An Investigation of Mutual Funds with Discontinued Coverage in the New CRSP Mutual Fund Database Vintage 

July 2008 

 

WRDS has conducted a series of analyses aimed at  investigating  the discontinued coverage  in 

the new CRSP Mutual Fund Database.  Below we present the summarized findings regarding the 

characteristics  of  the  mutual  funds  whose  coverage  was  discontinued  in  the  data  vintage 

corresponding to the March 2008.  The tests also explore whether the exclusion of these funds 

introduces  performance  biases.  The  main  conclusion  of  the  analysis  is  that  different 

characteristics of the discontinued funds do not translate into differential performance.  

   

The analysis consists of the following parts: 

1) A comparison of the characteristics of the discontinued funds and remaining funds. 

2) Regression performance comparisons 

3) Conclusion 

 

Section 1.  A comparison of the characteristics of the discontinued and remaining funds 

WRDS found 4,298 funds that were discontinued out of the 35,756 funds that were  in 

the database before the change.  The first check examines whether there is a disproportionately 

larger number of dead funds among the discontinued funds when compared to the remaining 

funds.   

o Table  1  shows  that  there  is  a  larger  number  of  dead  funds  among  the 

discontinued  funds:  about  42%  of  the  discontinued  funds  and  34%  of  the 

remaining  funds  were  categorized  as  dead  funds.  This  discrepancy  is 

troublesome  in that  it might  imply the presence of a slight survivorship bias  in 

the  remaining  funds, however  further  tests are needed  to determine whether 

such a bias affects mutual fund performance. 

o The  frequencies  for  the  discontinued  and  remaining  funds  are  presented  in 

Table  2  where  we  basically  notice  that  there  are  no  real  differences  in  the 

investment objectives of the two groups of funds. 

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o The  subjects of  comparison  in  Table  3  are portfolio  turnover,  expense  ratios, 

maximum  front‐end  loads,  maximum  12b‐1  fees,  management  fees  and 

maximum deferred & rear  load charges. The discontinued  funds seem to have 

lower  portfolio  turnover,  slightly  lower  expense  ratios, maximum  front  loads 

and management fees.   

o In Table 4 the comparison focuses on fund assets, the last reported fund assets, 

and  the  age  of  the  fund.  The  discontinued  funds  are  smaller  than  remaining 

funds by an economically significant amount. A comparison based on “av_asset” 

which  is the average asset of a fund based on all monthly assets that the fund 

reported shows that the median of discontinued funds was close to three times 

lower than that of remaining funds. A similar picture appears when we compare 

the mean of  the assets  (131 million  for discontinued  funds vs. 197 million  for 

remaining funds).   When we compare the fund’s  last reported assets we see a 

similar  pattern,  as  discontinued  funds  appear  to  be  half  the  size  of  the 

remaining  funds.    The  results  of  Table  4  further  show  an  age  differential 

between the two groups of funds, with the discontinued funds being relatively 

younger by a factor of two.   

   

Section 2. Regression Performance Comparisons 

So far we have seen that the discontinued funds comprised a disproportionately  larger 

number of dead funds and appeared to be smaller and younger  (or had a shorter  life).   These 

characteristics, especially the first one, raise a concern that a survivorship bias or perhaps some 

other kind of bias might have been introduced due to the discontinuation of this particular set of 

funds.  To asses whether any such bias affects returns, we will use several standard mutual fund 

performance measures to compare the performance of the discontinued and remaining funds.  

If any of the biases mentioned above do not affect returns, then we should not expect to see a 

difference  in  the performance of these  two groups of  funds.   To make these comparisons, we 

split  the  funds  into equity  funds and  corporate bonds  funds.   This  is done because  generally 

different measures of performance are used when evaluating  the performance of equity and 

corporate bond funds. 

 

2.1 Performance comparison for equity funds 

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The first crude performance measure that we use is the Sharpe Ratio which is calculated 

for  each  fund  as  the  mean  of  excess  returns  (fund  return‐risk  free  return)  divided  by  the 

standard deviation of excess returns.   Discontinued funds appear to have a larger Sharpe Ratio 

than remaining funds, but the difference does not appear to be statistically significant (as shown 

in the T‐test results reported in the output of “Test2” but not in this document).  Furthermore, 

the Sharpe Ratio does not fully account for the many of the documented common risk factors 

that  drive  returns.    In  this  regard, we  use  a  different  approach  for measuring mutual  fund 

performance. 

