Details of the computations are provided in the section titled Computing the Styles of the LS100 Funds.
Each of the fund pages is in the Adobe Acrobat pdf format. To read them you will need a copy of either Adobe's Acrobat Reader or Acrobat Exchange. The reader is currently free and may be obtained from Adobe's Software Page. To learn how to integrate Acrobat Reader or Exchange into your browser, read Adobe's Acrobat Page. You may also wish to avail yourself of some helpful hints based on my experience with Acrobat.
To illustrate the method, we show the results for Merrill Lynch's Capital/A fund. Each of the five sections of the report is shown below, with a brief description.
This section gives the name of the fund and two key summary measures.
The Variance, Selection/Fund indicates the ratio of the variance of the selection return to that of the fund as a whole over the prior 36 months (in this case, from December 1990 through November 1993, inclusive). The selection return in each month is the difference between the return on the fund and that of its most recently-computed style, based on all available returns up to two month's earlier (for example, the style used to compute the selection return for November 1993 used returns through and including September 1993). The larger is the ratio of selection variance to total fund variance, the more active is the fund. A large value indicates relatively little diversification within asset classes, frequent rotation among asset classes, or both. In this case, only 5% of the fund's variance in returns from month to month was attributed to selection, indicating a relatively passive investment approach.
The Non-US Dollar Exposure indicates the fund's exposure to movements in other currencies. In this case it is slightly greater than the exposure to the Non-US Security classes, suggesting lack of currency hedging of such positions and possibily small positions in foreign short-term fixed income instruments. When a fund chooses to hedge some or all of its foreign currency the percentage shown for Non-US Dollar Exposure will generally be smaller than that shown for the Non-US Securities Classes.