A Guide To Performance & Risk Analytics Reports · 1 As one of the world’s largest providers of...

A Guide To Performance & Risk Analytics Reports

1

As one of the world’s largest providers of Performance & Risk Analytics tools for asset owners, asset

managers and consultants, we have a long history of providing innovative and integrated solutions to

our clients. The breadth and depth of our data, in combination with the clarity of our reporting, helps

you to compare, analyze and understand your investment decisions.

All of the investment data in the world is of little value unless it can be accessed and shared in an

efficient way. Our reporting capabilities are integrated within Workbench, our web-based information

delivery product, to provide sophisticated tools with scheduling and output distribution features for

monitoring, organizing and presenting investment information.

About Performance & Risk Analytics

Table of ContentsExecutive Summary Custom Reports page 4

Performance Measurement Reports page 5

Performance Attribution Reports page 10

Risk and Analytics Reports page 16

Compliance Reports page 24

Peer Groups Reports page 26

Executive Summary Custom ReportsThrough Workbench, you have the ability to automatically

extract reports, charts, graphs and tables to create fully

customized reports. These reports display key business

metrics and allow you to easily analyze your account

data in a format that is most meaningful to you. Data can

be automatically distributed and linked into third party

reporting packages, allowing for ultimate flexibility and

automation. These reports can incorporate performance

returns, universes, indexes and investment analytics to

help you analyze the performance and structure of your

investment fund’s assets.

Performance Measurement BNY Mellon Asset Servicing is one of the world’s largest

providers of performance measurement calculation

services, enabling you to quantify “how” you have

performed over single or extended time periods. From

the total fund, to individual security level, our goal is

to calculate returns, across all asset classes that are

timely and accurate, using industry best practices. We

also provide an extensive range of standard or custom

benchmarks that can be used for comparison purposes in

addition to information on thousands of market indices.

• Theperformancereturnswecalculatearebroadly

consistent with the CFA Institute’s Global Investment

Performance Standards (GIPS®).

• Measurementfromthetotalfundtosecuritylevel.

• Dailyandmonthlyperformancemeasurement.

• Non-LaggedperformanceforAlternativeInvestments.

• CompositeManagementServicesupporting

GIPS® Standards.

Performance Attribution Our performance attribution offering takes your analysis

to another level, identifying the sources of return when

compared to a benchmark.

Key questions that attribution can answer include:

• Whereandhowhaveyourportfoliosoutperformed

or underperformed the market?

• Did investment decisions contribute or detract from the returns?

• Areyouradvisorsconsistentlyaddingvalue?

• Are those sources of value consistent with your expectations?

Our transaction-based attribution analysis can be performed

on both domestic, single currency accounts as well as

international, multi-currency accounts. Our flexible

attribution approach can be matched to the decision

making process for meaningful insight, including:

• Industry-LeadingAttributionMethodology

• StandardAndCustomBenchmarks

• FlexibleAnalysisStructures

• Multi-PeriodAnalysis

Risk and Analytics We provide a range of reporting solutions that help you

monitor and manage risk across your investment process.

Our combined risk offering includes ex-post risk statistics,

exposure and account structure analytics, ex-ante risk

analysis, Value-at-Risk, and complex scenario analysis.

Ex-Post Risk Statistics• To help you evaluate a manager’s risk/return proposition

we offer a number of ex-post risk statistics such as

Sharpe, Treynor, R-Squared, Alpha, Beta, Sortino,

Information Ratio and Tracking Error, calculated

using the account’s historical returns.

Exposure and Account Structure Analytics• Our dynamic reports use portfolio holdings to analyze

overall account exposures to a comprehensive range of

characteristics, asset classes, geographies and sectors.

– Equity characteristics include fundamental beta,

measures of historical and projected growth, earnings,

dividends, P/E ratios (absolute and relative), quality,

indicators of over- and under-valuation and

methodologies to support long-short analysis.

2

Report Categories

3

– Fixed Income characteristics include yields,

durations, quality ratings, sectors, and call

provisions on fixed income and derivative

instruments.

Advanced Analytics• Tocomplementourcorecapabilities,wehavea

strategic alliance with Wilshire Associates to provide

multi-factor attribution and ex-ante (or forward

looking) risk analysis on both equity and fixed income

instruments. Ex-ante risk measures include factor,

account and benchmark risks, contribution to and

marginal tracking errors.

Advanced Risk Analysis• Through our strategic relationship with Investor

Analytics, we also provide enterprise-wide Value-

at-Risk calculations and scenario analysis, including

stress testing. These models are available across all

asset types, identifying potential account losses over

a specified time horizon as well as the impacts of

recent and historical market events.

Compliance Compliance Monitoring is an essential component of the

risk management and investment oversight processes.

Our solution is a post-trade, rules-based compliance

tracking tool designed to provide a consistent approach

to monitoring investment policy goals and guidelines.

Monitoring can take place on an absolute basis with

specified thresholds or relative to industry benchmarks,

empowering you with in-depth analysis of your managers’

investment activities.

• Monitoragainstestablishedconstraintswithin

your account.

• Reviewexposuretocategoriesofinvestmentsor

asset types on an absolute or relative basis.

• Manageaccountswithenvironmental,social,and

governance investment criteria.

Investment policy goals and guidelines can be

tracked using a variety of rule categories including:

Asset Allocation, Country/Currency Exposure, Account

LevelAnalysis(Equity&FixedIncome),SectorLevel

Analysis(Equity&FixedIncome),HoldingsLevelAnalysis,

Holdingsvs.BenchmarkTransactionsandLiquidity.

Peer Groups Many investors want to know how they have performed

not only against an index, but against other investors with

a similar investment objective. Peer Group comparisons

allow you to answer the question: How did I do against

everyone else?

We provide an extensive range of performance and

characteristic peer group universes to allow comparisons

at multiple levels including total fund, asset class and

individual manager. Access to comprehensive coverage,

including performance returns, risk measures and account

characteristics are available.

• Over1,100universesareavailable,including:

– BNY Mellon Master Trust Universes are the premier

fund level comparison available in the market today,

allowing you to compare performance and asset

allocation. The US and Canada Trust Universes

are comprised of approximately 600 and 100

plans respectively.

– Investment Manager Universes focus on individual

asset class and mandates including alternative

investment strategies.

– Other third party universe information is available

including separate account universes.

Report Categories, continued

4

• Workbenchallowsyoutocustomizereportsbasedon

the broad range of performance and risk information

available. You can choose the content and layout of

each summary and can have the data distributed

automatically from the Workbench website and linked

directly into a number of reporting formats, including

Microsoft Office PowerPoint and Excel.

• The executive summary is focused on the Total Fund,

and this example displays performance, risk, holdings,

and peer comparison reports. The performance chart

compares the Total Fund to the policy benchmark

over extended time periods. Plotted against the BNY

Mellon Total Master Trust Fund Universe, the fund is

generally at or above the universe mean and is in the

top quartile for the five-year return. The ellipse chart

shows that the Total Fund returns have exhibited a

lower standard deviation than the policy and universe

mean returns, while still achieving a greater five-year

return. The Total Fund’s top 10 positions account for

20% of its value.

Executive Summary Custom Reports

Fund and Policy Performance ChartEnding June 30, 20XX

Comparison

Ann

Ret

urn

Total Plan Total Fund Benchmark

-20.00

-15.00

-10.00

-5.00

0.00

5.00

10.00

15.00

June 20XX Qtr ending Jun XX Year To Date 1 Year 3 Years 5 Years 10 Years Since 1/1/19XX

0.11

13.76

6.10

-16.30

-2.06

3.472.88

9.63

0.27

8.38

2.17

-16.35

-0.53

4.79 5.18

10.25

Master Trust Funds – Total Fund (USD) – Monthly5 Years As of June 30, 20XX

Ellipse

Ann

Ret

urn

68% C

overage

Total Plan� Total Fund Benchmark� � Master Trust Funds – Total Fund

-1.00

0.00

1.00

2.00

3.00

4.00

5.00

6.00

6.00 7.50 9.00 10.50 12.00 13.50 15.00

Ann Std Dev

�

�

�

Universe Source: BNY Mellon; Universe Status: Final

Master Trust Funds – Total Fund (USD) – MonthlyAs of June 30, 20XX

Quartile

Ann

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urn

Total Fund Benchmark� Total Plan�

-30.00

-20.00

-10.00

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10.00

20.00

June 20XX Qtr ending Jun XX 1 Year 3 Years 5 Years

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5/95

Holding MV % of Portfolio

PIMCO STOCKPLUS L P 47,632,094 5.79

HARBOURVEST PARTNERS 2004 21,013,277 2.55

HIGHBRIDGE FIXED OPP 18,146,438 2.21

BRYNWOOD PARTNERS V LP 16,105,491 1.96

U S TREAS BD STRIP PRIN PMT 13,766,986 1.67

U S TREAS BD STRIP PRIN PMT 10,653,367 1.30

U S TREASURY BILL 9,995,640 1.22



HARBOURVEST PARTNERS IV-PSHIP 8,625,928 1.05

Total 165,901,573 20.17

Top 10 Positions

Fund Overview

• TheTotalPerformanceSummaryreportenablesyouto

view key performance information for your accounts

(i.e., portfolios) and consolidations (i.e.,composites or

groups of accounts). Absolute or benchmark relative

performance can be reported, including custom and

market indices. Consolidations can be exploded to

allow for data on all underlying accounts to be reported.

You have the flexibility to choose which accounts are

included, how the benchmarks are reported and how

relative performance is displayed. You can also choose

the type of return (such as Gross or Net of Fees). You

can also choose from over 30 available data fields

(time periods, market values, standard deviations,

etc.) to tailor the report for your individual needs.

• ThissamplereportdisplaystheGrossofFeeextended

time period returns for the Total Fund, the custom

benchmark and the excess return relative to the

benchmark.Lookingatthe5-yearreturns,the

Total Fund has outperformed the benchmark.

However, it is trailing the benchmark in the more

recent time periods.

5

Performance MeasurementTotal Performance Summary How did your Total Fund perform, on both an absolute and benchmark relative basis?