As  in Wermers  (2000)1,  first we  identify all equity  funds,  then each period we  take a 

value‐weighted average of  the  returns of  the  funds  in each of  the  two sets  (discontinued and 

remaining), with portfolio weights set equal to the fund assets at the beginning of the month.  

This approach creates a time series of monthly returns for each group of funds and ensures that 

no‐survivorship biases are  introduced  from  the portfolio  formation method, as no  restrictions 

are placed that require a particular mutual fund to be present in the database for a given length 

of time.  Next, the performance is evaluated as the intercept (alpha or risk‐adjusted return) of a 

four‐factor Fama‐French regression model of the following form: 

( ) εββββα +++++=− tiUMDtHMLtSMBtMKTF

tt UMDHMLSMBRMRFrR  (1)  

 

where  tiR ,  is the reported return for fund i in month t and  Ftr  is the risk‐free rate in month t.  

The  common  factor  variables  tRMRF ,  tSMB ,  tHML ,  and  tUMD   are  the  month‐t  return 

differentials between  the market portfolio  and  risk‐free  rate,  small  cap  and  large  cap  stocks, 

high  and  low  book‐to‐market  stocks,  and  positive  and  negative  return‐momentum  stocks, 

respectively.   

  Regression results for (1) are reported in Table 7.  Panels A and B report results for the 

remaining  funds  and  discontinued  funds,  respectively,  and  Panel  C  reports  results  from  the 

regression  (1) run on the difference of the returns  for the two groups.   The alphas (intercepts 

from  the  regressions)  for  the  discontinued  and  remaining  funds  are  not  different  from  each 

other  in a significant way.   The alpha  for remaining  funds  is  ‐0.00047594 and  ‐0.00052838  for 

the  discontinued  funds  and  the  difference  between  the  two  is  not  significant  not  only  in  an 

1 Wermers, R., 2000, Mutual fund performance: An empirical decomposition into stock-picking talent, style, transaction costs, and expenses, Journal of Finance 55, 1655 - 1703.

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economic sense but also in a statistical sense, as shown in Panel C.  Interestingly, the loading on 

the  size,  book‐to‐market,  and momentum  factors  appear  to  be  different  between  the  two 

groups suggesting that the underlying portfolios of these two sets of funds differ.   To be more 

specific,  the  differences  in  the  factor  loadings  suggest  that  the  discontinued  fund  portfolios 

included stocks of relatively smaller size, lower book‐to‐market ratios and higher past returns. 

 

2.2 Performance comparison for bond funds 

Remaining funds appear to have a larger Sharpe Ratio than discontinued funds, but the 

difference does not appear to be statistically significant.   Given that the Sharpe Ratio does not 

fully account for the many of the documented common risk factors that drive bond returns,  in 

what  follows we use  an  alternative  and more  robust way  for measuring  the performance of 

bond mutual  funds  that will account  for many of  the  risk  factors  shown  to explain  the cross‐

section of bond returns. 

After identifying all bond funds, then each period we take a value‐weighted average of 

the  returns of  the  funds  in each of  the  two  sets  (discontinued and  remaining), with portfolio 

weights set equal  to  the  fund assets at beginning of  the month.   This creates a  time series of 

monthly returns for each group of funds the performance of which is evaluated using a variation 

of the bond factor models employed by Fama and French (1993) and Gebhardt, Hvidkjaer, and 

Swaminathan (2005)2 : 

 

( ) εβββα ++++=− tDEFtTERMtMKTF

tt DEFTERMRMRFrR    (2)  

 

The second regressor, TERM, which captures a common return factor related to bond maturity 

(maturity or term risk), is defined as the difference in the monthly long‐term government index 

bond  returns  (from  Lehman)  and  one month  T‐bill  returns  (from  the  Center  for  Research  in 

Security Prices, CRSP).  The third regressor, DEF, which is a proxy for default risk is defined as the 

difference  between  the  monthly  return  on  a  value‐weighted  market  index  portfolio  of  all 

2 Fama, E., French, K.R., 1993. Common risk factors in the returns of stocks and bonds. Journal of Financial Economics 33, 3–56. Gebhardt, W.R., S. Hvidkjaer, and B. Swaminathan, 2005, The cross-section of expected corporate bond returns: betas or characteristics?, Journal of Financial Economics 75, 85–114.

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investment‐grade corporate bonds  (from Lehman) with at  least  ten years  to maturity and  the 

monthly long‐term government bond return.    

  The alphas (intercepts from the regressions) for the discontinued and remaining funds, 

although negative, are not significantly different from zero and from each other. The alpha for 

remaining funds  is ‐0.00029797 and ‐0.00046235 and the respective t‐statistics are both below 

the 10% significance level cut‐off point.  The same can be said for the alpha from the regression 

that uses the difference of the returns in Panel C. The alpha from that regression is 0.00016438 

with a t‐stat of 1.49.   

