The Advisen Total Accrual Metric (ATACm): Back-Testing

November 2008

The Advisen Total Accrual Metric (ATACm): Back-Testing Underscores its Strength

An Advisen Whitepaper Essence: Utilizing the concepts of academic research on aggressive accrual accounting policies, Advisen introduced proprietary adjustments, and created a powerful tool – Advisen Total Accrual metric (ATACm) – which correlates growth in accruals with the likelihood of attracting securities class action lawsuits. Advisen has subjected its ATACm tool to extensive back-testing to both test its rigor and to provide further insights into the impact of the tool. The results of this back-testing proves that using ATACm substantially improves the performance of portfolios of companies for assessing risks. ATACm has been a reliable tool on Advisen as an indicator of companies with higher risks of attracting securities class action (SCA) lawsuits, using growth in accruals as its primary yardstick. Back-testing analysis performed on this metric supports these claims by proving that using ATACm on a portfolio of companies improves underwriting performance over the scenario without ATACm. The back-testing results enable views of portfolios of companies in various risk scenarios, from the scenario that removes companies with the riskiest ATACm scores, to the scenario that removes all companies but those with the least risky of ATACm scores. In addition to providing insight into the risk avoided by eliminating companies with risky ATACm scores in portfolios, these results assist in pricing such companies that are retained in portfolios.

ATACm is part of a portfolio of impactful proprietary tools provided by Advisen for assessing the probability of attracting SCA lawsuits, including four Value Risk Tools listed in the table below. Advisen developed Value Risk Tools to give additional perspectives into the risk of companies attracting SCA lawsuits, including slightly different time periods to assess this risk. Each measure represents a useful tool for assessing risk on its own, but together, the portfolio of tools provides for powerful insights into the risk profiles of public companies.

Test results for ATACm, similar to Value Risk Tools, are impressive. For each tool, companies with high scores attracted a disproportionate percentage of total SCA lawsuits. Displayed below is the percentage of lawsuits for companies with the top 5%, 10% and 15% of each tool’s score.

Percentage of Lawsuits for Companies With the Highest Scores

ATACm Adjusted PE

Adjusted Positive Earn-to-CFO

Adjusted Loss-to-CFO

Adjusted Sales-to-CFO

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22% 12% 10% 14% 9%

Top 10% of Scores

35% 22% 20% 27% 18%

Top 15% of Scores

46% 30% 27% 37% 26% Time Period After FYE: ATACm – 12 to 24 months; Value Risk Tools – six to 18 months.

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Underpinnings of ATACm

Accrual accounting is fundamental to GAAP accounting policies. It is an accounting method that measures economic events rather than cash transfers. These economic events are recognized by matching transaction-related revenues and expenses at the time of the transaction, as opposed to recognizing the revenues and expenses as cash payments are made and received. Accrual accounting can provide a more accurate picture of the financial condition of companies than pure cash accounting, providing investors with highly relevant information.

As accrual accounting rules are the centerpiece of any accounting system that hopes to convey the financial position of companies to investors, accrual accounting is here to stay. The inherent flexibility of accrual accounting often leads to creative accounting techniques. This leaves the opportunity for pushing estimates beyond prudent levels in order to inflate earnings, and other key items such as revenue, as well as to undervalue expenses. Use of creative accrual accounting techniques is widely accepted as a way to meet earnings expectations. In a Duke University survey of 401 senior executives, three-quarters admitted to massaging earnings reports, and 40% said they would take advantage of ambiguous accounting rules to meet earnings targets.

Use of creative accrual accounting techniques might boost earnings in the short term, but these inflated earnings usually prove unsustainable. Eventually, these techniques run into a wall, requiring firms to write-down assets and restate earnings, which in turn often set the stage for plummeting share prices and SEC enforcement actions, and ultimately SCA lawsuits. Leading academic research conducted by Richard Sloan of the University of Michigan Business School and Scott Richardson of the Wharton School of the University of Pennsylvania showed that companies that most aggressively grow their balance sheet accruals (usually affecting revenue and earnings) often positively impacts their stock price in the coming year. The research concludes that such companies will usually need to restate their financial statements, causing share prices to plummet.

Advisen’s team of economists and statisticians conducted its own research, using its comprehensive databases of company financial information, and confirmed the findings of this academic research. Advisen then built upon this research with proprietary adjustments, substantially improving the results. Furthermore, Advisen took the research a step beyond its findings that the restatements cause share prices to drop, and demonstrated a strong correlation between accrual growth and attracting SCA lawsuits, which is encapsulated in the ATACm tool on the Advisen system.

The core concept behind ATACm is that manipulation of accruals, with the intended purpose of improving the perception of performance, often foreshadows restatements, drops in share prices, and SCA lawsuits. The basic flow of the findings of both the academic research and Advisen’s insights is as follows:

Proprietary adjustments to the finding of the academic research made by Advisen encompass several areas. Since ATACm is concerned with the likelihood of companies attracting SCA lawsuits, and not necessarily just issuing restatements, Advisen considered aspects of accruals that are correlated with

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such outcomes. First, Advisen discovered that not all accruals are created equally, with some contributing more to the probability of attracting lawsuits. So all asset accruals on the balance sheet were given different weightings, and broken into two components: Physical Assets and Intangible Assets.

Second, the initial academic research correctly considered the growth of debt liabilities to be a negative accrual, lowering the growth of overall accruals, which is counterintuitive to the idea of attracting lawsuits. Advisen’s research not only revealed this intuition to be correct, but found that growth in debt contributed to the probability of attracting SCA lawsuits. A third component was created, Leverage Items, which incorporates the growth of any debt-related item on the balance sheet and given its own weighting based on the research. Third, since company size is surely correlated with attracting lawsuits, and the academic research removed company size from its finding, Advisen introduced an element of company size by using market capitalization. The ATACm scores reflect the growth of these three components relative to total assets, but adjusted for company size using market capitalization.

The ATACm scores were cross-examined against Advisen’s proprietary Master Significant Case and Action Database (MSCAd), which is the most complete and accurate database of company loss events available. Advisen’s team of legal experts scours various legal sources for timely and accurate information for company legal actions. The sources of information include: Lexis/Nexis, financial newswires, the Pacer federal documenting system, state and regulatory agency websites and announcements, company SEC filings (e.g., 10Ks, 10Qs, and 8Ks), and various reputable newspapers (e.g., the Wall Street Journal, the New York Times, and the Financial Times). MSCAd currently contains over 10,000 loss events, with over 3,700 of which are SCA lawsuits, representing over $500 billion in aggregate losses. Correlations were drawn between ATACm scores and SCA lawsuits filed 12 to 24 months after the fiscal year end (FYE) dates of the components of the score, using MSCAd information.

General Methodology ATACm was calculated for all fiscal years from 1995 through 2007, for all companies that trade in the U.S., encompassing over 16,000 companies. This includes non-U.S. companies that trade in the U.S., typically through ADRs, because these companies are under the domain of U.S. securities laws and the U.S. court system. The calculated scores were broken down into 20 equal vingtiles (i.e., 5% of the scores in each vingtile), from lowest to highest scores. The time period examined was 12 to 24 months after the FYE date. If a lawsuit was filed against a company within the tested time-period from the FYE date of the ATACm score, then it was counted as an occurrence in the appropriate vingtile. The total number of occurrences for each vingtile was then used as the outcome.

ATACm Research Findings

The ATACm research findings are substantial, revealing a strong correlation between ATACm scores and attracting SCA lawsuits. Throughout the time period studied, from 1995 to 2007, companies with the top 5% of ATACm scores attracted 22% of SCA lawsuits between one and two years after their FYE date, and the top 15% represented 46% of lawsuits. Additionally, the top 40% of ATACm scores were associated with 79% of lawsuits filed, demonstrated in the following chart.

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Advisen utilizes the results of this research with a unique ATACm scoring system. Advisen’s analysts separated the chart into five segments in order to isolate similar risk groups: vingtiles one through seven, eight through 12, 13 through 17, 18 and 19, and 20. Vingtiles one through seven were designated as the base-level, and the average number of lawsuits that fall in these vingtiles is defined as 1-times. After setting the base-level, the per-vingtile average of each of the other segments was calculated, as was the multiple from that base-level. For example, companies in the 20th vingtile are considered 19-times more likely to attract a SCA lawsuit than companies in the base-level, base on the research findings. All of the segments and their associated multiple from the base-level are demonstrated below.

Percentage of Lawsuits by Vingtile

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In addition to comparing companies’ ATACm score to the entire universe of companies that are publicly traded in the U.S., Advisen studied the relationship of ATACm scores to the likelihood of attracting lawsuits within market capitalization groups and industry sectors. The market capitalization groups studied included companies with market cap: less than $250 million; between $250 million and $1 billion; between $1 billion and $5 billion; and over $5 billion. The industry sectors studied were those with sufficient data in order to reach statistically significant conclusions, representing the majority of all public companies, which included: industrials, consumer discretionary, consumer staples, healthcare, financials, and information technology. Companies in each market capitalization group and industry sector have separate relationships to their group, resulting in each group with their own base-levels and multiples from their respective base-level.

The risk-level vingtile groupings and multiples of each market capitalization group and industry sector group are listed below.

Market Capitalization Groups

< $250 Million Between $250 Mil and $1

Billion Between $1 Billion and $5

Billion > $5 Billion

Vingtiles Multiple Vingtiles Multiple Vingtiles Multiple Vingtiles Multiple

1-10 Base 1-7 Base 1-10 Base 1-8 Base

11-14 2x 8-13 2x 11-18 1 ½ x 9-14 2x

14-17 3x 14-17 4x 19-20 2 ½ x 15-20 2 ½ x

18-19 4x 18-19 7x

20 8x 20 10x

Industry Sector Groups

Industrials Consumer Discretionary Consumer Staples

Vingtiles Multiple Vingtiles Multiple Vingtiles Multiple

1-13 Base 1-12 Base 1-14 Base

14-18 5x 13-15 4x 15-17 3x

19 8x 16-18 8x 18-19 6x

20 15x 19 11x 20 15x

20 19x

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Industry Sector Groups (continued)

Healthcare Financials Information Technology

Vingtiles Multiple Vingtiles Multiple Vingtiles Multiple

1-10 Base 1-15 Base 1-8 Base

11-14 3x 16-19 4x 9-15 3x

15-18 6x 20 16x 16-17 7x

19 10x 18-19 10x

20 12x 20 15x

Back-Testing ATACm

Advisen’s research has revealed that growth in balance sheet accruals of public companies, in conjunction with Advisen’s proprietary adjustments, is strongly correlated with the likelihood of attracting lawsuits. This relationship has been shown to hold through market capitalization groups and industry sectors. The impact of this relationship is captured in the ATACm tool on the Advisen system.

