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PMC Mutual Fund andSMA Quantitative RankingMethodology 2021 Envestnet Retirement Solutions, LLC. All rights reserved.1
PMC Mutual Fund and SMA Quantitative Ranking MethodologyThe quantitative ranking (Q-Score) process was developed jointly by The Quantitative ResearchGroup (QRG) and the Envestnet PMC (PMC) Research Team. QRG provides regular andsystematic evaluation, monitoring, and ranking of funds/managers, resulting in an “Approved”list published on the Envestnet platform. This research allows advisors to choose from acomprehensive universe of “Approved-Quantitative” investment products.1. Definition of the universe of portfolios and initial screensIn this section we provide details on how we arrive at “rankable peer groups”—the groupings of portfolios (mutual funds andseparately managed accounts) that are evaluated and then ranked according to their performance.1.1. Initial universeAs a starting point, QRG considers all the available “alive” (i.e., those funds still in existence) U.S.-based mutual funds (MFs)/separately managed accounts (SMAs) in the Morningstar Direct “Open End Funds” and “Separate Accounts (Composites)”databases for MFs and SMAs, respectively. We will refer to the above mutual funds and separately managed accounts as “portfolios”throughout this document. Note: we rank the MF and SMA portfolios separately, and point out the differences in the rankingmethodologies of both.1.2. Formation of “rankable universe”We form the “rankable universe” by screening out the following portfolios from the above universe:a. ETF/MF and SMA Index fund universes (see the methodology document for definitions; “PMC ETF and/Index MF/SMA FundQuantitative Ranking Methodology”).b. Certain alternative-oriented Morningstar Categories (products from these style groups are evaluated separately via the PMCqualitative research process and assigned “Available” or “Approved-Qualitative” as appropriate. For details on the evaluationprocess around liquid alternative mutual funds, please refer to page 15 of the PMC Investment Methodology Guide).c. Any portfolio that has missing Morningstar category information.d. Any portfolio that has missing return data over the last 60 months. (For some peer groups, such as emerging markets equity,REITs, commodities, TIPS, international bonds, emerging markets bonds, bank loans, we require only 36 months of data).Note we use Morningstar’s extended performance data for product evaluation (see “Morningstar Extended PerformanceMethodology” white-paper for details).e. Any portfolio that has a PMC research status of “Approved-Qualitative” through the Analyst Exception process.1.3. Formation of “rankable peer groups”Portfolios are ranked within groups of similar strategies, and we call these groups “rankable peer groups”. These groups are derivedfrom the overall “rankable universe” by implementing the following steps:a. Adding a process that screens and maps Morningstar categories into Envestnet’s peer groups or “investment styles.” TheEnvestnet platform currently supports 48 distinct investment styles, whereas Morningstar (our source of data) groupsportfolios (MFs and SMAs) into more than 120 categories. On Envestnet’s platform, Morningstar categories are mappedinto Envestnet’s 48 investment styles according to an investment style map (see the methodology document for definitions;“Investment Style Methodology” and Appendix 1). Although all Morningstar categories are mapped to Envestnet’s investmentstyles, not all Morningstar categories are ranked in the Q-Score process (e.g., sector categories)—certain Morningstarcategories are screened out from the “rankable universe” (see Appendix 1).b. Screening out portfolios for which we are unable to identify a benchmark (see details of benchmark matching processbelow).FOR INVESTMENT PROFESSIONAL USE ONLY AND NOT APPROVED FOR THE GENERAL PUBLIC 2021 Envestnet. All rights reserved.2
