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Performance Analytics

Compass provides
users with enormous flexibility in depicting and analyzing historical
returns. In addition to the multiple reporting capabilities shown in
the highlighted section of the Performance Analysis menu below, Compass
offers a diverse and highly flexible complement of reports that can be
generated using selected managers and indexes.

The Periodic graph depicts manager and index returns over
various
time intervals (e.g. monthly, quarterly, annually, three-year) on an absolute
or excess basis. The
graph below shows
that the selected manager has outperformed the Wilshire Small Growth Index in
seven of the past twelve months.
Manager and
index returns can also be analyzed on a cumulative basis over
user-specified time periods. The graph below shows
the manager out-performed the index over the
trailing quarter, one-, three-, and five-year periods.

The Combination
analytic combines the Periodic and Growth of a Dollar analytics into a single
graph. The scale on the left y-axis pertains to the periodic bar
graph and represents absolute (or excess) returns. The scale on the right
y-axis pertains to the cumulative line graph and represents cumulative
returns. The graph below presents the manager's cumulative and monthly excess returns over the past
five years.

Since results
from periodic and cumulative analysis are very end-date sensitive, it
is beneficial to evaluate returns and key risk statistics such as
standard deviation and correlation on a rolling basis in order to
identify trends in manager performance or risk levels.
The Rolling
Return graph plots manager and index returns on a rolling basis over
a specified time period. The user has the ability to select the
number of months to serve as the rolling interval (e.g. 12 months, 36 months,
60 months, etc.) as well as the time
period for the analysis. In the graph below, rolling three-year
returns for manager and the index are plotted over
the past five years.
The Rolling Risk
graph identifies changes in the volatility of a manager's absolute or
excess returns over time. Users have the ability to choose one of
three risk options: standard deviation, downside risk, or target
shortfall. Reviewing trends in a manager's excess risk help
identify
changes in the level of active management risk or tracking error, and
may signal important changes in the manager's investment process.
According to the graph below, from the mid-2000s, the manager has reduced
their level of active management risk until mid-2008 when active management risk
increased dramitically to a current level about 50 basis points higher than
in previous periods.

The Rolling
Correlation graph can be used to view changes in the correlation of
absolute or excess returns between two managers or a single manager
and an index. This analytic is especially useful in manager team
analysis since it allows users to ascertain whether existing managers
are complementary; complementary managers are defined as those whose
excess returns exhibit low correlation with one another.
The graph below
examines the correlation of excess returns between Mellon Capital and CS McKee's Large
Cap equity products.
The graph illustrates that Mellon Capital's
excess returns (relative to the Wilshire U.S. Large Value Index) have a modest
amount of correlation (in a rage of about 0.25 to 0.55) with CS McKee's excess returns.

The Risk/Return
analytic allows users to plot risk and return, in either absolute or excess
space, for multiple mangers and
indexes over a single time period. This analytic provides insights
into the risk and return trade-off offered by various managers and
passive indices.

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