But can ATACm stand up to rigorous back-testing? The answer is yes. The ATACm back-testing framework, like the initial framework, presented a company’s ATACm scores in a time series, which was then tested against future suits. The same Advisen MSCAd lawsuit database was used with the filing date of the suit considered relative to the ATACm score date. To back-test ATACm, Advisen studied the data from a different angle, which, if ATACm is indeed a valid measure of the likelihood of attracting SCA suits, should yield similarly strong results.

The initial ATACm results were calculated using a technique that placed all ATACm scores during the time period studied (i.e., 1995 through 2007) into 20 equal vingtiles. These results were extracted from measuring the number of SCA lawsuits in each vingtile that occurred 12 to 24 months after the FYE dates of the underlying accruals. The same approach was used for back-testing, but the data was separated into a yearly time series (1995 to 2006) with each company having a score that can evolve over time.

To simulate a typical underwriter’s portfolio, Advisen used a portfolio sampling approach. This approach is used to simulate a strategy that an underwriter might employ to benefit from ATACm’s value. One thousand portfolios, of 1,000 companies each, were sampled from the total population of companies each year. Each of these portfolios contained a mix of risks from the spectrum of companies, evenly across all 20 vingtiles.

In each of these portfolios, the number of companies with lawsuits filed against them was measured by vingtile, as opposed to measuring the number of lawsuits per vingtile, as was reflected in the initial ATACm results. For each year, averaging the number of companies with lawsuit filings, within the timeframe of 12 to 24 months after the fiscal year end dates of the underlying accruals, for each portfolio provides a distribution on the portfolio mean count of suits by vingtile. In other words,

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calculating the portfolio mean count for each year enables for an analysis with a standard deviation and an associated confidence interval; and a 95% confidence interval was utilized for this analysis. Underwriters may have more or less than the average risk appetite, and can locate their own portfolio of risks within this distribution.

Scenario analyses were performed on the results of these hypothetical portfolios. The scenarios reject companies in certain vingtiles, starting with the riskiest (i.e., 20th vingtile) and then rejecting additional vingtiles (i.e., 19th and 20th vingtiles, then 18th through 20th vingtiles). By evaluating the number of suits left in a portfolio after applying a scenario, this analysis measures how ATACm can allow users to avoid a certain percentage of companies with lawsuits. This percentage can be compared to the results of a baseline scenario, in which companies are randomly rejected (i.e., ignoring ATACm information). In addition, instead of merely avoiding these companies, users of ATACm can choose to use this analysis to help price these risks for certain companies.

For this analysis, data items calculated from the back-testing results, for each year and an average of all years, include:

• Average % With Suits – average percentage of companies with lawsuits 12 to 24 months after the FYE of the underlying accruals;

• ATACm % Rejected – the average percentage of companies with lawsuits rejected by rejecting the given vingtiles (each vingtile consists of 5% of the companies);

• Baseline % Rejected – the average percentage of lawsuits rejected by randomly rejecting companies, which is approximately 5% for each of the 20 ATACm vingtiles rejected;

• Average % Difference – the difference between “ATACm % Rejected” and “Baseline % Rejected,” representing the ATACm improvement in absolute terms;

• Lower/Upper Bound (95% CI) – the lower and upper bounds of a 95% confidence interval around the “Average % Difference”; and

• % ATACm Improvement – the average percentage improvement that ATACm provides over the randomly selected baseline, or the average percentage increase of “ATACm % Rejected” over “Baseline % Rejected.”

Back-Testing Results

The back-testing analysis indicates that ATACm provides a substantial improvement over the baseline results, which is the scenario without the benefit of ATACm. For example, if companies in the 20th ATACm vingtile were rejected, an average of 13.6% of companies with lawsuits filed within the 12-to-24 month timeframe after the FYE date would have been avoided from 1995 through 2006, which is significantly greater than the baseline level of 5%. The average improvement that ATACm provided is 8.6% over the baseline, which results in about a 170%-improvement of using ATACm over the scenario without ATACm. Similar results are rendered by rejecting companies in the 19th and 20th vingtiles, yielding a 147%-improvement.

Beyond shedding light on the risk that could be avoided by rejecting companies in risky vingtiles, this analysis also provides insight into the risk levels of companies and assists in pricing the risk of companies in these vingtiles.

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Results for rejecting companies in the 20th vingtile, and the 19th and 20th vingtile, are below. The results for all vingtiles are available in Appendix A.

The percentage improvement that ATACm affords remains positive as more vingtiles are rejected, straight through eliminating all but the 1st vingtile. Eliminating companies in the 20th vingtile, or the companies with the highest 5% of ATACm scores, provides the strongest response. The improvement of using ATACm converges with a random rejection technique of the baseline as more vingtiles are rejected. The percentage improvement of using ATACm as a larger percentage of companies are rejected is displayed below, with each 5% rejected representing another vingtile.

The absolute level of the ATACm rejection improvement, which is the difference between the percentage of companies rejected by using ATACm and the randomly rejected baseline results, remains above the baseline as more vingtiles are rejected. These results were highly consistent for all years and all vingtiles, as drawing curves of both the upper and lower bounds of the 95% confidence

Rejecting 201995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Average

Average % With Suits 1.2% 1.9% 2.2% 1.8% 2.1% 4.5% 2.2% 2.0% 2.4% 1.6% 1.2% 1.9% 2.1%ATACm % Rejected 6.8% 11.3% 10.4% 16.4% 15.3% 14.2% 16.8% 13.1% 12.9% 14.6% 11.9% 19.3% 13.6%Baseline % Rejected 4.9% 5.0% 4.9% 5.1% 5.1% 5.2% 5.1% 5.1% 5.0% 5.2% 4.8% 5.0% 5.0%

Lower Bound (95% CI) 1.4% 5.8% 5.0% 10.6% 9.7% 8.6% 11.2% 7.5% 7.5% 8.8% 6.5% 13.7% 8.0%Average % Difference 1.9% 6.3% 5.4% 11.3% 10.2% 9.0% 11.7% 8.0% 7.9% 9.4% 7.1% 14.3% 8.6%

Upper Bound (95% CI) 2.5% 6.8% 5.9% 11.9% 10.8% 9.3% 12.3% 8.5% 8.4% 10.1% 7.8% 14.9% 9.1%% ATACm Improvement 39.6% 126.3% 110.2% 220.8% 199.6% 172.6% 232.1% 155.9% 159.1% 181.2% 149.8% 288.2% 169.6%

Rejecting 19-201995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 Average




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interval are almost indistinguishable from the curve of the average results. In fact, the lower bound of this large confidence interval remains above the baseline throughout, as more vingtiles are rejected. The following chart (similar to a Kolmogorov-Smirnov chart) demonstrates this point, with the “ATACm % Rejected” curve consistently above the “Baseline % Rejected” curve.

Back-Testing ATACm for Market Cap Groups

Back-testing ATACm for market capitalization groups was performed with the same bootstrapping methods as used for the overall ATACm analysis. The only difference is that companies were studied in smaller universes, broken down by four market capitalization groups: under $250 million; between $250 million and $1 billion; between $1 billion and $5 billion; and over $5 billion. ATACm research results hold steady through all market capitalization groups, with ATACm scores highly correlated to the probability of attracting lawsuits.

Using the over-$5-billion market capitalization group as an example, rejecting companies in the 20th vingtile yielded an average reduction of 11.2% of companies with lawsuits filed during the time period of 12 to 24 months after the FYE of the underlying accruals. This was 6.2% higher than the 5% baseline of randomly rejecting companies without the benefit of ATACm. These results averaged a 129%-improvement, from 1995 through 2006, comparing utilizing ATACm and randomly rejecting companies. (Note: the numbers will not exactly compute to 129% due to rounding errors involved with calculating averages of large portfolios selected 1,000 times for each year, and computing an average for all years). Rejecting companies in both the 19th and 20th vingtiles produced an 80%-improvement over randomly rejecting companies.

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Results for rejecting companies in the 20th vingtile, and the 19th and 20th vingtile, for the over-$5-billion market capitalization group are below. The results for all vingtiles and all market capitalization groups are available in Appendix B.

Similar to overall ATACm, for this market capitalization group, the percentage improvement remains positive as more vingtiles are rejected, straight through eliminating all but the 1st vingtile, with the 20th vingtile prompting the strongest response. The percentage improvement of using ATACm as a larger percentage of companies are rejected is displayed below, with each 5% rejected representing another vingtile.



Lower Bound (95% CI) 27.1% 10.1% -0.3% -0.8% 3.9% 4.7% 2.1% -0.2% 7.6% 5.0% 10.2% -3.5% 5.5%Average % Difference 28.9% 11.0% 0.3% -0.3% 4.6% 5.1% 2.5% 0.3% 8.1% 5.8% 11.3% -3.1% 6.2%

Upper Bound (95% CI) 30.7% 11.8% 0.9% 0.2% 5.2% 5.5% 2.9% 0.8% 8.7% 6.6% 12.4% -2.6% 6.9%% ATACm Improvement 673.2% 204.6% 6.4% -6.3% 84.4% 99.3% 49.3% 6.2% 163.5% 108.3% 225.6% -61.4% 129.4%



Lower Bound (95% CI) 56.7% 4.6% -0.3% 1.7% -1.5% 3.8% 2.7% -0.4% 5.2% 3.3% 5.3% -4.5% 6.4%Average % Difference 59.1% 5.6% 0.5% 2.5% -0.7% 4.3% 3.3% 0.3% 5.8% 4.3% 6.5% -3.8% 7.3%

Upper Bound (95% CI) 61.4% 6.5% 1.3% 3.3% 0.0% 4.8% 3.8% 1.0% 6.5% 5.3% 7.7% -3.2% 8.2%% ATACm Improvement 675.4% 51.6% 4.6% 25.6% -6.6% 42.8% 32.5% 2.6% 58.4% 40.1% 67.1% -38.8% 79.6%

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ATACm % Improvement: MC>$5 Bil

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Back-Testing ATACm for Industry Sector Groups

Industry sector groups were back-tested in a similar fashion, and demonstrated the strength of the initial research, with each group achieving significant benefits of using ATACm. This approach compared companies to their industry peers, using six sectors with sufficient data to draw statistical conclusions, representing the majority of public companies. The six industry sectors are: industrials, consumer discretionary, consumer staples, healthcare, financials, and information technology.

