Morningstar Manager Benchmarks (for portfolios available for sale in the United States) Morningstar Methodology Paper October 2010 2010 Morningstar, Inc. All rights reserved. The information in this document is the property of Morningstar, Inc. Reproduction or transcription by any means, in whole or in part, without the prior written consent of Morningstar, Inc., is prohibited.
Contents Introduction 3 Institutional Category Series 4 Investment Aggregate Series 5 Investment Focus Series 11 General Construction Rules 14 Benchmark Performance Data 15 Benchmark Operational Data 16 Benchmark Aggregate Portfolios 19 Appendix I: Available Institutional Category Series Morningstar Manager Benchmarks 20 Appendix II: Available Investment Aggregate Series Morningstar Manager Benchmarks 30 Appendix III: Available Investment Focus Series Morningstar Manager Benchmarks 32 in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 2
Introduction The Morningstar Manager Benchmarks offer a distinct view into a full range of managed investments for incisive performance, portfolio, and operations data analysis that better captures how money mangers and consultants view the manager and investment universes. This time series data consists of peer groups based on the Morningstar Institutional Categories and specialized investment groupings based on fund attribute data. Providing a true assessment of objectively defined peer groups, the Morningstar Manager Benchmarks are a critical reference during manager performance evaluations, peer group comparisons, and lineup construction. The specialized benchmarks divide funds into peer groups by criteria such as portfolio or stock concentration for improved benchmarking. These fund-based benchmarks facilitate deeper category analysis and are available in asset-weighted and equal-weighted versions. Benchmarks contain constituents from the Open End, Closed End, VA Underlying, and Exchange Traded Fund universes, as these universes are ranked collectively within the Morningstar Institutional Categories. Three Distinct Benchmark Series The Morningstar Manager Benchmarks contain three distinct series of benchmarks based on key peer grouping factors such as Morningstar Institutional Category, equity style, investment strategy, and market capitalization. Each series has a unique set of construction rules to determine constituency, so that peer grouping is a precise combination of Morningstar Institutional Category and fund attribute data. Available Morningstar Manager Benchmark Series Institutional Category Series Investment Aggregate Series Investment Focus Series o Stock Concentration Benchmarks o Ethical Issue Concentration Benchmarks in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 3
Institutional Category Series The Institutional Category Series benchmarks are derived directly from the Morningstar Institutional Categories classification system. The Morningstar Institutional Categories were launched in 2009 in response to feedback from Morningstar s institutional clients. They felt the Morningstar Categories were typically too broad to support their business processes, such as manager compensation discussions and expense peer grouping. The Morningstar Institutional Categories were developed to address those needs by using more granular definitions to assign portfolios to peer groups. The result is a system with many more categories that more thoroughly identify distinct investment strategies. Each Morningstar Institutional Category has an accompanying asset-weighted and equalweighted Morningstar Manager Benchmark within the Institutional Category Series. The benchmarks in this series serve in lieu of the standard category averages. Morningstar Institutional Categories cover Open-End, Closed End, Variable Annuity underlying, and Exchange Traded funds; thus, these investment types populate the Institutional Category Series benchmarks. Broad category groupings of available Institutional Category Series benchmarks: Domestic Equity Alternative Strategies Commodities Sector Specific International Equity Balanced Target Date Taxable Bond Municipal Bond Money Market Please refer to Appendix: I at the end of this document for a list of the available Institutional Category Series Morningstar Manager Benchmarks. For more information on the Morningstar Institutional Categories, please refer to the Morningstar methodology document available at: http://corporate.morningstar.com/us/documents/methodologydocuments/methodologypapers/ InstitutionalCategoryClassificationsMeth.pdf in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 4
Investment Aggregate Series The Investment Aggregate series consists of aggregate groups based on roll ups of Institutional Categories. An aggregate benchmark is compiled by grouping together categories with similar characteristics along key dimensions such as market capitalization, equity style, effective duration, credit quality, and region exposure. Market Capitalization-Based Aggregate Benchmarks Investment Aggregate Benchmarks based on market capitalization combine the portfolios of Institutional Category constituents with similar capitalizations. The Institutional Category style box, pictured below, provides a graphic example of the roll up of Institutional Categories to create an Aggregate Benchmark based on market capitalization. Please see below for the Institutional Categories which comprise each of the capitalization based Investment Aggregate Benchmarks. Large Cap Roll Up Market Capitalization-Based Benchmarks Morningstar Aggregate US Giant Cap Institutional Category Components Giant Value Giant Blend Giant Growth in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 5
