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Finance and Economics Discussion Series: 2009-06 Screen Reader version

The Economics of the Mutual Fund Trading Scandal

Patrick McCabe
December 9, 2008
Board of Governors of the Federal Reserve System


Figure 1. Distributions
A. Relative returns
September 2000 - August 2003
Annual risk-adjusted excess return (percent)Frequency: AllFrequency: AbusedFrequency: Tainted
-251.90.50.2
-242.70.70.1
-234.10.80.1
-224.80.90.5
-216.31.31.1
-207.51.21.7
-198.80.71.3
-1811.70.61.3
-1715.211.4
-1620.71.72.6
-1525.62.13
-1430.92.73.9
-13363.15.4
-1243.547.2
-1150.24.58.2
-1057.54.47.7
-970.8510.8
-883.54.614.3
-7103.15.420.5
-6127.26.324.1
-5162.5731.1
-4190.47.532.4
-3244.27.740.5
-2359.68.166.3
-15048.4102.1
0618.87.4132.5
14936.995.2
2331.15.659.7
3203.85.431.2
4149.5319.7
5123.6213
6106.51.410.3
795.71.210.5
888.2111.5
9840.810.3
1071.80.67.8
1163.10.85.6
1256.915.3
1356.21.15.5
1453.21.15.8
1548.60.56.7
1641.10.26.2
1733.205
1829.803.5
1926.304
2021.503.6
2115.102.5
2211.201.7
238.40.11.1
246.50.20.9
255.60.51.2
Return to Figure 1


Figure 1. Distributions
A. Relative returns
January 2004 - December 2006
Annual risk-adjusted excess return (percent)Frequency: AllFrequency: AbusedFrequency: Tainted
-25000
-24000
-23000
-22000
-21000
-20000
-19000
-18000
-170.100
-160.400
-151.100
-142.200
-133.90.10
-126.10.20.1
-118.80.50.3
-1012.60.60.9
-919.311.7
-833.21.53.3
-752.31.85.7
-689.82.710.6
-5144.73.618.5
-4229.65.332.7
-3380.57.856.3
-2601.612.6100.1
-183017.6146
0887.421.5167.2
1657.716.5120.8
2428.210.974.1
3251.15.737.3
41563.520.1
589.42.910.1
646.52.15.9
722.21.43.3
811.50.82.7
96.60.31.2
103.60.10.8
112.500.2
121.800.1
13200
140.900
150.400
16000
17000
18000
19000
20000
21000
22000
23000
24000
25000
Return to Figure 1


Figure 1. Distributions
B. Alphas based on category-performance risk factors
September 2000 - August 2003
Annual risk-adjusted excess return (percent)Frequency: AllFrequency: AbusedFrequency: Tainted
-250.500
-240.900
-231.400
-2220.10
-213.20.40.1
-203.80.80.2
-196.110.6
-186.40.60.7
-177.40.51.1
-168.50.61.1
-1511.10.81.3
-1414.812.6
-1318.92.13.3
-1225.33.34.4
-1130.74.53.8
-1038.84.75
-947.64.36.5
-864.14.79.2
-782.34.213.5
-6108.85.119.4
-5142.26.425.7
-4185.59.333.8
-3268.612.447
-2421.611.678.9
-1592.112.6114.8
0726.311.7151.8
1579.39.3110.8
2396.5568.4
3242.32.632.1
4166.91.419.4
5136.21.413.9
61161.612.4
71041.611.4
8871.39.8
973.51.38.8
1060.41.37.1
1152.51.55.8
1243.60.74.8
1337.10.34
1429.90.13.2
1520.90.22.6
1614.10.42
1710.20.21.9
1810.50.11.8
199.601.1
207.901.1
215.801.1
224.601.3
234.300.9
242.500.4
252.200.1
Return to Figure 1