The financials sector is a compelling example. If companies in the 20th ATACm vingtile were rejected over the course of the study, an average of 20% of companies with lawsuits filed against them 12 to 24 months after the FYE date of the underlying accruals would have been rejected. This overwhelming improvement over the randomly selected baseline rejection rate of 5% is 15% higher, and a staggering 287%-improvement. (Note: rounding errors account for the number not calculating properly). Rejecting companies in the 19th and 20th vingtiles yields a similar eye-popping improvement of 277%.

Results for rejecting companies in the 20th vingtile, and the 19th and 20th vingtile, for the financials industry sector group are below. The results for all vingtiles and all industry sector groups are available in Appendix C.









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Furthermore, for this industry sector group, the percentage improvement remains positive as more vingtiles are rejected throughout, with the 20th vingtile providing the strongest response. The percentage improvement of using ATACm as a larger percentage of companies are rejected is displayed below, with each 5% rejected representing another vingtile.

ATACm Tool on Advisen

The Advisen system provides an incisive tool that utilizes this research, called ATACm. Public companies that trade in the U.S. have charts displaying their vingtile placement and associated multiple risk-level over the most recent five years, given the growth in accruals and company size as measured by the ATACm score. The multiple risk-level evaluates the risk of attracting lawsuits for any given company. Companies are compared against both the entire universe of companies, as well as within their own industry sector and market capitalization group. The ATACm tool also provides both an annual and quarterly outlook, offering the most recent reflection of accruals.

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Examples of the three types of charts (i.e., overall, industry sector, and market capitalization) are below:

Overall ATACm Sector ATACm Market Cap ATACm

(Note: These charts are meant for display purposes only. The multiples are not indicative of any company or ATACm type.)

Features that offer finer analysis are provided in conjunction with these charts. The percentage that each major component (i.e., Physical Assets, Intangible Asset, and Leveraged Items) contributes to the ATACm score is available for each year displayed, along with trend lines of specific accrual segments of the components. Additionally, specific relevant ratios are calculated for both the company and its industry peer group, facilitating deeper and more comprehensive analysis of both the drivers of accrual growth and general changes in company risk-levels.

Advisen’s ATACm tool is an impactful measure, based on leading-edge research conducted by Advisen’s team of statisticians, economists and risk experts. Advisen offers a host of complementary analytics for evaluating companies, including Value Risk Tools. Value Risk Tools are a portfolio of risk measures, developed by Advisen, which harness the concepts of value investing with Advisen’s proprietary adjustments. Similar to ATACm, Value Risk tools assess the likelihood of companies attracting SCA lawsuits, but gives Advisen users an additional perspective on risk. The complete package of ATACm and Value Risk Tools is only available on Advisen, and can assist commercial insurance professionals, among others, in various ways with regard to SCA lawsuits.

Underwriters D&O underwriters spend hours dissecting and analyzing financial statements, and tens of thousands of dollars on forensic accounting tools and services, in an attempt to measure the probability of companies to attract SCA lawsuits. Cutting to the chase, ATACm presents a valid red flag, zeroing in on the key variables proven to be correlated to attracting such suits. With Value Risk Tools, ATACm provides more comprehensive guidance for underwriters.

Insurance Brokers Using the complete offering of ATACm and Value Risk Tools, insurance brokers can help guide insurance carriers and counsel their corporate clients as to the level of insurance to purchase with this tool, and certainly brokers would want to be aware of risk issues before underwriters point them out.

Risk Manager In addition to their consultations with brokers, risk managers can perform a comprehensive risk evaluation using the many functions and offerings on the Advisen system, where these tools should play a critical role.

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Others Legal professionals can track companies that are high profile targets of litigation, or employ ATACm and Value Risk Tools as part of defense consultations. Analysts of all stripes, from equity, to fixed income, to hedge fund managers, can harness these tools when assessing the general risk profiles of any public company. ATACm and Value Risk Tools can be part of the cadre of risk assessment measures and processes for evaluating the risk of companies from many perspectives.

This whitepaper was written by John W. Molka III, CFA, Senior Industry Analyst and Editor, 212.984.2753, [email protected].

About Advisen

Advisen Ltd. equals success for insurance professionals, driving growth and profitability through the broadest platform of analytics and information services. Designed and evolved by risk and insurance experts, and used daily by more than 100,000 professionals, Advisen combines the industry’s deepest data sets with proprietary analytics and applications that drive the risk and insurance lifecycle. Advisen is headquartered in New York with offices in London. For more information, visit www.advisen.com or call 212.897.4800

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Appendix A ATACm Back-Test Tables: Overall





























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Average % With Suits 1.2% 1.9% 2.2% 1.8% 2.1% 4.5% 2.2% 2.0% 2.4% 1.6% 1.3% 1.8% 2.1%ATACm % Rejected 86.2% 79.2% 76.0% 74.8% 77.2% 88.3% 87.7% 81.1% 76.1% 81.9% 74.4% 78.9% 80.2%Baseline % Rejected 49.7% 49.4% 50.0% 49.9% 50.3% 50.3% 50.1% 50.1% 49.4% 50.2% 49.5% 49.7% 50%



















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Appendix B ATACm Back-Test Tables: Market Cap < $250 Million



Lower Bound (95% CI) 4.9% 1.7% 2.7% 8.1% 1.3% -1.0% -4.9% 2.1% -5.6% 3.2% -1.3% 1.0% 1.0%Average % Difference 5.8% 2.3% 3.2% 8.9% 1.9% -0.5% -4.3% 2.8% -5.2% 4.2% -0.5% 1.7% 1.7%

Upper Bound (95% CI) 6.6% 2.9% 3.7% 9.6% 2.5% 0.0% -3.8% 3.5% -4.9% 5.1% 0.2% 2.4% 2.3%% ATACm Improvement 110.4% 48.9% 63.7% 174.5% 36.3% -9.4% -100.0% 57.0% -100.0% 85.7% -10.9% 33.3% 32.5%



Lower Bound (95% CI) 19.2% 9.3% 8.7% 10.1% 4.6% 10.3% -2.8% 6.4% -1.6% 2.2% -6.7% -0.9% 4.9%Average % Difference 20.5% 10.1% 9.4% 11.0% 5.4% 11.0% -1.8% 7.3% -1.0% 3.4% -5.7% 0.1% 5.8%

Upper Bound (95% CI) 21.7% 11.0% 10.1% 11.9% 6.3% 11.8% -0.8% 8.2% -0.3% 4.6% -4.8% 1.0% 6.7%% ATACm Improvement 204.1% 103.0% 96.8% 110.7% 52.9% 113.2% -19.7% 70.8% -9.5% 33.6% -55.9% 0.5% 58.4%





















19





























20







Lower Bound (95% CI) 10.0% 14.0% 13.5% 13.2% 10.4% 14.1% 3.6% 11.4% 12.5% -0.5% 14.2% 9.1% 10.4%Average % Difference 11.1% 14.8% 14.2% 14.0% 11.3% 14.9% 5.0% 12.4% 13.3% 1.0% 15.4% 10.2% 11.5%








Lower Bound (95% CI) 2.3% 6.8% 7.9% 7.5% 4.4% 5.8% 1.0% 5.3% 9.4% -0.4% 4.7% 2.5% 4.8%Average % Difference 3.1% 7.4% 8.4% 8.2% 5.1% 6.4% 2.0% 6.1% 9.9% 0.7% 5.6% 3.4% 5.5%




Lower Bound (95% CI) -0.1% 4.6% 4.4% 4.5% 2.9% 2.1% 0.2% 5.1% 4.7% -0.7% 4.4% 0.9% 2.7%Average % Difference 0.5% 5.0% 4.7% 4.9% 3.4% 2.5% 0.9% 5.6% 5.1% 0.1% 4.9% 1.5% 3.3%


21

ATACm Back-Test Tables: Market Cap Between $250 Million and $1 Billion



Lower Bound (95% CI) 11.5% 4.2% 4.3% 6.5% 5.4% 5.9% 2.6% -0.1% 1.7% 9.2% -2.4% -1.4% 3.9%Average % Difference 11.8% 4.6% 4.6% 6.8% 5.7% 6.1% 2.9% 0.2% 1.9% 9.6% -2.1% -1.0% 4.2%

Upper Bound (95% CI) 12.2% 4.9% 4.9% 7.2% 6.0% 6.3% 3.2% 0.5% 2.2% 10.0% -1.8% -0.7% 4.6%% ATACm Improvement 241.0% 92.8% 92.5% 143.2% 113.1% 123.2% 57.7% 3.7% 38.0% 193.2% -43.7% -21.8% 86.1%



Lower Bound (95% CI) 6.3% 6.4% 6.7% 15.0% 1.9% 6.2% 9.4% -2.9% 3.8% 6.6% 1.0% 4.4% 5.4%Average % Difference 6.7% 6.8% 7.1% 15.5% 2.3% 6.5% 9.8% -2.5% 4.2% 7.1% 1.5% 5.0% 5.8%

Upper Bound (95% CI) 7.1% 7.2% 7.5% 16.0% 2.6% 6.7% 10.2% -2.1% 4.6% 7.5% 1.9% 5.5% 6.2%% ATACm Improvement 66.9% 69.9% 70.7% 158.5% 22.2% 64.5% 98.6% -25.3% 42.4% 71.2% 15.3% 50.2% 58.8%



Lower Bound (95% CI) 4.6% 12.9% 10.9% 12.5% 9.5% 6.7% 10.6% -0.1% 2.5% 6.3% -4.0% 14.0% 7.2%Average % Difference 5.1% 13.4% 11.4% 13.0% 10.0% 7.0% 11.0% 0.3% 3.0% 6.9% -3.5% 14.7% 7.7%

Upper Bound (95% CI) 5.6% 13.9% 11.9% 13.5% 10.5% 7.3% 11.5% 0.8% 3.4% 7.5% -3.0% 15.4% 8.2%% ATACm Improvement 34.2% 91.0% 75.3% 87.9% 66.2% 47.3% 74.6% 2.3% 20.2% 46.0% -23.9% 98.0% 51.6%