Investment Aggregate Series (continued) Capitalization based Investment Aggregate Benchmarks (continued) Market Capitalization-Based Benchmarks Morningstar Aggregate US Large Cap Institutional Category Components Large Deep Value Large Core Value Large Relative Value Large Core Large Valuation Sensitive Growth Large Core Growth Large High Growth Morningstar Aggregate US Mid Cap Mid Deep Value Mid Core Value Mid Relative Value Mid Core Mid Valuation Sensitive Growth Mid Core Growth Mid High Growth Morningstar Aggregate US Small Cap Small Deep Value Small Core Value Small Relative Value Small Core Small Valuation Sensitive Growth Small Core Growth Small High Growth Morningstar Aggregate Foreign Large Cap Foreign Large Growth Foreign Large Core Foreign Large Value Morningstar Aggregate Foreign Small/Mid Cap Foreign Small/Mid Growth Foreign Small/Mid Core Foreign Small/Mid Value in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 6
Investment Aggregate Series (continued) Equity Style-Based Aggregate Benchmarks Investment Aggregate Benchmarks based on equity style combine the portfolios of Institutional Categories with similar style dimensions. Please see below for the Institutional Categories which comprise each of the style based Investment Aggregate Benchmarks as well as a graphic representation of the aggregation of Institutional Categories based on equity style. Deep Value Roll Up Equity Style-Based Benchmarks Morningstar Aggregate US Deep Value Morningstar Aggregate US Core Value Morningstar Aggregate US Relative Value Institutional Category Components Large Deep Value Mid Deep Value Small Deep Value Large Core Value Mid Core Value Small Core Value Large Relative Value Mid Relative Value Small Relative Value in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 7
Investment Aggregate Series (continued) Equity Style-Based Investment Aggregate Benchmarks (continued) Equity Style-Based Benchmarks Morningstar Aggregate US Core Institutional Category Components Large Core Mid Core Small Core Morningstar Aggregate US Valuation Sensitive Growth Large Valuation Sensitive Growth Mid Valuation Sensitive Growth Small Valuation Sensitive Growth Morningstar Aggregate US Core Growth Large Core Growth Mid Core Growth Small Core Growth Morningstar Aggregate US High Growth Large High Growth Mid High Growth Small High Growth Morningstar Aggregate Foreign Value Foreign Large Value Foreign Small/Mid Value Morningstar Aggregate Foreign Core Foreign Large Core Foreign Small/Mid Core Morningstar Aggregate Foreign Growth Foreign Large Growth Foreign Small/Mid Growth in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 8
Investment Aggregate Series (continued) Fixed Income Effective Duration-Based Investment Aggregate Benchmarks Investment Aggregate Benchmarks based on fixed income effective duration combine the portfolios of Institutional Category constituents with equivalent effective durations. Please see below for the Institutional Categories that comprise each of the effective duration-based Investment Aggregate Benchmarks. Effective Duration-Based Aggregate Benchmarks Institutional Category Components Morningstar Aggregate Short Short-Term Government Taxable Bond Short-Term Investment Grade Morningstar Aggregate Short/Intermediate Short/Intermediate Government (2.5-4) Taxable Bond Short/Intermediate Investment Grade (2.5- Morningstar Aggregate Intermediate Intermediate Government (4-6) Taxable Bond Intermediate Investment Grade (4-6) Morningstar Aggregate Long Long Government (>6) Taxable Bond Long Investment Grade (>6) Morningstar Aggregate California Municipal Bond Muni California Long Muni California Intermediate Muni California Short-Intermediate Morningstar Aggregate New York Municipal Bond Muni New York Long Muni New York Short & Intermediate Morningstar Aggregate Massachusetts Municipal Bond Muni Massachusetts Long Muni Massachusetts Short & Intermediate Fixed Income Credit Quality-Based Investment Aggregate Benchmarks Investment Aggregate Benchmarks based on fixed income average credit quality combine the portfolios of constituents in Institutional Categories with parallel credit quality. Please see below for the Institutional Categories which comprise each of the credit quality based Investment Aggregate Benchmarks. in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 9
Investment Aggregate Series (continued) Fixed Income Credit Quality-Based Investment Aggregate Benchmarks Credit Quality-Based Aggregate Benchmarks Morningstar Aggregate High Quality Taxable Morningstar Aggregate Corporate Taxable Institutional Category Components Ultrashort Investment Grade Short-Term Investment Grade Short/Intermediate Investment Grade (2.5-4) Intermediate Investment Grade (4-6) Long Investment Grade (>6) A-Rated BBB-Rated Global Bond-Based Investment Aggregate Benchmark The Investment Aggregate Global Bond benchmark captures portfolios that expand their focus to include stocks domiciled outside the United States. All portfolios in this benchmark maintain at least 30% exposure to foreign securities. The following Institutional Categories comprise the Global Bond Investment Aggregate benchmark. Global Bond-Based Aggregate Benchmark Morningstar Aggregate Global Bond Institutional Category Components World Bond Foreign Bond Emerging Markets Bond Mortgage Bond-Based Investment Aggregate Benchmark Portfolios in the GNMA and Mortgage Backed Institutional Categories are combined to represent an Investment Aggregate Mortgage benchmark. This benchmark captures portfolios which invest a majority of assets in mortgage-backed securities. Mortgage Bond-Based Aggregate Benchmark Institutional Category Components Morningstar Aggregate Mortgage GNMA Mortgage-Backed Please refer to Appendix: II at the end of this document for a list of the available Investment Aggregate Series Morningstar Manager Benchmarks. in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 10
