This spreadsheet supports STUDENT analysis of the case Liquidity, Mutual Fund Flows, and ReFlow Management, LLC

(UVA-F-1600).

This spreadsheet was prepared by Assistant Professor Richard Evans. Copyright 2012 by the University of Virginia Darden School Foundation, Charlottesville, VA. All rights reserved. For
customer service inquiries, send an e-mail tosales@dardenbusinesspublishing.com. No part of this publication may be reproduced, stored in a retrieval system, posted to the Internet, or
transmitted in any form or by any meanselectronic, mechanical, photocopying, recording, or otherwisewithout the permission of the Darden School Foundation.
May 14, 2012

This table reports descriptive statistics of sample funds' annual trading volume, per-unit trade costs, and annual trading
purchases and sales of equity securities calculated from quarterly holdings data) scaled by TNA. The next four columns r
commissions, bid-ask spreads, and price impact (estimated on a stock-by-stock basis using N-SAR commisions data and T
presented as a fraction of dollars traded. The sixth column reports annual fund trading costs calculated as the dot product o
each trade, scaled by TNA. The eigth column reports expense ratio. The table reports means for the entire sample (All) a
sample: by the market-capitalization of stock (Large-cap Stks, Mid-cap Stks, Small-cap Stks) traded by the fund, by the book
fund and by the size of the fund itself (Large TNA and Small TNA). The market-capitalization and book-to-market categories f
designations as used by Morningstar. The Large TNA and Small TNA categories represent a split of the sample by median fun

Per-Unit Trading Costs

Brokerage

Bid-Ask

Commissions

+ Spread +

Price Impact=

All Funds

0.13%

0.13%

0.49%

0.76%

Large-cap Funds
Mid-cap Funds
Small-cap Funds

0.11%
0.13%
0.16%

0.07%
0.14%
0.28%

0.26%
0.56%
1.03%

0.45%
0.84%
1.46%

Value Funds
Blend Funds
Growth Funds

0.13%
0.12%
0.13%

0.12%
0.11%
0.15%

0.50%
0.41%
0.55%

0.74%
0.66%
0.84%

Large TNA Funds

Small TNA Funds

0.11%
0.13%

0.10%
0.14%

0.65%
0.46%

0.86%
0.73%

Large Relative Trade Size

Small Relative Trade Size

0.12%
0.13%

0.13%
0.13%

0.68%
0.30%

0.94%
0.56%

Fund Group:

Per-Unit Cost

costs, and annual trading costs. The first column reports annual trading volume (total
A. The next four columns report three components of per-unit trading costs: brokerage
AR commisions data and TAQ transactions data), and total per-unit trading costs each
ulated as the dot product of all trades made during the quareter with the per-unit cost of
or the entire sample (All) and then repeats the analysis for three separate splits of the
ed by the fund, by the book-to-market of the stocks (Value, Blend, Growth) traded by the
book-to-market categories for each fund are given in the holdings data and are the same
f the sample by median fund size.

Trading
Volume

Annual Trading Costs

Volume*Per-Unit Costs

Fund
Expense Ratio

Mean

Mean

Mean

181%

1.44%

1.21%

159%
212%
207%

0.77%
1.73%
2.85%

1.12%
1.30%
1.34%

163%
144%
215%

1.21%
1.04%
1.84%

1.14%
1.07%
1.33%

147%
188%

1.44%
1.44%

0.94%
1.27%

195%
165%

1.89%
0.96%

1.21%
1.20%

United States Mutual Funds | Release Date 11/02/2016 | 4 of 18

Date
Jan-00
Feb-00
Mar-00
Apr-00
May-00
Jun-00
Jul-00
Aug-00
Sep-00
Oct-00
Nov-00
Dec-00
Jan-01
Feb-01
Mar-01
Apr-01
May-01
Jun-01
Jul-01
Aug-01
Sep-01
Oct-01
Nov-01
Dec-01
Jan-02
Feb-02
Mar-02
Apr-02
May-02
Jun-02
Jul-02
Aug-02
Sep-02
Oct-02
Nov-02
Dec-02
Jan-03