Lower Bound (95% CI) 6.2% 7.8% 9.4% 12.2% 7.9% 9.6% 13.5% -2.7% 6.1% 6.1% -0.6% 16.5% 7.7%Average % Difference 6.7% 8.4% 10.0% 12.8% 8.4% 9.9% 14.0% -2.1% 6.5% 6.7% 0.0% 17.2% 8.2%

Upper Bound (95% CI) 7.3% 8.9% 10.5% 13.4% 8.9% 10.3% 14.5% -1.6% 7.0% 7.3% 0.6% 18.0% 8.7%% ATACm Improvement 33.6% 42.4% 49.0% 65.1% 41.7% 49.9% 70.3% -11.0% 33.1% 33.6% -0.1% 86.9% 41.2%



Lower Bound (95% CI) 1.5% 7.2% 9.9% 14.2% 11.8% 10.9% 10.3% -5.3% 4.5% 6.0% -0.4% 22.9% 7.8%Average % Difference 2.1% 7.8% 10.5% 14.9% 12.4% 11.2% 10.9% -4.7% 5.0% 6.6% 0.3% 23.7% 8.4%




Lower Bound (95% CI) 3.3% 4.6% 10.9% 15.8% 6.7% 13.9% 7.5% -7.7% 7.8% 6.0% -2.8% 17.7% 7.0%Average % Difference 3.9% 5.2% 11.4% 16.5% 7.3% 14.3% 8.1% -7.1% 8.4% 6.6% -2.1% 18.6% 7.6%

Upper Bound (95% CI) 4.6% 5.9% 12.0% 17.1% 7.8% 14.6% 8.6% -6.6% 8.9% 7.3% -1.4% 19.4% 8.2%% ATACm Improvement 13.3% 17.5% 38.0% 54.9% 24.0% 47.9% 27.1% -24.1% 27.8% 22.3% -7.0% 62.5% 25.3%





22







Lower Bound (95% CI) 15.0% 5.7% 1.5% 14.7% 11.9% 11.4% 6.5% -10.4% -2.0% 5.7% -3.7% 17.2% 6.1%Average % Difference 15.7% 6.3% 2.1% 15.4% 12.5% 11.8% 7.1% -9.7% -1.4% 6.5% -2.9% 18.1% 6.8%

Upper Bound (95% CI) 16.3% 7.0% 2.7% 16.1% 13.1% 12.2% 7.7% -9.1% -0.8% 7.2% -2.2% 19.0% 7.4%% ATACm Improvement 35.4% 14.2% 4.6% 34.3% 27.9% 26.3% 15.9% -21.8% -3.1% 14.5% -6.5% 40.4% 15.2%



Lower Bound (95% CI) 9.9% 0.7% -1.7% 14.6% 7.0% 10.3% 11.4% -13.1% -5.0% 10.5% -0.3% 16.1% 5.0%Average % Difference 10.6% 1.4% -1.1% 15.3% 7.6% 10.7% 12.1% -12.4% -4.4% 11.3% 0.4% 17.0% 5.7%

Upper Bound (95% CI) 11.2% 2.0% -0.5% 15.9% 8.2% 11.1% 12.7% -11.8% -3.9% 12.0% 1.2% 17.9% 6.3%% ATACm Improvement 21.4% 2.8% -2.2% 30.7% 15.2% 21.6% 24.2% -25.0% -8.9% 22.7% 0.9% 34.3% 11.5%



Lower Bound (95% CI) 14.8% 7.4% 4.6% 19.0% 3.6% 7.6% 12.6% -3.2% -8.3% 12.8% 6.0% 14.6% 7.6%Average % Difference 15.4% 8.0% 5.2% 19.6% 4.3% 8.0% 13.2% -2.5% -7.7% 13.5% 6.8% 15.5% 8.3%

Upper Bound (95% CI) 16.1% 8.7% 5.9% 20.3% 4.9% 8.4% 13.8% -1.9% -7.1% 14.2% 7.5% 16.4% 8.9%% ATACm Improvement 28.3% 14.7% 9.5% 35.8% 7.8% 14.7% 24.0% -4.6% -14.0% 24.7% 12.3% 28.3% 15.1%



Lower Bound (95% CI) 13.2% 4.7% 1.6% 18.8% 2.2% 7.4% 9.7% -5.7% -6.3% 10.5% 1.0% 13.4% 5.9%Average % Difference 13.8% 5.4% 2.2% 19.4% 2.8% 7.8% 10.3% -5.1% -5.7% 11.2% 1.7% 14.3% 6.5%

Upper Bound (95% CI) 14.5% 6.1% 2.8% 20.1% 3.4% 8.2% 10.8% -4.4% -5.2% 11.9% 2.5% 15.1% 7.2%% ATACm Improvement 23.2% 9.0% 3.6% 32.6% 4.7% 13.1% 17.2% -8.4% -9.5% 18.8% 2.9% 23.9% 10.9%



Lower Bound (95% CI) 8.2% 2.0% 4.2% 16.0% -0.8% 8.7% 4.5% -0.8% -4.4% 10.3% -4.3% 8.6% 4.4%Average % Difference 8.9% 2.6% 4.8% 16.7% -0.3% 9.0% 5.1% -0.2% -3.8% 10.9% -3.5% 9.4% 5.0%

Upper Bound (95% CI) 9.5% 3.3% 5.4% 17.3% 0.3% 9.4% 5.6% 0.4% -3.2% 11.6% -2.8% 10.3% 5.6%% ATACm Improvement 13.8% 4.1% 7.4% 25.7% -0.4% 13.9% 7.8% -0.3% -5.8% 16.9% -5.4% 14.7% 7.7%



Lower Bound (95% CI) 3.0% -1.0% 3.1% 10.9% 1.0% 9.2% 3.5% 4.4% -2.2% 7.9% -3.8% 10.9% 3.9%Average % Difference 3.6% -0.4% 3.7% 11.6% 1.5% 9.5% 4.1% 5.0% -1.7% 8.6% -3.0% 11.7% 4.5%

Upper Bound (95% CI) 4.3% 0.2% 4.2% 12.2% 2.1% 9.9% 4.6% 5.6% -1.2% 9.2% -2.3% 12.5% 5.1%% ATACm Improvement 5.2% -0.5% 5.2% 16.5% 2.2% 13.6% 5.8% 7.1% -2.4% 12.3% -4.3% 16.8% 6.5%

23



Lower Bound (95% CI) 1.4% -1.2% -2.0% 8.5% -0.6% 7.3% 4.5% 4.6% -1.9% 5.4% -0.6% 9.6% 2.9%Average % Difference 2.0% -0.6% -1.5% 9.1% 0.0% 7.7% 5.0% 5.1% -1.4% 6.1% 0.1% 10.4% 3.5%

Upper Bound (95% CI) 2.6% 0.0% -1.0% 9.7% 0.5% 8.0% 5.6% 5.7% -0.9% 6.7% 0.8% 11.1% 4.1%% ATACm Improvement 2.6% -0.8% -2.0% 12.1% 0.0% 10.2% 6.7% 6.9% -1.9% 8.1% 0.2% 13.9% 4.7%



Lower Bound (95% CI) -0.4% 0.8% 0.6% 7.9% 1.5% 6.4% 1.6% 2.0% 0.1% 5.1% -2.5% 12.1% 2.9%Average % Difference 0.2% 1.3% 1.1% 8.5% 2.0% 6.7% 2.0% 2.5% 0.5% 5.7% -1.9% 12.8% 3.5%




Lower Bound (95% CI) 4.5% 2.7% -0.7% 5.3% 2.0% 6.1% 0.6% -0.4% -1.5% 2.4% 0.8% 7.1% 2.4%Average % Difference 4.9% 3.2% -0.2% 5.8% 2.5% 6.4% 1.0% 0.1% -1.1% 2.9% 1.3% 7.7% 2.9%

Upper Bound (95% CI) 5.4% 3.7% 0.2% 6.3% 2.9% 6.6% 1.5% 0.6% -0.7% 3.4% 1.9% 8.3% 3.3%% ATACm Improvement 5.8% 3.8% -0.3% 6.8% 2.9% 7.5% 1.2% 0.1% -1.3% 3.4% 1.6% 9.1% 3.4%



Lower Bound (95% CI) 6.4% -2.3% 0.2% 2.7% -1.2% 3.5% -0.5% -2.9% -2.8% 2.4% -1.6% 9.7% 1.1%Average % Difference 6.8% -1.9% 0.6% 3.1% -0.8% 3.7% -0.1% -2.5% -2.4% 2.8% -1.1% 10.1% 1.5%

Upper Bound (95% CI) 7.1% -1.5% 1.0% 3.5% -0.4% 4.0% 0.2% -2.1% -2.0% 3.3% -0.7% 10.6% 1.9%% ATACm Improvement 7.5% -2.1% 0.7% 3.5% -0.9% 4.1% -0.2% -2.7% -2.7% 3.1% -1.3% 11.3% 1.7%



Lower Bound (95% CI) 4.7% -2.3% 1.0% 0.1% 0.9% 2.5% -1.4% 2.2% 1.1% 0.0% -1.0% 4.9% 1.1%Average % Difference 5.0% -2.0% 1.2% 0.4% 1.2% 2.7% -1.1% 2.5% 1.4% 0.3% -0.6% 5.3% 1.4%

Upper Bound (95% CI) 5.3% -1.7% 1.5% 0.7% 1.5% 2.9% -0.8% 2.7% 1.6% 0.6% -0.3% 5.6% 1.6%% ATACm Improvement 5.3% -2.1% 1.3% 0.4% 1.3% 2.8% -1.2% 2.6% 1.4% 0.3% -0.7% 5.6% 1.4%

24

ATACm Back-Test Tables: Market Cap Between $1 Billion and $5 Billion



Lower Bound (95% CI) 3.0% 3.1% -1.9% 12.2% 12.1% 7.6% 1.4% -2.9% 6.0% -0.5% -1.3% -2.8% 3.0%Average % Difference 3.5% 3.4% -1.6% 12.7% 12.5% 7.8% 1.8% -2.6% 6.4% -0.1% -0.7% -2.4% 3.4%

Upper Bound (95% CI) 4.0% 3.8% -1.3% 13.2% 13.0% 8.0% 2.1% -2.3% 6.9% 0.2% -0.2% -2.0% 3.8%% ATACm Improvement 70.5% 67.9% -32.2% 253.6% 245.9% 156.4% 34.3% -50.1% 129.0% -2.8% -14.4% -47.6% 67.5%