Figure 1. Distributions
B. Alphas based on category-performance risk factors
January 2004 - December 2006
Annual risk-adjusted excess return (percent)Frequency: AllFrequency: AbusedFrequency: Tainted
-250.200
-240.100
-23000
-22000
-21000
-20000
-190.200
-180.400
-171.400
-161.700
-153.40.10.1
-143.70.20.2
-136.50.40.6
-129.70.30.7
-1114.40.51.3
-1018.611.5
-925.51.62.3
-837.42.13.8
-759.62.66.2
-691.33.810.7
-5130.44.916.2
-4200.16.528.4
-3350.48.453
-2606.912.399.7
-1870.918.5150
0927.420.9168.7
1675.916.9123.8
2417.51071.1
3229.55.437
4135.12.418.8
581.91.512.4
643.60.56.3
721.10.23.9
89.401.6
93.600.6
10200.2
11100.2
121.300.4
131.100.2
14100.1
150.700
160.300
170.100
18000
19000
20000
21000
22000
23000
24000
25000
Return to Figure 1


Figure 1. Distributions
C. Alphas based on market risk factors
September 2000 - August 2003
Annual risk-adjusted excess return (percent)Frequency: AllFrequency: AbusedFrequency: Tainted
-250.800
-240.400
-230.500
-220.800
-2120.20
-2020.40.1
-193.710.2
-184.70.80.6
-176.510.7
-167.10.51.4
-159.20.41.6
-1412.50.72.3
-1315.51.12.7
-1220.42.13.4
-1127.42.44.5
-1035.62.54.7
-9422.96.3
-851.84.67.7
-766.76.311.2
-678.98.215.2
-591.47.420.2
-4107.57.724.3
-3126.97.427.1
-2150.4730.2
-1210.36.838.1
03317.162
1468.78.891
2603.69.9120.2
3541.9898.7
44877.280
5364.75.154.9
6262.54.434
71873.421.1
8144.72.614.9
9122.91.414.5
10104.31.213.8
11890.711.5
1271.80.89.6
13530.67.3
1437.20.35.6
1524.40.13.6
1618.102.3
1712.201.3
189.300.8
198.100.4
206.700.3
214.700.4
223.300.2
232.300.1
241.400
250.800
Return to Figure 1


Figure 1. Distributions
C. Alphas based on market risk factors
January 2004 - December 2006
Annual risk-adjusted excess return (percent)Frequency: AllFrequency: AbusedFrequency: Tainted
-250.200
-240.100
-23000
-22000
-210.200
-200.400
-190.800
-180.400
-170.200
-160.20.10
-150.40.20
-1410.40
-131.10.20
-121.80.10
-112.200
-102.900.1
-9400.3
-86.70.10.8
-79.20.21.3
-614.70.41.9
-524.70.72.6
-441.51.63.9
-37138.1
-2155.23.723.5
-13364.658.8
0618.69.3113.2
1841.815.8154.1
2836.520.4144.8
3652.119.6103.1
4452.714.367.8
5300.910.245.5
6204730.7
7136520.2
886.62.512.5
9521.28.6
10300.35.9
1118.40.13.9
1211.702.1
138.801.2
146.400.7
155.800.3
165.600.3
177.500.5
186.801
196.500.8
204.600.4
214.100.1
223.400
232.800
24200.1
251.800.2
Return to Figure 1


Figure 1. Distributions
D. Alphas based on category-performance and Nasdaq risk factors
September 2000 - August 2003
Annual risk-adjusted excess return (percent)Frequency: AllFrequency: AbusedFrequency: Tainted
-250.600
-241.100
-231.400
-221.400
-211.50.10.1
-202.50.40.2
-194.80.80.4
-186.21.10.4
-178.50.90.6
-1610.511.3
-1512.811.7
-1414.30.62.5
-1317.913
-1222.523.5
-1129.64.34.6
-1038.55.15.4
-947.96.37.7
-863.65.410
-783.35.315.6
-6113.55.521.9
-5149.46.229.1
-41948.633.8
-3274.810.543.8
-2421.212.172.7
-1583.512.1108.5
0714.511.4147.7
1569.39.9111.4
2391.15.670.9
3246.13.736
4181.91.622.5
5149.11.716
6127.90.913.3
7105.81.112.4
890.3110.7
975.61.29.4
1063.40.87.5
1149.60.95.2
1239.50.84.1
1329.80.83.3
1422.70.52.7
1516.60.52.4
1612.20.22.2
17110.11.6
188.501.1
198.401
206.201.6
214.700.8
22300.4
232.100
241.400
251.600
Return to Figure 1