Investment Focus Series The Investment Focus Series organizes portfolios by similar long term investment approaches, allowing for more concentrated comparisons and peer grouping. This series consists of two groups of benchmarks, Stock Concentration and Ethical Issue Concentration. An assetweighted and an equal-weighted version exist for each Investment Focus benchmark. Stock Concentration Benchmarks Constituency in the Stock Concentration benchmarks is determined by selecting funds in a given Institutional Category that have a concentrated investment strategy, meaning the fund invests in less than 40 stocks. The Institutional Categories cover Open-End, Closed End, Variable Annuity underlying, and Exchange Traded funds. Stock Concentration Benchmarks Morningstar Concentrated All-Cap Core Morningstar Concentrated US Large Core Morningstar Concentrated US Large Core Growth Morningstar Concentrated US Large Core Value Morningstar Concentrated US Large Deep Value Morningstar Concentrated US Large Relative Value Morningstar Concentrated US Large Valuation-Sensitive Growth Morningstar Concentrated US Large High Growth Morningstar Concentrated US Mid Core Growth Morningstar Concentrated World Large Core Ethical Issue Concentration Benchmarks The Ethical Issue Concentration benchmarks are comprised of funds with specific investment strategies that focus on ethical issues. Inclusion is determined solely by a portfolio s investment objective and strategy; its Institutional Category assignment does not play a role. There are four different ethical strategy distinctions captured within the Ethical Issue Concentration Benchmarks: Environmental Focus, Religious Focus, Shariah Focus, and ESG Focus. These distinctions are mutually exclusive. To provide additional granularity, the ESG Focus benchmark is broken down to provide Institutional Category-based distinctions for ESG Focused funds in Large Core, Large Core Growth, and Large Valuation-Sensitive Growth. Funds with an ESG Focus and which are constituents in the aforementioned categories will populate this subset. in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 11
Investment Focus Series (continued) Ethical Issue Concentration Benchmarks Environmental Focus These funds ascribe to green investing principles and have a strong focus on environmental sustainability. An environmentally focused fund places a priority on environmental sustainability and may invest in companies which follow principles such as, but not limited to: renewable materials sustainable energy environmental technology environmental conservation reduction of air and water pollution alternatives to clear cutting of forests promotion of recycling Religious Focus Funds with a religious focus use religious teachings, principles, or values as criteria during investment selection. Funds with this tag have a focus on moral principles when considering investment decisions. There is no specific religious belief which is identified through this attribute; for example, the religious focus subset contains both Catholic and Protestant funds. The purpose of this attribute is to group together all funds which have a Religious Focus. Shariah Focus Funds with a shariah compliant strategy focus on compliance with Islamic Law for investment practices. Criteria for screening may overlap with some of the general socially conscious objectives; however, funds in this subset adhere to investment restrictions based on Islamic law, specifically rules governing the payment of interest and fees. N ESG Focus ESG pertains to Environmental, Social, and Governance. Socially responsible investments without a specific environmental, religious, or shariah focus are grouped into the more broad, ESG Focus. Funds tagged with this attribute prioritize investments based on multiple screens for numerous ESG factors such as, but not limited to: tobacco exclusion community service involvement adorable housing fair trade product integrity workplace diversity corporate governance in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 12
Investment Focus Series (continued) Ethical Issues Concentration Benchmarks Morningstar US Equity Environmental Focus Morningstar US Equity Religious Focus Morningstar US Equity Shariah Focus Morningstar US Equity ESG Focus Morningstar US Equity Large Valuation-Sensitive Growth ESG Focus Morningstar US Equity Large Core ESG Focus Morningstar US Equity Large Core Growth ESG Focus in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 13
General Construction Rules Historical Performance: Survivorship Bias Free The time series data calculated for Morningstar Manager Benchmarks comes from historical data dating back to a fund s inception. Funds that have been liquidated or merged are included in analysis for the periods where they met the specific criteria in question. This presents a more accurate assessment of performance within categories, as it includes more than just the most successful funds. Asset-weighted & Equal-weighted Benchmarks Users of Morningstar Manager Benchmarks have a choice of asset-weighted or equal-weighted data. Asset weighting gives those funds with the largest assets the heaviest weights. Because large funds have achieved economies of scale, their operational data is more stable, which results in smoother time series data. Equal weighting gives each fund in the data set the same weight, regardless of assets. Generally preferred by most researchers, equal weighting generates a more comprehensive data snapshot. Yet its outliers can sometimes skew averages, resulting in a less even time series of data. Benchmark Inception Date Methodology The inception date of an equal-weighted benchmark is determined by the date at which the benchmark obtains five