PMC Mutual Fund and SMA Quantitative Ranking Methodologyc. Selecting only one share class in the ranking step to represent the performance of the MF if there are multiple share classesin the fund. We take the following steps to select the representative share class: (i) exclude load share classes and ineligibleshare classes (Retirement and R); (ii) among the remaining share classes with the required performance history (see Section1.2.d on data history requirements), we select the share class with the lowest expense ratio; (iii) in case of ties in step 2, selectthe share class with the highest priority, where the priority across the share classes is defined as follows: Inst No Load Adv Inv D A B C N S T Other.d. Screening out managers with 100 percent management team turnover in any of the last 12 quarters.e. Screening out managers who do not claim GIPS compliance by verifying that GIPS Compliance Verification Date is given inthe Morningstar database.*2. Ranking methodologyIn this section we provide details on how we arrive at the Q-Score, which is the basis for our ranking methodology for everymanager in a particular peer group.2.1. Benchmark matchingSelecting the most suitable benchmark to evaluate a manager is an important element of the Q-Score process. Our processseeks the benchmark representing the best fit for a particular manager within an asset class. The benchmark matching process issubdivided into the following steps:a. Maintaining approved benchmark lists for each of the “rankable peer groups.” These lists are created in a collaborative effortwith PMC Research team, and are reviewed regularly. They are based on benchmark incidence and fit within a particular peergroup (see Appendix 2).b. Selecting the proper fit measures. Our analysis shows that fit measures (such as the coefficient of determination,R2,andTracking Error, TE, etc.) can change drastically through time within the same peer group, and can vary across peer groups(see Figure 1, which illustrates cross-sectional R2 distributions for two large-cap core and intermediate bond peer groupsthrough time). Also, whereas the coefficient of determination (R2) is a very useful tool for determining the fit of a benchmarkto a manager’s performance, it must be complemented with other measures (such as Tracking Error, or TE) that measurenot only co-movement of the benchmark and the manager, but also their relative distance from one another. Finally, whenexamining multiple possible evaluation benchmarks, we prefer to give more weight to the benchmark that the managerselects (i.e., prospectus benchmark), while still verifying that its fit is appropriate.Figure 1: R2 distributions for large cap-core and intermediate bondsIntermediate BondLarge-Cap 5080910111213140.008091011121314* If GIPS information is missing from Morningstar database, an independent performance audit maybe used as a manual override to the GIPS requirement.FOR INVESTMENT PROFESSIONAL USE ONLY AND NOT APPROVED FOR THE GENERAL PUBLIC 2021 Envestnet. All rights reserved.3