 

2.3. An alternative method for performance comparisons. 

There  is an alternative method  for  conducting  the performance  comparisons detailed 

above.  Rather than constructing an aggregate mutual fund portfolio for each group each month 

and measuring the alpha of this aggregate portfolio, one could first compute an alpha for each 

fund, average the fund alphas within each group, and then make comparisons between our two 

groups of funds.  Note that unlike the methods used in Sections 2.1 and 2.2 this method might 

introduce some kind of survivorship bias because it excludes funds that did not survive beyond 

two years, and presumably such funds did not survive due to poor performance. 

  Comparisons  for  Equity  funds  are  reported  in  Table  10.  Here  we  see  that  the 

discontinued  funds  appear  to  underperform  the  remaining  funds,  with  an  alpha 

underperformance of about 3 basis points per month. Furthermore the difference in the alphas 

appears  to be  statistically  significant  at  the 5%  significance  level  (t‐stat=2.32).   However  it  is 

important to note that a 3 basis point per month (36 basis points per year) is not of an economic 

significance.  One reason for why these results differ from those of section 3.1 could be due to 

the  fact  the  returns  here  are  equal  weighted  and  smaller  funds  which  appear  to  be 

overrepresented  among  the discontinued  funds  are more  likely  to underperform.   When  the 

same comparison is conducted for bond funds in Table 11 we see no significant difference in the 

alphas of the two groups, as the difference in alphas is only 1 basis point with a t‐stat of 1.26. 

  

 

Section 3. Conclusion 

This document presented findings from a comparison of the funds whose coverage was 

recently discontinued in the new version of the CRSP mutual fund data with funds that remained 

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in  the database.    These  comparisons were made  because of  a  concern  that  the  exclusion of 

these 4,298  funds would  lead  to biases  in  the performance evaluation of mutual  funds.   The 

findings  from  this  analysis  suggest  that  the  excluded  funds  display  characteristics  that  are 

different  from the remaining  funds.   For example, the discontinued  funds seem to have  lower 

portfolio turnover, slightly  lower expense ratios, maximum front  loads, and management fees.  

More  importantly,  they appear  to be  smaller and appear  to be  in  the database  for  relatively 

shorter periods.   

The  different  characteristics  that  the  discontinued  funds  display  do  not  necessarily 

translate  into  differential  performance.    Several  performance measurement methodologies 

were  used.    The  regression‐based methods  that make  use  of  reported  fund  returns  did  not 

display  any  significant  differences  in  the  performance  of  the  two  groups.   When  looking  at 

holdings and trade‐based methods the evidence is mixed and again does not uniformly point to 

significant and consistent differences in the performance of the two groups.  

 

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Table 1

Frequency of dead funds

The FREQ Procedure

Table of status by dead_flag status dead_flag(Dead Fund Indicator) Frequency| Row Pct |N |Y | Total ---------+--------+--------+ cont | 20346 | 10600 | 30946 | 65.75 | 34.25 | ---------+--------+--------+ discont | 1999 | 1444 | 3443 | 58.06 | 41.94 | ---------+--------+--------+ Total 22345 12044 34389

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Table 2 Frequency of discontinued funds by investment objective

The FREQ Procedure Table of status by sp_obj_cd status sp_obj_cd(Standard & Poor's Detailed Objective Code) Frequency| Row Pct |AGG |BAL |BGA |BGE |BGG |BGN |BGS |CGN | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 24 | 84 | 1 | 3 | 8 | 22 | 15 | 21 | | 0.62 | 2.18 | 0.03 | 0.08 | 0.21 | 0.57 | 0.39 | 0.54 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 24 84 1 3 8 22 15 21 Frequency| Row Pct |CHQ |CHY |CIM |CMQ |CPF |CPR |CSI |CSM | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 17 | 20 | 28 | 19 | 1 | 2 | 8 | 23 | | 0.44 | 0.52 | 0.73 | 0.49 | 0.03 | 0.05 | 0.21 | 0.60 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 17 20 28 19 1 2 8 23 Frequency| Row Pct |CVR |ECH |ECN |EGG |EGT |EGX |EID |EIG | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 5 | 2 | 4 | 19 | 8 | 13 | 27 | 49 | | 0.13 | 0.05 | 0.10 | 0.49 | 0.21 | 0.34 | 0.70 | 1.27 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 5 2 4 19 8 13 27 49 Frequency| Row Pct |EIS |EIT |ELT |ENV |EPC |EPX |ERP |ESC | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 1 | 11 | 3 | 1 | 3 | 8 | 9 | 6 | | 0.03 | 0.29 | 0.08 | 0.03 | 0.08 | 0.21 | 0.23 | 0.16 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 1 11 3 1 3 8 9 6 Frequency| Row Pct |FIN |FLG |FLX |GGN |GIM |GLD |GMA |GMB | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 4 | 7 | 18 | 27 | 15 | 6 | 4 | 14 | | 0.10 | 0.18 | 0.47 | 0.70 | 0.39 | 0.16 | 0.10 | 0.36 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 4 7 18 27 15 6 4 14