Fund Sales
$
% of TNA
$668,000
$968,000
1.22%
$1,855,000
2.26%
$940,000
1.17%
$506,000
0.68%
$734,000
1.05%
$463,000
0.66%
$358,000
0.54%

Fund Redemptions
$
% of TNA
-$7,211,000
-$4,312,000
-5.42%
-$4,889,000
-5.96%
-$3,740,000
-4.66%
-$2,143,000
-2.89%
-$1,977,000
-2.83%
-$2,910,000
-4.15%
-$3,488,000
-5.30%

$303,000
$221,000

0.46%
0.35%

-$2,945,000
-$5,770,000

-4.48%
-9.09%

$171,000
$229,000

0.34%
0.49%

-$2,760,000
-$3,201,000

-5.44%
-6.90%

$998,000
$1,208,000
$1,711,000
$442,000
$748,000
$327,000
$314,000
$843,000
$248,000
$1,020,000
$3,054,000
$6,524,000
$8,613,000
$2,297,000
$8,182,000
$8,037,000
$6,269,000
$1,279,000
$710,000
$229,000
$228,000
$336,000
$647,000
$4,969,000
$7,797,000

2.25%
2.60%
3.73%
1.00%
1.67%
0.69%
0.67%
1.77%
0.51%
2.31%
6.50%
12.45%
14.34%
3.43%
12.55%
10.40%
7.39%
1.47%
0.90%
0.38%
0.41%
0.67%
1.28%
9.10%
13.52%

-$2,012,000
-$3,127,000
-$2,586,000
-$1,287,000
-$781,000
-$940,000
-$571,000
-$440,000
-$826,000
-$396,000
-$1,163,000
-$2,018,000
-$1,813,000
-$4,271,000
-$1,415,000
-$1,439,000
-$1,952,000
-$6,789,000
-$10,278,000
-$4,951,000
-$1,817,000
-$2,248,000
-$986,000
-$772,000
-$4,410,000

-4.54%
-6.74%
-5.63%
-2.93%
-1.75%
-2.00%
-1.21%
-0.92%
-1.70%
-0.90%
-2.48%
-3.85%
-3.02%
-6.38%
-2.17%
-1.86%
-2.30%
-7.78%
-13.00%
-8.27%
-3.27%
-4.48%
-1.95%
-1.41%
-7.65%

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 5 of 18

Feb-03
Mar-03
Apr-03
May-03
Jun-03
Jul-03
Aug-03
Sep-03
Oct-03
Nov-03
Dec-03
Jan-04
Feb-04
Mar-04
Apr-04
May-04
Jun-04
Jul-04
Aug-04
Sep-04
Oct-04
Nov-04
Dec-04
Jan-05
Feb-05
Mar-05
Apr-05
May-05
Jun-05
Jul-05
Aug-05
Sep-05
Oct-05
Nov-05
Dec-05
Jan-06
Feb-06
Mar-06
Apr-06
May-06
Jun-06
Jul-06

$297,000
$306,000
$2,689,000
$8,193,000
$37,352,000
$19,507,000
$36,272,000
$15,979,000
$7,584,000
$12,141,000
$34,282,000
$50,702,000
$40,281,000
$68,685,000
$45,580,000
$33,609,000
$23,070,000
$18,968,000
$20,623,000
$20,747,000
$23,712,000
$44,253,000
$34,382,000
$22,963,000
$17,305,000
$15,885,000
$16,646,000
$8,370,000
$8,712,000
$6,932,000
$5,926,000
$4,665,000
$3,396,000
$3,508,000
$3,215,000
$4,908,000
$7,727,000
$5,817,000
$3,410,000
$5,663,000
$2,563,000
$1,716,000

