The ERISA 404(c) Paradox

A Curious Paradox: Reconciling MPT and ERISA
Section 404(c)’s
“Informed Decision” Requirement to
Protect Plan Fiduciaries and Participants

James W. Watkins, III, J.D., CFP®, AWMA®

CEO/Managing Member
InvestSense, LLC

At a 2006 Department of Labor Advisory Council hearing, Fred Reish, a well-respected attorney and expert in the area of ERISA law, testified that 404(c) plans were not working, either in terms of providing plan participants with the information needed to exercise the required control over their investment accounts or in terms of providing the liability protection that plan fiduciaries desired.1 He stated that due to the growth of participant-directed accounts as the primary plan option among employers, 404(c) plans have to work and work well.

In 2012, despite recent revisions by the Department of Labor in the disclosure requirements for ERISA retirement plans and promises to protect plan participants with a new fiduciary requirement for those advising ERISA plans, 404(c) still does not work, either in terms of providing plan participants with the meaningful information they need to effectively manage their investment accounts or in terms of providing the liability protection that plan fiduciaries desire.  Fortunately, only a few minor changes are needed to make 404(c) plans work for both plan participants and plan fiduciaries. 

ERISA’s Purposes and Goals
The Employee Retirement Security Act of 1974 (“ERISA”) was enacted “to protect and strengthen the rights and interests of participants in employee benefit plans and their beneficiaries….”2 

ERISA establishes certain minimum standards for ERISA fiduciaries, including requiring that “a fiduciary shall discharge his duties with respect to a plan solely in the interests of the participants and beneficiaries and –

(A)  for the exclusive purpose of:
                    (ii) defraying reasonable expenses of administering the plan;
             (B)  with the care, skill, prudence, and diligence under the circumstances then
                     prevailing that a prudent man acting in like capacity and familiar with such
                     matters would use in the conduct of an enterprise of a like character and 
                     with like aims.
              (C)  by diversifying the investments of the plan so as to minimize the risk of large
                      losses,…3

ERISA’s fiduciary standards developed from common-law trust principles, including the trustee’s duty of loyalty and prudence.4  When one compares the language from the Restatement of Trusts to the language of ERISA, the impact of trust law upon ERISA is clearly evident.  

With regard to a trustee’s duty of loyalty, the Restatement (Third) of Trusts (“Restatement”) states that

(1)  Except as otherwise provided in the terms of the trust, a trustee has a duty to      
       administer the trust solely in the interest of the beneficiaries,…
(3)  Whether acting in a fiduciary capacity or personal capacity, a trustee has a     
       duty in dealing with a beneficiary to deal fairly and to communicate to the 
       beneficiary all material facts the trustee knows or should know in connection 
       with the matter.5

With regard to a trustee’s duty of prudence, the Restatement states that

(1) The trustee has a duty to administer the trust as a prudent would, in light of the
purpose, terms and other circumstances of the trust.
(2) The duty of prudence requires the exercise of reasonable care, skill and caution.6

The comments that accompany the Restatement’s discussion on the trustee’s duty of prudence state that the duty of care includes a duty to properly investigate the particular action being considered and, when necessary, to obtain the advice of others in order to meet the applicable fiduciary standards.

Chapter Seventeen of the Restatement sets out the “Prudent Investor Rule” (“Rule”). The Rule clarifies the requirements set out in the Restatement’s duty of prudence by stating that
              (1) the care, skill and caution required under the Rule is to be applied in terms 
                    of the portfolio as a whole and the portfolio’s reasonable risk and return factors;
              (2) the trustee has a duty to diversify the investments unless it would   
                    be imprudent to do so; and 
              (3) the trustee has a duty to control the trust’s costs.7

The comments accompanying the Rule discuss additional aspects of the trustee’s duty of prudence, including the importance of risk management in the investment process and the importance of the effective use of diversification and the principles of modern portfolio theory in the risk management process. 

MPT and the ERISA Fiduciary’s Duty to Diversify
The concept of Modern Portfolio Theory (“MPT”) was introduced by Dr. Harry Markowitz in 1952.8  Prior to the introduction of MPT, investment portfolios were constructed by relying on an investment’s annual return and standard deviation numbers.  With the introduction of MPT, Markowitz suggested that the correlation of returns between investments should be a factor in constructing investment portfolios.  By combining assets with low correlations of return, an investor could theoretically reduce a portfolio’s overall volatility and achieve more stable returns.  

