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Select few reap unfair gain
Darting in and out of mutual funds,
market professionals have scooped up
hundreds of millions of dollars in profits
at the expense of ordinary investors.
What they don't tell you about timed trading
By KAREN HOWLETT
Canadian
Globe and Mail: Monday, June 21, 2004 - Page B4
Mutual fund firms tell investors to "buy and hold." But under
the watchful eye of fund managers, sophisticated market professionals have been
given free rein to zip in and out of some of Canada's biggest funds, carefully
timing their trades and scooping up hundreds of millions of dollars in quick
profits - money that belongs to the funds' long-term investors.
In the U.S. Sliot Spitzer launched a crackdown that resulted in nearly
$2-billion in fines. In Canada, critics complain the country's biggest regulator
is moving at a snail's pace.
A six-day series begins today with a three-page report.
A select group of hedge fund managers and other market professionals have
siphoned off hundreds of millions of dollars of value from Canadian mutual funds
over a four-year period by engaging in a trading strategy of darting in and out
of the funds to scoop up profits, a Report on Business investigation has found.
This rapid in-and-out trading in the funds totalled more than $220-billion
between 2000 and 2003, a pattern highly suggestive of so-called market timing,
the investigation uncovered.
Market timing typically takes place in overseas funds where time zone
differences often make prices of stocks in a fund out of date because of market
events elsewhere. Not all active trading can be attributed to market timers. But
the magnitude of the dollars involved suggests that market pros are behind it.
The trading has been hugely profitable for the select few, who made an estimated
$550-million to $650-million in profits between 2000 and 2003. The figures --
based on a U.S. academic study that estimates market timers pocket 60 to 70
basis points in profits for every round trip -- assumes all activity in a fund
in excess of benchmark levels was a result of questionable trading.
Their unwitting victims? Ordinary investors. Profits pocketed by market timers
have simply vanished from dozens of mutual funds, stripping their shareholders
of an enormous store of wealth.
While the average fund shareholder was left in the dark, market professionals
were darting in and out of funds managed by many of the largest companies,
including Investors Group Inc., CI Fund Management Inc. and AGF Management Ltd.
"I don't make any bones about it," said William Holland, chief executive officer
of CI. "There were people trading in and out of funds, just like they were
everywhere."
Market timing is the very antithesis of the buy-and-hold strategy preached by
the industry, which has flourished by promoting mutual funds as stable
investment havens. Industry assets have grown from $390-billion at the end of
1999 to $474-billion, equivalent to 40 per cent of the retirement savings of
Canadians. Over that same period, the number of shareholder accounts has
increased from 40.9 million to 51.2 million.
But the trading activities uncovered by Report on Business reveal that it isn't
a level playing field for mutual fund investors. Rather, there are two classes
of investors: rank-and-file Canadians building their retirement nest eggs and a
select few market professionals ramping up a fund's costs and diluting its
returns by rushing in and out.
Although market timing isn't illegal, it violates procedures many fund companies
have in place to shield their shareholders from added costs and volatility.
The practice is rooted in a willingness of at least some fund managers to put
their own financial interests ahead of their long-term shareholders. Most fund
managers are compensated based on assets under management; a big influx of cash
gives a manager more assets to manage.
The rush to gather assets and earn management fees can be at odds with a
manager's fiduciary duty to act in the best interests of all shareholders. A
mutual fund's returns are based not on a fund's size but on how well its
investments perform.
The mutual fund industry is built on a foundation of not just providing millions
of Canadians with investments that earn solid returns, but also integrity and
trust. The trading uncovered by Report on Business raises questions about who is
watching over fund managers to ensure they are not misplacing that trust.
The findings suggest that market timing might have been prevalent in Canada as
well as in the United States, where the confidence of investors has been badly
shaken by revelations of widespread wrongdoing. The probe into market timing and
other improper trading practices is the biggest scandal to hit the U.S. fund
industry in more than 60 years.
The probe has had an impact on this side of the border. Figures calculated by
Report on Business show that the dollars transferred in and out of funds dropped
off sharply during the last four months of 2003 in the same funds that had shown
patterns of active trading earlier in the year.
The bigger impact may be yet to come. In the United States, regulators have
taken enforcement action against 12 of the 25 biggest mutual fund companies.
Nearly $2-billion (U.S.) in fines have been levied and many top executives have
lost their jobs and are under investigation. Investors have severely punished
those companies caught up in the multiple probes by pulling tens of billions of
dollars out of their funds.
