E X H I B I T 7 Peer Analysis, December 2006 through December 2015
Source: eVestment, all U.S. equity universe.
E X H I B I T 8 Monthly Returns
Source: eVestment.
very strong years in which the founder-CEO index pro- vides exceptional returns, such as 2009 and 2013, the index still experiences three months of negative returns. In contrast, calendar years with an extremely challenging economy, such as 2008, generate negative returns for 7 months out of 12. Investors should recognize that this
strategy, not unlike other concentrated equity strategies, may be subject to market volatility. Exhibit 9 provides a scatterplot of the risk–return of the founder-CEO index, VUG, and 2,679 other U.S. equity strategies in the eVestment database. The scatter- plot applies annualized returns on the y -axis given the
L EADERSHIP M ATTERS : C RAFTING A S MART B ETA P ORTFOLIO WITH A F OUNDER -CEO T WIST
W INTER 2017
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