The Department of Labor and the courts have accepted MPT for the purposes of ERISA.9 However, ERISA fiduciaries should note that while MPT will be used in assessing the prudence of an ERISA fiduciary’s actions, MPT alone will not provide an absolute defense to a claim of a breach of fiduciary duty by an ERISA fiduciary.10 

The importance of a proper investigation of investment options by an ERISA fiduciary cannot be overstated.

A fiduciary’s independent investigation of the merits of a particular investment is at the heart of the prudent person standard….The failure to make an  independent investigation and evaluation of a potential plan investment is a breach of fiduciary duty.11 

In determining whether an ERISA fiduciary breached their duty of prudence, the courts assess the fiduciary’s actions in terms of both procedural prudence and substantive prudence.12  In evaluating procedural prudence, the courts look at the methodology that the fiduciary used, not the eventual investment results.13  In evaluating substantive prudence, the courts base their decision on what the fiduciary knew or should have known.14

An ERISA fiduciary that conducts an independent investigation and evaluation, but imprudently evaluates, selects, and monitors a plan’s investments is also guilty of breaching their fiduciary duties.15 A fiduciary’s lack of familiarity with investments is no excuse, as an ERISA fiduciary who does not possess the requisite education, experience or skill to make the required assessments has an obligation to seek independent counsel to ensure compliance with ERISA’s fiduciary requirements.16 Furthermore, the fiduciary’s duty of prudence is absolute and objective, and good faith is no defense to a claim of imprudence.17 

Since the Department of Labor and the courts have adopted MPT as the standard of prudence for ERISA fiduciaries, and the key factor in MPT analysis is consideration of the correlation of returns among investments as part of the portfolio construction process, it can be argued that the failure of an ERISA fiduciary to consider the correlation of returns among the investment options being considered for their plan constitutes a breach of their fiduciary duty.  Therefore, the prudent ERISA fiduciary will always obtain and factor in the correlation of returns of the various investment options being considered as part of their plan’s portfolio selection process.. 

R-squared and the ERISA Fiduciary’s Duty to Control Costs
Both ERISA and the Prudent Investor Rule include a requirement that the fiduciary control the costs associated with the plan/trust.  The issue of ERISA plan fees has been the subject of recent litigation. both with regard to the amount of such fees and the failure to disclose such fees to plan participants. Recently passed regulations will now require more meaningful disclosure of the fees and other costs associated with plans covered by ERISA.18

One area regarding disclosure of plan costs that has not been adequately discussed is the so-called “active expense” cost associated with plan investment options. There are basically two types of mutual funds – actively managed funds and passively managed, or index, funds.

Many of the investment options offered by ERISA plans are actively managed mutual funds. Actively managed mutual funds often have expense ratios that are significantly higher than those of passively managed funds.  However, quite often the performance of actively managed funds is due primarily to the performance of an underlying stock market index.

Funds that display such characteristics are commonly referred to as “closet index” funds due to the extent that their performance tracks that of a relevant market index. Investors and plan sponsors can often spot closet index funds based on their high R-squared scores. R-squared is a measurement that indicates the extent to which an actively managed fund’s return is due to the return of an underlying market index, as opposed to the contribution of active management.       

The fees associated with high R-squared score/closet index funds raise a number of issues for ERISA fiduciaries.  A study by the Department of Labor estimated that over a twenty year period, each one percent of fees incurred by an investor reduces their end return by approximately seventeen percent.19 

A fund’s R-squared score can be used to calculate an “active expense” analysis on the fund.  Professor Ross M. Miller of the SUNY-Albany School of business introduced the concept an “active expense ratio,” which measures the effective cost for the active management component of a fund.20  Miller’s research found that the effective active expense ration on actively managed funds was generally five to seven times higher than the stated expense ratio for such funds. 

Because an active expense analysis often indicates a much higher effective cost for actively managed funds, it can be legitimately argued that the inclusion of high R-squared score/closet index funds and their corresponding higher fees is imprudent and constitutes a breach of the ERISA fiduciary’s duties to the plan participants since an essentially equivalent return could have been achieved with a less expensive, passively managed index fund.