PMC Mutual Fund and SMA Quantitative Ranking MethodologyFigure 2: Benchmark processCheck Manager’sProspectusBenchmarkOn Approved Listof benchmarks?NoYesEvaluate whether“match” existsIs benchmark’s R 2 average of (0.80, 30thpercentile ofcross-sectional R 2 )?Move to nextbenchmark on listYesAdditional Approvedbenchmarks on list?NoNo suitable benchmark.Manager not evaluatedfor ranking.NoYesBenchmarkselectedTo accomplish the above, we adhere to a benchmark process that is illustrated in the flowchart in Figure 2.The “matching” process in the flowcharts refers to calculating an R2 for every manager against every approved benchmark,and then using these results to obtain cross-sectional distributions of R2’s for every benchmark in a particular peer group.Then, the R2 of a particular manager with respect to its benchmark is compared to the minimum of 0.8, or the average of 0.8and the 30th percentile of this cross-sectional distribution of R2’s. If the R2 of the manager is higher than this threshold, thenwe deem that the benchmark matches the performance of the manager. If multiple benchmarks “match” the performance ofa manager, we select the one with the lowest Tracking Error.The purpose of calculating the cross-sectional distributions of R2s across every manager in the peer group is to account fortwo empirical facts: 1) R2s change through time, and 2) they are different across peer groups. Thus, while we ideally preferhigh absolute values for our fit measures (e.g., R2s), we seek to calibrate these absolute required cut-off values with thoseobserved in our peer group at a particular point in time. Our process accomplishes this.c. We also have introduced methodology that aims to minimize the turnover in the approval status due to changes in thebenchmarks. Even if a benchmark selected for a manager in the past is no longer a match in the current quarter, we retainthat manager’s original benchmark for at least two quarters. If at the end of two quarters a particular benchmark still does notmatch, then a new benchmark is assigned to the manager. Also, if a benchmark selected in the previous quarter continues tobe a match, we retain it even if another benchmark exists with lower Tracking Error.2.2. Evaluation dimension calculationThe next step in the manager quantitative evaluation process is to calculate various performance measures for every manager in the“rankable peer group” against the benchmark that we selected in the previous step. For most asset classes the criteria are measuredat three- and five-year horizons. For certain asset class groups (emerging markets equity, REITs, commodities, TIPS, internationalbond, emerging markets bonds, bank loans), only the three-year measurements are used. There are three return-based criteria andthree risk-based criteria: Active Return, Information Ratio, and Consistency (“batting average”) are the return-based measures, andBeta, Tracking Error, and R2 are the risk-based measures. These measures constitute the components of the Q-Score that then willbe used to rank the portfolios in a given peer group.2.3. Q-Score calculationOnce various performance measures for every manager have been calculated, we standardize them so they can be combined in oneoverall performance measure. All three return-based measures (AR, IR, and Consistency) and two risk-based measures (TR and R2)are standardized by their percentile in peer groups. The only exception is Beta, where we use the ranking percentile of abs(Beta - 1) asthe standardized unit.FOR INVESTMENT PROFESSIONAL USE ONLY AND NOT APPROVED FOR THE GENERAL PUBLIC 2021 Envestnet. All rights reserved.4
PMC Mutual Fund and SMA Quantitative Ranking MethodologyOnce all the performance dimensions are standardized, the values are averaged to obtain the Q-Score, on the basis of which we thenrank the portfolios.2.4. RankingThe final step in the process is to rank the managers within their respective “rankable peer groups” using the Q-Score obtained inthe previous step. The top 30% of Q-Scores receives an “Approved-Quantitative“ research status, while the bottom 50% receivesan “Available” status (see Figure 4). If the portfolio’s Q-Score puts the interval below top 30%, but above the bottom 50%, then theresearch status depends on the portfolio’s research status at the