At a time when regulators in the United States have launched a broad crackdown
on market timing and other trading abuses, the Ontario Securities Commission has
come under criticism from investor advocates for not proactively rooting out any
problems here.
The commission sent out questionnaires to every fund company in the province
last October, seeking information about their policies and procedures designed
to limit market timing. It is now in the process of conducting on-site reviews
of about 15 companies.
Stan Buell, head of the 500-member Small Investor Protection Association,
attributes the OSC's tepid response to the fact that it has delegated much of
the responsibility for protecting investors to industry-run, self-regulatory
groups.
"We need someone to look at [the industry] from an investor protection point of
view," he said. "If we had that, I think there would be more focus on these
mutual fund problems."
Market timers take advantage of the fact that mutual funds do not price the
securities in their investment portfolio on a continuous basis; they only do it
once a day. When the markets close at 4 p.m., mutual funds calculate their price
(or net asset value as it's known in the business) by using the most recent
trading prices for stocks in their investment portfolio.
The following example illustrates how mutual funds that invest in overseas
securities allow traders a simple but profitable time-zone arbitrage. Let's take
an Asian fund that manages $100-million in assets and owns a basket of companies
listed on Japanese markets.
On a Tuesday afternoon, U.S. stocks rally heavily in New York. A hedge fund
manager, who spends his days in front of a bank of computer terminals watching
the markets like a hawk, figures there's a high likelihood stocks in Japan will
follow the U.S. lead when overseas markets reopen the following day.
Before the markets close in New York on Tuesday, the manager buys $50-million
worth of units in the mutual fund at $10 each. That money does not affect the
market value of the fund because it is sitting in cash -- it has to be invested
to earn a return.
Because markets in Tokyo closed at 2 a.m. Eastern time, 14 hours before New
York, stock prices of the fund's foreign holdings do not yet reflect the market
rally.
The hedge fund manager assumes that market events elsewhere have made prices of
stocks in the fund out of date and that shares in the fund are worth more than
what he paid for them.
As it turns out, he has bet right. Markets in Tokyo climb 10 per cent the
following day. As a result, units in the fund have also climbed to $11 from $10,
making the fund's assets worth $110-million. That same day, he sells his units
at the new, higher value of $11, thus pocketing a profit of $3.3-million,
representing one-third of the gain posted by the fund.
In essence, he has deprived the fund's long-term investors of the full value of
the increase in their securities. This is unfair to these investors because it
was their money that actually financed the investments that produced the
profits. Yet the market timer got to share in the profits even though his
investment didn't generate any returns for the fund.
Eric Zitzewitz, an assistant professor of economics at Stanford University's
business school, whose research has been cited in court documents, estimates
that the dilution created by market timers costs average shareholders in
international mutual funds 1 to 2 per cent of their assets each year.
Rapid trading by one very large customer can also wreak havoc on the ability of
the fund managers to make money for everyone else. Big sums rushing in and out
rob them of flexibility in buying and selling stocks because they have to keep
extra cash at the ready to pay the exiting timer.
Many mutual fund companies openly acknowledge in their legal disclosure
documents the toll rapid trading takes on their long-term investors. AIM Funds
Management Inc., for example, has this to say in the prospectus for one of its
funds: "Trading or switching often in order to time the market is generally not
a good idea. Frequent trading can also hurt a fund's performance, affecting all
the investors in a fund."
However, the industry has a mixed track record for keeping the market timers at
bay.
Fidelity Investments Canada Ltd., TD Asset Management Inc. and Phillips Hager &
North Investment Management Ltd. have also made the market timers unwelcome in
their funds.
Since the early 1990s, Fidelity's Boston-based parent has used fair value
pricing for its global operations, including Canada. Fair valuing takes the
profits out of market timing by adjusting the prices for stocks in a portfolio
when events after the markets close cause big discrepancies between current
values and expected new values.
"This gain doesn't come out of thin air. It comes out of the pockets of other
investors," said Peter Bowen, a vice-president and chief compliance officer at
Fidelity Investments Canada.
Since 1996, TD Asset, Canada's sixth-largest fund manager, has slapped an
automatic 2-per-cent penalty fee on anyone who redeems their money within 90
days of investing it.
At Vancouver-based PH&N, anyone who makes a round-trip trade in five days -- by
moving cash from a money market fund to an equity fund and back again -- can be
hit with a 2-per-cent penalty.