9

Frequency| Row Pct |GMC |GRI |GRO |GSM |HLT |IAZ |ICA |ICT | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 28 | 96 | 157 | 16 | 4 | 1 | 7 | 2 | | 0.73 | 2.49 | 4.07 | 0.42 | 0.10 | 0.03 | 0.18 | 0.05 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 28 96 157 16 4 1 7 2 Frequency| Row Pct |IFL |IMA |IMI |IMX |ING |INY |LKY |MAR | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 3 | 3 | 2 | 41 | 10 | 6 | 3 | 1 | | 0.08 | 0.08 | 0.05 | 1.06 | 0.26 | 0.16 | 0.08 | 0.03 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 3 3 2 41 10 6 3 1 Frequency| Row Pct |MAZ |MCA |MFL |MGN |MHI |MID |MIM |MIN | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 1 | 8 | 3 | 15 | 1 | 1 | 16 | 1 | | 0.03 | 0.21 | 0.08 | 0.39 | 0.03 | 0.03 | 0.42 | 0.03 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 1 8 3 15 1 1 16 1 Frequency| Row Pct |MIS |MKY |MMA |MMD |MMI |MMO |MNJ |MNY | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 3 | 1 | 3 | 3 | 8 | 3 | 4 | 4 | | 0.08 | 0.03 | 0.08 | 0.08 | 0.21 | 0.08 | 0.10 | 0.10 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 3 1 3 3 8 3 4 4 Frequency| Row Pct |MOH |MOR |MPA |MSM |MTX |MUT |MVA |MWA | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 3 | 1 | 7 | 5 | 3 | 2 | 1 | 4 | | 0.08 | 0.03 | 0.18 | 0.13 | 0.08 | 0.05 | 0.03 | 0.10 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 3 1 7 5 3 2 1 4 Frequency| Row Pct |NTR |RLE |SBA |SBE |SBP |SBT |SBY |SCG | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 8 | 7 | 11 | 1 | 14 | 18 | 26 | 82 | | 0.21 | 0.18 | 0.29 | 0.03 | 0.36 | 0.47 | 0.67 | 2.13 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 8 7 11 1 14 18 26 82

10

Frequency| Row Pct |SIA |SIE |SIP |SIT |SIY |SPE |SPR |SPY | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 11 | 6 | 8 | 10 | 15 | 2 | 10 | 14 | | 0.29 | 0.16 | 0.21 | 0.26 | 0.39 | 0.05 | 0.26 | 0.36 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 11 6 8 10 15 2 10 14 Frequency| Row Pct |SUA |SUT |TBG |TCA |TCT |TEC |TFG |TFI | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 14 | 4 | 18 | 9 | 1 | 14 | 10 | 5 | | 0.36 | 0.10 | 0.47 | 0.23 | 0.03 | 0.36 | 0.26 | 0.13 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 14 4 18 9 1 14 10 5 Frequency| Row Pct |TFL |TMA |TMI |TMN |TNC |TNJ |TNY |TPA | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ discont | 2 | 3 | 1 | 2 | 1 | 2 | 6 | 1 | | 0.05 | 0.08 | 0.03 | 0.05 | 0.03 | 0.05 | 0.16 | 0.03 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 2 3 1 2 1 2 6 1 Frequency| Row Pct |TTN |TTX |TVA |UTI |mis | Total ---------+--------+--------+--------+--------+--------+ discont | 2 | 1 | 1 | 4 | 2469 | 3854 | 0.05 | 0.03 | 0.03 | 0.10 | 64.06 | ---------+--------+--------+--------+--------+--------+ Total 2 1 1 4 2469 3854

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Table 2b Frequency of remaining funds by investment objective