time the ranking process is performed. If the research status was“Approved-Quantitative,” then we continue to maintain the portfolio with “Approved-Quantitative” status—which means, essentially,that the portfolio is on “warning track.” The purpose of the “warning track” is to reduce the turnover of the managers with the“Approved-Quantitative” status. If the portfolio’s Q-Score puts the interval below top 30%, but above the bottom 50%, and theresearch status at the time the ranking process is performed is “Available,” then the portfolio retains the “Available” status.We also apply a four-quarter Approval Carryforward period to newly approved managers. Within the Approval Carryforward period,the manager retains “Approved-Quantitative” status regardless of the current Q-score. The purpose of the Approval Carryforwardperiod is to further reduce the turnover of the managers, especially for those with volatile performance.Figure 4: Distribution of Q-ScoresDistribution of quantitativescores across a categoryLow RankHigh Rank50%On-going ApprovedList RequirementAvailable ManagersApproved Managers30%Initial ApprovedList RequirementAvailable Managers and Approved ManagersFOR INVESTMENT PROFESSIONAL USE ONLY AND NOT APPROVED FOR THE GENERAL PUBLIC 2021 Envestnet. All rights reserved.5
PMC Mutual Fund and SMA Quantitative Ranking MethodologyAppendixTable 1 below contains the error codes generated by running the Q-Score process:Table 1: Error codes from the Q-Score processAFewer than 36 months of data available and/or missing observations in the last 36 months.BMissing Morningstar category.CUnrankable M* category.DBest fit benchmark is unrankable.EMissing or unrecognizable prospectus/manager preferred benchmark.FParticular prospectus/manager preferred benchmark not ranked in this ENV peer group.GNo rankable share classes in the fund.IFund does not have enough observations for that particular peer group, i.e. less than 60 months for the core asset classes (domesticequity/fixed, balanced, EAFE), or less than 36 for the other asset classes.JFund is not an index fund.KFund is in the list of alternative funds or index funds.LShare class is not rankable because it has loads or another share class has lower expense ratios.MMissing ENV peer group or benchmark SECID. This usually happens when new M* category is introduced and has not yet been addedto the map (see Table 2).NNo matching benchmark found.OShare class is unrankable.PThe manager does not claim GIPS compliance.QPortfolio management for the fund has completely turned over. All portfolio managers associated with the management of the fundare all no longer managing it in the current quarter.Table 2 below lists a map from Morningstar categories into Envestnet peer groups, along with flags denoting whether a particularMorningstar category is rankable. In addition, for each Envestnet peer group, it lists a set of rankable benchmarks.Table 2: Morningstar category to Envestnet peer group map and a list of associated benchmarksENVESTNET PEERGROUPMORNINGSTAR CATEGORYMORNINGSTAR CATEGORY RANKABLEBENCHMARKBENCHMARK RANKABLEAlternativeConvertiblesnoBofAML Convertible Bonds All QualitiesnoAlternativeLeveraged Net LongnoRussell 3000 TR USDnoAlternativeEnergy Limited PartnershipnoMSCI ACWI NR USDnoAlternative Fixed IncomeNontraditional BondnoBarCap US Govt/Credit 5-10 Yr TR USDnoBalancedAllocation--50% to 70% EquityyesMorningstar Moderately Aggr Target RiskyesBalancedRussell 3000 TR USDyesBalancedS&P 500 TR USDyesMorningstar Con Tgt Risk TR USDnoBalancedAllocation--15% to 30% EquitynoFOR INVESTMENT PROFESSIONAL USE ONLY AND NOT APPROVED FOR THE GENERAL PUBLIC 2021 Envestnet. All rights reserved.6