Lower Bound (95% CI) -2.0% 3.7% 3.4% 17.7% 10.0% 10.5% -1.3% -5.2% 3.8% 4.5% 2.1% 0.1% 3.9%Average % Difference -1.3% 4.1% 3.9% 18.3% 10.6% 10.8% -0.9% -4.8% 4.3% 5.1% 2.8% 0.7% 4.5%

Upper Bound (95% CI) -0.7% 4.5% 4.4% 19.0% 11.1% 11.1% -0.5% -4.4% 4.9% 5.6% 3.6% 1.3% 5.0%% ATACm Improvement -13.7% 40.9% 40.2% 179.1% 104.5% 108.8% -8.7% -48.0% 43.8% 50.4% 27.7% 6.9% 44.3%



Lower Bound (95% CI) 1.1% 1.5% 8.6% 12.7% 10.7% 15.3% 5.0% -2.6% 1.6% 4.6% 0.9% -2.3% 4.7%Average % Difference 1.8% 2.0% 9.2% 13.4% 11.3% 15.7% 5.6% -2.1% 2.2% 5.2% 1.8% -1.7% 5.4%

Upper Bound (95% CI) 2.6% 2.5% 9.8% 14.1% 11.9% 16.0% 6.1% -1.6% 2.8% 5.9% 2.7% -1.0% 6.0%% ATACm Improvement 12.7% 13.2% 62.5% 88.5% 73.8% 104.3% 36.8% -14.0% 15.0% 35.0% 11.8% -11.2% 35.7%



Lower Bound (95% CI) -4.1% 10.7% 10.5% 11.0% 8.4% 17.5% 0.2% 2.8% -0.5% 2.1% -4.3% 1.0% 4.6%Average % Difference -3.2% 11.3% 11.2% 11.7% 9.1% 18.0% 0.8% 3.4% 0.2% 2.8% -3.3% 1.8% 5.3%

Upper Bound (95% CI) -2.4% 11.9% 11.9% 12.5% 9.7% 18.4% 1.4% 4.0% 0.8% 3.4% -2.4% 2.5% 6.0%% ATACm Improvement -16.4% 56.1% 57.0% 57.6% 44.4% 90.1% 4.1% 17.0% 0.9% 14.0% -16.4% 9.0% 26.4%



Lower Bound (95% CI) 7.3% 19.9% 9.1% 9.5% 6.5% 18.8% 1.8% 0.5% -2.8% 1.9% -9.1% -1.5% 5.1%Average % Difference 8.3% 20.5% 9.8% 10.3% 7.2% 19.2% 2.4% 1.1% -2.1% 2.6% -8.1% -0.7% 5.9%

Upper Bound (95% CI) 9.2% 21.2% 10.5% 11.1% 7.9% 19.7% 3.0% 1.8% -1.4% 3.3% -7.1% 0.1% 6.6%% ATACm Improvement 33.4% 81.4% 39.7% 40.7% 28.6% 77.0% 9.5% 4.5% -8.4% 10.3% -32.1% -2.9% 23.5%



Lower Bound (95% CI) 11.1% 14.9% 10.7% 4.7% 4.7% 18.4% 1.0% 0.6% 6.4% 1.9% -1.2% -6.6% 5.5%Average % Difference 12.0% 15.6% 11.5% 5.5% 5.4% 18.8% 1.6% 1.2% 7.1% 2.6% -0.1% -5.7% 6.3%

Upper Bound (95% CI) 13.0% 16.2% 12.2% 6.4% 6.2% 19.3% 2.3% 1.9% 7.9% 3.4% 1.0% -4.9% 7.1%% ATACm Improvement 40.6% 51.6% 38.4% 18.3% 18.1% 62.8% 5.4% 4.1% 24.0% 8.9% -0.3% -19.2% 21.1%



Lower Bound (95% CI) 13.7% 15.9% 9.5% 3.5% 8.7% 19.8% -1.7% 6.1% 4.3% 1.9% -1.7% -3.5% 6.4%Average % Difference 14.7% 16.6% 10.2% 4.3% 9.5% 20.3% -1.0% 6.8% 5.1% 2.7% -0.6% -2.6% 7.2%

Upper Bound (95% CI) 15.7% 17.3% 11.0% 5.2% 10.3% 20.7% -0.3% 7.5% 5.9% 3.5% 0.5% -1.8% 8.0%% ATACm Improvement 41.8% 47.4% 29.7% 12.4% 27.2% 58.1% -2.8% 19.3% 14.8% 7.8% -1.7% -7.6% 20.5%

25



Lower Bound (95% CI) 17.5% 10.8% 7.6% 2.2% 6.5% 19.4% -0.1% 8.8% 5.4% -0.5% -2.8% -8.4% 5.5%Average % Difference 18.5% 11.5% 8.4% 3.1% 7.3% 19.9% 0.6% 9.5% 6.2% 0.3% -1.6% -7.5% 6.3%




Lower Bound (95% CI) 29.6% 14.4% 6.4% 4.2% 4.5% 18.1% 8.5% 3.9% 0.2% -3.2% -3.3% -5.4% 6.5%Average % Difference 30.6% 15.1% 7.2% 5.1% 5.3% 18.5% 9.2% 4.7% 1.0% -2.4% -2.1% -4.5% 7.3%

Upper Bound (95% CI) 31.7% 15.8% 8.0% 6.0% 6.1% 19.0% 9.9% 5.4% 1.9% -1.6% -0.9% -3.5% 8.1%% ATACm Improvement 68.5% 33.5% 16.2% 11.3% 11.9% 41.3% 20.3% 10.4% 2.3% -5.4% -4.6% -10.0% 16.3%







Lower Bound (95% CI) 28.2% 10.2% 6.6% 1.2% 15.0% 11.5% 7.8% -1.2% 7.2% -0.7% -13.2% -1.9% 5.9%Average % Difference 29.2% 10.9% 7.4% 2.1% 15.8% 12.0% 8.5% -0.4% 8.0% 0.1% -12.0% -1.0% 6.7%

Upper Bound (95% CI) 30.3% 11.6% 8.2% 3.0% 16.6% 12.4% 9.2% 0.3% 8.9% 0.9% -10.8% 0.0% 7.5%% ATACm Improvement 53.7% 19.8% 13.5% 3.8% 28.7% 21.7% 15.4% -0.8% 14.7% 0.2% -21.8% -1.8% 12.3%







Lower Bound (95% CI) 26.6% 8.9% 6.8% 9.6% 10.7% 9.8% 7.0% -0.5% 11.6% 1.7% -9.8% -3.4% 6.6%Average % Difference 27.5% 9.6% 7.6% 10.4% 11.4% 10.2% 7.7% 0.2% 12.4% 2.5% -8.7% -2.4% 7.4%





Upper Bound (95% CI) 31.6% 5.2% 3.2% 6.4% 10.2% 8.4% 8.2% 3.9% 10.9% 8.0% 0.1% -6.4% 7.5%% ATACm Improvement 44.3% 6.6% 3.5% 8.0% 13.5% 11.4% 10.8% 4.5% 14.5% 10.4% -1.4% -10.6% 9.6%

26



Lower Bound (95% CI) 25.0% 1.8% 7.3% 6.9% 12.5% 11.7% 6.1% 2.8% 10.1% 3.8% 6.8% -8.0% 7.2%Average % Difference 25.9% 2.4% 8.0% 7.7% 13.2% 12.0% 6.7% 3.4% 10.8% 4.5% 7.8% -7.1% 7.9%

Upper Bound (95% CI) 26.8% 3.0% 8.7% 8.5% 13.8% 12.4% 7.3% 4.1% 11.5% 5.2% 8.8% -6.2% 8.6%% ATACm Improvement 34.9% 3.2% 10.7% 10.3% 17.5% 16.0% 8.9% 4.6% 14.4% 6.1% 10.5% -9.5% 10.6%



Lower Bound (95% CI) 19.9% 2.3% 8.9% 5.5% 16.1% 12.0% 5.7% -2.0% 10.6% 3.8% 2.1% -5.0% 6.7%Average % Difference 20.7% 2.9% 9.6% 6.2% 16.7% 12.3% 6.2% -1.4% 11.3% 4.5% 3.0% -4.2% 7.3%

Upper Bound (95% CI) 21.5% 3.4% 10.2% 6.8% 17.3% 12.7% 6.8% -0.8% 11.9% 5.1% 3.9% -3.4% 7.9%% ATACm Improvement 26.1% 3.6% 12.0% 7.7% 20.8% 15.4% 7.8% -1.8% 14.0% 5.6% 3.8% -5.3% 9.1%







Lower Bound (95% CI) 10.0% 1.0% -0.8% 6.1% 9.3% 6.0% 0.1% 1.5% 4.1% 6.7% 0.9% 4.3% 4.1%Average % Difference 10.6% 1.4% -0.3% 6.6% 9.7% 6.2% 0.5% 1.9% 4.5% 7.2% 1.6% 4.8% 4.6%

Upper Bound (95% CI) 11.1% 1.8% 0.2% 7.0% 10.1% 6.5% 0.9% 2.4% 5.0% 7.6% 2.4% 5.3% 5.0%% ATACm Improvement 11.8% 1.6% -0.4% 7.3% 10.8% 6.9% 0.6% 2.2% 5.0% 8.0% 1.8% 5.3% 5.1%



Lower Bound (95% CI) 4.7% -1.1% 1.4% 1.3% 4.7% 3.9% 0.0% 2.1% 2.1% 4.9% 5.1% 4.6% 2.8%Average % Difference 5.2% -0.8% 1.7% 1.7% 5.0% 4.1% 0.3% 2.4% 2.5% 5.2% 5.5% 5.0% 3.1%

Upper Bound (95% CI) 5.6% -0.5% 2.1% 2.1% 5.3% 4.3% 0.6% 2.7% 2.8% 5.5% 6.0% 5.3% 3.5%% ATACm Improvement 5.5% -0.8% 1.8% 1.8% 5.3% 4.3% 0.3% 2.5% 2.6% 5.5% 5.9% 5.2% 3.3%

27

ATACm Back-Test Tables: Market Cap > $5 Billion



Lower Bound (95% CI) 27.1% 10.1% -0.3% -0.8% 3.9% 4.7% 2.1% -0.2% 7.6% 5.0% 10.2% -3.5% 5.5%Average % Difference 28.9% 11.0% 0.3% -0.3% 4.6% 5.1% 2.5% 0.3% 8.1% 5.8% 11.3% -3.1% 6.2%