The FREQ Procedure Table of status by sp_obj_cd status sp_obj_cd(Standard & Poor's Detailed Objective Code) Frequency| Row Pct |AGG |BAL |BGA |BGC |BGE |BGG |BGN |BGS | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 248 | 438 | 5 | 2 | 27 | 22 | 119 | 41 | | 0.80 | 1.42 | 0.02 | 0.01 | 0.09 | 0.07 | 0.38 | 0.13 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 248 438 5 2 27 22 119 41 Frequency| Row Pct |CGN |CHQ |CHY |CIM |CMQ |CPF |CSI |CSM | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 151 | 120 | 215 | 188 | 94 | 13 | 55 | 186 | | 0.49 | 0.39 | 0.69 | 0.61 | 0.30 | 0.04 | 0.18 | 0.60 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 151 120 215 188 94 13 55 186 Frequency| Row Pct |CVR |ECH |ECN |EGG |EGS |EGT |EGX |EID | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 52 | 4 | 1 | 171 | 36 | 53 | 118 | 160 | | 0.17 | 0.01 | 0.00 | 0.55 | 0.12 | 0.17 | 0.38 | 0.52 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 52 4 1 171 36 53 118 160 Frequency| Row Pct |EIG |EIS |EIT |EJP |ELT |ENV |EPC |EPR | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 343 | 64 | 94 | 40 | 44 | 7 | 61 | 5 | | 1.11 | 0.21 | 0.30 | 0.13 | 0.14 | 0.02 | 0.20 | 0.02 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 343 64 94 40 44 7 61 5 Frequency| Row Pct |EPX |ERP |ESC |FIN |FLG |FLX |GBS |GGN | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 65 | 133 | 19 | 25 | 65 | 113 | 8 | 217 | | 0.21 | 0.43 | 0.06 | 0.08 | 0.21 | 0.37 | 0.03 | 0.70 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 65 133 19 25 65 113 8 217

12

Frequency| Row Pct |GIM |GLD |GLE |GMA |GMB |GMC |GRI |GRO | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 121 | 34 | 2 | 62 | 102 | 370 | 746 | 1367 | | 0.39 | 0.11 | 0.01 | 0.20 | 0.33 | 1.20 | 2.41 | 4.42 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 121 34 2 62 102 370 746 1367 Frequency| Row Pct |GSM |HLT |IAZ |ICA |ICT |IFL |IKS |IMA | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 109 | 57 | 10 | 23 | 3 | 19 | 4 | 8 | | 0.35 | 0.18 | 0.03 | 0.07 | 0.01 | 0.06 | 0.01 | 0.03 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 109 57 10 23 3 19 4 8 Frequency| Row Pct |IMD |IMI |IMN |IMX |INC |ING |INJ |INM | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 4 | 7 | 1 | 139 | 5 | 164 | 9 | 2 | | 0.01 | 0.02 | 0.00 | 0.45 | 0.02 | 0.53 | 0.03 | 0.01 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 4 7 1 139 5 164 9 2 Frequency| Row Pct |INY |IOH |IPA |ISD |ITN |IVA |IVT |LCA | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 17 | 6 | 14 | 2 | 7 | 3 | 1 | 6 | | 0.05 | 0.02 | 0.05 | 0.01 | 0.02 | 0.01 | 0.00 | 0.02 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 17 6 14 2 7 3 1 6 Frequency| Row Pct |LFL |LMA |LMI |LNY |LVA |MAL |MAR |MAZ | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 3 | 1 | 6 | 1 | 1 | 3 | 4 | 22 | | 0.01 | 0.00 | 0.02 | 0.00 | 0.00 | 0.01 | 0.01 | 0.07 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 3 1 6 1 1 3 4 22 Frequency| Row Pct |MCA |MCO |MCT |MDE |MFL |MGA |MGN |MHI | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 75 | 8 | 12 | 1 | 46 | 16 | 202 | 5 | | 0.24 | 0.03 | 0.04 | 0.00 | 0.15 | 0.05 | 0.65 | 0.02 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 75 8 12 1 46 16 202 5

