://www.ici.org/pdf/2009_factbook.pdf.
50. Ippolito, R. A. (1989, Feb). Efficiency with costly information: A study of mutual fund
performance, 1965-1984. The Quarterly Journal of Economics, 104(1), 1-23.
51. Israelsen, C. L. (2002, January). Reconcilable differences: Active versus passive
management doesn’t have to be an either/or proposition. Financial Planning, p. 1.
52. Jensen, M. C. (1968, May). The performance of mutual funds in the period 1945-1964.
The Journal of Finance, 23(2), 389-416.
53. Johnson, M., & Collins, L. A. (2000, Jan). Inscrutable index funds. Journal of
Accountancy, 189(1), 24-31.
54. Jun, D., & Malkiel, B. G. (2007). New paradigms in stock market indexing. European
Financial Management, 14(1), 118-126.
55. Kaplan, P. D. (2008). Why fundamental indexation might-or might not-work. Financial
Analysts Journal, 64(1), 32-39.
56. Keynes, J. M. (1936). The general theory of employment, interest, and money. London:
Macmillan.
57. Kjetsaa, R. (2004). Actively managed equity mutual fund performance relative to
benchmarks. American Business Review, 22(1), 102-112.
58. Larsen, G. A., Jr., & Resnick, B. G. (1998). Empirical insights on indexing. The Journal
of Portfolio Management, 25(1), 51-60.
59. Lehmann, B. N., & Modest, D. M. (1987, June). Mutual fund performance evaluation: A
comparison of benchmarks and benchmark comparisons. The Journal of Finance,
42(2), 233-265.
60. Li, J. (2009). What Now—Active or passive management Examining real alpha and exotic
beta. FundQuest. Retrieved September 7, 2009 from http://www.fundquest.com
/FundQuest%20AP%20White%20Paper%20V7042409%20%20
FundQuest%20Site.pdf
61. Malkiel, B. G. (1999, May 27). Trying to beat the index Don’t bet on it. Wall Street
Journal, p. 6.
62. Malkiel, B. H. (1995). Returns from investing in equity mutual funds 1971-1995.
The Journal of Finance, 50(2), 549-572.
63. Markowitz, H. M. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
64. Miller, M. (2006). Active versus passive investing: Evidence from 1995-2002 market
cycle. Retrieved from Dissertations and Theses database. (AAT 3205544)
65. Miller, R. M. (2007). Measuring the true cost of active management by mutual funds.
Journal of Investment Management, 5(1), 29-49.
66. Nocera, J. (2008, May 17). Passions run high on indexing. The New York Times.
Retrieved June 14, 2009 from http://www.nytimes.com/2008/05/17/business/
17nocera.html_r=1
67.Perold, A. F. (2007). Fundamental Flawed Indexing. Financial Analysts Journal,
66

63(6), 31-37.
68. Reilly, F. K., & Brown, K. C. (2009). Investment Analysis & Portfolio Management
9th ed. Mason: Thomson South-Western.
69. Rosella, M. R., & Pugliese, D. (2006). The evolution of the exchange-traded fund: is
active management on the horizon Journal of Investment Compliance,
7(3), 44-50.
70. Samuelson, P. A. (1974, Fall). Challenge to judgment. Journal of Portfolio Management,
1(1), 17-19.
71. Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Sloan
Management Review, 6(2), 41-49.
72. Shankar, S. G. (2007). Active versus passive index management: A performance comparison
of the S&P and the Russell Indexes. Journal of Investing, 16(2), 85-95.
73. Sharpe, W. F. (1994). The Sharpe Ratio. The Journal of Portfolio Management, 21(1),
49-59.
74. Sharpe, W. F. (1991). The arithmetic of active management. Financial Analysts Journal,
47(1), 7-9.
75. Sharpe, W. F. (1966). Mutual fund performance. The Journal of Business, 39(1), 119-138.
76. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under
conditions of risk. The Journal of Finance, 19(3), 425-442.
77. Sharpe, W. F. (1963). A simplified model for portfolio analysis. Management Science,
9(2), 277-293.
78. Shukla, R. (2004). The value of active portfolio management. Journal of Economics and
Business, 56, 331-346.
79. Siegel, J. (2006, June 14). The noisy market hypothesis. Wall Street Journal, A14.
80. Taleb, N. N. (2007). The Black Swan: The Impact of the Highly Improbable. New York:
Random House.
81. Tobin, J. (1958). Liquidity preference as behavior towards risk. The Review of Economic
Studies, 25(2), 65-86.
82. Treynor, J. L. (2005). Why market-valuation-indifferent indexing works. Financial
Analysts Journal, 61(5), 65-69.
83. Treynor, J. L., & Black, F. (1973). How to use security analysis to improve portfolio
selection. The Journal of Business, 46(1), 66-85.
84. Treynor, J. L. (1965). How to rate management of mutual funds. Harvard Business
Review, 43(1), 63-75.
67