0.50%
0.55%
5.05%
14.55%
53.59%
19.05%
32.83%
11.33%
5.17%
7.46%
19.17%
23.15%
15.01%
22.13%
12.94%
9.34%
6.59%
5.20%
6.12%
6.21%
6.72%
11.91%
8.41%
5.51%
4.37%
4.17%
4.68%
2.63%
2.78%
2.17%
1.85%
1.54%
1.13%
1.26%
1.16%
1.78%
2.68%
2.14%
1.27%
2.08%
1.02%
0.71%

-$1,717,000
-$3,170,000
-$5,072,000
-$1,063,000
-$5,218,000
-$18,088,000
-$9,075,000
-$8,281,000
-$4,832,000
-$3,163,000
-$7,289,000
-$10,923,000
-$8,065,000
-$26,489,000
-$22,976,000
-$41,540,000
-$23,279,000
-$31,375,000
-$25,856,000
-$13,420,000
-$8,859,000
-$18,786,000
-$43,594,000
-$30,414,000
-$35,242,000
-$33,612,000
-$24,423,000
-$29,072,000
-$15,128,000
-$19,388,000
-$18,109,000
-$15,056,000
-$12,272,000
-$11,176,000
-$11,758,000
-$13,112,000
-$19,947,000
-$9,303,000
-$7,622,000
-$10,089,000
-$7,143,000
-$7,005,000

-2.91%
-5.70%
-9.52%
-1.89%
-7.49%
-17.66%
-8.21%
-5.87%
-3.29%
-1.94%
-4.08%
-4.99%
-3.01%
-8.53%
-6.52%
-11.54%
-6.65%
-8.60%
-7.67%
-4.02%
-2.51%
-5.06%
-10.67%
-7.30%
-8.91%
-8.81%
-6.87%
-9.14%
-4.83%
-6.06%
-5.66%
-4.96%
-4.08%
-4.00%
-4.24%
-4.76%
-6.92%
-3.43%
-2.83%
-3.71%
-2.83%
-2.90%

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 6 of 18

Aug-06
Sep-06
Oct-06
Nov-06
Dec-06
Jan-07
Feb-07
Mar-07
Apr-07
May-07
Jun-07
Jul-07
Aug-07
Sep-07
Oct-07
Nov-07
Dec-07
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08

$1,785,000
$1,638,000
$2,085,000
$5,006,000
$2,462,000
$2,846,000
$5,113,000
$11,735,000
$11,222,000
$7,313,000
$9,467,000
$8,744,000
$4,414,000
$12,805,000
$4,494,000
$3,238,000
$3,464,000
$4,049,000
$2,927,000
$20,186,000
$61,701,000
$72,866,000
$87,056,000
$57,268,000
$220,114,000
$170,047,000
$114,971,000
$53,989,000
$91,253,000

0.76%
0.72%
0.93%
2.15%
1.02%
1.19%
2.09%
4.75%
4.33%
2.69%
3.40%
3.08%
1.64%
4.70%
1.64%
1.19%
1.39%
1.70%
1.36%
9.08%
25.03%
23.06%
22.00%
12.56%
43.84%
23.36%
14.30%
7.97%
14.56%

-$10,327,000
-$8,010,000
-$7,257,000
-$5,432,000
-$5,484,000
-$8,471,000
-$5,386,000
-$4,775,000
-$5,177,000
-$8,715,000
-$6,257,000
-$6,261,000
-$7,413,000
-$3,619,000
-$16,262,000
-$11,379,000
-$12,605,000
-$11,370,000
-$4,835,000
-$5,194,000
-$5,076,000
-$12,841,000
-$11,473,000
-$14,778,000
-$11,657,000
-$43,375,000
-$111,381,000
-$39,981,000
-$26,801,000

-4.42%
-3.50%
-3.24%
-2.33%
-2.26%
-3.53%
-2.21%
-1.93%
-2.00%
-3.20%
-2.24%
-2.21%
-2.76%
-1.33%
-5.92%
-4.18%
-5.07%
-4.76%
-2.25%
-2.34%
-2.06%
-4.06%
-2.90%
-3.24%
-2.32%
-5.96%
-13.85%
-5.90%
-4.28%

