• Manager X has the lowest tracking error and the highest correlation with the stated benchmark. The other benchmark candidates have higher tracking errors and lower correlations.
• Although the manager has produced positive excess returns over the period March 2004 — March 2013, there are two prolonged drawdown periods.
• A sizeable portion of the excess returns is explained by equity market factors, with an adjusted-R2 as high as 72% on a 36-month rolling basis. The latest adjusted-R2 is approximately 42%.