Upper Bound (95% CI) 30.7% 11.8% 0.9% 0.2% 5.2% 5.5% 2.9% 0.8% 8.7% 6.6% 12.4% -2.6% 6.9%% ATACm Improvement 673.2% 204.6% 6.4% -6.3% 84.4% 99.3% 49.3% 6.2% 163.5% 108.3% 225.6% -61.4% 129.4%



Lower Bound (95% CI) 56.7% 4.6% -0.3% 1.7% -1.5% 3.8% 2.7% -0.4% 5.2% 3.3% 5.3% -4.5% 6.4%Average % Difference 59.1% 5.6% 0.5% 2.5% -0.7% 4.3% 3.3% 0.3% 5.8% 4.3% 6.5% -3.8% 7.3%

Upper Bound (95% CI) 61.4% 6.5% 1.3% 3.3% 0.0% 4.8% 3.8% 1.0% 6.5% 5.3% 7.7% -3.2% 8.2%% ATACm Improvement 675.4% 51.6% 4.6% 25.6% -6.6% 42.8% 32.5% 2.6% 58.4% 40.1% 67.1% -38.8% 79.6%



Lower Bound (95% CI) 51.7% 7.5% -0.1% 0.8% -0.4% 2.6% 3.6% -3.0% 5.2% 8.8% 15.9% 2.9% 8.0%Average % Difference 54.2% 8.7% 0.9% 1.7% 0.5% 3.2% 4.2% -2.3% 6.0% 9.9% 17.4% 3.7% 9.0%




Lower Bound (95% CI) 46.1% 28.1% 4.8% -0.3% 0.8% 3.9% 7.4% -5.5% 4.9% 19.0% 10.3% 9.8% 10.8%Average % Difference 48.6% 29.5% 5.9% 0.8% 1.8% 4.6% 8.1% -4.6% 5.8% 20.3% 12.0% 10.8% 12.0%














28







Lower Bound (95% CI) 22.3% 29.6% 0.7% 11.5% 14.2% -0.6% -1.2% -4.0% 17.5% 23.1% 12.0% 17.3% 11.9%Average % Difference 24.9% 31.1% 2.1% 12.8% 15.3% 0.2% -0.4% -2.9% 18.5% 24.6% 13.8% 18.5% 13.2%

Upper Bound (95% CI) 27.6% 32.6% 3.5% 14.1% 16.5% 1.0% 0.4% -1.8% 19.6% 26.1% 15.5% 19.7% 14.6%% ATACm Improvement 58.1% 70.0% 4.7% 29.1% 33.4% 0.4% -1.0% -6.3% 41.2% 53.7% 31.1% 41.2% 29.6%



Lower Bound (95% CI) 18.3% 24.8% -3.9% 6.4% 9.4% 3.8% -1.8% 2.3% 15.1% 22.1% 12.3% 24.3% 11.1%Average % Difference 20.9% 26.3% -2.6% 7.6% 10.6% 4.6% -1.0% 3.4% 16.2% 23.6% 14.2% 25.4% 12.4%

Upper Bound (95% CI) 23.6% 27.9% -1.2% 8.9% 11.8% 5.3% -0.2% 4.5% 17.2% 25.0% 16.0% 26.6% 13.8%% ATACm Improvement 44.7% 53.5% -5.1% 15.6% 21.0% 9.1% -2.0% 6.8% 32.4% 46.8% 28.6% 50.8% 25.2%



Lower Bound (95% CI) 12.5% 19.7% 1.7% 8.9% 21.2% 4.1% -3.8% 2.6% 15.5% 20.8% 7.3% 23.7% 11.2%Average % Difference 15.1% 21.2% 3.0% 10.2% 22.4% 4.8% -2.9% 3.7% 16.6% 22.2% 9.1% 24.8% 12.5%

Upper Bound (95% CI) 17.7% 22.7% 4.3% 11.4% 23.5% 5.6% -2.1% 4.8% 17.6% 23.7% 10.9% 26.0% 13.8%% ATACm Improvement 28.7% 39.0% 5.4% 18.8% 40.5% 8.8% -5.4% 6.7% 30.3% 40.1% 16.6% 45.2% 22.9%



Lower Bound (95% CI) 7.1% 14.8% 13.0% 3.6% 25.8% 2.8% -2.8% 3.2% 18.5% 15.7% 2.8% 20.7% 10.4%Average % Difference 9.6% 16.3% 14.2% 4.8% 26.8% 3.6% -2.0% 4.3% 19.5% 17.1% 4.6% 21.8% 11.7%

Upper Bound (95% CI) 12.1% 17.7% 15.5% 6.1% 27.9% 4.3% -1.1% 5.4% 20.5% 18.4% 6.5% 22.9% 13.0%% ATACm Improvement 16.6% 27.4% 23.8% 8.2% 44.6% 5.9% -3.3% 7.2% 32.5% 28.2% 7.9% 36.3% 19.6%



Lower Bound (95% CI) 1.8% 18.0% 7.6% -1.4% 20.5% -0.7% 3.0% 1.3% 13.5% 14.9% 2.9% 17.8% 8.3%Average % Difference 4.3% 19.4% 8.8% -0.2% 21.6% 0.0% 3.8% 2.4% 14.4% 16.2% 4.7% 18.8% 9.5%

Upper Bound (95% CI) 6.7% 20.8% 10.1% 1.0% 22.7% 0.7% 4.6% 3.4% 15.4% 17.5% 6.5% 19.9% 10.8%% ATACm Improvement 6.8% 30.1% 13.5% -0.3% 33.1% 0.0% 5.9% 3.6% 22.2% 24.7% 7.3% 28.9% 14.7%



Lower Bound (95% CI) -3.5% 20.7% 7.8% 1.7% 18.9% -1.7% 2.6% 4.1% 8.5% 13.7% 8.0% 16.9% 8.1%Average % Difference -1.2% 22.0% 8.9% 2.9% 19.9% -1.0% 3.3% 5.2% 9.5% 14.9% 9.7% 17.9% 9.3%

Upper Bound (95% CI) 1.2% 23.3% 10.1% 4.1% 20.9% -0.3% 4.1% 6.2% 10.4% 16.1% 11.4% 18.8% 10.5%% ATACm Improvement -1.7% 31.7% 12.7% 4.2% 28.3% -1.4% 4.8% 7.3% 13.5% 21.1% 13.9% 25.6% 13.3%

29



Lower Bound (95% CI) -8.7% 15.9% 7.9% 0.9% 14.3% -1.3% 5.0% 7.3% 6.5% 8.3% 3.2% 12.2% 5.9%Average % Difference -6.5% 17.1% 9.0% 2.0% 15.2% -0.7% 5.7% 8.2% 7.3% 9.5% 4.8% 13.1% 7.1%

Upper Bound (95% CI) -4.2% 18.4% 10.1% 3.1% 16.1% 0.0% 6.4% 9.2% 8.2% 10.6% 6.4% 14.1% 8.2%% ATACm Improvement -8.7% 23.0% 12.0% 2.7% 20.3% -0.9% 7.6% 10.9% 9.8% 12.5% 6.4% 17.6% 9.4%







Lower Bound (95% CI) 14.4% 6.2% 2.9% 6.9% 7.4% 3.1% -2.3% -2.8% 3.9% 6.8% 8.7% 10.4% 5.5%Average % Difference 16.0% 7.2% 3.8% 7.7% 8.2% 3.7% -1.6% -2.0% 4.6% 7.7% 9.8% 11.2% 6.4%

Upper Bound (95% CI) 17.7% 8.2% 4.7% 8.5% 8.9% 4.3% -1.0% -1.2% 5.4% 8.6% 11.0% 11.9% 7.3%% ATACm Improvement 19.1% 8.5% 4.5% 9.1% 9.6% 4.4% -1.9% -2.4% 5.5% 9.0% 11.6% 13.1% 7.5%



Lower Bound (95% CI) 9.4% 0.8% -1.8% 5.6% 9.3% 6.0% -2.8% -4.9% 1.7% 1.9% 9.3% 7.4% 3.5%Average % Difference 10.8% 1.7% -1.0% 6.3% 9.9% 6.4% -2.3% -4.2% 2.3% 2.8% 10.1% 8.0% 4.2%

Upper Bound (95% CI) 12.2% 2.5% -0.1% 6.9% 10.5% 6.9% -1.8% -3.5% 2.9% 3.6% 11.0% 8.6% 5.0%% ATACm Improvement 12.1% 1.8% -1.1% 7.0% 11.0% 7.1% -2.6% -4.6% 2.6% 3.1% 11.2% 8.9% 4.7%



Lower Bound (95% CI) 4.7% 4.5% -6.7% 4.8% 4.6% 4.8% -1.3% -4.2% 1.9% -3.0% 4.4% 2.3% 1.4%Average % Difference 5.8% 5.0% -6.0% 5.2% 5.0% 5.1% -0.9% -3.7% 2.3% -2.3% 5.0% 2.7% 1.9%

Upper Bound (95% CI) 6.8% 5.5% -5.3% 5.7% 5.4% 5.4% -0.6% -3.1% 2.7% -1.6% 5.6% 3.2% 2.5%% ATACm Improvement 6.1% 5.3% -6.3% 5.5% 5.2% 5.4% -1.0% -3.9% 2.4% -2.4% 5.3% 2.9% 2.0%

30

Appendix C ATACm Back-Test Tables: Industrials Sector



Lower Bound (95% CI) 17.7% 27.3% 0.0% 26.4% 8.5% 7.3% -6.4% 0.6% -1.2% -5.4% -6.0% -5.2% 5.3%Average % Difference 19.4% 28.5% 0.7% 27.6% 9.5% 8.0% -5.6% 1.4% -0.7% -4.6% -5.3% -4.4% 6.2%

Upper Bound (95% CI) 21.1% 29.7% 1.4% 28.9% 10.5% 8.7% -4.8% 2.3% -0.1% -3.9% -4.5% -3.6% 7.1%% ATACm Improvement 414.8% 570.5% 14.3% 573.2% 194.8% 159.3% -100.0% 27.3% -12.4% -100.0% -100.0% -100.0% 128.5%