"In the event they want to continue it, we're not the firm they want to deal
with," said Richard Self, a PH&N vice-president. As a result, he said, the
firm's experience with market timers is virtually non-existent.
Report on Business calculated churn rates -- levels of sales, redemptions and
transfers as a percentage of average assets -- for hundreds of international
equity funds for each of the four years. Asian, European and other overseas
funds are most vulnerable to market timers, who take advantage of time-zone
differences.
The funds singled out had three characteristics: annual churn rates exceeding
100 per cent; the bulk of the churn rate from money transferred to and from
another fund within the same company; and monthly transfers in and out that were
roughly similar.
Last year alone, 15 companies had funds that fit the pattern. As a group, the
funds had an aggregate churn rate of 221 per cent, five times the level for
international equity funds with no pattern of in-and-out trading. While this
figure is not conclusive proof of market timing, it represents a level almost
impossible to achieve without improper trading, according to U.S. academics who
have studied market timing.
A churn rate of 100 per cent means that cash equal to the value of a fund's
average assets flowed in and out during the course of the year. In many
instances, churn rates exceeded 1,000 per cent.
In 2003, the in-and-out trading totalled $25.5-billion -- the activity came to a
standstill last September, after New York State Attorney-General Eliot Spitzer
launched an investigation into the practice. The trading peaked at $79-billion
in 2002. To put that in context, all of the international equity funds run by
Canadian companies collectively manage $94.2-billion in assets.
The practice involved funds managed by eight of the 10 largest Canadian
companies in one or more years. These companies collectively manage $287-billion
in mutual fund assets, accounting for 60 per cent of the domestic industry.
Investors Group, the second-biggest fund company in Canada, has 13 funds with
telltale signs of market timing. CI, the country's fifth-largest company, has 32
funds, well in excess of any other company.
The active trading was done in funds of all sizes, ranging from those that
manage less than $10-million to the Templeton Growth Fund, the second-largest
fund in Canada with $6.8-billion in assets under management.
A disproportionate number of the funds invest in overseas securities, with
European and Asian funds accounting for 44 per cent of the total. Yet these
funds represent only 19 per cent of all international funds included in
statistics compiled by the Investment Funds Institute of Canada.
Report on Business used data supplied by fund companies to IFIC to calculate
churn rates.
Some companies that had excessive trading in their international funds took
steps to end it well before Mr. Spitzer turned his sights on the U.S. mutual
fund industry.
Dynamic Mutual Funds Ltd. had a handful of international funds with active
traders in 2001. But they appear to have gone elsewhere in 2002 and 2003, after
the firm took steps to discourage them.
AIM Funds had active traders in several of its funds in 2001 but there were few
if any signs of their presence in later years. Spokesman Dwayne Dreger said the
last time fund managers suspected the activity was in early 2003. "There were
one or two attempts, but nothing since then," he said.
Jonathan Hartman vice-president of business development at RBC Asset Management
Inc., the largest fund company in Canada, said the firm monitors its funds for
market timers. When they're caught, they get booted out, he said. "We have
become more aggressive in this regard in the last two years." RBC had a couple
of international funds with high churn rates in 2002 and earlier.
Many other fund companies in Canada did not begin to come to terms with the
impact market timing was having on average investors until more recently.
"Market timing was a practice that kind of crept up on people," said Patricia
Phillips, a spokeswoman at AGF Funds. "Nobody said anything about it. Nobody did
anything about it . . . and then suddenly, it became a big, deadly sin."
Because there were no rules against market timing, she said, many fund managers
tolerated the activity, mainly out of a desire to accommodate clients. Just how
deleterious the timers were to AGF's funds became glaringly apparent last
summer.
Last July, AGF blamed active, large-volume traders for nearly half of its net
redemptions of $229-million the previous month and announced that it would
impose a 2-per-cent fee on clients who redeem or switch funds within 90 days of
buying them.
In fact, the industry itself may have inadvertently encouraged much of the
trading through the creation of a class of funds that makes it easy for
investors to switch in and out of funds owned by the same company and earn
profits without paying capital gains taxes.
Many industry executives said sector funds and clone funds were responsible for
some of the active trading in their funds. Mr. Holland, the head of CI, said the
level of active trading in CI's funds picked up after the company introduced
sector funds in 1996, Mr. Holland said.