The prudent ERISA fiduciary will not only review the R-squared score of all investment options being considered, but will also have an active expense cost analysis prepared for each investment option under consideration to protect themselves against potential claims of breach of their fiduciary duty of prudence     

ERISA Section 404(c) “Informed Decisions” Requirement
Under ERISA, an ERISA plan fiduciary is generally responsible for any losses incurred by the plan and/or plan participants that are due to the fiduciary’s failure to meet the applicable ERISA fiduciary standards.  ERISA does provide one exception to this rule if the plan qualifies as a Section 404(c) plan.

Section 404(c) provides that a plan fiduciary shall not be responsible for the losses suffered by a plan participant to the extent that such losses are due to the control of the account by the plan participant.21  While a full review of all of the requirements required to qualify as a Section 404(c) plan is beyond the scope of this white paper, I want to focus on an area that is often overlooked and, consequently, ripe for litigation.

Section 404(c) provides that an ERISA section 404(c) plan is

an individual account plan …that (i) provides an opportunity for a participant or beneficiary to exercise control over assets in his individual account; and (ii) provides a participant or beneficiary an opportunity to choose, from a broad range of investment alternatives, the manner in which some or all of the assets in his account are invested…22

The regulation then defines the “control” requirement by stating that 

a plan provides a participant or beneficiary an opportunity to exercise control over assets in his account only if:…(B) The participant or beneficiary is provided or has the opportunity to obtain sufficient information to make informed decisions with regard to investment alternatives available under the plan,…23

There are various factors that are used in determining whether a plan participant exercised the requisite control over his account.  The first question that must be addressed is whether the plan provided participants with the required broad range of investments.24  In order to satisfy the “broad range of investments” requirement, the plan must provide investment alternatives “with materially different risk and return characteristics” that allow participants to effectively diversify their investment account so as to reduce the risk of large losses, i.e., utilize MPT.25

If so, the next question is “whether the plan provided the participants with ample information, including adequate information to understand and assess the risks and consequences of alternative investment options.” 26 In order to qualify as Section 404(c) plan, the plan must provide the participants with “sufficient information to make informed decisions with regard to investment alternatives available under the plan….”27 The “informed decisions” requirement is not met unless the participants is given various information, including a description of the investment alternatives available under the plan, including risk and return characteristics of each such alternative.28 

The courts have consistently ruled that a plan participant does not have the requisite control over their 404(c) account when a plan fails to meet the “informed decisions” requirement.29 The obvious question for both plan fiduciaries and plan participants is what constitutes “sufficient information to make informed decisions.” 

Three consistent themes run through ERISA: disclosure, avoidance of large losses and the importance of controlling costs. These three requirements are imposed upon plan fiduciaries in order to further the purposes and goals of ERISA, protecting and promoting the interests of employees.   

Consequently, it would only seem natural and equitable that the same information that ERISA fiduciaries need to use in fulfilling their duties should be required to be disclosed to plan participant in order to meet Section 404(c)’s “informed decisions” requirement.  Since an ERISA fiduciary should have this information in order to fulfill their duty of prudence, providing same to participants should not prove to be overburdening the plan fiduciary. 

It can be anticipated that ERISA fiduciaries might object to the suggested disclosure requirement, claiming that plan service providers do not provide such information to the plan. Such objections are without merit..   

As discussed earlier, ERISA fiduciaries have an obligation to conduct an independent investigation of all investment options being considered. In assessing the prudence of a fiduciary’s investigation, ERISA states that one factor is determining whether the fiduciary has given “appropriate consideration to those facts and circumstances that…the fiduciary knows or should know are relevant,”30 and that “appropriate consideration includes the composition of the portfolio with regard to diversification,” thus MPT and correlation of returns data.31

ERISA fiduciaries might also object to the suggested disclosure requirement on the grounds that ERISA does not explicitly require the disclosure of such information.  Once again, such an objection is without merit. In enacting ERISA, Congress chose to invoke the common law of trust to define the general scope of an ERISA fiduciary’s responsibilities rather than explicitly enumerate such duties.32 “Thus, [ERISA’s articulation] of a number of fiduciary duties is not exhaustive.”33   

It is a well accepted principle that a fiduciary’s duty to furnish material information to a beneficiary is a fundamental concept under the common law of trusts.34   As discussed earlier, both the Restatement and ERISA would support the disclosure of such information, especially since the fiduciary should already have considered such information in assessing the prudence of the proposed investment or investment course of action.