PMC Mutual Fund and SMA Quantitative Ranking MethodologyENVESTNET PEERGROUPMORNINGSTAR CATEGORYMORNINGSTAR CATEGORY RANKABLEBENCHMARKBENCHMARK RANKABLEBalancedAllocation--30% to 50% EquitynoMorningstar Moderately Cons Target RisknoBalancedAllocation--70% to 85% EquitynoMorningstar Aggressive Target RisknoBalancedAllocation--85% EquitynoMorningstar Agg Tgt Risk TR USDnoBalancedTarget Date 2000-2010noMorningstar Lifetime Moderate 2010noBalancedTarget Date 2015noMorningstar Lifetime Moderate 2015noBalancedTarget Date 2020noMorningstar Lifetime Moderate 2020noBalancedTarget Date 2025noMorningstar Lifetime Moderate 2025noBalancedTarget Date 2030noMorningstar Lifetime Moderate 2030noBalancedTarget Date 2035noMorningstar Lifetime Moderate 2035noBalancedTarget Date 2040noMorningstar Lifetime Moderate 2040noBalancedTarget Date 2045noMorningstar Lifetime Moderate 2045noBalancedTarget Date 2050noMorningstar Lifetime Moderate 2050noBalancedTarget Date 2055noMorningstar Lifetime Moderate 2055noBalancedTarget-Date 2060 noMorningstar Lifetime Mod 2060noBalancedTarget-Date 2065 noMorningstar Lifetime Mod 2060noBalancedTarget-Date RetirementnoMorningstar Lifetime Moderate IncomenoBalancedTactical AllocationnoMorningstar Moderately Aggr Target RisknoBalancedWorld AllocationnoMorningstar Gbl Allocation TR USDnoBank LoanBank LoanyesS&P/LSTA Leveraged Loan TRyesBank LoanCredit Suisse Leveraged Loan USDyesBank LoanBarclays US High Yield Loans TR USDnoBank LoanBarclays US HY Loans Performing MV USDnoCashMorningstar Taxable Money Market AWnoCashMoney Market -- TaxablenoCiti Treasury Bill 3 Mon USDnoCashMorningstar Taxable Money Market EWnoCashBarCap US Treasury BillsnoCashBarCap US Treasury Bill 1-3 Mon TRnoCashBarCap US Treasury Bill 6-9 Mon TRnoCashBarCap US Treasury Bill 9-12 Mon TRnoCashPrime Money MarketnoBofAML USD LIBOR 3 Mon CMnoCashMoney Market -- Tax-freenoBofAML USD LIBOR 3 Mon CMnoCashMoney Market—Non-40 ActnoBofAML USD LIBOR 3 Mon CMnoCommoditiesCommodities Broad BasketyesDJ UBS Commodity TR USDyesCommoditiesCommodities FocusednoDJ UBS Commodity TR USDnoCommoditiesEquity Precious MetalsnoMSCI World/Metals & Mining USDnoCommoditiesNatural ResourcesnoS&P North American Natural Resources TRnoEmerging Markets BondEmerging Markets BondyesJPM EMBI Global TR USDyesEmerging Markets BondJPM EMBI Global Diversified TR USDyesEmerging Markets BondJPM GBI EM Global Diversified TR USDyesEmerging Markets BondJPM EMBI Global Diversified IG TR USDyesFOR INVESTMENT PROFESSIONAL USE ONLY AND NOT APPROVED FOR THE GENERAL PUBLIC 2021 Envestnet. All rights reserved.7
PMC Mutual Fund and SMA Quantitative Ranking MethodologyENVESTNET PEERGROUPMORNINGSTAR CATEGORYMORNINGSTAR CATEGORY RANKABLEBENCHMARKBENCHMARK RANKABLEEmerging Markets BondEmerging-Markets Local-yesBarclays EM Local Currency Govt TR USDyesCurrency BondEquity Market NeutralEquity Market NeutralnoMorningstar Mod Con Tgt Risk TR USDnoEvent DrivenEvent DrivennoMorningstar Mod Con Tgt Risk TR USDnoEvent DrivenRelative Value ArbitragenoMorningstar Mod Con Tgt Risk TR USDnoForeign Large Cap CoreForeign Large BlendyesMSCI ACWI Ex USA NR USDyesForeign Large Cap CoreMSCI EAFE NR USDyesForeign Large Cap CoreMSCI World Ex USA NR USDyesForeign Large Cap CoreMSCI EAFE GR USDyesForeign Large Cap CoreJapan StocknoMSCI Japan NR USDnoForeign Large Cap CoreEurope StocknoMSCI Europe NR USDnoForeign Large Cap CoreDiversified Pacific/AsianoMSCI Pacific NR USDnoForeign Large Cap CoreMiscellaneous RegionnoMSCI ACWI Ex USA NR USDnoForeign Large GrowthForeign Large GrowthyesMSCI ACWI Ex USA Growth NR USDyesForeign Large GrowthMSCI EAFE Growth NR USDyesForeign Large GrowthMSCI EAFE NR USDyesMSCI ACWI Ex USA NR USDyesMSCI ACWI Ex USA Value NR USDyesForeign Large ValueMSCI EAFE Value NR USDyesForeign Large ValueMSCI EAFE NR USDyesMSCI ACWI Ex USA NR USDyesMSCI World Ex USA SMID NR