Total Performance SummaryTOTAL GROSS OF FEES

06/30/20XX

Report ID:Reporting Currency:

Source: BNY Mellon

USD

Group Label Account Name Benchmark Name

Account Number Benchmark Number

MarketValue (M)

$

% of Total

Month

Quarter

Fiscal YTD

1 Year

3 Years

5 Years

Annualized

InceptionDate

Total Plan 824.08 100.00 0.27 8.38 2.17 -16.35 -0.53 4.79 7/31/1981Total Fund Benchmark 0.11 13.76 6.10 -16.30 -2.06 3.47 7/31/1981

Excess Return 0.15 -5.38 -3.93 -0.05 1.54 1.32 7/31/1981

Total Large Cap US EquityPimco Stocks Plus 48.16 5.84 1.10 22.64 10.11 -26.09 -8.09 -2.26 12/31/1994S&P 500 - Total Return Index IX1F00079488 0.20 15.93 -26.21 -8.22 -2.24 12/31/1994

Excess Return 0.90 6.72 0.13 0.14 -0.02 12/31/1994Franklin Portfolio Associates 12.32 1.49 0.78 14.40 -2.38 -33.39 -13.05 -3.15 10/31/2003S&P 500 - Total Return Index IX1F00079488 0.20 15.93 -26.21 -8.22 -2.24 10/31/2003

Excess Return 0.59 -1.53 -7.18 -4.83 -0.91 10/31/2003

Total Mid Cap US EquityLA Capital Midcap Growth 16.34 1.98 -0.07 18.55 14.21 -28.78 -6.42 1.48 7/31/2004Russell Midcap Growth Index IX1F00056628 0.46 20.67 -30.33 -7.93 -0.44 7/31/2004

Excess Return -0.54 -2.12 1.55 1.50 1.92 7/31/2004Systematic Midcap Value 16.59 2.01 0.60 12.93 6.64 -27.66 -4.83 4.55 7/31/2004Russell Midcap Growth Index IX1F00056628 0.46 20.67 -30.33 -7.93 -0.44 7/31/2004

Excess Return 0.13 -7.74 2.67 3.10 4.99 7/31/2004

Total Small Cap US EquityPier Capital Sm Cap 8.89 1.08 3.65 20.52 12.62 -21.63 -3.87 3.87 12/31/1991Russell 2000 Growth Index IX1F00039058 3.24 23.38 -24.85 -7.83 -1.32 12/31/1991

Excess Return 0.41 -2.86 3.22 3.97 5.20 12/31/1991Clifton Group Overlay 6.58 0.80 -0.15 17.81 -4.83 9/30/2008Russell 2000 Value Index IX1F00039298 -0.32 18.00 9/30/2008

Excess Return 0.17 -0.19 9/30/2008

Non-US Equity - HedgedMarathon 108.61 13.18 0.60 26.20 10.22 -25.01 -2.70 6.66 6/30/1989Marathon Index -1.04 25.86 9.32 -31.62 -7.46 3.34 6/30/1989

Excess Return 1.64 0.34 0.90 6.61 4.76 3.31 6/30/1989Cap Guard International 30.95 3.76 -2.02 20.19 5.96 -31.79 -7.71 2.39 12/31/1994Mercury 27.24 3.31 -1.32 31.24 20.42 -31.79 -3.93 7.45 9/30/1992Acadian Completeness Fund 30.14 3.66 1.24 28.36 15.64 -37.46 -12.10 12/31/2005Acadian CompletenessBenchmark

0.60 27.21 12.26 -25.24 -8.16 12/31/2005

• The Performance Summary by Asset report allows for

a more granular understanding of performance by

expanding the levels of analysis to include asset class

and sector level returns of the account in addition to

the total. The levels of analysis and time periods are

selected when you run the report. The report can also

be displayed graphically.

• InthissamplereportforaUSEquitymanager,the

report includes sector level information based on

the S&P sector scheme. At a total level, the report

tells us that the equity manager is beating its market

benchmark for all time periods with the exception of

the most recent month. Reviewing the sector detail

over the extended time periods, we can identify that

the Consumer Discretionary sector has consistently

outperformed the benchmark.

6

Performance Measurement, continued

Performance Summary by AssetWhere did your account over- or out- perform the benchmark? Which asset classes had the best, and worst, performance?

Performance Summary by AssetRates of Return Currency:

Status:

Period Ending April 30, 20XXUSDFinal

TOTAL 14.49 13.28 1.18 6.98 -24.04 -11.65 -7.59 2.55 3.53 -0.97 -37.84R2000G Composite Sec SP 15.05 12.40 -3.77 3.85 -30.35 -19.38 -12.10 -1.93 -1.67 -4.21 -38.53 EQUITY 15.14 13.87 0.75 6.94 -25.75 -12.74 -8.45 2.18 3.21 -1.72 -39.93 US EQUITY 15.75 14.34 0.97 7.19 -24.97 -12.56 -8.57 2.36 3.59 -1.58 -39.46 Financials 17.97 8.56 -19.79 -13.63 -43.46 -28.80 -21.05 -2.72 -2.61 1.61 -38.56 R2000G Financials Sec SP 15.66 14.45 -8.51 -2.19 -27.42 -20.46 -12.80 -3.97 -2.15 4.02 -28.14 Health Care -4.42 -16.39 -16.31 -17.33 -30.16 -9.68 -7.64 2.39 8.85 3.76 -23.49 R2000G Health Care Sec SP 3.69 -3.16 -10.01 -6.52 -24.82 -15.60 -9.92 -1.67 -2.62 -4.80 -30.57 R2000G Utilities Sec SP 5.35 5.38 8.77 0.27 -29.52 -3.57 8.44 14.80 11.83 9.00 -32.37 Consumer Discretionary 24.83 39.12 30.08 32.42 -8.35 -2.36 -0.12 9.20 7.42 9.93 -30.97 R2000G Cons Discr Sec SP 23.71 33.14 11.54 22.26 -26.01 -21.14 -12.81 -5.51 -3.75 1.43 -45.02 Consumer Staples 19.11 67.24 52.71 66.72 16.59 -14.63 2.16 10.51 --- --- -53.51 R2000G Cons Staple Sec SP 12.40 11.41 -2.42 3.14 -9.83 -7.11 1.69 5.70 5.67 7.74 -17.01 Energy 14.48 -46.53 -65.88 -51.59 -83.02 -57.48 --- --- --- --- -64.04 R2000G Energy Sec SP 20.85 4.04 -24.72 -3.01 -57.03 -28.61 -19.30 -2.24 5.27 4.83 -50.97 Information Technology 20.10 20.12 -6.35 17.37 -40.37 -27.80 -20.48 -10.27 -12.17 -17.53 -62.10 R2000G Info Tech Sec SP 16.56 25.14 8.56 18.02 -23.01 -18.32 -11.89 -0.99 -3.45 -12.75 -43.93 Materials 35.65 23.86 16.11 21.53 --- --- --- --- --- --- --- R2000G Materials Sec SP 20.80 19.70 -8.82 2.20 -37.97 -21.38 -10.87 3.48 5.55 6.96 -47.10 Telecomm Services -20.05 -22.57 --- -46.47 --- --- --- --- --- --- --- R2000G Telecom Sec SP 5.09 7.49 10.90 1.87 -40.02 -25.00 -16.66 -5.07 -2.41 -15.90 -48.91 Industrials 12.74 11.36 -7.60 -4.83 -27.91 -14.90 -8.58 6.31 9.52 5.81 -38.64 R2000G Industrials Sec SP 22.28 8.33 -10.93 -5.33 -35.05 -19.37 -12.41 -0.57 1.31 1.32 -33.42 NON-US EQUITY -0.84 1.24 -4.49 0.56 -51.78 -25.60 -15.38 -9.23 -10.92 -8.92 -57.35 CASH & TEMPORARY 0.01 0.03 0.18 0.05 1.20 2.84 3.65 3.73 3.34 3.87 2.20

Inception To Date (ITD) is December 1991.Policy Benchmark is R2000G Composite Sec SP. Source: BNY Mellon

Trailing Annualised Calendar20081 Mo 3 Mos 6 Mos YTD 1 Yr 2 Yrs 3 Yrs 4 Yrs 5 Yrs ITD

• TheDailySecurityLevelPerformancereportprovides

detailed insight into your daily performance. The report

displays both Daily and Week-to-Date rates of return

along with market value down to the security level. It

also includes benchmark relative data at both the total

account and constituent levels. In addition to periodic

returns, the report includes contribution to return (i.e.,

the return multiplied by the weight in the portfolio) for

accounts and consolidations at the security level and

grouped levels by Country within Asset Class. This

report has a drill down capability that allows you

to access your account information efficiently.

• Withinthissamplereport,atthetotallevel,the

account’s performance is in line with the benchmark.

The portfolio’s fixed income allocation is mostly

government and corporate domestic bonds, with a

small position in Treasury Inflation Protected Securities.

The detail also reveals that the portfolio contains many

positions from the same issuer.

7


Daily Security Level PerformanceOn a daily basis, which individual securities had the best, and worst, performance? Which securities contributed the most, and least, to the total performance?

Daily Security Level Performance

07/30/20XX

Report ID:Base Currency:

Status:Inception:

Policy Benchmark is IX1F00003427 – Merrill Lynch Government Agency 5+ Years Index Source: BNY Mellon

USDFinal07/31/2001

Security ID Security Name Portfolio Portfolio Policy VarianceDaily

Weight CTR Portfolio PolicyWeek To Date

WeightMarketValue

FIXED INCOME US BONDS GOVERNMENT>>> >>>>>>TOTAL

FIXED INCOME 8,369,967,504 0.28 99.97 0.28 0.36 99.99

US BONDS 8,230,695,723 0.27 98.32 0.27 0.35 98.33

GOVERNMENT 8,202,270,474 0.27 97.98 0.27 0.35 97.99

3128X2TM7 FREDDIE MAC NOTE 91,926,896 0.06 1.10 0.00 - 0.16 1.13

3128X23A1 FREDDIE MAC NOTE 27,009,350 0.05 0.32 0.00 - 0.21 0.32

3128X3L76 FREDDIE MAC MED TERM NOTE 104,192,517 0.06 1.25 0.00 - 0.29 1.25

3128X33E1 FREDDIE MAC MED TERM NOTE 32,625,522 0.06 0.39 0.00 - 0.29 0.39

3128X4BE0 FREDDIE MAC NOTE 15,088,928 0.09 0.18 0.00 1.37 0.18

3128X4UZ2 FREDDIE MAC SR NOTE 40,402,280 0.51 0.48 0.00 2.06 0.47

3128X4W72 FREDDIE MAC NOTE 15,914,035 0.05 0.19 0.00 0.51 0.19

3128X5KS6 FREDDIE MAC NOTE 32,114,175 0.07 0.38 0.00 0.52 0.38

3133XASA6 FEDERAL HOME LOAN BANK BOND 43,174,320 0.06 0.52 0.00 - 0.25 0.52

3133XCUS0 FEDERAL HOME LOAN BANK BOND 21,494,344 0.08 0.26 0.00 - 0.25 0.26

3133XDTL5 FEDERAL HOME LOAN BANK BOND 96,969,200 0.11 1.16 0.00 - 0.15 1.16

3133XFJF4 FEDERAL HOME LOAN BANK BOND 55,876,065 0.16 0.67 0.00 0.03 0.67

3133XGAY0 FEDERAL HOME LOAN BANK BOND 51,416,272 0.87 0.61 0.01 0.49 0.61

3133XHK68 FEDERAL HOME LOAN BANK BOND 64,198,190 0.19 0.77 0.00 0.13 0.77

3133XL4N0 FEDERAL HOME LOAN BANK BOND 30,959,227 0.21 0.37 0.00 0.13 0.37

3133XRFZ8 FEDERAL HOME LN BK BOND 21,041,941 0.17 0.25 0.00 0.14 0.25

3133X0PF0 FEDERAL HOME LOAN BANK BOND 21,849,834 0.16 0.26 0.00 - 1.61 0.27

3133X7FK5 FEDERAL HOME LOAN BANK BOND 33,236,725 0.06 0.40 0.00 - 0.18 0.40

31331VGU4 FEDERAL FARM CR BK NOTE 41,622,077 0.08 0.50 0.00 - 0.27 0.50

31331V2U9 FEDERAL FARM CREDIT BANK 70,715,797 - 0.11 0.85 - 0.00 - 0.24 0.85

31331XLG5 FEDERAL FARM CREDIT BANK 26,374,946 - 0.14 0.32 - 0.00 - 0.04 0.32

31331YEH9 FEDERAL FARM CREDIT BANK 26,151,506 0.73 0.31 0.00 1.09 0.31

3134A4AA2 FREDDIE MAC DEB 76,353,060 0.75 0.91 0.01 1.40 0.90

3134A4KX1 FREDDIE MAC MED TERM NOTE 130,470,536 0.80 1.55 0.01 1.49 1.54

3134A4UU6 FREDDIE MAC NOTE 54,769,811 0.06 0.66 0.00 - 0.29 0.66

3134A4VC5 FREDDIE MAC NOTE 110,521,991 0.07 1.32 0.00 - 0.29 1.33

3134A4VG6 FREDDIE MAC MED TERM NOTE 123,833,827 0.10 1.48 0.00 - 0.22 1.49

8

• TheGrowthofaUnitchartdisplaysthechangeinvalue

of a unit, such as a dollar, for one or more accounts

and/or indices over a selected time period. The chart

reflects the increase or decrease of the value for each

component based on historical monthly or quarterly

rates of return. The unit value approach easily identifies

investment gains or losses over the period of analysis.