Figure 1. Distributions
D. Alphas based on category-performance and Nasdaq risk factors
January 2004 - December 2006
Annual risk-adjusted excess return (percent)Frequency: AllFrequency: AbusedFrequency: Tainted
-250.200
-240.100
-23000
-22000
-21000
-20000
-190.100
-180.200
-170.600
-160.900
-152.100
-143.60.10.1
-135.60.20.3
-127.30.40.7
-1110.10.30.9
-1014.70.41.3
-924.10.71.9
-834.81.13.3
-7511.55.2
-675.52.58
-5109.33.614.1
-4176.25.722.9
-3316.18.648.2
-2577.912.595.6
-186718.3150.5
0995.221.4181
1744.118.4130.9
2461.212.478.5
3231.9735.7
41243.518.3
569.61.49.8
637.10.75.7
720.60.23.9
89.70.11.6
95.100.6
102.900.1
112.100.2
121.500.4
131.200.2
140.500.1
150.300
160.200
170.400
180.200
190.100
20000
21000
22000
23000
24000
25000
Return to Figure 1


Figure 2.A. Relative Performance
Deviations from Industry Averages
Abused funds: Relative returns
Years Ending AugustPercentage points, annual rates: Parameter estimatePercentage points, annual rates: Lower bound of 95-percent confidence intervalPercentage points, annual rates: Upper bound of 95-percent confidence interval
19961.759551.075842.4433
1997-0.08357-0.88370.7166
19981.31140.41022.2126
19991.96840.85923.0776
20004.436742.628256.2452
2001-7.00217-8.60078-5.4036
2002-4.0217-5.10845-2.935
2003-0.37375-1.253790.5063
2004-1.7052-2.33853-1.0719
20050.29482-0.277020.8667
20060.04808-0.589950.6861
20071.145790.57481.7168
Return to Figure 2A


Figure 2.A. Relative Performance
Deviations from Industry Averages
Tainted funds: Relative returns
Years Ending AugustPercentage points, annual rates: Parameter estimatePercentage points, annual rates: Lower bound of 95-percent confidence intervalPercentage points, annual rates: Upper bound of 95-percent confidence interval
1996-0.05354-0.335280.22821
1997-0.08078-0.41290.25135
19980.808370.435391.18135
19990.32044-0.132420.77331
20001.166070.424341.90779
2001-1.4743-2.13424-0.81436
2002-0.40626-0.856990.04448
2003-0.21389-0.58370.15592
2004-0.18672-0.451460.07802
20050.0114-0.221810.24461
2006-0.01867-0.270390.23306
20070.03584-0.187420.25909
Return to Figure 2A


Figure 2.A. Relative Performance
Deviations from Industry Averages
Abused funds: Alphas based on category-performance risk factors
Years Ending AugustPercentage points, annual rates: Parameter estimatePercentage points, annual rates: Lower bound of 95-percent confidence intervalPercentage points, annual rates: Upper bound of 95-percent confidence interval
19961.076110.339561.81265
1997-1.67124-2.70608-0.6364
19981.19732-0.05742.45204
19990.49691-0.73021.72402
20002.023470.596913.45003
2001-4.53686-6.37318-2.70055
2002-1.76584-2.87903-0.65264
2003-1.56691-2.51866-0.61517
2004-1.5257-2.34181-0.70959
20050.00641-0.722740.73556
20060.19955-0.442330.84142
20070.06598-0.669490.80145
Return to Figure 2A