Lower Bound (95% CI) 13.0% 31.8% 17.7% 27.0% 3.3% 14.2% -0.8% 37.8% -1.6% -10.8% -11.8% -10.4% 9.1%Average % Difference 14.8% 33.2% 19.0% 28.4% 4.5% 15.1% 0.6% 39.4% -0.8% -9.8% -10.7% -9.3% 10.4%

Upper Bound (95% CI) 16.5% 34.6% 20.2% 29.7% 5.7% 16.1% 1.9% 41.0% 0.0% -8.7% -9.6% -8.1% 11.6%% ATACm Improvement 158.4% 328.5% 205.7% 296.6% 46.1% 145.1% 5.3% 383.6% -7.7% -100.0% -100.0% -100.0% 105.1%



Lower Bound (95% CI) 6.6% 27.1% 18.5% 37.8% 12.0% 13.4% 5.3% 40.0% 7.6% -15.6% -4.7% 17.4% 13.8%Average % Difference 8.5% 28.5% 19.9% 39.3% 13.5% 14.5% 7.0% 41.7% 8.6% -14.3% -3.2% 19.5% 15.3%

Upper Bound (95% CI) 10.4% 29.9% 21.2% 40.9% 15.0% 15.6% 8.7% 43.4% 9.6% -13.1% -1.7% 21.5% 16.8%% ATACm Improvement 54.7% 192.5% 141.1% 276.8% 90.8% 93.6% 45.9% 270.9% 57.8% -100.0% -19.8% 130.9% 102.9%



Lower Bound (95% CI) 27.0% 22.1% 13.8% 37.4% 28.1% 17.1% -0.2% 49.6% 7.6% 3.3% -9.1% 12.4% 17.4%Average % Difference 29.3% 23.5% 15.2% 38.9% 30.0% 18.2% 1.6% 51.5% 8.8% 5.1% -7.5% 14.5% 19.1%




Lower Bound (95% CI) 21.7% 21.6% 19.6% 43.1% 23.1% 20.0% 6.5% 45.2% 7.4% 10.4% -14.4% 22.0% 18.9%Average % Difference 24.1% 23.1% 21.1% 44.8% 24.9% 21.3% 8.5% 47.0% 8.6% 12.3% -12.7% 24.4% 20.6%










31




Upper Bound (95% CI) 39.2% 23.1% 18.7% 41.1% 25.8% 28.5% 39.7% 48.0% 13.3% 36.5% 0.9% 11.9% 27.2%% ATACm Improvement 95.4% 52.8% 43.7% 100.0% 60.0% 67.5% 92.5% 118.1% 29.9% 85.5% -3.0% 23.2% 63.8%







Lower Bound (95% CI) 23.8% 23.8% 21.4% 43.8% 11.7% 32.6% 36.5% 48.7% 29.3% 35.4% -0.4% -2.6% 25.3%Average % Difference 26.3% 25.4% 23.0% 45.4% 13.6% 34.0% 38.7% 50.4% 30.7% 37.5% 1.6% -0.1% 27.2%

Upper Bound (95% CI) 28.7% 26.9% 24.6% 47.1% 15.5% 35.4% 40.9% 52.1% 32.0% 39.5% 3.7% 2.3% 29.1%% ATACm Improvement 53.7% 49.8% 46.5% 92.1% 27.2% 68.1% 76.8% 101.7% 61.0% 74.8% 3.3% -0.2% 54.6%

















32















Lower Bound (95% CI) 9.4% 8.8% 9.3% 9.4% 2.2% 9.8% 8.4% 9.8% 9.5% -3.7% 9.0% 9.4% 7.6%Average % Difference 10.6% 9.6% 10.1% 10.2% 3.2% 10.4% 9.4% 10.7% 10.2% -2.3% 10.0% 10.7% 8.6%

Upper Bound (95% CI) 11.7% 10.3% 10.9% 11.0% 4.2% 11.1% 10.5% 11.6% 10.9% -0.9% 11.1% 11.9% 9.5%% ATACm Improvement 11.8% 10.6% 11.2% 11.3% 3.6% 11.7% 10.4% 12.0% 11.3% -2.6% 11.2% 11.9% 9.5%



Lower Bound (95% CI) 5.2% 4.2% 4.2% 4.6% -2.6% 4.8% 3.8% 4.6% 4.7% -8.8% 3.9% 4.2% 2.7%Average % Difference 6.2% 4.7% 4.8% 5.1% -1.7% 5.3% 4.5% 5.2% 5.2% -7.6% 4.6% 5.0% 3.4%

Upper Bound (95% CI) 7.1% 5.2% 5.4% 5.7% -0.8% 5.8% 5.2% 5.8% 5.7% -6.4% 5.3% 5.9% 4.2%% ATACm Improvement 6.6% 4.9% 5.0% 5.4% -1.8% 5.6% 4.7% 5.5% 5.5% -8.0% 4.8% 5.3% 3.6%

33

ATACm Back-Test Tables: Consumer Discretionary Sector



Lower Bound (95% CI) -0.6% -5.3% 6.6% 10.8% 19.9% 2.9% 16.6% 1.1% 7.7% 5.4% 9.8% 5.8% 6.7%Average % Difference 0.2% -4.7% 7.4% 11.6% 21.0% 3.5% 17.5% 1.7% 8.4% 6.0% 10.7% 6.5% 7.5%

Upper Bound (95% CI) 1.0% -4.2% 8.1% 12.4% 22.0% 4.1% 18.4% 2.3% 9.1% 6.7% 11.6% 7.1% 8.2%% ATACm Improvement 4.0% -100.0% 151.1% 232.9% 430.3% 71.2% 357.5% 34.2% 165.3% 122.4% 201.1% 125.3% 149.6%



Lower Bound (95% CI) 11.4% 2.9% 4.2% 12.2% 22.7% 6.5% 26.2% -0.4% 15.9% 4.2% 10.3% 8.5% 10.4%Average % Difference 12.7% 3.9% 5.1% 13.2% 23.9% 7.3% 27.4% 0.4% 16.9% 5.1% 11.3% 9.4% 11.4%






















34





























35



















Lower Bound (95% CI) -1.7% 4.4% 4.4% 4.2% 4.5% 1.1% 0.3% 4.5% 5.2% 0.8% 4.5% 5.0% 3.1%Average % Difference -1.0% 5.0% 4.9% 4.7% 5.0% 1.6% 0.9% 5.0% 5.7% 1.3% 5.0% 5.4% 3.6%

Upper Bound (95% CI) -0.2% 5.5% 5.3% 5.1% 5.6% 2.1% 1.4% 5.4% 6.2% 1.9% 5.5% 5.9% 4.2%% ATACm Improvement -1.0% 5.2% 5.1% 4.9% 5.3% 1.7% 0.9% 5.2% 6.1% 1.4% 5.3% 5.8% 3.8%

36

ATACm Back-Test Tables: Consumer Staples Sector



Lower Bound (95% CI) -6.6% 26.8% 19.6% 5.7% 12.7% 6.5% 7.0% 10.1% -6.6% 2.1% -6.2% -5.5% 5.5%Average % Difference -5.5% 30.3% 21.7% 7.2% 14.9% 8.0% 8.3% 11.9% -5.3% 3.1% -5.0% -4.2% 7.1%

Upper Bound (95% CI) -4.4% 33.8% 23.8% 8.7% 17.1% 9.4% 9.7% 13.7% -4.0% 4.1% -3.8% -3.0% 8.8%% ATACm Improvement -100.0% 731.4% 414.7% 141.2% 298.6% 169.6% 201.0% 261.3% -100.0% 61.1% -100.0% -100.0% 156.6%







Lower Bound (95% CI) -1.1% 15.7% 9.8% 8.5% 21.7% 19.5% -3.1% -0.9% -17.1% 23.8% -16.6% -17.3% 3.6%Average % Difference 1.0% 19.6% 12.1% 10.8% 24.6% 21.7% -1.3% 1.3% -15.0% 25.5% -14.6% -15.0% 5.9%

Upper Bound (95% CI) 3.1% 23.6% 14.4% 13.0% 27.5% 24.0% 0.5% 3.5% -12.9% 27.3% -12.7% -12.6% 8.2%% ATACm Improvement 6.2% 132.8% 81.7% 71.4% 169.0% 141.9% -9.5% 8.6% -100.0% 165.1% -100.0% -100.0% 38.9%



Lower Bound (95% CI) 9.6% 8.9% 5.7% 3.6% 16.4% 14.6% -8.5% 8.5% -23.1% 19.3% -22.4% -21.8% 0.9%Average % Difference 12.2% 13.0% 8.1% 6.0% 19.5% 16.9% -6.5% 11.2% -20.7% 21.0% -20.2% -19.1% 3.5%

Upper Bound (95% CI) 14.9% 17.1% 10.5% 8.3% 22.5% 19.2% -4.6% 13.8% -18.3% 22.8% -17.9% -16.5% 6.0%% ATACm Improvement 57.5% 60.8% 42.7% 30.0% 98.9% 84.0% -34.3% 54.9% -100.0% 105.5% -100.0% -100.0% 16.7%



Lower Bound (95% CI) 4.9% 36.6% -0.1% 10.4% 49.6% 34.9% -1.1% 4.0% -3.5% 14.0% -29.0% -26.2% 7.9%Average % Difference 7.7% 41.3% 2.4% 13.0% 53.3% 37.6% 1.1% 6.7% -0.4% 15.8% -26.3% -23.3% 10.7%

Upper Bound (95% CI) 10.4% 45.9% 4.9% 15.6% 57.0% 40.3% 3.4% 9.4% 2.7% 17.6% -23.7% -20.3% 13.6%% ATACm Improvement 29.7% 157.2% 9.8% 52.5% 208.4% 154.3% 4.8% 26.9% -1.6% 62.4% -100.0% -100.0% 42.0%



Lower Bound (95% CI) -0.2% 32.0% 10.3% 18.4% 45.1% 29.8% 4.9% 35.0% -8.1% 17.0% -34.3% -29.8% 10.0%Average % Difference 2.6% 36.8% 13.1% 21.1% 48.7% 32.5% 7.4% 38.1% -5.0% 18.8% -31.5% -26.7% 13.0%

Upper Bound (95% CI) 5.4% 41.5% 15.9% 23.9% 52.3% 35.2% 9.9% 41.2% -1.8% 20.7% -28.7% -23.6% 16.0%% ATACm Improvement 8.5% 119.6% 45.2% 70.8% 161.6% 110.4% 25.1% 130.5% -16.9% 62.7% -100.0% -100.0% 43.1%