• ThissamplereportcomparestheTotalFundandits

policy benchmark to four market indices and shows

how an initial dollar investment would have grown

over the 3-year period. Over this period only two

indices, representing fixed income and emerging

markets, saw cumulative growth. All others lost value.


Growth of a Unit ValueIf you invested $1 three years ago, how would it have grown, or declined in value? Can you graphically demonstrate that change versus a benchmark?

Growth of a Unit Value3 Years Ending May 31, 20XX

Total Plan Total Fund Benchmark Russell 3000 Index

Barclays Capital Aggregate Bond Index MSCI EAFE Index MSCI Emerging Markets (EM) Composite

0.500.52

0.56

0.64

0.80

1.12

1.76

Cum

Ret

urn

2006 2007 2008 2009

1.11

0.80

1.20

0.77

0.940.98

9

• TheValueAddedchartdisplaysthevalueaddedof

an account against the selected benchmark. The

value added for each period is plotted to show how an

account has out- or under-performed for each observed

period. The chart also plots cumulative and annualized

value added so that you can see this information as

the available performance history builds. A since

inception value added can also be displayed with

a single observation to see whether an account or

consolidation has out- or under-performed from its

initiation date.

• Withinthissamplereport,thevalueaddedforeach

time period is plotted across the bottom of the chart,

and shows periods of both out- and under-performance

(represented by the blue bars). Despite periods of

under-performance, both cumulative and annualized

measures show the account is adding value over

the longer term.


Value AddedHow can you show that my investment added value over a longer time period, even though many of the short-term periodic returns may be negative during that time?

XYZ Sm Cap5 Years Ending May 31, 20XX

Value Added

Annualized since 200406� Cumulative Value Added Annualized Value Added� Value Added

-10.00

0.00

10.00

20.00

30.00

40.00

2004 2005 2006 2007 2008 2009

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Market Proxy: Russell 1000 Index

10

• The Manager Contribution to Return report quantifies

the sources of the return from all managers within the

consolidation. You can group managers into defined

asset classes or styles. The contribution to return

from each of these groups is reported on either a

Gross or Net of Fees basis and can help identify the

specific asset class, style, and underlying managers

that contributed or detracted from your Total Fund or

consolidation specific return.

• WithinthisManagerContributiontoReturnreport,we

can see that for the prior month-end the Non-US Equity

asset class has the greatest contribution to the Total

Fund return as well as the largest contributing manager.

Conversely, for the same time period, Private Equity

was the largest detractor from the overall return.

Performance AttributionManager Contribution to ReturnWhich individual managers contributed the most, and the least, to the overall performance of the Total Fund?

Manager Contribution to Return ReportTOTAL GROSS OF FEES

Report ID:Reporting Currency:

1 Month Ending April 30, 20XX

Source: BNY Mellon*Account held only for a portion of the reporting period. Zero returns substituted for periods not invested.

USD

TOTAL 775,571,951 802,356,367 100.00 4.26 4.26

Total Large Cap US Equity 50,034,239 55,465,516 6.47 10.86 0.70Pimco Stocks Plus 39,265,319 44,050,214 5.08 12.19 0.62Franklin Portfolio Associates 10,768,916 11,415,302 1.39 6.00 0.08Nippon Long/Short Account 4 0 0.00 -3.76 0.00

Total Mid Cap US Equity 28,466,549 31,632,079 3.68 11.12 0.41LA Capital Midcap Growth 13,779,716 15,659,072 1.78 13.64 0.24Systematic Midcap Value 14,686,833 15,973,007 1.90 8.76 0.17

Total Small Cap US Equity 12,964,631 14,886,301 1.68 14.82 0.25Pier Capital Sm Cap 7,378,519 8,447,466 0.95 14.49 0.14Clifton Group Overlay 5,586,113 6,438,835 0.72 15.27 0.11

Non-US Equity - Hedged 154,321,103 174,022,087 19.97 12.77 2.55Marathon 86,066,740 97,184,912 11.14 12.92 1.44Mercury 20,759,040 24,524,303 2.69 18.14 0.49Acadian Completeness Fund 23,483,873 26,812,468 3.04 14.17 0.43Cap Guard International 25,753,541 28,228,837 3.33 9.61 0.32Pareto Partners -1,742,090 -2,728,434 -0.23 56.62 -0.13

Total Emerging Markets 23,420,626 27,265,132 3.03 16.42 0.50OFITC Emerging Markets Equity 11,957,491 14,096,173 1.55 17.89 0.28Cap Int'l Emerging Mkt 11,463,135 13,168,959 1.48 14.88 0.22

Total Fixed Income 318,929,903 318,108,679 41.06 0.73 0.30Dodge & Cox Fixed Income 132,974,304 137,534,709 17.21 3.43 0.59Pimco Fixed Income 83,365,899 84,792,573 10.79 1.71 0.18Highbridge Fixed Opp 20,915,671 18,146,438 2.50 1.89 0.05Hillswick Fixed Income 81,674,030 77,634,959 10.57 -4.95 -0.52

Cash Reserves 10,429,560 13,820,709 1.24 0.01 0.00Checking Account 10,429,560 13,820,709 1.24 0.01 0.00

Total Private Asset Portfolio 118,372,129 112,313,723 15.30 -4.80 -0.74Crossroads Lp 42,585 42,964 0.01 0.89 0.00B III Capital Ptrs 53,899 53,899 0.01 0.00 0.00GE Private II LP 66,000 66,000 0.01 0.00 0.00OCM OPP Fund VIIB 4,780,189 4,780,189 0.62 0.00 0.00

Account Name Account IDBeginning

Market Value Ending

Market Value Weight Return Contribution

11

• TheSecurityLevelPerformanceReportbyAnalytic

provides insight into which positions are adding to

or detracting from returns based on various analytic

indicators. A range of both equity and fixed income

analytics are available for grouping and analysis. You

can select the reporting time period for analysis and

modify the report view to sort by return, contribution

or weight. Three different versions of the report are

available including a Summary, Top/Bottom X Report

and Detail. The Summary report includes both

graphical and tabular information of weight, return

and contribution by breakpoint for each selected

fundamental. The Top/Bottom report provides

information on the greatest contributors and detractors

to performance. The Detail report shows which positions

fall within each breakpoint grouping and the corresponding

performance, contribution and analytic information.

• Inthissummaryexample,bondswithintermediate

durations, both modified and effective, are the largest

contributors to the overall account return. The account’s

largest allocation by yield to maturity is the high yield

positions which are the largest contributing breakpoint

by YTM. The top ten positions have a return well

above that of the account and are intermediate to

long duration positions.

Performance Attribution, continued

Security Level Performance Report by AnalyticDo you have securities in your account that, for a given characteristic, contribute a higher, or lower, return? For example, are my equities with higher P/E ratios contributing more, or less, to the overall performance?

Security Level Performance Report by AnalyticTop/Bottom 10 Stocks Currency:

Status:

1 Month Ending June 30, 20XXUSDFinal

Source: BNY Mellon

Begin MarketValue

Millions

Category Security ID Security Description End MarketValue

Millions

Weight%

Return%

Contribu-tion %

EffectiveDuration

MotifiedDuration

Moody’sCreditRating

Yield ToMaturity

TOTAL FUND 140.98 143.08 100.00 1.49 1.49 TOP 10 3.27 3.29 2.17 16.29 0.35

78442FEH7 SLM CORP SR MED TERM NOTE 0.76 0.90 0.52 25.31 0.13 6.02 5.89 BA1 10.92026874BU0 AMERICAN INTL GROUP SER 144A 0.35 0.00 0.12 19.39 0.05 5.23 4.98 A3 17.52655855FA7 NORFOLK SOUTHERN RAILWAY CO NOTE 0.35 0.39 0.24 14.11 0.03 7.15 7.20 BAA1 6.27743862AA2 PROVIDENT COS INC SR NOTE 0.15 0.17 0.11 13.73 0.01 7.94 8.03 BA1 11.55743862AD6 PROVIDENT COMPANIES INC SR NOTE 0.16 0.19 0.12 13.54 0.02 6.10 5.98 BA1 10.52655664AH3 NORDSTROM INC DEB 0.26 0.29 0.19 12.40 0.02 9.25 9.42 BAA2 8.57903192AA0 UNUM GROUP SR NOTE 0.07 0.07 0.05 12.14 0.01 8.55 8.67 BA1 11.04125509BH1 CIGNA CORP SR NOTE 0.28 0.31 0.20 9.87 0.02 10.16 10.40 BAA2 9.31260543BJ1 DOW CHEMICAL CO DEB 0.55 0.60 0.39 9.54 0.04 9.39 9.58 BAA3 8.81125509BE8 CIGNA CORP NOTE USD1000 0.34 0.37 0.24 9.37 0.02 8.56 8.74 BAA2 10.16

BOTTOM 10 4.18 3.85 2.89 -4.28 -0.1213063A5E0 CALIFORNIA ST TAXABLE GEN OBL UNLTD 0.74 0.70 0.53 -5.63 -0.03 10.22 10.47 A2 8.32577778CE1 MAY DEPARTMENT STORES CO SR NOTE 0.20 0.19 0.14 -5.33 -0.01 6.19 9.02 BA2 10.4813063A5G5 CALIFORNIA ST TAXABLE GEN OBL UNLTD 0.71 0.67 0.50 -5.13 -0.03 10.61 10.92 A2 8.37996087094 BSDT-LATE MONEY DEPOSIT ACCT 0.00 0.00 0.00 -4.76 0.00 0.00 0.00 AAA 0.0036186CAQ6 GMAC LLC SR NOTE CO GTD 144A 0.70 0.51 0.42 -4.76 -0.02 1.99 8.08 CA 11.9346627VAA5 JP MORGAN CHASE XVII BOND 0.20 0.19 0.14 -4.76 -0.01 10.68 10.92 A1 8.32314275AC2 FEDERATED RETAIL HOLDING NOTE CO GTD 0.38 0.37 0.27 -3.99 -0.01 6.61 9.67 BA2 10.0213063A5B6 CALIFORNIA ST GEN OBLG UNLTD 0.33 0.32 0.24 -3.70 -0.01 4.16 4.11 A2 5.6713063A5F7 CALIFORNIA ST TAXABLE GEN OBL UNLTD 0.18 0.17 0.13 -2.85 0.00 3.36 3.30 A2 6.1231410HAQ4 MACYS RETAIL HLDGS INC SR CO 0.73 0.72 0.52 -2.05 -0.01 6.06 8.79 BA2 10.38

Security Level Performance Report by AnalyticSummary Report Currency:

Status:

1 Month Ending June 30, 20XXUSDFinal

Source: BNY Mellon

Return by Effective Duration

Total

Weight%

Return%

Contri-bution %

26.68 0.55 0.15

24.81 0.51 0.13

17.19 0.97 0.17

20.08 3.10 0.62

2.56 4.64 0.12

6.47 4.59 0.30

2.21 0.68 0.01

100.00 1.49 1.49

Return by Modified Duration

Total

Weight%

Return%

Contri-bution %

11.00 0.25 0.03

31.82 0.57 0.18

21.11 1.02 0.22

23.25 2.75 0.64

5.02 2.59 0.13

7.27 4.10 0.30

0.53 0.00 0.00

100.00 1.49 1.49

Return by Moody's Credit Rating

Total

Weight%

Return%

Contri-bution %

44.29 0.49 0.22

3.47 1.78 0.06

12.93 1.44 0.19

23.33 4.22 0.99

8.23 0.52 0.04

7.75 -0.01 0.00

100.00 1.49 1.49

Return by Yield To Maturity

Total

Weight%

Return%

Contri-bution %

17.68 0.20 0.04

21.70 0.73 0.16

15.80 0.70 0.11

10.57 1.26 0.13

33.73 3.13 1.06

0.53 0.00 0.00

100.00 1.49 1.49

LESS THAN 1 YEAR

1 - 3 YEARS

3 - 5 YEARS

5 - 7 YEARS

7 - 9 YEARS

9 - 15 YEARS

NULLS

0.00 1.00 2.00 3.00 4.00 5.00

LESS THAN 1 YEAR

1 - 3 YEARS

3 - 5 YEARS

5 - 7 YEARS

7 - 9 YEARS

9 - 15 YEARS

NULLS

0.00 1.00 2.00 3.00 4.00 5.00

TREASURY

AGENCY

AAA

AA

A

NULLS

0.00 1.00 2.00 4.00 5.00

6.00

0.0001 -3%

3 -4%

4 -5%

5 -6%

6% AND ABOVE

NULLS

-2.00 0.00 2.00 4.00

12

• TheTotalFundAttributionreportprovidesinsightintoa

fund’s relative performance against a suitable policy.