or more constituents, without falling below two constituents going forward. The calendar month-end date is always used for the inception date of each benchmark. To ensure completeness of historical asset data used for weighting, each asset-weighted benchmark retains a specific inception date which is no older than 12/31/1998. The assetweighted inception date will match the equal-weighted benchmark inception date as long as the equal-weighted date is not prior to 12/31/1998. All benchmarks with construction rules based on Target Date Institutional Categories are excluded from the minimum constituent rule since Target Date peer groups are relatively new and have a current and historically low constituent count. Target Date fund based benchmarks incept on the date at which the first portfolio entered the benchmark, without falling below one constituent going forward. in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 14
Benchmark Performance Data Available Performance Data The following performance data is available for each of the Morningstar Manager Benchmarks: Daily Total Returns Month-End Total Returns Quarter-End Total Returns Calendar Year Total Returns Asset-Weighted Return Calculation From the pool of share classes assigned to an asset-weighted benchmark, load-waived share classes and all share classes of any fund whose oldest share class has less than twelve months of performance history are excluded. This stipulation ensures that benchmark data is robust and not skewed by the potentially volatile returns of new investments. A daily total return index is calculated so that each share class return is weighted by the share class total net assets at the previous month-end. For example, to calculate the asset-weighted daily total return index for 6/1/2009-6/30/2009, the total net assets stored for each share class as of 5/31/2009 are used as the weighting factor. Previous month-end assets are used for each month s current calculation to ensure completeness of asset data across benchmarks constituents. Calendar and trailing returns are derived from the daily total return index. In the event of missing total net asset data for a given share class for a month, the most recent month-end assets within the past six months are used. If the most recent month-end assets within six months are not available, the share class is excluded from the benchmark calculation until asset data is available. Equal-Weighted Return Calculation Similar to the asset-weighted calculation, from the pool of share classes assigned to an equalweighted benchmark, load-waived share classes and all share classes of any portfolio whose oldest share class has less than twelve months of performance are excluded. This stipulation ensures that benchmark data is robust and not skewed by the potentially volatile returns of new investments. Category average return calculations begin with a daily total return index based on a simple average of returns for each share class. Calendar and trailing returns are derived from the daily total return index calculation. in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 15
Benchmark Operational Data Available Operational Data Each Morningstar Manager Benchmark contains an asset-weighted and equal-weighted calculation for the following data points: Average Turnover Ratio Average Management Fee Average Management Tenure Average Annual Report Net Expense Ratio Average Prospectus Net Expense Ratio Average Total Net Assets Equal-Weighted Operations Data Calculations For the equal-weighted calculation of an operational average data point, the most recent available data for each benchmark constituent is used to calculate a straight average. For prospectus based data points (i.e. Prospectus Net Expense Ratio): From the pool of share classes assigned to any given benchmark, those which are load waived are excluded. For annual report based data points, (i.e. Turnover Ratio): From the pool of share classes assigned to any given benchmark, those which are load waived and have most recent available data older than 15 months are excluded. Asset-Weighted Operations Data Calculations For the asset-weighted average calculation, operational averages are calculated so that each benchmark constituent s most recent available data is weighted by the previous month-end s total net assets. For example, to calculate an asset-weighted operational average for 6/30/2010 month-end data, the total net assets stored for each share class as of 5/31/2010 are used as the weighting factor. If the total net assets are missing for a given share class, the most recent month-end assets within six months are used. Previous month-end assets are used for each month s current calculation to ensure completeness of asset data across benchmarks constituents. For data points collected from a Prospectus (i.e. Prospectus Net Expense Ratio): From the pool of share classes assigned to any given benchmark, those which are load waived are excluded. For data points collected from an Annual Report, (i.e. Turnover Ratio): From the pool of share classes assigned to any given benchmark, those which are load waived and have most recent available data older than 15 months are excluded. in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 16