Upper Bound (95% CI) 0.4% 36.9% 10.5% 18.8% 46.7% 30.5% 5.3% 35.8% -6.6% 24.1% -32.6% -29.6% 11.7%% ATACm Improvement -6.7% 91.6% 22.6% 45.8% 121.0% 81.2% 8.1% 94.6% -28.6% 62.9% -100.0% -100.0% 24.4%

37



Lower Bound (95% CI) -10.0% 23.4% -0.8% 20.7% 34.4% 32.5% 32.7% 25.4% -18.7% 23.3% -44.6% -10.1% 9.0%Average % Difference -7.1% 28.0% 2.0% 23.6% 37.9% 35.3% 35.3% 28.5% -15.3% 25.2% -41.4% -6.4% 12.1%




Lower Bound (95% CI) 34.5% 18.3% 9.3% 15.8% 50.7% 27.6% 27.4% 38.2% -23.1% 17.8% -22.7% -15.0% 14.9%Average % Difference 37.6% 22.9% 12.2% 18.7% 54.1% 30.3% 30.0% 41.3% -19.7% 19.8% -19.4% -11.3% 18.0%

Upper Bound (95% CI) 40.7% 27.5% 15.1% 21.6% 57.6% 33.0% 32.6% 44.5% -16.2% 21.8% -16.1% -7.6% 21.2%% ATACm Improvement 81.4% 51.5% 27.2% 41.4% 118.0% 68.7% 66.7% 97.5% -44.5% 43.6% -42.1% -26.1% 40.3%



Lower Bound (95% CI) 30.4% 12.6% 4.6% 10.6% 46.4% 35.5% 22.3% 48.7% -27.8% 21.5% -1.7% 14.0% 18.1%Average % Difference 33.5% 17.1% 7.5% 13.5% 49.8% 38.1% 24.9% 51.8% -24.2% 23.6% 1.7% 17.9% 21.3%

Upper Bound (95% CI) 36.5% 21.7% 10.4% 16.3% 53.1% 40.8% 27.4% 54.9% -20.7% 25.6% 5.1% 21.9% 24.4%% ATACm Improvement 66.7% 34.0% 15.1% 26.8% 99.0% 77.6% 49.6% 107.4% -49.8% 46.9% 3.4% 36.3% 42.8%



Lower Bound (95% CI) 25.6% 7.7% -0.2% 17.3% 41.1% 30.5% 30.6% 43.9% -33.1% 16.6% -5.7% 8.6% 15.2%Average % Difference 28.6% 12.2% 2.7% 20.0% 44.3% 33.0% 33.1% 46.9% -29.5% 18.6% -2.3% 12.5% 18.3%

Upper Bound (95% CI) 31.6% 16.6% 5.6% 22.7% 47.4% 35.5% 35.6% 49.9% -26.0% 20.6% 1.2% 16.4% 21.4%% ATACm Improvement 51.9% 22.0% 4.9% 35.9% 79.5% 60.8% 59.9% 88.3% -54.7% 33.7% -4.1% 22.8% 33.4%



Lower Bound (95% CI) 20.2% 0.5% -4.7% 12.1% 35.5% 25.8% 37.6% 39.1% -38.5% 19.7% 13.2% 5.1% 13.8%Average % Difference 23.1% 4.8% -1.8% 14.7% 38.5% 28.3% 39.9% 42.0% -34.9% 21.6% 16.5% 8.9% 16.8%

Upper Bound (95% CI) 25.9% 9.2% 1.1% 17.3% 41.4% 30.7% 42.3% 44.9% -31.3% 23.4% 19.8% 12.7% 19.8%% ATACm Improvement 38.0% 7.7% -3.0% 24.1% 62.5% 47.9% 66.5% 72.5% -58.8% 35.7% 27.3% 15.2% 28.0%



Lower Bound (95% CI) 16.4% -4.6% -9.9% 7.9% 31.4% 20.4% 33.8% 33.6% -16.4% 23.6% 8.3% 0.5% 12.1%Average % Difference 19.1% -0.5% -7.0% 10.4% 34.2% 22.7% 36.1% 36.3% -12.9% 25.3% 11.5% 4.1% 14.9%

Upper Bound (95% CI) 21.8% 3.7% -4.2% 13.0% 36.9% 25.0% 38.3% 39.1% -9.3% 27.0% 14.7% 7.8% 17.8%% ATACm Improvement 29.5% -0.7% -11.0% 16.0% 51.9% 35.1% 56.5% 57.1% -19.8% 38.5% 17.5% 6.5% 23.1%



Lower Bound (95% CI) 11.4% -8.6% -0.6% 3.2% 26.6% 15.4% 27.8% 28.6% -21.0% 18.4% 3.5% -5.8% 8.2%Average % Difference 14.0% -4.5% 2.1% 5.6% 29.1% 17.6% 29.8% 31.1% -17.5% 20.1% 6.6% -2.3% 11.0%

Upper Bound (95% CI) 16.6% -0.4% 4.8% 8.1% 31.6% 19.8% 31.8% 33.6% -14.0% 21.7% 9.8% 1.3% 13.7%% ATACm Improvement 20.0% -6.2% 3.0% 8.1% 41.1% 25.3% 42.5% 45.1% -25.2% 28.2% 9.4% -3.3% 15.7%

38

Rejecting 6-20

1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 AverageAverage % With Suits 1.8% 0.8% 1.9% 2.2% 1.4% 2.4% 2.4% 1.8% 1.3% 3.7% 1.3% 1.0% 1.8%ATACm % Rejected 83.7% 100.0% 85.8% 87.4% 100.0% 87.2% 100.0% 100.0% 52.1% 100.0% 100.0% 100.0% 91.4%Baseline % Rejected 75.0% 77.8% 74.7% 75.2% 75.1% 74.5% 75.6% 74.0% 74.9% 75.9% 75.2% 73.9% 75.2%

Lower Bound (95% CI) 6.2% 19.1% 8.7% 10.0% 22.6% 10.7% 22.5% 23.7% -26.3% 22.6% 22.2% 23.0% 13.7%Average % Difference 8.7% 22.2% 11.1% 12.1% 24.9% 12.8% 24.4% 26.0% -22.8% 24.1% 24.8% 26.1% 16.2%




Lower Bound (95% CI) 1.1% 14.7% 3.5% 18.0% 17.6% 18.9% 17.2% 18.5% -31.5% 17.6% 16.1% 18.6% 10.9%Average % Difference 3.4% 17.5% 5.7% 19.8% 19.8% 20.5% 18.8% 20.6% -28.0% 18.9% 18.3% 21.5% 13.1%




Lower Bound (95% CI) -3.2% 10.1% -1.7% 13.5% 12.2% 13.8% 13.1% 13.4% -35.2% 13.0% 11.0% 13.6% 6.1%Average % Difference -1.0% 12.4% 0.3% 15.0% 14.0% 15.3% 14.5% 15.1% -31.8% 14.2% 12.8% 16.1% 8.1%

Upper Bound (95% CI) 1.2% 14.8% 2.3% 16.6% 15.8% 16.8% 16.0% 16.9% -28.4% 15.3% 14.7% 18.5% 10.0%% ATACm Improvement -1.2% 14.2% 0.4% 17.7% 16.3% 18.0% 17.0% 17.8% -37.9% 16.5% 14.7% 19.1% 9.4%



Lower Bound (95% CI) -8.3% 6.3% -6.9% 8.8% 8.6% 9.4% 8.6% 7.7% -16.8% 8.4% 6.2% 8.7% 3.4%Average % Difference -6.3% 8.2% -5.0% 10.1% 10.1% 10.7% 9.8% 9.1% -14.1% 9.3% 7.6% 10.7% 5.0%

Upper Bound (95% CI) -4.3% 10.0% -3.2% 11.4% 11.7% 11.9% 11.1% 10.4% -11.4% 10.3% 9.0% 12.8% 6.6%% ATACm Improvement -7.0% 8.9% -5.5% 11.2% 11.3% 11.9% 10.9% 10.0% -15.7% 10.3% 8.3% 12.0% 5.5%





39

ATACm Back-Test Tables: Healthcare Sector





























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41

Rejecting 6-20

1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 AverageAverage % With Suits 1.1% 2.9% 3.2% 1.5% 2.2% 3.7% 3.1% 3.9% 4.7% 2.7% 1.6% 2.9% 2.8%ATACm % Rejected 89.1% 88.9% 100.0% 78.3% 100.0% 94.3% 93.4% 94.8% 100.0% 92.7% 100.0% 96.5% 94.0%Baseline % Rejected 74.5% 74.9% 75.0% 74.0% 74.9% 75.5% 74.8% 75.0% 75.1% 74.6% 74.4% 75.0% 74.8%



















42

ATACm Back-Test Tables: Financials Sector





























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Lower Bound (95% CI) 4.5% -2.3% 4.0% -0.4% -2.6% 4.4% 4.5% 1.6% 4.8% 4.3% 4.7% 2.7% 2.5%Average % Difference 5.2% -1.6% 4.5% 0.1% -2.0% 5.0% 5.0% 2.0% 5.2% 4.8% 5.2% 3.0% 3.0%

Upper Bound (95% CI) 5.9% -0.9% 5.0% 0.6% -1.3% 5.5% 5.4% 2.5% 5.6% 5.3% 5.8% 3.4% 3.6%% ATACm Improvement 5.5% -1.7% 4.7% 0.1% -2.0% 5.2% 5.2% 2.2% 5.5% 5.0% 5.5% 3.2% 3.2%

45

ATACm Back-Test Tables: Information Technology Sector



Lower Bound (95% CI) 1.0% 2.2% 8.5% 7.5% 7.9% 5.3% 2.5% -2.2% 6.6% -2.3% 6.7% 3.6% 3.9%Average % Difference 1.5% 2.7% 8.9% 8.1% 8.3% 5.5% 2.9% -1.7% 7.0% -1.8% 7.3% 4.2% 4.4%

Upper Bound (95% CI) 1.9% 3.1% 9.3% 8.6% 8.7% 5.7% 3.4% -1.2% 7.5% -1.4% 7.8% 4.8% 4.9%% ATACm Improvement 29.5% 52.3% 177.9% 165.4% 172.5% 111.7% 59.3% -35.0% 143.0% -36.3% 156.3% 88.2% 90.4%

























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Documents

The Advisen Total Accrual Metric (ATACm): Back-Testing