Customized fixed or dynamically weighted policies

or the average allocation in the BNY Mellon US Trust

Universe can be utilized in this report. Analysis is

available by asset class (driven by bottom up asset

classification) or through manager assignment to help

gain insight into the true exposures and performance

impacts of both manager and asset class decisions. Total

Fund Attribution breaks down the relative performance

into easily understood components, including the Asset

Allocation and Security Selection effects.

• Thisexampleillustratesanassetbasedhierarchy.This

report helps identify that the Allocation effect is the

major driver in the Fund’s underperformance during the

period. The better performing asset classes have been

underweighted and the underperforming asset classes

have been overweighed. The decision to hold Private

Equity has been especially detrimental. Through the

Selection effect, the report shows that the managers

within the fixed income and international equity asset

classes are outperforming the policy targets.


Total Fund Attribution: Attribution Detail by AssetWhy did the Total Fund out- or under- perform the policy? What was the impact of having a policy asset allocation that was different than the policy? Where was the value added in the active management versus the policy?

Attribution Detail by AssetCurrency:

Status:

1 Month Ending April 30, 20XX

Source: BNY MellonPolicy Benchmark is Total Policy Benchmark.

USDFinal

Portfolio Policy Net Management Effects

Weight Return Weight Return Alloc Select Total

TOTAL 100.00 4.26 100.00 7.69 -3.98 0.55 -3.43

Total Domestic Equity 17.37 9.75 27.80 10.52 -0.30 -0.14 -0.43

Total Internat'l Equity 19.97 12.77 33.30 12.54 -0.65 0.05 -0.60

Total Fixed Income 38.56 0.65 33.30 -1.02 -0.46 0.65 0.19

Total Private Equity 15.30 -4.80 --- --- -1.91 0.00 -1.91

Cash 5.77 0.06 --- --- -0.44 0.00 -0.44

Total Emerging Markets 3.03 16.42 5.60 16.64 -0.23 -0.01 -0.24


Status:

Period Ending June 30, 20XX

Policy Benchmark is Total Policy Benchmark. Source: BNY Mellon

USDFinal

TOTAL

Tota

l Dom

estic

Equity

Tota

l Inte

rnat

’l Equity

Tota

l Fixe

d Inco

me

Tota

l Priv

ate E

quityCas

h

Tota

l Em

erging M

arke

ts

Allocation Effect Selection Effect

1.00

0.00

–1.00

–2.00

–3.00

–4.00

–5.00

Net

Man

agem

ent

Effe

cts

13

• TheAttributionSummaryreportprovidesaneffective

overview of the calculated attribution effects over

extended time periods. The report shows both

account and policy returns and the difference (or

Net Management effect), which is the sum of the

individual effects. Depending on the account being

analyzed, Currency, Allocation and Selection effects

are reported. The Interaction effect may also be

broken out and displayed separately. This report

helps identify consistent areas of strength or

weakness at an aggregate level.

• Withinthissamplereport,Selectionhashistorically

been the largest driver of performance since the

inception of the account. Allocation has also been a

positive source for most periods, though not as large

as Selection. Currency has played the smallest role

in the account’s overall returns, except for the quarter

and 1-year time periods.


Attribution SummaryOver time, which attribution effects contributed most to the out- or under- performance? What was the impact of having different currency exposures? Have your managers been lucky, or is there clear evidence of skill?

Attribution SummaryCurrency:

Status:


Inception To Date (ITD) is July 1999.Policy Benchmark is MSCI EAFE Net Div Comp.

USDFinal

Trailing Annualised1 Mo 3 Mos 6 Mos YTD 1 Yr 2 Yrs 3 Yrs 4 Yrs 5 Yrs ITD

Portfolio Return 0.73 26.67 10.76 10.76 -25.03 -16.29 -3.45 3.73 6.22 7.00Policy Return -0.57 25.44 7.96 7.96 -31.35 -21.66 -7.97 -0.35 2.31 1.16

Net Management Effect 1.30 1.22 2.80 2.80 6.32 5.37 4.52 4.08 3.91 5.84 Currency Effect 0.04 -0.98 -0.71 -0.71 1.80 0.19 -0.07 -0.18 -0.14 -0.32 Allocation Effect 0.18 0.69 1.48 1.48 0.00 2.04 1.46 1.14 1.11 1.29 Selection Effect 1.08 1.51 2.03 2.03 4.52 3.14 3.13 3.12 2.95 4.86

Attribution SummaryCurrency:

Status:


Inception To Date (ITD) is July 1999.Policy Benchmark is MSCI EAFE Net Div Comp. Source: BNY Mellon

USDFinal

7.00

6.00

5.00

4.00

3.00

2.00

1.00

0.00

–1.00

–2.00

Att

ribu

tion

Eff

ects

1 Mo

3 Mos

Ann 1 Yr

Ann 3 Yrs

Ann 5 Yrs ITD

Currency Effect Allocation Effect Selection Effect Net Management Effect

14

• TheAttributionDetailbyAssetreportprovidesthe

granular analysis that underlies the information in the

Attribution Summary report. Relative performance

is broken down into standard attribution effects

including Currency, Allocation and Selection. Report

parameters allow you to report Interaction separately

or with the other effects for complete transparency.

A range of “hierarchies” are available to structure the

analysis including multiple sector schemes, market

cap breakpoints or asset class groupings for balanced

mandates. The report helps you understand how lower

level decisions within the account have added value or

detracted from performance.

• Within the sample report, the account’s Net

Management effect is positive for the time period.

All decisions contributed to this outperformance with

stock selection as the main driver. Underweighting

France and overweighting Japan helped contribute to

the positive Allocation. Security Selection in Japan

contributed the highest amount of basis points to

the overall Net Management effect.


Attribution Detail by AssetFor a specific time period, in which asset classes did you do better, or worse, in terms of selecting securities or weighting versus the benchmark? Where should you focus your management attention?


Status:

1 Month Ending June 30, 20XX

Source: BNY MellonPolicy Benchmark is MSCI EAFE Net Div Comp.

USDFinal

Portfolio Policy Currency Net Management Effects

Weight Return Weight Return Return Ccy Alloc Select Total

TOTAL 100.00 0.73 100.00 -0.57 -0.26 0.04 0.18 1.08 1.30

EUROPE 56.27 -1.04 65.69 -1.95 -0.11 0.13 0.18 0.32 0.64

EUROPE ex UK 33.59 -1.22 44.59 -2.27 -1.17 0.10 0.24 0.21 0.54

EURO 22.62 -0.66 32.87 -2.65 -0.90 0.07 0.24 0.36 0.66 Austria 0.14 2.00 0.36 -2.17 -0.90 0.00 0.00 0.01 0.01 Belgium --- --- 0.95 -1.88 -0.90 0.01 0.01 0.00 0.01 Finland 1.86 -1.30 1.34 -4.69 -0.90 0.00 -0.02 0.06 0.04 France 5.23 -1.53 10.64 -4.23 -0.90 0.04 0.16 0.14 0.34 Germany 4.36 0.19 8.07 -3.43 -0.90 0.02 0.08 0.16 0.26 Greece --- --- 0.58 -6.30 -0.90 0.00 0.03 0.00 0.03 Ireland 0.50 -3.30 0.30 -4.41 -0.90 0.00 -0.01 0.01 0.00 Italy 3.13 -4.10 3.64 -4.06 -0.90 0.00 0.01 0.00 0.02 Luxembourg 1.12 -0.50 --- --- -0.90 -0.01 0.01 0.00 0.00 Netherlands 3.00 -0.92 2.31 -1.28 -0.90 0.00 0.00 0.01 0.01 Portugal --- --- 0.36 -0.63 -0.90 0.00 0.00 0.00 0.00 Spain 3.02 3.22 4.32 4.04 -0.90 0.01 -0.07 -0.02 -0.09

NON-EURO 10.96 -2.39 11.72 -1.19 -1.93 0.03 0.00 -0.15 -0.13 Denmark 2.82 -3.57 0.94 0.18 -0.93 -0.01 0.03 -0.11 -0.09 Norway 0.82 -7.08 0.78 -8.35 -2.27 0.00 0.00 0.01 0.01 Sweden 2.97 0.11 2.38 -0.16 -2.16 -0.01 0.01 0.01 0.01 Switzerland 4.35 -2.44 7.63 -0.95 -1.94 0.06 -0.04 -0.07 -0.05

UNITED KINGDOM 22.68 -0.78 21.10 -1.27 2.13 0.04 -0.05 0.12 0.10 United Kingdom 22.68 -0.78 21.10 -1.27 2.13 0.04 -0.05 0.12 0.10

PACIFIC BASIN 40.17 3.27 34.31 2.07 -0.54 -0.10 -0.02 0.76 0.64 PACIFIC BASIN ex JAPAN 9.51 2.16 10.77 2.74 0.63 -0.05 -0.24 0.18 -0.10 Australia 2.39 4.51 6.82 4.95 1.00 -0.06 -0.19 -0.01 -0.26 Hong Kong 6.24 1.66 2.51 -1.61 0.03 0.01 -0.05 0.20 0.17 New Zealand 0.14 0.43 0.10 4.23 1.15 0.00 0.00 -0.01 0.00 Singapore 0.74 -0.93 1.34 -0.49 -0.17 0.00 0.00 0.00 0.00

JAPAN 30.66 3.61 23.54 1.76 -1.07 -0.06 0.22 0.57 0.73

15

• Wilshire’sFixedIncomeMulti-factorAttributionreport

decomposes account returns relative to a benchmark

or account. This report helps in evaluating the results

of investment decisions based on relative exposures to

factors in the Wilshire Axiom Global Credit Risk Model.

The report also provides time series returns, security-

level returns, comparisons of ex-ante risk estimates

and observed risk. In addition, multiple sub-reports can

be created for detailed examination including: regional

attribution, country management attribution, top ten

and bottom ten contributions to return, link period

returns analysis and attribution analysis, risk/return,

risk statistics and hedge costs.

• ThisreportbreaksdowntheManagementeffectof

the account for the quarter, finding that value seems

to be coming from two main sources, yield and

term structure. Yield is generating a positive effect.

Term structure is composed of changes in slope and

curvature of yield curve, and for this account the

steepening curve created a positive effect.


Fixed Income Multi-Factor AttributionFor your fixed income accounts, which factors contributed most, or least, to your overall return? Can you view these results both on an absolute and a benchmark relative basis?