Disclosure of such information would also be consistent with ERISA’s purposes and goals, especially since this information would prove more valuable to preventing large losses and controlling unnecessary costs and expenses than a prospectus, which few investors read or understand.  If a fiduciary does not have the education, experience and/or skill to determine the needed information on their own, then ERISA requires that they retain experts who can provide such information to the plan and its participants.35 

Strategies to Protect Both 404(c) Plan Sponsors and Plan Participants
In his 2006 testimony, Reish pointed out that participant-directed ERISA plans “must be made to work well” given their emergence as the primary investment plan for American workers.36  While 404(c) plans are still failing to provide both plan participants and plan fiduciaries with the optimum benefits envisioned under such plans, the good news is that such benefits can be achieved with a few simple “tweeks” of the system. 

Plan fiduciaries need to truly understand their fiduciary duties and responsibilities vis-à-vis the investigation, selection and monitoring of the investment alternatives chosen for the plan, as well as the providers of any educational programs. They also need to understand how to comply with the applicable standards under the fiduciary duties of loyalty and prudence, including the consideration of the correlation of returns among investments and both the stated and effective expense costs of such investments.

To satisfy the requirements for both substantive and procedural prudence, I recommend that each investment under consideration be analyzed in terms of correlation of returns with the other investments under consideration.  Since the stock market is cyclical, per judicial recommendation, I also recommend that each investment be stress tested to see how the investment has performed in various market conditions.37 

To satisfy the fiduciary duty to control portfolio costs, I recommend, at a minimum, that plan fiduciaries review each investment’s R-squared score to determine if the fund qualifies as a “closet index” fund.  The better choice is to have an active expense analysis performed to document the effective cost of a fund’s active management.  I actually use a proprietary formula that allows me to measure a fund or a portfolio’s intrinsic value in terms of both risk and cost efficiency    

Next, ERISA fiduciaries need to understand that they retain full liability for plan participants’ investment losses if their plan does not qualify as a 404(c) plan, even if such losses are due to the participant’s investment decisions. Consequently, while ERISA does not explicitly require an ERISA plan to offer educational programs to plan participants, it is in the best interests of both the plan and the plan’s fiduciary to do so. 

As long as the programs provides objective and meaningful information, including correlation of returns and R-squared information for each of the available investment alternatives, the educational program provides participants with the potential for better investment results, which in turn provides plan sponsors and fiduciaries with better protection against potential liability exposure.

As Reish accurately pointed out in his testimony, the “care, skill, prudence, diligence” requirements of Section 404(a) could be reasonably interpreted to require such educational programs to ensure that participants understand the information provided to them by the plan and how to effectively use such information in managing their investment accounts.38 Such an interpretation would be both consistent with and in furtherance of ERISA’s purposes and goals. 

If a plan does decide to offer investment education to its participants, the plan must take steps to ensure that such programs offer meaningful and objective instruction.  Failure to do so may simply legally nullify the plan’s educational efforts at compliance with ERISA’s requirements. 

My personal experience as both an attorney and a compliance consultant has been that most ERISA educational attempts fall far short of complying with the applicable ERISA requirements.  Most ERISA educational programs that I have reviewed involve a series of meaningless multi-color pie charts depicting model portfolios that typically do not more than provide allocation recommendations for various highly correlated, equity based mutual funds, effectively providing no downside protection for the plan participants. 

As Appendix “A” illustrates, looks can be deceiving, as what passes the “visual” diversification test often falls far short of the required “effective” diversification test.  Unfortunately, far too many times both plan fiduciaries and plan participants mistake the two and suffer the consequences.  And people wonder why so many 401(k) participants suffered devastating losses in the 2000-2002 and 2008 bear markets. (Note-The statute of limitations may not have run on 2008 losses.)

Another issue with current ERISA educational programs has to do with the parties providing such services.  ERISA fiduciaries are legally responsible for the selection and ongoing review of those providing educational programs to plan participants.  In most cases, ERISA educational programs are provided by service providers.  This creates an inherent conflict of interest issue.39   Service providers are not going to agree to provide plan participants with information that is potentially adverse to the plan provider’s interests. 