"We had active traders in there for sure," he said. "The bigger the funds
became, the more people transferred in and out of them."
While Mr. Holland and Ms. Phillips openly acknowledged that market timing was
alive and well in Canada, other executives came up with other reasons to explain
the activity in their funds. They said it had more to do with investors shifting
their assets from one sector to another or from foreign to domestic funds.
However, if the activity resulted from allocation strategies, lots of investors
in lots of funds would have been doing the same thing. And they would have been
moving their money in one direction -- either into a fund or out of it.
That was simply not the case. The trading patterns didn't happen in the
international equity funds managed by Fidelity and TD Asset Management. Nor did
they happen in Latin American and other international funds in the same time
zones as North American markets.
The Report on Business findings raise a compelling question for the Canadian
mutual fund industry: Why were so many fund managers willing to risk their
reputations by allowing market timing in their funds? Fund managers typically
monitor cash coming in and going out, on a daily basis, so a big influx would
not have gone unnoticed.
One possible explanation is that during the dying days of the bull market in
early 2001, fund companies were under enormous pressure to gather assets. Along
with falling stock markets, they watched the assets they manage decline as many
investors headed for the exits.
For many industry executives, the scandal in the United States has been a
wake-up call. CI's Mr. Holland said nobody believed the timers could make money
at what they were doing because nobody was paying attention to their activities.
"We never thought about it," he said. "It wasn't topical."
Looking behind the churn rates
Transfers in and out account for the lion's share of activity in those funds
with churn rates exceeding 100 per cent, while sales and redemptions account for
a much smaller portion of the cash flows. This is a strong indication of market
timing. By contrast, action in the benchmark funds of Fidelity Investments
Canada and TD Asset Management is more evenly spread. Fidelity and TD were
chosen for the benchmark because for several years each company has had
procedures in place to dissuade market timers.
The yearly breakdown for funds with churn rates exceeding 100 per cent.
...............Sales..Redemption..Transfers in..Transfers out..Churn
2000.........30.8%.....13.9%.....116.4%.......112.6%........273.0%
Benchmark..25.0.......11.7.........13.1..........12.7............62.5
2001.........17.5........18.2.......102.7..........107.4..........245.5
Benchmark..14.9.......14.3..........6.1.............8.7...........44.2
2002..........7.9.........14.0........162.5.........166.3..........352.0
Benchmark..13.1........15.5..........4.0............8.3............40.9
2003.........12.1........19.4..........93.1..........96.8..........221.2
Benchmark..11.0.......16.7...........8.4............8.5............44.5
In-and-out trading
The pace of in-and-out trading rose steadily through to 2002, when 73 funds had
churn rates exceeding 100 per cent. A churn rate of 100 per cent means that cash
equal to a fund's average assets changed hands during the course of a year.
2000 Number of funds: 43
Number of fund companies with in-and-out trading in their funds: 13
2001 Number of funds: 79
Number of fund companies with in-and-out trading in their funds: 16
2002 Number of funds: 73
Number of fund companies with in-and-out trading in their funds: 16
2003: Number of funds: 53
Number of fund companies with in-and-out trading in their funds: 15
High stakes
The dollar value of rapid in-and-out trading peaked in 2002, falling off after
September, 2003, when U.S. authorities launched a crackdown on market timing and
other questionable practices.
2000: 44.2
2001: 62.7
2002: 89.8
2003: 25.5
Series schedule
Today
- Rapid trading in mutual funds bears marks of market timing
- Mechanics of market timing, who does it, who doesn't ad why.
Tomorrow
- Proposed rules for fund governance favour industry, critics say.
Wednesday
- Compensation issues are paramount for fund managers, which make sure they get
paid first
Thursday
- Fees and fund performance don't always go hand-in-hand
Friday
- Segregated fund fees on the rise
Saturday
- Dos and don'ts for investors
Series writers
Rob Carrick
Report on Business personal finance columnist, has closely followed the mutual
fund industry for years.
Elizabeth Church
Covers the real estate industry and also writes on governance matters as part of
the annual Board Games ranking of corporate boards.
Keith Damsell
Has covered media, mining, forestry and most recently, technology. He began
following the mutual fund sector in May.
Derek DeCloet
Writes the Vox column in the Money & Markets section and has covered financial
services and investing for five years.
Karen Howlett
Has covered the financial services industry, including banks and mutual funds,
as well as securities regulation, since the early 1990s.