Global Credit Performance Attribution Analysis – Linked MonthlyDerivative vs. LB Gov/Credit Index

12/31/20XX to 03/31/20XXBase Currency: United States – Dollar

Returns Summary

Source: Wilshire Associates Incorporated

Return Sources Portfolio Benchmark ManagementYield 2.73 1.31 1.42Currency 0.00 0.00 0.00Duration -1.40 -1.57 0.17Term Structure 0.80 -0.69 1.49Sector 1.08 1.34 -0.26Quality 0.41 0.42 -0.02Other Spread -1.66 -1.83 0.17Total Model Return 1.95 -1.02 2.97

Interaction 0.00 0.00 0.00Hedge Cost 0.00 0.00 0.00Selection -2.45 -0.25 -2.20Total Return -0.50 -1.28 0.77

16

• TheFixedIncomeProfilereporttakesabottom-up

approach to analyzing the key characteristics of a fixed

income account. It begins with using the best available

methodology for calculating characteristics of the

constituents or individual holdings within the account,

and aggregates these characteristics to determine the

overall structure and profile of the account. The Profile’s

side-by-side format allows you to compare and contrast

your account’s returns, composition and characteristics

to a consolidation, benchmark, or other accounts.

Analysis can also be performed over sequential time

periods to see how these change through time.

• Inthisreport,thegrossleverageratio,whichisthe

sum of the absolute exposures, indicates the account

has been leveraged for the past five periods. When

reviewing the allocation, this has been done through

the use of futures and shorting. In addition to the option

adjusted duration, it is important to review the option

adjusted convexity to explain the changes in value due

to movements along the yield curve.

Report ID:

UNITED STATES DOLLARJune 30, 20XX May 31, 20XX April 30, 20XX March 31, 20XX February 28, 20XX

Sector Breakdown - Barclays Global SchemeCount, % MV, Treasuries & Sovereign 21 23.87% 1.35 17 15.60% 1.03 13 13.71% 0.81 11 14.64% 0.90 8 10.41% 0.70 Opt Adj Duration Government Related --- --- --- --- --- --- --- --- --- --- --- --- --- --- ---

Agencies 9 6.44% 0.34 11 6.83% 0.36 13 11.26% 0.33 12 8.30% 0.34 12 8.31% 0.36 Local Authorities 5 1.94% 0.13 2 0.69% 0.06 2 0.79% 0.07 --- --- --- --- --- --- Supranational --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- Other Muni & Quasi Security --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- Corporates --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- Financial 29 8.97% 0.33 36 11.45% 0.39 42 13.99% 0.47 44 11.41% 0.39 48 13.40% 0.44 Industrials 40 7.56% 0.45 38 6.30% 0.40 39 5.68% 0.39 42 6.02% 0.41 39 4.96% 0.37 Utility 8 1.48% 0.11 8 1.43% 0.11 8 1.37% 0.10 8 1.38% 0.10 8 1.40% 0.11 Securitized --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- MBS Passthrough 182 18.74% 0.46 198 21.02% 0.56 199 20.85% 0.55 212 21.15% 0.38 235 28.67% 0.79 ABS 15 6.52% 0.03 16 7.52% 0.03 15 6.30% 0.03 15 6.87% 0.03 16 7.21% 0.03 CMBS 28 13.90% 0.38 29 13.93% 0.39 34 14.27% 0.41 34 14.13% 0.40 34 13.89% 0.39 Covered 3 2.43% 0.09 3 2.41% 0.09 3 2.39% 0.09 3 2.43% 0.09 3 2.43% 0.09 CMO 13 2.18% 0.00 14 2.33% 0.00 14 2.24% 0.01 15 2.37% 0.01 23 4.50% 0.01 Interest Rate Swaps/Swaptions --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- Credit Default Swap --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- Fixed Income Futures 4 3.84% 0.57 4 9.02% 0.38 4 5.92% 0.49 4 7.01% 0.55 3 5.83% 0.47 Cash 2 8.97% 0.01 2 4.07% 0.00 3 4.08% 0.00 2 2.54% 0.00 2 3.66% 0.00 Other 7 -6.84% 0.07 12 -2.60% -0.19 10 -2.85% 0.15 10 1.75% 0.16 9 -4.67% 0.15 Total 4.32 3.61 3.90 3.76 3.91

Quality Rating Breakdown - Average QualityRatingsCredit Exposure%, US Treasuries 15.58% --- 1.05 8.23% --- 0.75 9.11% --- 0.60 10.13% --- 0.69 10.34% --- 0.61 CDS Protection%, Agency 21.34% --- 0.72 36.56% --- 1.12 44.64% --- 1.09 46.59% --- 0.99 42.59% --- 1.24 Opt Adj Duration Aaa 30.20% --- 0.74 29.42% --- 0.73 26.58% --- 0.72 26.62% --- 0.68 27.28% --- 0.63

Aa1-Aa3 9.46% --- 0.44 10.25% --- 0.39 11.05% --- 0.44 11.04% --- 0.43 8.20% --- 0.35 A1-A3 10.06% --- 0.41 10.29% --- 0.39 9.50% --- 0.37 9.11% --- 0.36 8.97% --- 0.37 Baa1-Baa3 3.36% --- 0.25 3.68% --- 0.25 3.73% --- 0.24 4.03% --- 0.26 5.11% --- 0.28 Ba1-Ba3 --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- B1-B3 --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- Caa1-Caa3 --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- Ca --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- C --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- Less than C --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- Other 14.68% --- 0.71 2.01% --- -0.02 -4.24% --- 0.44 -7.80% --- 0.35 4.76% --- 0.43 Total 104.68% --- 4.32 100.44% --- 3.61 100.37% --- 3.90 99.72% --- 3.76 107.25% --- 3.91 Credit Default Swap Exposure --- --- --- --- --- --- --- --- --- ---

Fixed Income Profile Number

United States Fixed Income Profile – Sequential

Source: BNY Mellon

Risk and AnalyticsFixed Income ProfileFor your fixed income accounts over a specific time period, what are the characteristics? What are the characteristics of the benchmark or consolidation for the same period? Are the characteristics consistent with the style or investment approach of the manager?

United States Fixed Income Profile – Sequential Report ID:

Source: BNY Mellon

UNITED STATES DOLLARJune 30, 20XX May 31, 20XX April 30, 20XX March 31, 20XX February 28, 20XX

Fixed Income Profile Number

Composition and Performance SummaryPortfolio Composition Total Portfolio Size 877.81M 881.45M 895.58M 886.34M 876.36M$/% Equity 0.00 0.00% 0.00 0.00% 0.00 0.00% 0.00 0.00% 0.00 0.00%

Fixed Income 846.04 96.38% 855.47 97.05% 868.69 97.00% 868.16 97.95% 914.51 104.35%Convertibles 0.00 0.00% 0.00 0.00% 0.00 0.00% 0.00 0.00% 0.00 0.00%Real Estate 0.00 0.00% 0.00 0.00% 0.00 0.00% 0.00 0.00% 0.00 0.00%Alternatives 0.00 0.00% 0.00 0.00% 0.00 0.00% 0.00 0.00% 0.00 0.00%Cash & Equivalents 31.78 3.62% 25.98 2.95% 26.89 3.00% 18.18 2.05% -38.16 -4.35%Other 0.00 0.00% 0.00 0.00% 0.00 0.00% 0.00 0.00% 0.00 0.00%

Characteristics SummaryLeverage Gross Leverage Ratio 1.30 1.40 1.35 1.46 1.38

Net Leverage Ratio 1.00 1.05 1.03 1.04 1.10

Credit Quality Moody's Rating AA1 AA1 AA1 AA1 AA1S&P Rating A-1+ AAA AAA AAA A-1+Fitch Rating AAA AAA AAA AAA AAADBRS Rating - - - - -Average Agency Rating AA1 AAA AAA AAA AA1

Interest Rate Sensitivity Duration 4.09 4.05 3.78 3.89 4.03Modified Duration 4.56 3.90 4.06 4.16 4.18Opt. Adj. Duration 4.32 3.61 3.90 3.76 3.91Duration to Worst 4.49 4.26 3.80 3.89 0.00Spread Duration 4.36 4.30 3.84 3.81 4.11Opt. Adj. Spread 3.03 3.88 4.59 5.59 5.26Opt. Adj. Convexity 0.04 -0.15 -0.20 -0.17 -0.50

Yield and Other Num of Fixed Income Holdings 366 390 399 412 440Average Coupon 4.58% 4.69% 4.66% 4.78% 5.19%Weighted Average Life 5.96 5.53 4.92 5.12 5.35Current Yield 4.95% 4.92% 4.79% 5.17% 5.70%Yield to Maturity 6.06% 6.70% 7.32% 8.12% 8.52%Effective Yield to Maturity 5.19% 5.76% 5.42% 6.54% 7.51%Yield to Worst 6.06% 6.69% 7.32% 8.05% 8.53%

17

• TheFixedIncomePortfolioDetailAnalyticsreport

provides insight into your fixed income holdings.

In addition to the security reference data on your

positions (maturity and coupon data), key analytical

characteristics are provided, including: Option Adjusted

and Modified Duration, Convexity and Quality Rating.

Account totals for these measures are also provided.

This report (and a number of other analytical reports)

also allows you to “look through” into your pooled

fund holdings to view its underlying pro-rated

securities to gain greater insight and transparency.

• Inthissamplereport,detailedanalyticsareincluded

to help you understand the structure, sensitivity to

interest rates, and credit quality of the instrument.

The account is invested in a wide range of instruments

including taxable municipal bonds, and collateralized

mortgage obligations, private placements, asset backed

securities, corporate and government debt issues.

Risk and Analytics, continued

Fixed Income Portfolio Detail Analytics with Pooled Fund DetailOn an individual security basis, including the securities in your pooled funds, what are the characteristics? For example, do you have the right level of interest rate sensitivity? Do you have any exposure to high- yield bonds?

Fixed Income Portfolio Detail AnalyticsWith Pooled Fund Detail

06/30/20XX


Source: BNY Mellon

USD

Units HeldSecurity ID

Maturity DateCoupon Rate

Market PriceMarket Value

Current YieldYTM/Call (EOP)

Yrs Mat/CallOption Adj

Convexity

Moody’sQualityRating

Opt Adj DurModified Dur

Security DecsciptionSector (Country)

18

• TheManagerataGlancereportisadashboardstyle

report that provides a snapshot of your equity account

or consolidation. The report combines performance,

risk statistics, characteristics and universe information

along with customized commentary all on a single

page to effectively communicate key information on

the equity account. Fourteen different tables and

charts can be displayed on a single page creating an

executive summary of your account data. The drag

and drop functionality makes it easy to produce these

high quality summary reports.

• ThisreportshowsanumberofEPSgrowthstatistics

for the account are greater than that of the benchmark,

which is a growth-oriented index. Consumer

discretionary is the greatest overweight sector and

health care is the greatest underweight. The highest

beta quintile has the greatest allocation of positions,

showing that if there was a 1% change in the market,

the securities would have a greater change in value.


Manager at a GlanceHow can you quickly view the key performance and risk metrics for your equity strategies?