The two pieces of investment information that I am suggesting need to be disclosed to participants to satisfy the “informed decisions” requirement of Section 404(c), correlation of returns and R-squared, could expose problems and conflict of interest issues within the service provider’s program.  As previously discussed, most pre-packaged 401(k) plans are simply a collection of highly correlated equity mutual funds with high R-squared scores, leaving plan fiduciaries with unnecessary and unwanted liability exposure and plan participants without the broad range of meaningful, cost-effective investment options required under ERISA. 

An objection often heard with regard to providing plan participants with correlation of return and R-squared data is that participants will not understand the data or how to use it.  Such objections are disingenuous at best, as they go more to the effectiveness of presenting such information and the need for meaningful education rather than the usefulness of such information.  

The suggestion that plan participants can effectively manage their ERISA retirement accounts with only annual return and standard deviation data suggests a return to the antiquated, pre-MPT concept of portfolio construction and totally ignores the designation of MPT by both the Department of Labor and the court as the applicable standard of prudence for ERISA fiduciaries, leaving both plan participants and plan fiduciaries at an unnecessary disadvantage.  

Conclusion
In his 2006 testimony, Reish stated that in order for 404(c) plans to work, plans must be required to offer prudent investment options and participants to be provided with meaningful information about such investments.40 Unfortunately, those goals have not been completely met.

The bad news is that 404(c) plans still do not work, still do not provide either the plan participants or the plan fiduciaries with the desired benefits and protections. The good news is that 404(c) programs can be “fixed” by requiring that certain types of meaningful information must be provided and by recognizing the impact of inherent conflicts of interests that often exist within current informational and educational systems, conflicts of interest that prevent the disclosure of much-needed and material information to both plan fiduciaries and plan participants.

Requiring that plan participants receive a fund’s prospectus is virtually meaningless, as studies have consistently shown that investors either do not read mutual fund prospectuses or do not understand them.  Asking plan participants to construct effective investment portfolios based only on annual returns and standard deviation calculations is antiquated and short-sighted, as it completely ignores the proven benefits of using MPT and the acceptance of same by both the courts and the Department of Labor. 

ERISA recognizes that the keys to successful investing include effectively diversifying one’s investment portfolio to reduce to reduce the chance of large losses and controlling a portfolio’s costs.  The current standards under both ERISA and the applicable regulations do not ensure that plan participants receive all of the information that they need to achieve these goals, leaving both the plan participants and the plan fiduciaries exposed to unnecessary risk. 

Simply put, without correlation of returns information and R-squared scores for the investment alternatives within a plan, plans cannot meet the “informed decisions” standard required under ERISA Section 404(c).  Said  information is not only more meaningful than other information currently required under ERISA and the applicable regulations, but also should not be a burden for plan fiduciaries to provide since it is information that ERISA fiduciaries need to fulfill their duties of prudence and loyalty.  More importantly, by providing the called for information to participants, the purposes and goals of ERISA are furthered, both for plan participants and plan fiduciaries.  

© Copyright 2012 InvestSense, LLC. All rights reserved. 

This article is for informational purposes only, and is not designed or intended to provide legal, investment, or other professional advice since such advice always requires consideration of individual circumstances.  If legal, investment, or other professional assistance is needed, the services of an attorney or other professional advisor should be sought.