USDyesMSCI EAFE Small Cap NR USDyesMSCI World Ex USA SMID NR USDyesMSCI EAFE Small Cap NR USDyesMSCI World Ex USA SMID NR USDyesMSCI EAFE Small Cap NR USDyesMSCI AC World NR USDyesGlobal EquityMSCI World NR USDyesGlobal EquityMSCI World GR USDyesGlobal EquityMSCI AC World GR USDyesForeign Large GrowthForeign Large ValueForeign Large ValueyesForeign Large ValueForeign Small/Mid BlendForeign Small/Mid BlendyesForeign Small/Mid BlendForeign Small/Mid GrowthForeign Small/Mid GrowthyesForeign Small/Mid GrowthForeign Small/Mid ValueForeign Small/Mid ValueyesForeign Small/Mid ValueGlobal EquityWorld Large-Stock BlendyesGlobal EquityWorld Large-Stock GrowthyesMSCI ACWI Growth NR USDyesGlobal EquityWorld Large-Stock ValueyesMSCI ACWI Value NR USDyesGlobal EquityWorld Small/Mid StockyesMSCI ACWI SMID NR USDyesGlobal EquityMSCI World NR USDyesGlobal EquityMSCI AC World NR USDyesGlobal EquityMSCI World GR USDyesGlobal EquityMSCI AC World GR USDyesGlobal MacroCurrencynoHFRX Macro/CTAnoGlobal MacroSingle CurrencynoHFRX Macro/CTAnoGlobal MacroMacro TradingnoMorningstar Mod Con Tgt Risk TR USDnoFOR INVESTMENT PROFESSIONAL USE ONLY AND NOT APPROVED FOR THE GENERAL PUBLIC 2021 Envestnet. All rights reserved.8
PMC Mutual Fund and SMA Quantitative Ranking MethodologyENVESTNET PEERGROUPMORNINGSTAR CATEGORYMORNINGSTAR CATEGORY RANKABLEBENCHMARKBENCHMARK RANKABLEHedged EquityLong/Short EquitynoRussell 1000 TR USDnoHedged EquityDerivative IncomenoCBOE S&P 500 BuyWrite BXMnoHedged EquityOptions TradingnoMorningstar Mod Con Tgt Risk TR USDnoHigh YieldHigh Yield BondyesBofAML US HY Master II TR USDyesHigh YieldBarCap US Corporate High Yield TR USDyesHigh YieldBofAML US HY Corp C Pay BB-B 1-5Y TRyesUSDHigh YieldBarclays US HY 2% Issuer Cap TR USDyesHigh YieldCredit Suisse HY USDyesHigh YieldBofAML US HY BB-B Constrained TR USDyesHigh YieldBarclays Global High Yield TR USDyesHigh YieldHigh Yield MuninoBarCap Municipal 10 Yr 8-12 TR USDnoIntermediate BondIntermediate GovernmentyesBarCap US Government TR USDnoIntermediate BondIntermediate Core BondyesBarclays US Agg Bond TR USDyesIntermediate BondIntermediate Core-Plus BondyesBBgBarc US Universal TR USDnoIntermediate BondMultisector BondnoBarCap US Universal TR USDnoIntermediate BondCorporate BondyesBarclays US Corp IG TR USDnoIntermediate BondBarclays US Agg Bond TR USDyesIntermediate BondBarclays US Govt/Credit Interm TR USDyesIntermediate BondBarclays US MBS TR USDyesIntermediate BondBarclays US Agg Interm TR USDyesIntermediate BondBarclays US Govt Interm TR USDyesIntermediate BondBarclays Intermediate Treasury TR USDyesIntermediate BondBarclays US Govt/Credit TR USDyesIntermediate BondBarclays US Gov/Corp Intermediate TRyesUSDIntermediate BondBofAML US Corp&Govt 1-10 Yr A-AAA TRyesUSDIntermediate BondBarCap US Interm Credit TR USDyesIntermediate BondBofAML Preferred Stock Fixed Rate TRnoUSDIntermediate MuniMuni National IntermyesBarCap Municipal 10 Yr 8-12 TR USDyesIntermediate MuniBarclays Mun 1-15 Yr Blend (1-17) TR USDyesIntermediate MuniBarclays Municipal 7 Yr 6-8 TR USDyesIntermediate MuniBarclays Municipal 3-15Y Blend 2-17Y TRyesIntermediate MuniBarclays Municipal 1-15 Yr TR USDyesIntermediate MuniS&P Municipal Bond Intermediate TRyesIntermediate MuniBarclays Muni Inter-Short 1-10 TR USDyesIntermediate MuniBofAML Municipals 1-12 Yr TR USDyesIntermediate MuniBarclays Municipal 1-10Y Blend 1-12Y TRyesIntermediate MuniBofAML Municipals 3-15Y TR USDyesFOR INVESTMENT PROFESSIONAL USE ONLY AND NOT APPROVED FOR THE GENERAL PUBLIC 2021 Envestnet. All rights reserved.9