Manager At A GlanceUnited States

XYZ Sm Cap vs. Russell 2000 Growth

Reporting Currency:Report ID:


Source: BNY Mellon

USD

Fundamental Characteristics Portfolio Benchmark Difference

Portfolio P/E 28.67 55.77 -27.10Portf. P/E I/B/E/S 1 Yr Forecast EPS 15.89 17.35 -1.47Price/Cash Flow 13.04 19.96 -6.92Portfolio Price/Sales 0.97 1.10 -0.13Dividend Yield 0.18 0.61 -0.44Pretax Return on Assets – 5 Year Avg. 10.43 8.58 1.85Return on Equity – 1 Year 13.21 7.46 5.75Sales/Share Growth – 2 Years 16.51 12.60 3.91Debt/Equity 0.56 0.61 -0.05Number of Holdings 84 1274

Top Ten Positions Portfolio Benchmark Difference

TNS INC 2.12% 0.12% 2.00%LIFE TIME FITNESS INC 1.99% 0.02% 1.97%FOSSIL INC 1.95% 0.30% 1.66%STANLEY INC 1.91% 0.10% 1.81%AFFILIATED MANAGERS GROUP 1.71% 0.00% 1.71%SYNAPTICS INC 1.66% 0.35% 1.31%GUESS? INC 1.57% 0.00% 1.57%ULTA SALON COSMETICS 1.56% 0.08% 1.48%CONSTANT CONTACT INC 1.47% 0.12% 1.35%SUCCESSFACTORS INC 1.43% 0.09% 1.34%

17.37% 1.18%Total

Growth & Momentum Portfolio Benchmark Difference

EPS Growth - 5 Years 18.80 15.04 3.76EPS Growth - 1 Year ($-Wtd. Median) 11.76 6.45 5.31EPS Growth - 2 Years ($-Wtd. Median) 16.41 7.68 8.731 Year EPS Forecast - I/B/E/S Medians -0.57 -1.39 0.82

Beta Quintiles (Russell 3000)Low High Portfolio Benchmark DifferenceObsQuintiles

Highest Above1.41 & 33.86% 33.30% 0.56%27Second 1.411.10 - 16.80% 20.17% -3.37%14Third 1.100.82 - 7.92% 15.26% -7.34%7Fourth 0.820.55 - 8.54% 12.11% -3.57%8Lowest 0.55Below 11.29% 11.15% 0.14%10

Portfolio P/E Quintiles (Russell 3000)Low High Portfolio Benchmark DifferenceObsQuintiles

Highest 0.03Below 34.77% 41.65% -6.88%29Second 0.060.03 - 27.28% 26.11% 1.17%22Third 0.070.06 - 11.58% 10.54% 1.04%11Fourth 0.090.07 - 13.09% 10.35% 2.74%10Lowest Above0.09 & 12.11% 10.66% 1.45%11NegativeEarnings

20.35% 26.54% -6.19%17

Statistic 1 Year 3 Years 5 Years

Alpha 0.07 0.27 0.41Sharpe Ratio -0.17 -0.05 0.04Standard Deviation 9.37 6.56 6.06Tracking Error 2.14 1.99 1.71

CommentaryBased on the potfolio`s fundamentals and relative return stream, it seems to behave a growth tilt.

L.T. Growth Forecast I/B/E/S Medians Quintiles (Russell 3000)Low High Portfolio Benchmark DifferenceObsQuintiles

Highest Above13.00 & 73.62% 70.57% 3.05%61Second 13.0010.00 - 19.27% 17.62% 1.65%16Third 10.009.00 - 1.80% 1.18% 0.62%2Fourth 9.007.00 - 0.00% 2.24% -2.24%0Lowest 7.00Below 2.04% 2.89% -0.85%2

Top Five Overweight Positions Portfolio Benchmark Difference

TNS INC 2.12% 0.12% 2.00%LIFE TIME FITNESS INC 1.99% 0.02% 1.97%STANLEY INC 1.91% 0.10% 1.81%AFFILIATED MANAGERS GROUP 1.71% 0.00% 1.71%FOSSIL INC 1.95% 0.30% 1.65%

CAP Quintiles (Russell 3000 Index Break Point)Low High Portfolio Benchmark DifferenceObsQuintiles

Highest Above35.94 & 0.00% 0.00% 0.00%0Second 35.9410.46 - 0.00% 0.00% 0.00%0Third 10.463.18 - 0.00% 0.00% 0.00%0Fourth 3.181.25 - 39.32% 21.35% 17.97%32Lowest 1.25Below 60.68% 78.65% -17.97%52Unclassified 0.00% 0.00% 0.00%0

Top Five Underweight Portfolio Benchmark Difference

PALM INC 0.00% 0.53% -0.53%SOLERA HOLDINGS INC 0.00% 0.46% -0.46%

0.00% 0.46% -0.46%TETRA TECH INC 0.00% 0.45% -0.45%

0.00% 0.43% -0.43%

Russell Sector Exposure Active Weights

19

• SimilartotheanalysisavailableforFixedIncome,the

Equity Profile report offers a comprehensive source of

industry-leading fundamental and quantitative statistics

for your domestic and international equity accounts and

consolidations. This report can be used to determine the

structure and critical style characteristics of an account

or consolidation. Available graphics provide additional

perspective about management style by displaying

account characteristics over time. By analyzing the

structure of accounts and market indexes, the Equity

Profile provides unique insight into the composition

of your account throughout the market cycle.

• ThisEquityProfilereportcomparesanequitymanager

with the US equity consolidation, along with three market

benchmarks. As expected from a small cap manager, the

account has a greater allocation to medium/small and

small capitalization stocks as identified through the

composition summary. Key characteristics such as the

Price to Earnings (P/E) ratio and Dividend yield suggest

that the account has a growth orientated bias – also

supported by historical and forecast EPS growth values.

Such insight may help in evaluating the manager’s

performance compared to the broader market as

investment styles can perform differently during

the market cycle.


Equity ProfileFor your equity accounts over a specific time period, what are the characteristics? What are the characteristics of the benchmark or consolidation for the same period? Are the characteristics consistent with the style or investment approach of the manager?

Report ID:

UNITED STATES DOLLARXYZ Sm Cap U.S. Equity Russell 2000 Index Russell 3000 Index Russell 1000 Index

United States Equity Profile04/30/20XX

Source: BNY Mellon

Composition SummaryMktRel

MktRel

Portfolio Total Portfolio Size 8.15M 119.59M 727.89B 9.28T 8.55T Composition - Equity (Common) 7.64 93.6% 38.27 32.0% 727.89 100.0% 9.28 100.0% 8.55 100.0% $/% portfolio Fixed Income 0.00 0.0% 57.85 48.4% 0.00 0.0% 0.00 0.0% 0.00 0.0%

Convertibles 0.00 0.0% 0.24 0.2% 0.00 0.0% 0.00 0.0% 0.00 0.0% Other & Receivables 0.00 0.0% 0.02 0.0% 0.00 0.0% 0.00 0.0% 0.00 0.0% Cash Equivalents 0.52 6.3% 18.41 15.4% 0.00 0.0% 0.00 0.0% 0.00 0.0% Rights & Warrants 0.00 0.0% 0.00 0.0% 0.00 0.0% 0.00 0.0% 0.00 0.0% Options & Futures 0.00 0.0% 4.81 4.0% 0.00 0.0% 0.00 0.0% 0.00 0.0% Mutual & Pooled Funds 0.00 0.0% 0.00 0.0% 0.00 0.0% 0.00 0.0% 0.00 0.0%

Size of Companies - Large Capitalization 33.63 & Above 0 0.0% -43% 11 0.2% -43% 0 0.0% 50 42.8% 50 46.4% # holdings/% equity Medium/Large Cap. 10.06 -- 33.63 0 0.0% -26% 60 12.5% -14% 0 0.0% 150 26.1% 150 28.3% Russell 3000 Index Medium Capitalization 3.05 -- 10.06 1 1.6% -14% 184 38.7% +23% 2 0.9% 300 15.4% 298 16.6% Break Points Medium/Small Cap. 1.15 -- 3.05 31 38.0% +29% 223 34.1% +25% 140 25.8% 500 9.2% 360 7.8%

Small Capitalization 1.15 & Below 52 60.4% +54% 90 14.5% +8% 1764 73.3% 1880 6.6% 116 0.9% Unclassified 0 0.0% +0% 0 0.0% +0% 0 0.0% 0 0.0% 0 0.0% Market Cap. - $-Wtd Avg - $ billion 100% 1.14 (4.12) 100% 4.84 (3.85) 100% 0.88 100% 57.04 100% 61.82

Economic Sectors - Technology 16 20.24% +4% 105 14.19% -2% 268 14.65% 365 15.95% 97 16.06% # holdings/% equity Health Care 12 11.85% -1% 82 10.49% -3% 261 14.18% 353 13.31% 92 13.23% Based on Russell Consumer Discretionary and Services 28 34.82% +22% 149 23.01% +10% 331 17.40% 505 13.12% 174 12.76% Sector Scheme Consumer Staples 3 4.02% -5% 29 4.15% -4% 45 3.14% 89 8.55% 44 9.02%

Integrated Oils 0 0.00% -6% 8 1.69% -5% 4 0.11% 15 6.42% 11 6.96% Other Energy 5 5.18% +0% 49 5.24% +0% 110 3.86% 178 4.94% 68 5.03% Materials and Processing 4 3.92% -1% 70 7.13% +2% 162 8.07% 251 5.16% 89 4.92% Producer Durables 4 5.04% -2% 65 5.73% -1% 157 7.96% 242 6.56% 85 6.44% Autos and Transportation 5 5.52% +3% 26 1.86% -1% 75 3.64% 113 2.70% 38 2.62% Financial Services 7 9.40% -4% 62 17.48% +4% 421 21.23% 618 13.89% 197 13.27% Utilities 0 0.00% -7% 41 8.02% +1% 66 5.42% 137 7.33% 71 7.49% Other 0 0.00% -2% 5 1.01% -1% 6 0.35% 14 2.05% 8 2.20% Sector Deviation Measure

Equity Profile Number IX1F00003878 IX1F00003858 IX1F00003868 Market Relative Index Russell 3000 Index Russell 3000 Index

Characteristics SummaryPortfolio Portfolio P/E 97% 27.5 0.16 99% 16.1 (0.01) 94% 34.2 98% 16.7 98% 16.0 Characteristics Portfolio P/E Excluding Neg. Earnings 84% 16.9 0.44 88% 12.9 0.06 75% 14.5 89% 12.5 90% 12.4

Portf. P/E - I/B/E/S 1 Yr Forecast EPS 91% 15.9 0.28 97% 12.9 (0.09) 69% 15.0 93% 13.5 95% 13.4 Portfolio Price/Book 100% 2.20 0.12 100% 1.80 (0.04) 99% 1.46 99% 1.88 99% 1.93 Price/Cash Flow 98% 12.4 0.17 98% 9.0 (0.03) 95% 12.6 98% 9.3 98% 9.1 Portfolio Price/Sales 99% 0.8 (0.06) 98% 0.8 (0.09) 98% 0.8 99% 0.9 99% 0.9 L.T. Growth Forecast - I/B/E/S Medians 94% 15.8 0.86 96% 12.3 0.33 93% 13.1 99% 10.1 99% 9.9 1 Year EPS Forecast - I/B/E/S Medians 90% 0.4 0.33 97% (8.3) 0.09 70% (6.8) 93% (11.4) 95% (11.7)Return on Equity - 5 Year Average 73% 15.5 (0.35) 84% 16.8 (0.25) 80% 11.4 92% 20.2 93% 20.8 EPS Growth - 5 Years 60% 19.5 0.19 68% 14.8 (0.01) 59% 12.3 84% 15.0 86% 15.2 EPS Variability - 10 Years 49% 69.9 0.22 75% 70.5 0.23 72% 80.1 88% 52.3 89% 50.3 Beta (vs. R3000) 83% 1.19 0.46 91% 1.04 0.21 93% 1.07 96% 0.91 97% 0.89 Number of Holdings 84 568 1906 2880 974

20

• TheHistoricRiskreportprovidessummarylevel

risk return statistics on an individual account or

consolidation over extended time periods. Using

underlying performance returns, eight different risk

adjusted performance measures are available for

graphical reporting.