Benchmark Operational Data (continued) Average Turnover Ratio For each benchmark, the average turnover ratio is calculated monthly, based on the most recent available turnover ratio data per each portfolio. The average turnover ratio is a measure of the benchmark constituents average trading activity. Historical data and current values are available for this time series data point. Presented in an investment s annual report, fund companies generally compute this figure by taking the lesser of purchases or sales and dividing by average monthly net assets. Due to historical data availability, an Average Turnover Ratio data start date of 12/31/1998 is applied to the benchmarks below: Morningstar Short Government AW Morningstar Short Government EW Morningstar Intermediate Government (4-6) AW Morningstar Intermediate Government (4-6) EW Morningstar Currency AW Morningstar Currency EW Money market funds are not required to submit turnover ratio data in Annual Reports; thus, an Average Turnover Ratio will not be calculated for the money market related benchmarks listed below: Morningstar Taxable Money Market AW Morningstar Taxable Money Market EW Morningstar Tax-Free Money Market AW Morningstar Tax-Free Money Market EW Average Management Fee The average management fee is calculated on a monthly basis based on the most recent available management fee data per each benchmark constituent. This prospectus-based figure represents the average costs paid for management over the fund s prior fiscal year. Average Management Tenure The most recent available management tenure for each constituent in a given benchmark is used to calculate the average management tenure. This data point is calculated on a monthly basis and represents the average number of years that the current manager has been the portfolio manager of the fund. in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 17
Benchmark Operational Data (continued) Average Annual Report Net Expense Ratio The average annual report net expense ratio is a measure of the benchmark constituents average actual fees charged during a particular fiscal year. A benchmark s average annual report net expense ratio is calculated monthly, based on the most recent available annual report expense ratio data for each share class. Morningstar pulls the net annual expense ratio from the fund s audited annual report. This time series data point is available for current and historical values. Due to historical data availability, Target Date Institutional Category-based benchmarks will retain an Average Annual Report Net Expense Ratio data start date of 12/31/2006. Average Prospectus Net Expense Ratio For each benchmark, the average prospectus net expense ratio is calculated monthly, based on the most recent available prospectus net expense ratio data for each share class. The average prospectus net expense ratio is a measure of the benchmark constituents average anticipated expenses for the upcoming fiscal year less any expense waivers, offsets or reimbursements, as anticipated by the fund company. Average Total Net Assets The most recent available total net asset data for each constituent in a given benchmark is used to calculate the average total net assets. This time series data point is calculated on a monthly basis and is available for asset-weighted benchmarks. in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 18
Benchmark Aggregate Portfolios An asset-weighted and equal-weighted aggregated portfolio is available for each of the Morningstar Manager Benchmarks. Aggregate portfolios compile the holdings of each portfolio within a benchmark to allow for peer group-based detailed holdings analysis and comparison across benchmark constituents and individual portfolios. Aggregate portfolios which, after aggregation of constituent holdings, do not exceed 10,000 holdings will contain a full list of the constituents holdings. Portfolios greater than 10,000 holdings after aggregation will include holdings with a weight greater than.01%. Equal-Weighted Aggregate Portfolio Equal-weighted aggregate portfolios are constructed by calculating the average percentage weight of each holding in the individual benchmark constituents portfolios. The aggregated holding percentage weight is derived by averaging the percentage weights of a given holding across all portfolios within a benchmark. If a holding is not represented in a constituent s portfolio, but is available among other constituents portfolios, it receives a percent weighting of zero. Further, these portfolios will not contain total number of shares calculations due to the equal weight of assets across benchmark constituents. Equal-weighted aggregate portfolios highlight the dominant investment strategy trends across portfolios in a peer group, regardless of fund size. These portfolios track the benchmark s investment trends from a manager s perspective. Asset-Weighted Portfolio Asset-weighted portfolios are compiled by weighting each individual holding according to the market value. The aggregate holding weight and market value are calculated by dividing the sum of each holding s market value across all portfolios in the benchmark by the aggregate total market value. Asset-weighted aggregate portfolios capture investment trends with a greater weight placed on funds with substantial assets. This weighting method highlights the investment decisions of the money managers of the largest portfolios in a peer group. in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 19
Appendix I: Institutional Category Series Benchmarks Available Institutional Category Series Morningstar Manager Benchmarks Morningstar Aggressive Allocation AW Morningstar Aggressive Allocation EW Morningstar All-Cap Core AW Morningstar All-Cap Core EW Morningstar All-Cap Growth AW Morningstar All-Cap Growth EW Morningstar All-Cap Value AW Morningstar All-Cap Value EW Morningstar A-Rated AW Morningstar A-Rated EW Morningstar Bank Loan AW Morningstar Bank Loan EW Morningstar BBB-Rated AW Morningstar BBB-Rated EW Morningstar Bear Market AW Morningstar Bear Market EW Morningstar China AW Morningstar China EW Morningstar Communications AW Morningstar Communications EW Morningstar Conservative Allocation AW Morningstar Conservative Allocation EW Morningstar Consumer Discretionary AW Morningstar Consumer Discretionary EW Morningstar Consumer Staples AW Morningstar Consumer Staples EW Morningstar Convertibles AW Morningstar Convertibles EW Morningstar Currency AW Morningstar Currency EW Morningstar Diversified Emerging Markets AW Morningstar Diversified Emerging Markets EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 20