PMC Mutual Fund and SMA Quantitative Ranking MethodologyENVESTNET PEERGROUPMORNINGSTAR CATEGORYMORNINGSTAR CATEGORY RANKABLEIntermediate MuniBENCHMARKBENCHMARK RANKABLEBarclays Muni Managed My Sht/Intm TRyesUSDIntermediate MuniBarclays Muni Managed Money TR USDyesIntermediate MuniBarclays Muni Quality Interm TR USDyesIntermediate MuniMuni California IntermediatenoBarCap Municipal California Exempt TRnoIntermediate MuniMuni New York IntermediatenoBarCap Municipal New York Exempt TRnoIntermediate MuniMuni MassachusettsnoBarCap Municipal 10 Yr 8-12 TR USDnoIntermediate MuniMuni MinnesotanoBarCap Municipal 10 Yr 8-12 TR USDnoIntermediate MuniMuni New JerseynoBarCap Municipal 10 Yr 8-12 TR USDnoIntermediate MuniMuni OhionoBarCap Municipal 10 Yr 8-12 TR USDnoIntermediate MuniMuni PennsylvanianoBarCap Municipal 10 Yr 8-12 TR USDnoIntermediate MuniMuni Single State IntermnoBarCap Municipal 10 Yr 8-12 TR USDnoInternational BondWorld BondyesCiti WGBI NonUSD USDyesInternational BondBarclays Global Aggregate TR USDyesInternational BondBarclays Gbl Agg Ex USD TR USDyesInternational BondJPM GBI Global Ex US TR USDyesInternational BondCiti WGBI USDyesInternational BondBarclays Global Aggregate TR Hdg USDyesInternational BondJPM GBI Global TR Hdg USDyesInternational BondBarclays Global Treasury Ex US TR USDyesInternational BondBarclays Global Credit Corp TR USDyesInternational BondJPM GBI EM Global Diversified TR LCLyesInternational BondJPM GBI Global Ex US TR Hdg USDyesMSCI EM NR USDyesMSCI EM GR USDyesIntl Emerging MarketsDiversified Emerging MktsyesIntl Emerging MarketsIntl Emerging MarketsChina RegionnoRussell China TR USnoIntl Emerging MarketsIndia EquitynoMSCI India NR USDnoIntl Emerging MarketsLatin America StocknoMSCI EM Latin America USDnoIntl Emerging MarketsPacific/Asia ex-Japan StknoMSCI AC Far East Ex Japan NR USDnoInverseTrading-Inverse DebtnoS&P 500 TR USDnoInverseTrading-Inverse EquitynoS&P 500 TR USDnoInverseTrading-Inverse CommoditiesnoS&P 500 TR USDnoLarge-Cap CoreLarge BlendyesRussell 1000 TR USDyesLarge-Cap CoreS&P500yesLarge-Cap CoreRussell 3000 TR USDyesLarge-Cap CoreWilshire 5000 Total Mkt TR USDyesLarge-Cap CoreFinancialnoDJ US Financial TR USDnoLarge-Cap CoreHealthnoDJ US Health Care TR USDnoLarge-Cap CoreTechnologynoMorningstar SEC/Technology TR USDnoFOR INVESTMENT PROFESSIONAL USE ONLY AND NOT APPROVED FOR THE GENERAL PUBLIC 2021 Envestnet. All rights reserved.10
PMC Mutual Fund and SMA Quantitative Ranking MethodologyENVESTNET PEERGROUPMORNINGSTAR CATEGORYMORNINGSTAR CATEGORY RANKABLEBENCHMARKBENCHMARK RANKABLELarge-Cap CoreUtilitiesnoDJ Utilities Average TR USDnoLarge-Cap CoreConsumer DefensivenoS&P 1500 Cons Staples TRnoLarge-Cap CoreEquity EnergynoS&P 1500 Energy TRnoLarge-Cap CoreConsumer CyclicalnoS&P 1500 Cons Discretionary TRnoLarge-Cap CoreCommunicationsnoDJ US Telecom TRnoLarge-Cap CoreIndustrialsnoS&P 1500 Industrials TRnoLarge-Cap CoreMiscellaneous SectornoRussell 3000 TRnoLarge-Cap GrowthLarge GrowthyesRussell 1000 Growth TR USDyesLarge-Cap GrowthS&P 500 Growth TRyesLarge-Cap GrowthS&P 500 TR USDyesLarge-Cap GrowthRussell 3000 Growth TR USDyesRussell 1000 TR USDyesRussell 1000 Value TR USDyesLarge-Cap ValueS&P 500 Value TRyesLarge-Cap ValueS&P 500 TR USDyesLarge-Cap ValueRussell 3000 Value TR USDyesLarge-Cap GrowthLarge-Cap ValueLarge ValueyesLarge-Cap ValueRussell 1000 TR USDyesLeveragedTrading-Leveraged DebtnoS&P 500 TR USDnoLeveragedTrading-Leveraged EquitynoS&P 500 TR USDnoLeveragedTrading-LeveragednoS&P 500 TR P 500 TR USDnoLong BondLong-Term BondyesBarCap US Govt/Credit Long TR USDyesBarCap Long Term US Treasury TRyesBarCap US Government Long TR USDnoLong BondBarCap Long US Corp TRyesLong BondBarCap US Aggregate 10 Yr TR USDyesLong BondCiti USBIGyesLong BondBarCap US Long Credit TR USDyesBarclays US Govt/Credit TR USDyesBarCap Municipal 20 Yr 17-22 TR USDyesLong MuniBarclays Municipal Long 22 Yr TR USDyesLong MuniS&P National Municipal Bond TRyesLong MuniBarclays Muni Managed Mny Long