• Withinthissamplereport,4differentriskmeasures:

Alpha, Sharpe Ratio, Standard Deviation and Tracking

Error are included. Each of these measures provides

insight into the variability of and inherent risk within the

return stream. As evidenced by the standard deviation,

the returns are showing a greater degree of variability,

rising consistently since early 2007. The Sharpe ratio

is often presented as an indicator of reward per unit of

risk. The ratio is currently negative which implies that

the investment is not creating sufficient reward for the

inherent risk.


Historic RiskIs your exposure to risk changing over time? Are you sufficiently rewarded for the amount of risk in your account?

Historic Risk01 May 20XX to 30 Apr 20XX

Rolling 12 Month Periods

Source: BNY MellonPolicy Benchmark is Russell 2000 Growth Index. Risk-free Proxy is Citigroup Treasury Bill-3 Month.


Status:USDFinal

XYZ Sm Cap

Annualized Alpha14.0012.0010.008.006.004.002.000.00

–2.00–4.00–6.00

Apr-05

Jul-0

5

Oct-05

Jan-0

6

Apr-06

Jul-0

6

Oct-06

Jan-0

7

Apr-07

Jul-0

7

Oct-07

Jan-0

8

Apr-08

Jul-0

8

Oct-08

Jan-0

9

Apr-09

Annualized Sharpe Ratio3.002.502.001.501.000.500.000.50

–1.00–1.50

–2.00

Apr-05

Jul-0

5

Oct-05

Jan-0

6

Apr-06

Jul-0

6

Oct-06

Jan-0

7

Apr-07

Jul-0

7

Oct-07

Jan-0

8

Apr-08

Jul-0

8

Oct-08

Jan-0

9

Apr-09

Annualized Tracking Error9.008.007.006.005.004.003.002.001.00

0.00

Apr-05

Jul-0

5

Oct-05

Jan-0

6

Apr-06

Jul-0

6

Oct-06

Jan-0

7

Apr-07

Jul-0

7

Oct-07

Jan-0

8

Apr-08

Jul-0

8

Oct-08

Jan-0

9

Apr-09

Annualized Standard Deviation35.00

30.00

25.00

20.00

15.00

10.00

5.00

0.00

Apr-05

Jul-0

5

Oct-05

Jan-0

6

Apr-06

Jul-0

6

Oct-06

Jan-0

7

Apr-07

Jul-0

7

Oct-07

Jan-0

8

Apr-08

Jul-0

8

Oct-08

Jan-0

9

Apr-09

21

• Correlationisawidelyusedstatisticalvaluethat

measures the degree to which the movements of two

variables are related. The Correlation chart displays

the correlation of either a single statistic for multiple

components (accounts, consolidations, universe means

or indices) or multiple statistics for a single component.

Understanding correlation is important especially when

you combine managers and investments to achieve

goals of diversification and minimizing volatility.

• Thiscorrelationchartcomparestheequitymanagerto

a broad market equity index, a small cap growth index,

and a short term bond index. The account is highly

correlated to both the small cap growth index and the

broad market equity index, which would be expected

given the mandate of small cap equities.


CorrelationAre you getting the amount of diversification of returns that you should expect by combining accounts or indices?

5 Years Ending June 30, 20XXCorrelation

1.00

0.50

0.00

–0.50

–1.00

Cor

rela

tion

of A

nn R

etur

n

XYZ Sm Cap Russell 2000 Growth Index Russell 3000 Index Citigroup Treasury Bill-3 Month

XYZ Sm Cap Russell 2000 Growth Index Russell 3000 Index Citigroup Treasury Bill-3 Month

22

• Theex-anteriskreportsprovideforward-looking

risk statistics for multiple factors of the account

and benchmark positions. You can use these reports

to decompose the sources of risk such as changes

in the yield curve, term structure, credit spreads,

or currencies.

• Thesamplereportshowsthatdurationisthelargest

contributor to the account’s total risk, followed by term

structure. When decomposing the tracking error, quality

and spread are the largest sources with substantial

unsystematic risk. The account’s sensitivity to credit

quality is significantly different from the benchmark,

contributing to the expected annual tracking error.


Ex-Ante ReportsIn addition to historic returns based risk, how can you measure your account risk using forward-looking statistics? Which risk factors are the most significant and how do these compare to the benchmark?

Global Credit Model (03/31/20XX)Global Risk Summary

Derivative vs. LB Gov/Credit IndexBase Currency: United States – Dollar

Source: Wilshire Associates Incorporated

* Note: VaR values are displayed in 1000's. ** Note: Specific Risk estimates for securities with missing ratings data calculated using a default rating assumption equal to Caa.

Portfolio Annual Total Risk Contribution

Duration Term Sectors Quality Other Spread Currency Covariance Specific Risk Totals 1 Day VaR (95%)

North America 6.5132 5.1148 3.2470 3.6487 2.9400 0.0000 -8.4894 1.3381 5.5500 858Covariance 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0Totals 6.5132 5.1148 3.2470 3.6487 2.9400 0.0000 -8.4894 1.3381 5.5500 8581 Day VAR (95%) 1,007 791 502 564 454 0 -1,312 207 858

Benchmark Annual Total Risk Contribution


North America 8.4882 6.3841 1.9158 0.9937 0.9216 0.0000 -9.0104 0.3348 6.1023 943Covariance 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0Totals 8.4882 6.3841 1.9158 0.9937 0.9216 0.0000 -9.0104 0.3348 6.1023 9431 Day VAR (95%) 1,312 987 296 154 142 0 -1,393 52 943

Annual Tracking Error Contribution


North America 1.9750 1.3544 1.4331 2.9760 2.5651 0.0000 4.2435 1.3115 6.5538 1,013Covariance 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0Totals 1.9750 1.3544 1.4331 2.9760 2.5651 0.0000 4.2435 1.3115 6.5538 1,0131 Day VAR (95%) 305 209 221 460 396 0 656 203 1,013

23

• TheRiskSummaryreportsprovideenterprisewide

risk analysis. Results can be analyzed across all asset

classes using returns and holdings, where available.

Value-at-risk, stress testing, and scenario analysis are

available to manage risk and provide transparency

across the account.

• ThissampleEnterpriseRiskSummaryreportcompiles

relevant risk information, both graphically and in tabular

format, all on a single page. Key daily risk data such

as exposures and Value-at-Risk are broken down

for the account, in this case by economic sector.

Also included are a number of stress tests to model

performance, assuming specified movements in US

Equity, Volatility, Oil and the Far East market factors.

Sensitivity to different markets is also included through

the beta signature analysis. Since many investors like

to see how their accounts behave during a replay of

historical events, multiple scenarios are also provided

with the simulated return of the account.


Enterprise Risk SummaryHow would your account have performed during the economic downturn of 2008?

24

• Guidelinesarecreatedtomonitorrestrictionsorrules

that you have placed on your accounts and managers.

The Guideline Summary report shows each guideline

that was executed for an account or consolidation

and whether there are any exceptions. The report

provides a list of the guidelines that have been run,

a brief description of these guidelines and the result

that will report either no exceptions or the count/

number of exceptions. The report also shows the date

and time that the guidelines were executed and the

date of comparison. The detail behind the exceptions

is available in a separate report.

• Inthisexample,thereportshowsanumberofthe

established guidelines and their current status. The

account has restrictions that prohibit holdings deriving

revenues from Alcohol, Gambling and Tobacco. The

highlighted exceptions indicate that the fund it

outside of guidelines in some instances. There are

also exceptions with respect to meeting sufficient

collateralization obligations on repos.

ComplianceGuideline SummaryIs your account in compliance with its investment policy guidelines?

XYZ Fund

Guideline: 1-Issuer Exposure No Exceptions

The Market Value (%) must be less than or equal to 25% of Total Portfolio. ( Guideline # 7990 - Applies to Issuers )

Guideline: 1-Market Value Percentage No Exceptions

The Market Value (%) must be less than 10% of Total Portfolio. ( Guideline # 7526 - Applies to Individual Securities )

Guideline: 1-Prohibited Securities: Alcohol (8 Exceptions)

Securities must not be deriving significant revenues from alcohol. ( Guideline # 8032 - Applies to Individual Securities )

Guideline: 1-Prohibited Securities: Gambling (6 Exceptions)

Securities must not be deriving significant revenues from gambling. ( Guideline # 8026 - Applies to Individual Securities )

Guideline: 1-Prohibited Securities: Tobacco (1 Exception)

Securities must not be deriving significant revenues from tobacco. ( Guideline # 8033 - Applies to Individual Securities )

Guideline: 1-Repurchase Collateral (4 Exceptions)

Repos must be collateralized by 102% with US Treasuries or pass-through mortages ( Guideline # 8024 - Applies to Individual Securities )

Guideline: 1-Short Sells No Exceptions

Short sells must not be the main transaction type. ( Guideline # 7992 - Applies to Individual Securities , Based on Trade Date )

Guideline: cash No Exceptions

The market value of cash and short-term must be <=5% of the portfolio. ( Guideline # 5768 - Applies to Accounts and Groups )

Guideline: investment grade No Exceptions

The Market Value (%) must be less than 20% of Total Portfolio. ( Guideline # 5770 - Applies to Individual Securities )

Guideline: Trust 1 No Exceptions

The Market Value (%) must be less than 10% of Total Portfolio. ( Guideline # 9278 - Applies to Issuers )

25

• TheExceptionOnlyReportDetailprovidesinsightinto

the reported exceptions of the specified guidelines. For

each guideline that has been breached, information

is provided to identify the securities or positions that

have contributed to that violation. The report provides

a summary of the guideline as well as an exception

count in addition to the market value and other

optional details of the relevant positions. The report

also identifies new exceptions (denoted by the “N”

icon) when a violation appears for the first time. If the

exception is not new, the report will display a “V” (for

violation) until there are significant market movements

or the position changes. Although it is typical to run this

detail report to show only guidelines with exceptions,

it is possible to include all guidelines in this report,

irrespective of whether there has been a violation.

• Thissamplereportprovidesdetailintoeachofthefour

guidelines where there were exceptions for the analysis

date. For each of the guidelines (prohibiting companies

with significant revenues generated in Alcohol,

Gambling and Tobacco respectively, and repurchase

collateral levels) detail is provided on the position

or positions that do not meet the restriction. Asset

description, identifier and market value information

is also available in these cases.

Compliance, continued

Exception Only Report DetailWhy is your account outside of some of its investment policy guidelines? Which investments are creating the exceptions?