Appendix I: Institutional Category Series (continued) Available Institutional Category Series Morningstar Manager Benchmarks Morningstar Domestic Energy AW Morningstar Domestic Energy EW Morningstar Domestic Financial AW Morningstar Domestic Financial EW Morningstar Domestic Real Estate AW Morningstar Domestic Real Estate EW Morningstar Emerging Europe AW Morningstar Emerging Europe EW Morningstar Emerging Markets Bond AW Morningstar Emerging Markets Bond EW Morningstar Europe AW Morningstar Europe EW Morningstar Flexible Allocation AW Morningstar Flexible Allocation EW Morningstar Foreign Allocation AW Morningstar Foreign Allocation EW Morningstar Foreign Bond AW Morningstar Foreign Bond EW Morningstar Foreign Giant AW Morningstar Foreign Giant EW Morningstar Foreign Large Core AW Morningstar Foreign Large Core EW Morningstar Foreign Large Growth AW Morningstar Foreign Large Growth EW Morningstar Foreign Large Value AW Morningstar Foreign Large Value EW Morningstar Foreign Real Estate AW Morningstar Foreign Real Estate EW Morningstar Foreign Small/Mid Core AW Morningstar Foreign Small/Mid Core EW Morningstar Foreign Small/Mid Growth AW Morningstar Foreign Small/Mid Growth EW Morningstar Foreign Small/Mid Value AW Morningstar Foreign Small/Mid Value EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 21
Appendix I: Institutional Category Series (continued) Available Institutional Category Series Morningstar Manager Benchmarks Morningstar Giant Core AW Morningstar Giant Core EW Morningstar Giant Growth AW Morningstar Giant Growth EW Morningstar Giant Value AW Morningstar Giant Value EW Morningstar Global Allocation AW Morningstar Global Allocation EW Morningstar Global Flexible Allocation AW Morningstar Global Flexible Allocation EW Morningstar GNMA AW Morningstar GNMA EW Morningstar Health Care AW Morningstar Health Care EW Morningstar High Yield Bond AW Morningstar High Yield Bond EW Morningstar High Yield Muni AW Morningstar High Yield Muni EW Morningstar India AW Morningstar India EW Morningstar Industrials AW Morningstar Industrials EW Morningstar Inflation-Protected Bond AW Morningstar Inflation-Protected Bond EW Morningstar Intermediate Investment Grade (4-6) AW Morningstar Intermediate Investment Grade (4-6) EW Morningstar Intermediate Government (4-6) AW Morningstar Intermediate Government (4-6) EW Morningstar Japan AW Morningstar Japan EW Morningstar Large Core AW Morningstar Large Core EW Morningstar Large Core Growth AW Morningstar Large Core Growth EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 22
Appendix I: Institutional Category Series (continued) Available Institutional Category Series Morningstar Manager Benchmarks Morningstar Large Core Value EW Morningstar Large Deep Value AW Morningstar Large Deep Value EW Morningstar Large High Growth AW Morningstar Large High Growth EW Morningstar Large Relative Value AW Morningstar Large Relative Value EW Morningstar Large Valuation-Sensitive Growth AW Morningstar Large Valuation-Sensitive Growth EW Morningstar Latin America AW Morningstar Latin America EW Morningstar Leveraged AW Morningstar Leveraged EW Morningstar Leveraged Net Long AW Morningstar Leveraged Net Long EW Morningstar Long Government (>6) AW Morningstar Long Government (>6) EW Morningstar Long Investment Grade (>6) AW Morningstar Long Investment Grade (>6) EW Morningstar Long-Short AW Morningstar Long-Short EW Morningstar Market Neutral AW Morningstar Market Neutral EW Morningstar Materials AW Morningstar Materials EW Morningstar Micro Cap AW Morningstar Micro Cap EW Morningstar Mid Core AW Morningstar Mid Core EW Morningstar Mid Core Growth AW Morningstar Mid Core Growth EW Morningstar Mid Core Value AW Morningstar Mid Core Value EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 23
Appendix I: Institutional Category Series (continued) Available Institutional Category Series Morningstar Manager Benchmarks Morningstar Mid Deep Value AW Morningstar Mid Deep Value EW Morningstar Mid High Growth AW Morningstar Mid High Growth EW Morningstar Mid Relative Value AW Morningstar Mid Relative Value EW Morningstar Mid Valuation-Sensitive Growth AW Morningstar Mid Valuation-Sensitive Growth EW Morningstar Moderate Allocation AW Morningstar Moderate Allocation EW Morningstar Mortgage-Backed AW Morningstar Mortgage-Backed EW Morningstar Multisector Bond AW Morningstar Multisector Bond EW Morningstar Muni Arizona AW Morningstar Muni Arizona EW Morningstar Muni California Intermediate (4-6) AW Morningstar Muni California Intermediate (4-6) EW Morningstar Muni California Short-Intermediate (<4) AW Morningstar Muni California Short-Intermediate (<4) EW Morningstar Muni California Insured AW Morningstar Muni California Insured EW Morningstar Muni California Long (>6) AW Morningstar Muni California Long (>6) EW Morningstar Muni Colorado AW Morningstar Muni Colorado EW Morningstar Muni Connecticut AW Morningstar Muni Connecticut EW Morningstar Muni Florida AW Morningstar Muni Florida EW Morningstar Muni Georgia AW Morningstar Muni Georgia EW Morningstar Muni Insured AW Morningstar Muni Insured EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 24