13

Frequency| Row Pct |MHY |MIA |MID |MIM |MIS |MKS |MLA |MMA | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 24 | 3 | 3 | 107 | 29 | 3 | 4 | 16 | | 0.08 | 0.01 | 0.01 | 0.35 | 0.09 | 0.01 | 0.01 | 0.05 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 24 3 3 107 29 3 4 16 Frequency| Row Pct |MMD |MMI |MMN |MMO |MMT |MNC |MND |MNE | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 17 | 17 | 24 | 5 | 3 | 16 | 3 | 1 | | 0.05 | 0.05 | 0.08 | 0.02 | 0.01 | 0.05 | 0.01 | 0.00 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 17 17 24 5 3 16 3 1 Frequency| Row Pct |MNJ |MNM |MNY |MOH |MOR |MPA |MRI |MSC | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 23 | 7 | 59 | 28 | 14 | 25 | 1 | 10 | | 0.07 | 0.02 | 0.19 | 0.09 | 0.05 | 0.08 | 0.00 | 0.03 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 23 7 59 28 14 25 1 10 Frequency| Row Pct |MSM |MTN |MTX |MVA |MVT |MWA |MWI |NTR | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 31 | 14 | 26 | 17 | 1 | 8 | 4 | 20 | | 0.10 | 0.05 | 0.08 | 0.05 | 0.00 | 0.03 | 0.01 | 0.06 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 31 14 26 17 1 8 4 20 Frequency| Row Pct |OPI |PAC |RLE |SBA |SBE |SBP |SBT |SBY | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 1 | 2 | 77 | 63 | 8 | 43 | 61 | 57 | | 0.00 | 0.01 | 0.25 | 0.20 | 0.03 | 0.14 | 0.20 | 0.18 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 1 2 77 63 8 43 61 57 Frequency| Row Pct |SCG |SCU |SEC |SIA |SIE |SIP |SIT |SIY | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 623 | 8 | 14 | 57 | 5 | 38 | 51 | 65 | | 2.01 | 0.03 | 0.05 | 0.18 | 0.02 | 0.12 | 0.16 | 0.21 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 623 8 14 57 5 38 51 65

14

Frequency| Row Pct |SPE |SPR |SPY |SUA |SUT |TAZ |TBG |TCA | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 11 | 65 | 123 | 49 | 36 | 1 | 55 | 29 | | 0.04 | 0.21 | 0.40 | 0.16 | 0.12 | 0.00 | 0.18 | 0.09 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 11 65 123 49 36 1 55 29 Frequency| Row Pct |TCT |TEC |TFG |TFI |TFL |TMA |TMD |TMI | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 7 | 185 | 57 | 38 | 6 | 6 | 1 | 5 | | 0.02 | 0.60 | 0.18 | 0.12 | 0.02 | 0.02 | 0.00 | 0.02 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 7 185 57 38 6 6 1 5 Frequency| Row Pct |TNC |TNJ |TNY |TOH |TPA |TVA |UTI |mis | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ cont | 5 | 6 | 24 | 3 | 4 | 2 | 52 | 20789 | | 0.02 | 0.02 | 0.08 | 0.01 | 0.01 | 0.01 | 0.17 | 67.18 | ---------+--------+--------+--------+--------+--------+--------+--------+--------+ Total 5 6 24 3 4 2 52 20789

Total

15

Table 3 Comparison of general fund characteristics

status N Obs Variable Label Mean Median ------------------------------------------------------------------------------------------------ cont 30947 turn_ratio Fund Turnover Ratio 0.9274888 0.5897000 exp_ratio Expense Ratio as of Fiscal Year-End 0.0130424 0.0124000 front_load Maximum Front-End Load 0.0224911 0 max_12b1 Maximum 12b-1 Fee 0.1653416 0.0100000 mgmt_fee Management Fee 0.5983453 0.6000000 rear_load Max Defer & Rear Load Charges 0.0156592 0.0100000 discont 3854 turn_ratio Fund Turnover Ratio 0.7658240 0.3700000 exp_ratio Expense Ratio as of Fiscal Year-End 0.0115923 0.0104000 front_load Maximum Front-End Load 0.0167022 0 max_12b1 Maximum 12b-1 Fee 0.4233420 0.0100000 mgmt_fee Management Fee 0.5501575 0.5300000 rear_load Max Defer & Rear Load Charges 0.0143473 0.0100000 ------------------------------------------------------------------------------------------------

16

Table 4 Comparison of fund assets and age

status N Obs Variable Mean Median -------------------------------------------------------------- cont 31253 av_asset 197.0546307 19.0940741 last_asset 350.8616282 18.8450000 age 7.1434716 5.6666667 discont 3716 av_asset 130.8638605 7.0648459 last_asset 165.8385363 8.0225000 age 4.1088312 3.1666667

--------------------------------------------------------------

17

Table 6

Sharpe ratio comparisons for equity funds

The MEANS Procedure Analysis Variable : sharpe_ratio status N Obs N Mean t Value Median -------------------------------------------------------------------- cont 12291 12281 0.1660414 81.07 0.1381333 discont 1421 1415 0.3075540 3.43 0.2012961 --------------------------------------------------------------------