Figure 2.A. Relative Performance
Deviations from Industry Averages
Tainted funds: Alphas based on category-performance risk factors
Years Ending AugustPercentage points, annual rates: Parameter estimatePercentage points, annual rates: Lower bound of 95-percent confidence intervalPercentage points, annual rates: Upper bound of 95-percent confidence interval
19960.11325-0.189630.41613
1997-0.3796-0.809130.04993
19980.76360.244111.28308
19990.09401-0.41610.60412
20000.37829-0.217230.9738
2001-0.3384-1.108520.43172
2002-0.32864-0.798310.14102
2003-0.25197-0.651150.14721
2004-0.17829-0.526660.17007
20050.437860.132010.74371
20060.09873-0.156540.354
20070.431490.143230.71976
Return to Figure 2A


Figure 2.B. Relative Performance
Deviations from Industry Averages
Abused funds: Alphas based on market-risk factors
Years Ending AugustPercentage points, annual rates: Parameter estimatePercentage points, annual rates: Lower bound of 95-percent confidence intervalPercentage points, annual rates: Upper bound of 95-percent confidence interval
19962.973461.932294.01462
1997-2.01513-3.35522-0.67503
19981.06763-0.970983.10624
1999-0.12725-1.91591.6614
20005.489773.430257.54929
2001-3.74375-5.42127-2.06623
2002-2.61531-4.12239-1.10823
2003-3.0503-4.17857-1.92203
2004-1.43467-2.43542-0.43393
20050.92012-0.056261.8965
20061.518080.631232.40494
20071.721680.670852.77251
Return to Figure 2B


Figure 2.B. Relative Performance
Deviations from Industry Averages
Tainted funds: Alphas based on market-risk factors
Years Ending AugustPercentage points, annual rates: Parameter estimatePercentage points, annual rates: Lower bound of 95-percent confidence intervalPercentage points, annual rates: Upper bound of 95-percent confidence interval
1996-0.18907-0.617210.23908
1997-0.68389-1.24013-0.12766
19980.3884-0.455641.23244
1999-0.45746-1.201010.28608
2000-0.51634-1.376090.34341
2001-0.10456-0.808090.59896
2002-0.73314-1.36899-0.09729
2003-0.25935-0.732570.21387
2004-0.15983-0.587010.26735
20050.04216-0.367390.45172
2006-0.07055-0.423250.28215
2007-0.49397-0.90584-0.0821
Return to Figure 2B


Figure 2.B. Relative Performance
Deviations from Industry Averages
Abused funds: Alphas based on category-performance and Nasdaq risk factors
Years Ending AugustPercentage points, annual rates: Parameter estimatePercentage points, annual rates: Lower bound of 95-percent confidence intervalPercentage points, annual rates: Upper bound of 95-percent confidence interval
19961.227850.493161.96253
1997-1.70614-2.74134-0.67094
19981.13872-0.092982.37042
1999-0.37688-1.581680.82792
20002.306590.883033.73015
2001-3.47117-5.09991-1.84244
2002-1.79803-2.9089-0.68717
2003-2.17098-3.15586-1.1861
2004-1.04273-1.79333-0.29213
20050.05568-0.65510.76646
20060.52597-0.108291.16022
20070.55193-0.199781.30364
Return to Figure 2B


Figure 2.B. Relative Performance
Deviations from Industry Averages
Tainted funds: Alphas based on category-performance and Nasdaq risk factors
Years Ending AugustPercentage points, annual rates: Parameter estimatePercentage points, annual rates: Lower bound of 95-percent confidence intervalPercentage points, annual rates: Upper bound of 95-percent confidence interval
19960.18828-0.113840.4904
1997-0.24247-0.672150.18721
19980.744240.234291.2542
1999-0.16075-0.661590.34009
20000.38813-0.206130.9824
2001-0.02323-0.706290.65984
2002-0.28484-0.753520.18385
2003-0.44637-0.85945-0.03329
2004-0.18995-0.510350.13045
20050.399430.101280.69758
20060.03284-0.21940.28508
20070.390470.095840.6851
Return to Figure 2B