Notes 

1. Available online at http://www.drinkerbiddle.com/publications/ Detail.aspx?pub=2592 (“Reish”)
2. 29 U.S.C. § 1001(b); In re Unisys Sav. Plan Litigation, 74 F.3d 420, 442 (3d Cir. 1996)
3. 29 U.S.C. §§ 1104(a)(1)(A), (B) and (C)
4. Harris Trust and Sav. Bank v. Salomon Smith Barney, 530 U.S. 238, 250 (2007); Jenkins v. Yager, 444 F.3d 916, 924 (7th Cir. 2006); S. Rep. 127, 93d Cong., 2d Sess. (1974), reprinted in 1974 U.S. Code Cong. & Admin. New 4838, 4865.
5. Restatement Third, Trusts, § 78. Copyright © 2007 by The American Law Institute. Reprinted with permission. All rights reserved.
6. Restatement Third, Trusts, § 79. Copyright © 2007 by The American Law Institute. Reprinted with permission. All rights reserved.
7. Restatement Third, Trusts, § 90. Copyright © 2007 by The American Law Institute. Reprinted with permission. All rights reserved.
8. Harry M. Markowitz, “Portfolio Selection,” Journal of Investing, March 1952, 89; Harry M. Markowitz, Portfolio Selection, (Cambridge, MA:Basil Blackwood & Sons, Inc., 1991)
9. 29 C.F.R. § 2550-404a-1; Department of Labor Interpretive Bulletin 96-1; Tittle v. Enron Corp., 284 F. Supp.2d 511, 547-48 (S.D. Tex. 2003)(“Enron”); DiFelice v. U.S Airways, 497 F.3d 410, 423 (4th Cir. 2007). 
10. DiFelice, at 423.
11. Fink v. National Sav. and Trust, 772 F.2d 951, 957 (D.C. Cir. 1985).
12. Howard v. Shay, 100 F.3d 1484, 1488 (4th Cir. 1996) 
13. Donovan v. Cunningham, 716 F.2d 1455, 1467 (5th Cir. 1983)
14. 29 C.F.R. § 2550.404a-1(b)(1)(i); Fink, at 957.
15. In re Regions Morgan Keegan ERISA Litigation, 692 F.Supp.2d 944, 957 (W.D. Tenn. 2010) 
16. Katsaros v. Cody, 744 F. 2d 270, 279 (2d Cir. 1984); Donovan v. Bierwirth, 680 F.2d 263, 272-72 (2d Cir. 1982).  
17. Cunningham, at 1467.
18. 29 C.F.R. § 2550.408(b)(2)
19. Pension and Welfare Benefits Administration, “Study of 401(K) Plan Fees and Expenses,” available at http://www.dol.gov/ebsa/pdf/ 401krept.pdf.
20. Ross Miller, “Measuring the True Cost of Active Management by Mutual Funds,” Journal of Investment Management, Vol. 5 No.1, (2007), 29-49.
2
1. 29 C.F.R. § 2550.404c-1(a)(1)
22. 29 C.F.R. §§ 2550.404c-1(b)(1)(i), (ii)
23. 29 C.F.R. § 2550.404c-1(b)(2)(i)(B)
24. Unisys, at 442
25. Unisys, at 447; 29 C.F.R. § 2550.404c-1(b)(3)(i)(A), (B)(2), (B)(4) and (C) 
26. See e.g., In re AEP ERISA Litigation, 327 F.Supp.2d 812, 829 (S.D. Ohio 2004); Enron, at 576, 578-79.
27. 29 C.F.R. § 2550.404c-1(b)(2)
28. Unisys, at 447; 29 C.F.R. § 2550.404c-1(b)(3)(i)(B)(2). 
29. Enron, at 578-79; AEP, at 829. 
30. 29 C.F.R. § 2550.404a-1(b)(1)(ii)
31.  29 C.F.R. § 2550.404a-1(b)(2)(ii)(A)
32. Central States, Southeast and Southwest Areas Pension Fund v. Central Transport, Inc., 472 U.S. 559, 570 (1985).
33. Glaziers & Glassworkers v. v. Newbridge Securities, 93 F.3d 1171, 1180 (3d Cir. 1996).
34. Glaziers & Glassworkers, at 1180.
35. Bierwirth, at 272-73.
36. Reish, supra.
37. Laborers Nat’l Pension v. Northern Trust Advisors, 173 F.3d 313, 317 (5th Cir. 1999). 
38. Reish, supra.
39. Hughes v. S.E.C., 174 F.2d 969, 975 (D.C. Cir. 1949)
40. Reish, supra.

APPENDIX “A”

Bond Idx Int’l Idx LCG Idx LCV Idx SCG Idx SCV Idx
Bond Idx 1.00 0.04 0.09 0.02 0.14 0.06
Int’l Idx 0.04 1.00 0.87 0.90 0.83 0.81
LCG Idx 0.09 0.87 1.00 0.92 0.91 0.83
LCV Idx 0.02 0.90 0.92 1.00 0.88 0.91
SCG Idx 0.14 0.83 0.91 0.88 1.00 0.94
SCV Idx 0.06 0.81 0.83 0.91 0.94 1.00

Bond Idx – Diversified Bond Index
Int’l Idx – Diversified International Index
LCG Idx – Large Cap Growth Index
LCV Idx – Large Cap Value Index
SCG Idx – Large Cap Growth Index
SCV Idx – Small Cap Value Index

Black numbers represent positive correlation
Red numbers represent negative correlation

Data reflects period December 31, 2001 through December 31, 2011