TR USDyesLong MuniML Municipals 15 Y TR USDyesLong MuniBarclays Municipal TR USDyesLong BondLong BondLong GovernmentyesLong BondLong MuniMuni National LongyesLong MuniMuni California LongnoBarCap Municipal California Exempt TRnoLong MuniMuni New York LongnoBarCap Municipal New York Exempt TRnoLong MuniMuni Single State LongnoBarCap Municipal 20 Yr 17-22 TR USDnoManaged FuturesManaged FuturesnoBarclay CTA IndexnoMid-Cap CoreMid-Cap BlendyesS&P MidCap 400 TRyesFOR INVESTMENT PROFESSIONAL USE ONLY AND NOT APPROVED FOR THE GENERAL PUBLIC 2021 Envestnet. All rights reserved.11
PMC Mutual Fund and SMA Quantitative Ranking MethodologyENVESTNET PEERGROUPBENCHMARKBENCHMARK RANKABLEMid-Cap CoreRussell Mid Cap TR USDyesMid-Cap CoreS&P 500 TR USDyesMid-Cap CoreRussell Mid Cap Value TR USDyesMid-Cap CoreRussell 2500 TR USDyesMid-Cap CoreRussell 3000 TR USDyesRussell Mid Cap Growth TR USDyesMid-Cap GrowthRussell 2500 Growth TR USDyesMid-Cap GrowthRussell Mid Cap TR USDyesMid-Cap GrowthS&P MidCap 400 TRyesMid-Cap GrowthRussell 2500 TR USDyesMid-Cap GrowthRussell 3000 Growth TR USDyesRussell 1000 Growth TR USDyesRussell Mid Cap Value TR USDyesMid-Cap ValueRussell 3000 Value TR USDyesMid-Cap ValueRussell 2500 Value TR USDyesMid-Cap ValueRussell 2500 TR USDyesMid-Cap ValueRussell Mid Cap TR USDyesMid-Cap ValueRussell 1000 Value TR USDyesMid-Cap GrowthMORNINGSTAR CATEGORYMid-Cap GrowthMORNINGSTAR CATEGORY RANKABLEyesMid-Cap GrowthMid-Cap ValueMid-Cap ValueyesMulti-StrategyMultistrategynoMorningstar Mod Con Tgt Risk TR USDnoREITsReal EstateyesDJ US Select REIT TR USDyesREITsFTSE NAREIT All Equity REITs TRyesREITsMSCI US REIT GR USDyesREITsMSCI US REIT NR USDyesREITsFTSE NAREIT Equity REITs TR USDyesREITsWilshire US REIT TR USDyesREITsInfrastructurenoDJ Brookfld Global Infra TR USDnoREITsGlobal Real EstateyesS&P Global REIT TR USDyesREITsFTSE EPRA/NAREIT Developed TR USDyesREITsFTSE EPRA/NAREIT Developed NR USDyesShort MuniBarCap Municipal 3 Yr 2-4 TR USDyesShort MuniMuni National ShortyesBarclays Muni 1-5 Yr Blend (1-6) TR USDyesShort MuniBarclays Municipal 1-5 Yr TR USDyesShort MuniBarclays Municipal 1-3 Yr TR USDyesShort MuniS&P Municipal Bond Short TRyesShort MuniS&P Municipal Bond Short Intermediate TRyesShort MuniBarclays Muni Managed Mny Short TR USDyesShort MuniBarCap Municipal 5 Yr 4-6 TR USDyesShort MuniBarclays Muni Inter-Short 1-10 TR USDyesShort MuniMuni Single State ShortnoBarCap Municipal 3 Yr 2-4 TR USDnoShort Term BondShort-Term BondyesBarCap Govt/Credit 1-5 Yr TR USDyesFOR INVESTMENT PROFESSIONAL USE ONLY AND NOT APPROVED FOR THE GENERAL PUBLIC 2021 Envestnet. All rights reserved.12
PMC Mutual Fund and SMA Quantitative Ranking MethodologyENVESTNET PEERGROUPMORNINGSTAR CATEGORYMORNINGSTAR CATEGORY RANKABLEBENCHMARKBENCHMARK RANKABLEShort Term BondShort GovernmentyesBarCap Government 1-5 Yr TR USDyesShort Term BondStable ValuenoUSTREAS T-Bill Cnst Mat Rate 3 YrnoShort Term BondUltrashort BondyesBarclays Govt/Corp 1 Yr Duration TR USDnoShort Term BondBarclays US Govt/Credit 1-3 Yr TR USDyesShort Term BondBofAML US Treasuries 1-3 Yr TR USDyesShort Term BondBarclays US Govt 1-3 Yr TR USDyesShort Term BondBarclays Credit 1-3 Yr TR USDyesShort Term BondBarclays US Aggregate 1-3 Yr TR USDyesShort Term BondBarclays US Corp 1-5 Yr TR USDyesShort Term BondBofAML US Corp&Govt 1-3 Yr TR USDyesShort Term BondBofAML US Corp&Govt 1-5 Yr TR USDyesShort Term BondBarclays 1-3 Yr US Treasury TR USDyesShort Term Bon
MC Mutual Fund and SMA Quantitative Ranking Methodology. c. Selecting only one share class in the ranking step to represent the performance of the MF if there are multiple share classes in the fund. We take the following steps to select the representative share class: (i) exclude load share classes and ineligible .