18

Table 7 Performance comparison for equity funds

Panel A: Remaining funds The REG Procedure Model: MODEL1 Dependent Variable: ex_ret Number of Observations Read 426 Number of Observations Used 426 Analysis of Variance Sum of Mean Source DF Squares Square F Value Pr > F Model 4 0.73718 0.18429 5662.10 <.0001 Error 421 0.01370 0.00003255 Corrected Total 425 0.75088 Root MSE 0.00571 R-Square 0.9818 Dependent Mean 0.00476 Adj R-Sq 0.9816 Coeff Var 119.76037 Parameter Estimates Parameter Standard Variable Label DF Estimate Error t Value Pr > |t| Intercept Intercept 1 -0.00047594 0.00029568 -1.61 0.1082 mktrf Excess Return on the Market 1 0.92006 0.00704 130.74 <.0001 smb Small-Minus-Big Return 1 0.01879 0.00886 2.12 0.0345 hml High-Minus-Low Return 1 -0.00719 0.01046 -0.69 0.4919 umd Momentum Factor 1 0.00664 0.00666 1.00 0.3195

19

Panel B. Discontinued Funds The REG Procedure Model: MODEL1 Dependent Variable: ex_ret Number of Observations Read 426 Number of Observations Used 426 Analysis of Variance Sum of Mean Source DF Squares Square F Value Pr > F Model 4 0.80875 0.20219 1514.52 <.0001 Error 421 0.05620 0.00013350 Corrected Total 425 0.86495 Root MSE 0.01155 R-Square 0.9350 Dependent Mean 0.00476 Adj R-Sq 0.9344 Coeff Var 242.52440 Parameter Estimates Parameter Standard Variable Label DF Estimate Error t Value Pr > |t| Intercept Intercept 1 -0.00052838 0.00059882 -0.88 0.3781 mktrf Excess Return on the Market 1 0.92640 0.01425 65.00 <.0001 smb Small-Minus-Big Return 1 0.05530 0.01793 3.08 0.0022 hml High-Minus-Low Return 1 -0.10183 0.02118 -4.81 <.0001 umd Momentum Factor 1 0.06155 0.01350 4.56 <.0001

20

Panle C. Performance of difference The REG Procedure Model: MODEL1 Dependent Variable: dif Number of Observations Read 426 Number of Observations Used 426 Analysis of Variance Sum of Mean Source DF Squares Square F Value Pr > F Model 4 0.00824 0.00206 15.79 <.0001 Error 421 0.05492 0.00013044 Corrected Total 425 0.06315 Root MSE 0.01142 R-Square 0.1304 Dependent Mean -3.23034E-7 Adj R-Sq 0.1222 Coeff Var -3535604 Parameter Estimates Parameter Standard Variable Label DF Estimate Error t Value Pr > |t| Intercept Intercept 1 0.00005244 0.00059193 0.09 0.9294 mktrf Excess Return on the Market 1 -0.00634 0.01409 -0.45 0.6529 smb Small-Minus-Big Return 1 -0.03652 0.01773 -2.06 0.0400 hml High-Minus-Low Return 1 0.09464 0.02094 4.52 <.0001 umd Momentum Factor 1 -0.05491 0.01334 -4.12 <.0001

21

Table 8 Sharpe ratio comparisons for bond funds

The MEANS Procedure Analysis Variable : sharpe_ratio N status Obs Mean t Value Median ---------------------------------------------------------- cont 2843 0.0772698 20.35 0.1119083 discont 295 0.0405570 1.77 0.0695829 ----------------------------------------------------------

22

Table 8 Performance comparison for bond funds

Panel A: Remaining funds The REG Procedure Model: MODEL1 Dependent Variable: exret Number of Observations Read 547 Number of Observations Used 162 Number of Observations with Missing Values 385 Analysis of Variance Sum of Mean Source DF Squares Square F Value Pr > F Model 3 0.01216 0.00405 270.11 <.0001 Error 158 0.00237 0.00001500 Corrected Total 161 0.01453 Root MSE 0.00387 R-Square 0.8368 Dependent Mean 0.00102 Adj R-Sq 0.8337 Coeff Var 378.94488 Parameter Estimates Parameter Standard Variable Label DF Estimate Error t Value Pr > |t| Intercept Intercept 1 -0.00029797 0.00031046 -0.96 0.3386 mktrf mktrf 1 0.04900 0.00859 5.70 <.0001 term 1 0.36222 0.01412 25.65 <.0001 def 1 0.43991 0.03648 12.06 <.0001