Janet McFarland
A report-columnist, writes on corporate governance, executive compensation,
securities industry regulation and shareholder rights.
Andrew Willis
The Globe's Streetwise columnist, has reported on financial markets at various
news organizations for more than 15 years.
The case for market timing
Rapid in-and-out timing in Canadian mutual funds, discovered in a Report on
Business investigation, is a pattern highly suggestive of market timing, which
is hugely profitable for a few market professionals who siphoned off an
estimated $550-million to $65-million in value from mutual funds between 2000
and 2003. Ordinary, long-term investors lost out as market timers pocketed
profits. (A churn rate of 100% means the equivalent of every unit in the fund
had changed hands during the course of a year.)
.....................................Assets.....--------Churn rate (%)---------
Fund company...................($000's)....2000....2001....2002....2003
AGF Funds
Aggressive Japan Class...........3,400........-......291......178........-
Aggressive Global Stock.......102,700.......-.......258......286........-
Asian Growth Class..............80,900......383....1,165.....599......364
European Equity Class..........542,200.......-.......235......189......142
Global Technology Class........15,700........-.......341......164......128
International Stock Class.......813,400.......-.......182......536.......177
Japan Class.......................72,700......277......692......413......282
RSP Int'l Equity Allocation....242,900.........-......150......370.........-
RSP Japan........................46,300......261........-.......157.......182
World Equity......................77,200........-.......336......894.........-
Global Strategy World..........311,400........-.......255......649.........-
China Focus Series...............17,800........-.......404......100.........-
AIC
Global Advantage...............126,300......908....1,627....1,046.......431
Global Diversified................38,500......898.....1,619......900......270
RSP Global Advantage..........64,500........-..........-..........-.......143
RSP World Advantage..........62,900........-..........-........123.........-
World Advantage...............148,000......794.....1,171......444.........-
World Equity....................293,000......675........922......713......299
AIM Funds Management
European Growth Class.........8,000........-..........369......169........99
European Growth Fund.........83,200.......-..........140........-..........-
Trimark Europlus C$...........144,600.......-..........136........-..........-
Indo-Pacific Class...............13,000......402.......539.......-...........-
Oindo-Pacific Fund.............66,000.........-.........282........-..........-
Int'l Growth
Class..............9,100...........-.........201........-..........-
RSP Indo-Pacific.................7,800.........-.........244.......-...........-
CIBC Securities
Talvest
Asian.....................14,700......325........101.........-..........-
Talvest China Plus...............22,100......443.......349.........-..........-
Talvest China Plus RSP.........3,900..........-........305.........-..........-
Talvest Global Asset Alloc....47,200........326........580.........-..........-Talvest
Global Equity...........24,900..........-......2,037.........-.......329
Tal. Global Multi-Man. RSP..166,400..........-........102.........-..........-
Talvest Global RRSP...........95,000........314.......654.........-..........-
Talvest Global S & T RSP.....13,300...........-........189.........-.......198
Talvest Global Small Cap.......41,800..........-........431.........-.......138
CI Mutual Funds
BPI Global Equity...............597,000......213.......311.......896......563
BPI Int'l
Equity..................125,400........-........247.......801.......432
BPI Int'l Equity RSP..............6,000.........-..........-........216.......281
BPI Int'l Equity
Sector............6,400.........-.........-........244.......446
Asian
Dynasty....................21,300.........-..........-...........-.......115
European Fund...................35,000.........-........127.......582.......160
Emerging Markets...............166,900........-..........-........302........89
European Growth.................87,100.........-.........101......139.......127
European Growth RSP............8,200.........-..........-...........-........175
European Sector Shares........12,000..........-.........182......202........98
Global Boomeronics............504,600.........-............-.......473.........-
Global Equity RSP.............617,200........120........153.........-..........-
Global Fin. Service.............113,400..........-.........151......312......151
Global Fund...................1,235,500........202........283.......967......654
Global Small Co................107,200........156........245.......683.......197
Global
Value....................120,600..........-.........117.......502......257
Int'l
Balanced...................466,400.......292..........-......1,300......764
Int'l Balanced
Sector...........13,500...........-..........-.........121........-
Int'l
Fund.........................42,900..........-.........137.......436......653
Int'l
Value........................33,900.........-...........-.........294......136
Int'l RSP..........................11,300..........-.........227.......894........-
Japanese RSP.....................4,000.........-...........-.........314......474
Japanese Sector Shares.........12,700.......523........341.......560.......590
Pacific............................115,800.......165........342....1,138........208
Pacific RSP
.......................3,700..........-.........431......306.......469
Pacific Sector Shares............22,500.......444........554.......528......345
Sector Emer. Mkts Shares......23,800.........-...........-........147.........-
Sector Global Shares............261,600......106..........-........157.........-
Sec. Glob. Tech.