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 7 of 18

Trading cost to accommodate fund flows

$26,172.00
$13,376.00
$12,136.00
$11,200.00
$6,548.00
$4,972.00
$9,788.00
$12,520.00
$10,568.00
$22,196.00
$10,356.00
$11,888.00
$4,056.00
$7,676.00
$3,500.00
$3,380.00
$132.00
$2,452.00
$1,028.00
$1,612.00
$2,312.00
$2,496.00
$7,564.00
$18,024.00
$27,200.00
$7,896.00
$27,068.00
$26,392.00
$17,268.00
$22,040.00
$38,272.00
$18,888.00
$6,356.00
$7,648.00
$1,356.00
$16,788.00
$13,548.00

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 8 of 18

$5,680.00
$11,456.00
$9,532.00
$28,520.00
$128,536.00
$5,676.00
$108,788.00
$30,792.00
$11,008.00
$35,912.00
$107,972.00
$159,116.00
$128,864.00
$168,784.00
$90,416.00
$31,724.00
$836.00
$49,628.00
$20,932.00
$29,308.00
$59,412.00
$101,868.00
$36,848.00
$29,804.00
$71,748.00
$70,908.00
$31,108.00
$82,808.00
$25,664.00
$49,824.00
$48,732.00
$41,564.00
$35,504.00
$30,672.00
$34,172.00
$32,816.00
$48,880.00
$13,944.00
$16,848.00
$17,704.00
$18,320.00
$21,156.00

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 9 of 18

$34,168.00
$25,488.00
$20,688.00
$1,704.00
$12,088.00
$22,500.00
$1,092.00
$27,840.00
$24,180.00
$5,608.00
$12,840.00
$9,932.00
$11,996.00
$36,744.00
$47,072.00
$32,564.00
$36,564.00
$29,284.00
$7,632.00
$59,968.00
$226,500.00
$240,100.00
$302,332.00
$169,960.00
$833,828.00
$506,688.00
$14,360.00
$56,032.00
$257,808.00

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 10 of 18

Average monthly redemption April to Dec 2008

Reflow fee assumed

(30,818,111.11)

0.20%

Average monthly trading cost

$51,740.89

Average monthly trading cost(leaving out Jan 04 to May 05 and April to Dec 08) Optimistic view of market

$22,149.95

Average monthly redemption(leaving out Jan 04 to May 05 and April to Dec 08) Optimistic view of market

(6,133,402.44)

$
$
$

30,818,111.11
61,636.22
(172,273.24)

$
$

6,133,402.44
46,552.52

Excess fee wasted

15,083.70

Scenario 2: Don't use services

Pessimistic
Fund redemptions
Trading cost to meet fund flows

$
$

30,818,111.11
233,909.46

Optimistic
Fund redemptions
Trading cost to meet fund flows

$
$

6,133,402.44
46,552.52

Scenario 1: Use services of reflow based on April to Dec 2008 fund flows
Optimistic
Monthly Sale to Reflow
Monthly fee for Reflow
Excess fee wasted
Pessimistic
Actual monthly redemption
Trading cost to meet fund flows

Recommendation
Use of ReFlow in the short run, but not in the long run

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 11 of 18

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 12 of 18

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 13 of 18

Trading cost to accommodate fund flows

$900,000.00
$800,000.00
$700,000.00
$600,000.00
$500,000.00
$400,000.00
$300,000.00
$200,000.00
$100,000.00
$0.00

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 14 of 18

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 15 of 18

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 16 of 18

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 17 of 18

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.

United States Mutual Funds | Release Date 11/02/2016 | 18 of 18

2009 Morningstar.All Rights Reserved. All Data and information is gathered from accurate sources but is not warranted to be correct, complete, or accurate.