23

Panel B: Discontinued funds The REG Procedure Model: MODEL1 Dependent Variable: exret Number of Observations Read 547 Number of Observations Used 162 Number of Observations with Missing Values 385 Analysis of Variance Sum of Mean Source DF Squares Square F Value Pr > F Model 3 0.01177 0.00392 278.64 <.0001 Error 158 0.00223 0.00001409 Corrected Total 161 0.01400 Root MSE 0.00375 R-Square 0.8410 Dependent Mean 0.00082947 Adj R-Sq 0.8380 Coeff Var 452.47733 Parameter Estimates Parameter Standard Variable Label DF Estimate Error t Value Pr > |t| Intercept Intercept 1 -0.00046235 0.00030083 -1.54 0.1263 mktrf mktrf 1 0.04261 0.00832 5.12 <.0001 term 1 0.36749 0.01368 26.86 <.0001 def 1 0.36549 0.03535 10.34 <.0001

24

Panel C: Performance of difference The REG Procedure Model: MODEL1 Dependent Variable: dif Number of Observations Read 547 Number of Observations Used 162 Number of Observations with Missing Values 385 Analysis of Variance Sum of Mean Source DF Squares Square F Value Pr > F Model 3 0.00017293 0.00005764 30.50 <.0001 Error 158 0.00029860 0.00000189 Corrected Total 161 0.00047153 Root MSE 0.00137 R-Square 0.3667 Dependent Mean 0.00019266 Adj R-Sq 0.3547 Coeff Var 713.56062 Parameter Estimates Parameter Standard Variable Label DF Estimate Error t Value Pr > |t| Intercept Intercept 1 0.00016438 0.00011019 1.49 0.1377 mktrf mktrf 1 0.00639 0.00305 2.09 0.0378 term 1 -0.00527 0.00501 -1.05 0.2949 def 1 0.07442 0.01295 5.75 <.0001

25

Table 10 Performance comparison for equity funds based on individual fund alphas

The MEANS Procedure status N Obs Variable Mean t Value ------------------------------------------------------- cont 10187 alpha -0.0012832 -43.70 mktrf 0.9425142 351.96 smb 0.1508536 46.20 hml 0.0432153 12.94 umd 0.0228317 16.45 discont 1037 alpha -0.0015333 -14.79 mktrf 0.8824369 103.78 smb 0.1115435 12.10 hml 0.0218959 2.60 umd 0.0205156 4.98 -------------------------------------------------------

The TTEST Procedure Statistics Lower CL Upper CL Lower CL Upper CL Variable status N Mean Mean Mean Std Dev Std Dev Std Dev Std Err alpha cont 10187 -0.001 -0.001 -0.001 0.0029 0.003 0.003 294E-7 alpha discont 1037 -0.002 -0.002 -0.001 0.0032 0.0033 0.0035 0.0001 alpha Diff (1-2) 584E-7 0.0003 0.0004 0.003 0.003 0.003 0.0001 T-Tests Variable Method Variances DF t Value Pr > |t| alpha Pooled Equal 11E3 2.56 0.0106 alpha Satterthwaite Unequal 1208 2.32 0.0204 Equality of Variances Variable Method Num DF Den DF F Value Pr > F alpha Folded F 1036 10186 1.27 <.0001

Table 11 Performance comparison for bond funds based on individual fund alphas

The MEANS Procedure status N Obs Variable Mean t Value ------------------------------------------------------ cont 2484 alpha -0.000218240 -6.51 mktrf 0.0405126 28.00 term 0.3396417 110.99 def 0.4347803 48.10 _RSQ_ 0.7228160 189.87 discont 230 alpha -0.000339705 -3.75 mktrf 0.0425819 9.44 term 0.3235587 29.21 def 0.3223723 11.33 _RSQ_ 0.7641308 55.16 ------------------------------------------------------

26

The TTEST Procedure Statistics Lower CL Upper CL Lower CL Upper CL Variable status N Mean Mean Mean Std Dev Std Dev Std Dev Std Err alpha cont 2484 -28E-5 -22E-5 -15E-5 0.0016 0.0017 0.0017 335E-7 alpha discont 230 -52E-5 -34E-5 -16E-5 0.0013 0.0014 0.0015 0.0001 alpha Diff (1-2) -1E-4 0.0001 0.0003 0.0016 0.0016 0.0017 0.0001 T-Tests Variable Method Variances DF t Value Pr > |t| alpha Pooled Equal 2712 1.07 0.2848 alpha Satterthwaite Unequal 295 1.26 0.2099 Equality of Variances Variable Method Num DF Den DF F Value Pr > F alpha Folded F 2483 229 1.48 0.0002