Shares........103.900.........-.........180........-...........-
Sec. Glob. Tele.
Shares.........176,900.........-.........167........-...........-
Clarington Funds
Global Communications..........18,900.......143.........166......232.........-
Global
Equity......................131,200......286.........400......457.......292
Global Small
Cap.................20,800.......317..........169.........-.........-
Int'l
Equity........................13,900.......285..........641......281.......260
Dynamic
European
Value.................117,400..........-..........219.........-..........-
Far East
Value...................17,800..........-..........542.........-...........-
International
Value..............134,000.........-..........201.........-...........-
RSP Far East
Value...............3,000.........-..........427.........-...........-
Strat. Nova Com. World Bal...149,000......538.........187.........-...........-
Strat. Nova Europe Fund........27,800........305.........577......835..........-
Strat. Nova Europe RSP..........5,300.......487...........-...........-..........-
Strat. Nova World
Equity........57,300.......612...........-...........-..........-
Strat. Nova Wld. Large Cap....71,400.........-...........465......698.........-
Elliott & Page
Elliott & Page Asian
Growth.....5,500.........-...........168.......474.......187
Guardian Group of Funds
GGOF Global Growth Fund.....15,600.........-...........416.........-.........186
HSBC
AsiaPacific........................41,000.......238.........389.......185.........-
European.........................110,522.........-..........176.........-...........-
Investors Group
IG AGF Asian Growth Fund....30,000.........-..........202........357.......104
IG AGF Int'l
Equity..............192,000........-..........150........248.........-
Scudder European Growth......138,000......140..........-...........-...........-
Templeton Int'l
Equity...........122,800........-..........125.........139.........-
Templeton World
Allocation.....66,000........-............-..........177.........-
Investors European Grth......1,204,000.......177........200..........-...........-
Inves. European Mid
Cap.......287,700.........-...........-..........167.........-
Investors
Global..................662,200.........-.........166........310..........-
Investors Japanese
Growth......78,800.........-.........358........468..........-
Inves. Pacific Int'l CI S
A........2,500..........-...........-...........-.........290
Investors Pacific
Int'l............161,300........-.........254.........336.........94
Inves. Pan Asian
Growth.........11,300........-............-..........-.........160
Ionves. World Growth
Port......236,500.......-............-.........179.........-
MD Management
Int'l Growth RSP...................10,600.......-............-.........195.......366
Mackenzie Financial
Ivy Global
Balanced...............141,900.......-.........180..........-...........-
Univ. Euro. Oppor. Cap
CI.......27,500........-............-.........117.........-
Un. Sei. Man. F East Cap
CI.....48,900........-.........183..........-.........205
Universal European Oppor.......545,400.......-.........180..........-...........-
Universal Far
East.................25,400......369........997..........-...........-
R Funds (BLC-Rothschild)
R
Asian...............................6,600.......-............-...........-.........462
R
European.........................11,900.......-............-............-.........318
RBC Funds
Asian
Equity........................80,200......246.......325...........522......115
Int'l
Equity..........................51,700........-............-...........144........-
Scotia Securities
Scotia Pacific Rim
Growth........23,600.......222..........-...........165......228
Franklin Templeton
Temp. Global
Growth............6,235,000.......-............-...........142........-
Franklin Japan Tax
Class............4,500........-............-..........202.......529
Temp. Emerging Mkt.............337,700........-............-..........156........-
Temp. Global
Smaller.............566,300........-............-..........164........-
Templeton Int'l
Stock...........2,912,000.........-.........120..........285........-
Temp. Int'l Stock
Class............43,100........-............-...........150.......147
CIBC acquired control of Talvest in October, 2001.
Dynamic's parent company acquired StrategicNova in July, 2002.
C.I. acquired Spectrum investment in 2002.
Assets are as of Dec. 31, 2003, with the exception of those funds that were no
longer in existence that year.
Some smaller funds that had churn rates exceeding 100 per cent in only one year
are excluded from the list of funds with a pattern of trading that indicated
signs of market timing.
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