Appendix I: Institutional Category Series (continued) Available Institutional Category Series Morningstar Manager Benchmarks Morningstar Muni Massachusetts Long (>6) AW Morningstar Muni Massachusetts Long (>6) EW Morningstar Muni Massachusetts Short & Intermediate AW Morningstar Muni Massachusetts Short & Intermediate EW Morningstar Muni Maryland AW Morningstar Muni Maryland EW Morningstar Muni Michigan AW Morningstar Muni Michigan EW Morningstar Muni Minnesota AW Morningstar Muni Minnesota EW Morningstar Muni Missouri AW Morningstar Muni Missouri EW Morningstar Muni National Long (>6) AW Morningstar Muni National Long (>6) EW Morningstar Muni National Short (<2.5) AW Morningstar Muni National Short (<2.5) EW Morningstar Muni National Intermediate (4-6) AW Morningstar Muni National Intermediate (4-6) EW Morningstar Muni National Short/Intermediate (2.5-4) AW Morningstar Muni National Short/Intermediate (2.5-4) EW Morningstar Muni New Jersey AW Morningstar Muni New Jersey EW Morningstar Muni New York Long (>6) AW Morningstar Muni New York Long (>6) EW Morningstar Muni North Carolina AW Morningstar Muni North Carolina EW Morningstar Muni New York Short & Intermediate AW Morningstar Muni New York Short & Intermediate EW Morningstar Muni Ohio AW Morningstar Muni Ohio EW Morningstar Muni Pennsylvania AW Morningstar Muni Pennsylvania EW Morningstar Muni Single State Insured AW Morningstar Muni Single State Insured EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 25
Appendix I: Institutional Category Series (continued) Available Institutional Category Series Morningstar Manager Benchmarks Morningstar Muni Single State Intermediate (4-6) AW Morningstar Muni Single State Intermediate (4-6) EW Morningstar Muni Single State Long (>6) AW Morningstar Muni Single State Long (>6) EW Morningstar Muni Single State Short-Intermediate AW Morningstar Muni Single State Short-Intermediate EW Morningstar Muni Virginia AW Morningstar Muni Virginia EW Morningstar Pacific/Asia ex-japan AW Morningstar Pacific/Asia ex-japan EW Morningstar Precious Metals AW Morningstar Precious Metals EW Morningstar Retirement Income Aggressive AW Morningstar Retirement Income Aggressive EW Morningstar Retirement Income Conservative AW Morningstar Retirement Income Conservative EW Morningstar Retirement Income Moderate AW Morningstar Retirement Income Moderate EW Morningstar S&P 500 Tracking AW Morningstar S&P 500 Tracking EW Morningstar Short Government AW Morningstar Short Government EW Morningstar Short Investment Grade AW Morningstar Short Investment Grade EW Morningstar Short/Intermediate Government (2.5-4) AW Morningstar Short/Intermediate Government (2.5-4) EW Morningstar Short/Intermediate Investment Grade (2.5-4) AW Morningstar Short/Intermediate Investment Grade (2.5-4) EW Morningstar Small Core AW Morningstar Small Core EW Morningstar Small Core Growth AW Morningstar Small Core Growth EW Morningstar Small Core Value AW Morningstar Small Core Value EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 26
Appendix I: Institutional Category Series (continued) Available Institutional Category Series Morningstar Manager Benchmarks Morningstar Small Deep Value AW Morningstar Small Deep Value EW Morningstar Small High Growth AW Morningstar Small High Growth EW Morningstar Small Relative Value AW Morningstar Small Relative Value EW Morningstar Small Valuation-Sensitive Growth AW Morningstar Small Valuation-Sensitive Growth EW Morningstar Taxable Money Market AW Morningstar Taxable Money Market EW Morningstar Tax-Free Money Market AW Morningstar Tax-Free Money Market EW Morningstar Technology AW Morningstar Technology EW Morningstar Target Date 2000-2010 Aggressive AW Morningstar Target Date 2000-2010 Aggressive EW Morningstar Target Date 2000-2010 Conservative AW Morningstar Target Date 2000-2010 Conservative EW Morningstar Target Date 2000-2010 Moderate AW Morningstar Target Date 2000-2010 Moderate EW Morningstar Target Date 2011-2015 Aggressive AW Morningstar Target Date 2011-2015 Aggressive EW Morningstar Target Date 2011-2015 Conservative AW Morningstar Target Date 2011-2015 Conservative EW Morningstar Target Date 2011-2015 Moderate AW Morningstar Target Date 2011-2015 Moderate EW Morningstar Target Date 2016-2020 Aggressive AW Morningstar Target Date 2016-2020 Aggressive EW Morningstar Target Date 2016-2020 Conservative AW Morningstar Target Date 2016-2020 Conservative EW Morningstar Target Date 2016-2020 Moderate AW Morningstar Target Date 2016-2020 Moderate EW Morningstar Target Date 2021-2025 Aggressive AW Morningstar Target Date 2021-2025 Aggressive EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 27
Appendix I: Institutional Category Series (continued) Available Institutional Category Series Morningstar Manager Benchmarks Morningstar Target Date 2021-2025 Conservative AW Morningstar Target Date 2021-2025 Conservative EW Morningstar Target Date 2021-2025 Moderate AW Morningstar Target Date 2021-2025 Moderate EW Morningstar Target Date 2026-2030 Aggressive AW Morningstar Target Date 2026-2030 Aggressive EW Morningstar Target Date 2026-2030 Conservative AW Morningstar Target Date 2026-2030 Conservative EW Morningstar Target Date 2026-2030 Moderate AW Morningstar Target Date 2026-2030 Moderate EW Morningstar Target Date 2031-2035 Aggressive AW Morningstar Target Date 2031-2035 Aggressive EW Morningstar Target Date 2031-2035 Conservative AW Morningstar Target Date 2031-2035 Conservative EW Morningstar Target Date 2031-2035 Moderate AW Morningstar Target Date 2031-2035 Moderate EW Morningstar Target Date 2036-2040 Aggressive AW Morningstar Target Date 2036-2040 Aggressive EW Morningstar Target Date 2036-2040 Conservative AW Morningstar Target Date 2036-2040 Conservative EW Morningstar Target Date 2036-2040 Moderate AW Morningstar Target Date 2036-2040 Moderate EW Morningstar Target Date 2041-2045 Aggressive AW Morningstar Target Date 2041-2045 Aggressive EW Morningstar Target Date 2041-2045 Conservative AW Morningstar Target Date 2041-2045 Conservative EW Morningstar Target Date 2041-2045 Moderate AW Morningstar Target Date 2041-2045 Moderate EW Morningstar Target Date 2050+ Aggressive AW Morningstar Target Date 2050+ Aggressive EW Morningstar Target Date 2050+ Conservative AW Morningstar Target Date 2050+ Conservative EW Morningstar Target Date 2050+ Moderate AW Morningstar Target Date 2050+ Moderate EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 28