XYZ Fund

Guideline:

Analysis Date:07/24/20XX

1-Prohibited Securities: Alcohol (8 Exceptions)

Securities must not be deriving significant revenues from alcohol. (Guideline # 8032 - Applies to Individual Securities)

Group/Account Name Group/Account Number

nalP latoT (8 Exc)

Asset Description Cusip Market ValueARCHER DANIELS MIDLAND CO COM

039483102 167,145.00

BROWN FORMAN CORP CL B 115637209 29,278.44

COCA COLA CO COM 191216100 -113,528.00

COMPANHIA DE BEBIDAS DAS AMERS AMBEV SPONS ADR REPSTG PFD SHS

20441W203 88,070.33

FOMENTO ECONOMICO MEXICANO SAB CV NEW SPONSORED ADR REPTSG 1

344419106 182,475.10

FORTUNE BRANDS INC COM 349631101 118,110.00

HEINZ H J CO COM 423074103 82,479.84

MOLSON COORS BREWING CO CL B

60871R209 213,275.00

Guideline: 1-Prohibited Securities: Gambling (6 Exceptions)

Securities must not be deriving significant revenues from gambling. (Guideline # 8026 - Applies to Individual Securities)


nalP latoT (6 Exc)

Asset Description Cusip Market Value

00.010,49301156352CNI DLOBEID

INTERNATIONAL GAME TECHNOLOGY COM

00.605,73-201209954

57.283,842801901174MOC PROC NEDRAJ

LIBERTY MEDIA HLDG CORP INTERACTIVE COM SER A

00.006,94401M17035

MARRIOTT INTL INC NEW CL A

00.0202309175

METROPCS COMMUNICATIONS INC COM

00.888,03201807195

00.362,66-401E84256A LC NOITAROPROC SWEN

STARWOOD HOTELS & RESORTS COM

00.0104A09558

Guideline: 1-Prohibited Securities: Tobacco (1 Exception)

Securities must not be deriving significant revenues from tobacco. (Guideline # 8033 - Applies to Individual Securities)


nalP latoT (1 Exc)

Asset Description Cusip Market Value

LORILLARD INC COM 544147101 201,320.00

Guideline: 1-Repurchase Collateral (4 Exceptions)

Repos must be collateralized by 102% with US Treasuries or pass-through mortages (Guideline # 8024 - Applies to Individual Securities)

Group/Account Name

Total Plan (4 Exc)

)%( eulaV tekraMpisuCnoitpircseD tessACS FOB CAT 1 REPO REPO 0.160% 07/27/2009 DD 07/24/09

50.0

STATE STREET BK REPO SHORT TERM/NO MAT DATE

10.0

11.0 OPER YRUSAERT S U

11.0 OPER EGTM SU

26

• TheQuartilereportisawidelyusedapproachtopresent

the distribution of statistics on peer groups (i.e.,

universes) through quartile or other breakpoints. By

combining graphical and tabular information, the

quartile report can be used to display selected returns,

risk/return statistics and/or account characteristics

of one or more peer groups. A number of options are

available to customize the report output, including

whether to display Minimum and Maximum

observations or eliminate outliers. Individual

accounts or consolidations can be over-laid

against the quartile in order to compare your

information against the full range of universes

we have available (both Total Fund and Manager/

Asset Class) and appropriate benchmarks.

• Withinthisreport,theTotalFundreturnisatorabove

the universe mean return for the one-, three- and five-

year periods but is not beating its policy benchmark.

The Total Fund is in the top quartile for the previous

month and quarter while the benchmark is below the

universe mean return.

Peer GroupsQuartile How did your account perform relative to its peers? Can you show that out- or under- performance over time relative to both peers and benchmarks?

Master Trust Funds – Total Fund (USD) – MonthlyAs of May 31, 20XX

Quartile

-30.00

-20.00

-10.00

0.00

10.00

20.00

30.00

May 20XX Qtr ending May XX 1 Year 3 Years 5 Years

�

�

�

�

��

�

�

�

�


5/95

5th Percentile25th PercentileMedian Percentile75th Percentile95th Percentile# of Portfolios

Total Fund BenchmarkTotal Plan

��

6.365.214.493.411.11462

5.523.68

Value

1871

%Tile

81328

Rank21.4116.9614.099.821.41460

20.359.60

Value

877

%Tile

36354

Rank-2.93

-18.23-21.71-24.36-28.66

444

-20.95-19.96

Value

4537

%Tile

197164

Rank2.89

-0.93-2.40-3.67-5.82

419

-2.04-0.55

Value

4223

%Tile

17593

Rank6.223.762.651.710.28369

3.765.10

Value

2511

%Tile

9340

Rank

Ann

Ret

urn

27

• TheScatterreportallowsyoutoplotoneobservation

or characteristic versus another in a graphical

presentation. Often used to plot risk and return

statistics to understand the trade-off between the

two, you can use the scatter to better understand the

relationship between the statistics. The Scatter can be

both universe and component based.

• ThissampleScatterreportplotsannualizedreturns

against annualized standard deviations to help

understand the risk/return trade-off of the account.

Although the account has a higher return than the

benchmark and universe median, it has done so with

a greater level of variability of return (risk), appearing

in the top right quadrant of the scatter.

Peer Groups, continued

ScatterHow can you show how efficiently your account is using its exposure to risk, relative to a peer group?Are you getting as much performance from your risk exposure as your peers?

Small Capitalization – Growth Equity Accounts (USD) – Monthly15 Years As of April 30, 20XX

Scatter

XYZ Sm Cap� Russell 2000 Index� Citigroup Treasury Bill-3 Month�

3.00

4.50

6.00

7.50

9.00

10.50

12.00

13.50

0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00Ann Std Dev

�

�

�

Universe Source: Russell Investment Group; Universe Status: Final

Ann

Ret

urn

28

About BNY Mellon Asset ServicingBNY Mellon Asset Servicing offers clients worldwide a

broad spectrum of specialized asset servicing capabilities,

including custody and fund services, securities lending,

performance and analytics, and execution services.

Visit our website at www.bnymellon.com/assetservicing

for news and other information about our services and

to contact a BNY Mellon Asset Servicing representative

in your market.

Third Party Data and Services1

Some of the products and services described in this

guide incorporate data or services from third party

providers. We work closely with these providers to

take on as much of the licensing responsibility as

we can for our clients. However, in order to protect

their intellectual property some of these providers

may require you to enter into additional agreements

directly with them, or to pay additional fees, in

order to receive certain services or data.

1See Third Party Data and Services on back.

Performance & Risk AnalyticsSome of the reports described in this guide may require

additional subscriptions.

Reports prepared by Wilshire AssociatesReports prepared by Wilshire Associates Incorporated

contain benchmark and portfolio information calculated

using Wilshire’s pricing sources and therefore do not

contain client-directed prices. Benchmark and portfolio

figures may vary from other sources. Clients may be

required to have licenses with data or index vendors

to receive these reporting services.

Wilshire is a registered service mark of Wilshire

Associates Incorporated, Santa Monica, California.

Reports prepared by Investor AnalyticsReport prepared by Investor Analytics contain benchmark

and portfolio information calculated using Investor

Analytics’ pricing sources and therefore do not contain

client directed prices. Benchmark and portfolio figures

may vary from other sources.

bnymellon.com

Third Party Data and Services

Barclays:©BarclaysBankPLC2009.ThisdataisprovidedbyBarclaysBankPLCallrightsarereserved.Alltrademarks,includingtheBarclayseaglelogoandtheBarclaysname,brandandtradingnames,logosanddesignsaretheintellectualpropertyofBarclays.BarclaysBankPLCanditsaffiliatedcompaniesacceptnoliabilityfortheaccuracy,timeliness or completeness of such data which is provided “as is.” All warranties in relation to such data are hereby excluded to the fullest extent permitted under applicable law.

Citigroup Global Markets(formerlySALOMONSMITHBARNEY):©CitigroupGlobalMarketsInc.,2009.Allrightsreserved.SmithBarneyisadivisionandservicemarkof Citigroup Global Markets Inc. and its affiliates and is used and registered throughout the world. Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the world. CitiFx(R) is a service mark of Citicorp Inc. Nikko is a registered trade mark of Nikko Citi Holdings Inc. Any unauthorized use, duplication or disclosure is prohibited by law and may result in prosecution. Additional Citigroup information and disclosures available upon request: issuer specific disclosure; liquidity provider disclosure; valuation methodology and other disclosures; other general disclosures.

Lehman Brothers:Source:TheLehmanBrothersGlobalFamilyofIndices.Copyright2009,LehmanBrothers.Allrightsreserved.

Merrill Lynch:TheMerrillLynchIndicesareusedwithpermission.Copyright2009,MerrillLynch,Pierce,Fenner&SmithIncorporated.Allrightsreserved.TheMerrillLynchIndicesmaynotbecopied,used,ordistributedwithoutMerrillLynch’spriorwrittenapproval.

MSCI: Morgan Stanley Capital International, MSCI, ACWI, EAFE, EMF and all other index service marks referred to in the MSCI US equity index series materials are the exclusivepropertyofMSCIanditsaffiliates.Copyright©2009MorganStanleyCapitalInternationalInc.ALLRIGHTSRESERVED.UNPUBLISHED.PROPRIETARYTOMORGANSTANLEYCAPITALINTERNATIONALINC.

Moody’s Investors Services: Moody’s © Copyright 2009, Moody’s Investors Service, Inc. (“Moody’s). Moody’s ratings (“Ratings”) are proprietary to Moody’s or its affiliates and are protected by copyright and other intellectual property laws. Ratings are licensed to Distributor by Moody’s. RATINGS MAY NOT BE COPIED OR OTHERWISE REPRODUCED,REPACKAGED,FURTHERTRANSMITTED,TRANSFERRED,DISSEMINATED,REDISTRIBUTEDORRESOLD,ORSTOREDFORSUBSEQUENTUSEFORANYSUCHPURPOSE,INWHOLEORINPART,INANYFORMORMANNERORBYANYMEANSWHATSOEVER,BYANYPERSONWITHOUTMOODY’SPRIORWRITTENCONSENT. Moody’s® is a registered trademark.

Russell Investment Group (“Russell”) is the source and owner of the Russell Sector Classifications contained or reflected in this material and all trademarks and copyrights related thereto. The Russell Sector Classifications may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited.ThisisapresentationofBNYMellonPerformance&RiskAnalytics,LLC,awhollyownedsubsidiaryofTheBankofNewYorkMellonCorporation.Russellisnotresponsible for the formatting or configuration of this material or for any inaccuracy in the presentation thereof.

Russell Investment Group (“Russell”) is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. The Russell Index data may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is apresentationofBNYMellonPerformance&RiskAnalytics,LLC,awhollyownedsubsidiaryofTheBankofNewYorkMellonCorporation.Russellisnotresponsiblefortheformatting or configuration of this material or for any inaccuracy in the presentation thereof.

Russell Investment Group (“Russell”) is the source and owner of the Russell Published Universes contained or reflected in this material and all trademarks and copyrights related thereto. The Russell Published Universe data may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited.ThisisapresentationofBNYMellonPerformance&RiskAnalytics,LLC,awhollyownedsubsidiaryofTheBankofNewYorkMellonCorporation.Russellisnotresponsible for the formatting or configuration of this material or for any inaccuracy in the presentation thereof.

Standard & Poor’s: Copyright © 2009, The McGraw-Hill Companies, Inc. Standard & Poor’s COMPUSTAT® Data provided by Standard & Poor’s, a Division of The McGraw-Hill Companies, Inc. Standard & Poor’s World Wide Web home page (http://www.compustat.com). Reproduction of any information obtained from the S&P COMPUSTAT® Data is prohibited except with the written permission of S&P. Because of the possibility of human or mechanical error by S&P’s sources, S&P or others, S&P does not guarantee the accuracy, adequacy, completeness or availability of any information and is not responsible for any errors or omissions or for the results obtained from the use ofsuchinformation.THEREARENOEXPRESSORIMPLIEDWARRANTIES,INCLUDING,BUTNOTLIMITEDTO,WARRANTIESOFMERCHANTABILITYORFITNESSFOR APARTICULARPURPOSEORUSE.InnoeventshallS&Pbeliableforanyindirectspecialorconsequentialdamagesinconnectionwithsubscriber’sorothers’useofthe S&P COMPUSTAT® Data.

Credit Rating Defaults:BNYMellonPerformance&RiskAnalytics,LLCawhollyownedsubsidiaryofTheBankofNewYorkMellonCorporationappliesageneric“AGY”creditdescriptor to government agency CMOs and “UST” for US Treasuries. These generic credit descriptors are not official S&P credit ratings.

These advertising materials are provided for informational purposes only and do not constitute the rendering of legal, tax or accounting advice or other professional advice by The Bank of New York Mellon Corporation or its affiliates (“BNYM”). This material may not be reproduced or disseminated in any form without the express written permission of BNYM. BNYM does not guarantee the accuracy of any information contained herein and cannot be held liable for any errors in or reliance upon this information. Prior results do not guarantee a similar outcome. This is not an offer or solicitation to buy or sell any financial product or to participate in any particular strategy.

©2009 The Bank of New York Mellon Corporation. All rights reserved. 10/09

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