Appendix I: Institutional Category Series (continued) Available Institutional Category Series Morningstar Manager Benchmarks Morningstar Ultrashort Investment Grade AW Morningstar Ultrashort Investment Grade EW Morningstar Utilities AW Morningstar Utilities EW Morningstar World All-Cap AW Morningstar World All-Cap EW Morningstar World Bond AW Morningstar World Bond EW Morningstar World Energy AW Morningstar World Energy EW Morningstar World Financial AW Morningstar World Financial EW Morningstar World Large Core AW Morningstar World Large Core EW Morningstar World Large Growth AW Morningstar World Large Growth EW Morningstar World Large Value AW Morningstar World Large Value EW Morningstar World Mid Cap AW Morningstar World Mid Cap EW Morningstar World Real Estate AW Morningstar World Real Estate EW Morningstar World Small Cap AW Morningstar World Small Cap EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 29
Appendix II: Investment Aggregate Series Benchmarks Available Investment Aggregate Series Morningstar Manager Benchmarks Morningstar Aggregate California Municipal Bond AW Morningstar Aggregate California Municipal Bond EW Morningstar Aggregate Corporate Taxable AW Morningstar Aggregate Corporate Taxable EW Morningstar Aggregate Foreign Core AW Morningstar Aggregate Foreign Core EW Morningstar Aggregate Foreign Growth AW Morningstar Aggregate Foreign Growth EW Morningstar Aggregate Foreign Large Cap AW Morningstar Aggregate Foreign Large Cap EW Morningstar Aggregate Foreign Small/Mid Cap AW Morningstar Aggregate Foreign Small/Mid Cap EW Morningstar Aggregate Foreign Value AW Morningstar Aggregate Foreign Value EW Morningstar Aggregate Global Bond AW Morningstar Aggregate Global Bond EW Morningstar Aggregate High Quality Taxable AW Morningstar Aggregate High Quality Taxable EW Morningstar Aggregate Intermediate Taxable Bond AW Morningstar Aggregate Intermediate Taxable Bond EW Morningstar Aggregate Long Taxable Bond AW Morningstar Aggregate Long Taxable Bond EW Morningstar Aggregate Massachusetts Municipal Bond AW Morningstar Aggregate Massachusetts Municipal Bond EW Morningstar Aggregate Mortgage AW Morningstar Aggregate Mortgage EW Morningstar Aggregate New York Municipal Bond AW Morningstar Aggregate New York Municipal Bond EW Morningstar Aggregate Short Taxable Bond AW Morningstar Aggregate Short Taxable Bond EW Morningstar Aggregate Short/Intermediate Taxable Bond AW Morningstar Aggregate Short/Intermediate Taxable Bond EW Morningstar Aggregate US Core AW Morningstar Aggregate US Core EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 30
Appendix II: Investment Aggregate Series (continued) Available Investment Aggregate Series Morningstar Manager Benchmarks Morningstar Aggregate US Core Growth AW Morningstar Aggregate US Core Growth EW Morningstar Aggregate US Core Value AW Morningstar Aggregate US Core Value EW Morningstar Aggregate US Deep Value AW Morningstar Aggregate US Deep Value EW Morningstar Aggregate US Giant Cap AW Morningstar Aggregate US Giant Cap EW Morningstar Aggregate US High Growth AW Morningstar Aggregate US High Growth EW Morningstar Aggregate US Large Cap AW Morningstar Aggregate US Large Cap EW Morningstar Aggregate US Mid Cap AW Morningstar Aggregate US Mid Cap EW Morningstar Aggregate US Relative Value AW Morningstar Aggregate US Relative Value EW Morningstar Aggregate US Small Cap AW Morningstar Aggregate US Small Cap EW Morningstar Aggregate US Valuation-Sensitive Growth AW Morningstar Aggregate US Valuation-Sensitive Growth EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 31
Appendix III: Investment Focus Series Benchmarks Available Investment Focus Series Morningstar Manager Benchmarks Morningstar Concentrated All-Cap Core AW Morningstar Concentrated All-Cap Core EW Morningstar Concentrated US Large Core AW Morningstar Concentrated US Large Core EW Morningstar Concentrated US Large Core Growth AW Morningstar Concentrated US Large Core Growth EW Morningstar Concentrated US Large Core Value AW Morningstar Concentrated US Large Core Value EW Morningstar Concentrated US Large Deep Value AW Morningstar Concentrated US Large Deep Value EW Morningstar Concentrated US Large High Growth AW Morningstar Concentrated US Large High Growth EW Morningstar Concentrated US Large Relative Value AW Morningstar Concentrated US Large Relative Value EW Morningstar Concentrated US Large Valuation-Sensitive Growth AW Morningstar Concentrated US Large Valuation-Sensitive Growth EW Morningstar Concentrated US Mid Core Growth AW Morningstar Concentrated US Mid Core Growth EW Morningstar Concentrated World Large Core AW Morningstar Concentrated World Large Core EW Morningstar US Equity Large Core ESG Focus AW Morningstar US Equity Large Core ESG Focus EW Morningstar US Equity Large Core Growth ESG Focus AW Morningstar US Equity Large Core Growth ESG Focus EW Morningstar US Equity Large Valuation Sensitive Growth ESG Focus AW Morningstar US Equity Large Valuation Sensitive Growth ESG Focus EW Morningstar US Equity Environmental Focus AW Morningstar US Equity Environmental Focus EW Morningstar US Equity ESG Focus AW Morningstar US Equity ESG Focus EW Morningstar US Equity Religious Focus AW Morningstar US Equity Religious Focus EW Morningstar US Equity Shariah Focus AW Morningstar US Equity Shariah Focus EW in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 32
in whole or part, without the prior written consent of Morningstar, Inc., is prohibited. 33