Figure 3. Discounted Cumulative Revenues and Costs
Trading arrangements last three years
Time horizon (years)Billions of dollars: Revenues: Based on penalties and dilutionBillions of dollars: Revenues: Based on disgorgementBillions of dollars: Costs: Mandated fee reductionsBillions of dollars: Costs: Official penaltiesBillions of dollars: Costs: Performance-related lossesBillions of dollars: Costs: Reputation-related outflows
0000000
0.0250.0160.044000.0010
0.050.0320.087000.0030
0.0750.0480.13000.0060
0.10.0640.172000.010
0.1250.0790.214000.0150
0.150.0950.256000.0210
0.1750.110.297000.0280
0.20.1250.338000.0360
0.2250.140.378000.0450
0.250.1550.419000.0550
0.2750.170.458000.0660
0.30.1850.498000.0770
0.3250.1990.537000.0890
0.350.2140.576000.1030
0.3750.2280.614000.1180
0.40.2420.652000.1340
0.4250.2560.69000.1510
0.450.270.727000.1690
0.4750.2840.764000.1870
0.50.2970.801000.2050
0.5250.3110.837000.2240
0.550.3240.873000.2430
0.5750.3370.909000.2620
0.60.350.944000.2820
0.6250.3630.979000.3020
0.650.3761.014000.3230
0.6750.3891.048000.3460
0.70.4021.082000.3690
0.7250.4141.116000.3920
0.750.4271.15000.4170
0.7750.4391.183000.4430
0.80.4511.216000.4710
0.8250.4631.248000.5010
0.850.4751.28000.5320
0.8750.4871.312000.5640
0.90.4991.344000.5970
0.9250.4991.344000.6320.001
0.9500000000000010.4991.344000.6670.01
0.9750000000000010.4991.344000.7020.023
10.4991.344000.7360.041
1.0250.4991.344000.7710.061
1.050.4991.344000.8050.084
1.0750.4991.3440.0121.7510.8390.109
1.10.4991.3440.0241.7510.8730.135
1.1250.4991.3440.0361.7510.9060.162
1.150.4991.3440.0471.7510.9390.191
1.1750.4991.3440.0591.7510.9720.221
1.20.4991.3440.071.7511.0040.252
1.2250.4991.3440.0811.7511.0370.284
1.250.4991.3440.0931.7511.070.317
1.2750.4991.3440.1041.7511.1020.353
1.30.4991.3440.1151.7511.1340.389
1.3250.4991.3440.1261.7511.1660.427
1.350.4991.3440.1361.7511.1970.466
1.3750.4991.3440.1471.7511.2290.506
1.40.4991.3440.1581.7511.260.547
1.4250.4991.3440.1681.7511.290.589
1.450.4991.3440.1791.7511.3210.632
1.4750.4991.3440.1891.7511.3510.675
1.50.4991.3440.1991.7511.3820.719
1.5250.4991.3440.2091.7511.4120.765
1.550.4991.3440.2191.7511.4420.813
1.5750.4991.3440.2291.7511.4720.862
1.60.4991.3440.2391.7511.5020.912
1.6250.4991.3440.2491.7511.5320.963
1.650.4991.3440.2591.7511.5611.014
1.6750.4991.3440.2681.7511.591.066
1.70.4991.3440.2781.7511.6191.119
1.7250.4991.3440.2871.7511.6471.172
1.750.4991.3440.2971.7511.6741.225
1.7750.4991.3440.3061.7511.7011.279
1.80.4991.3440.3151.7511.7291.335
1.8250.4991.3440.3241.7511.7551.391
1.850.4991.3440.3331.7511.7821.448
1.8750.4991.3440.3421.7511.8081.506
1.90.4991.3440.3511.7511.8341.563
1.9250.4991.3440.361.7511.8591.621
1.950.4991.3440.3681.7511.8851.679
1.9750.4991.3440.3771.7511.9091.738
20.4991.3440.3851.7511.9341.796
2.0250.4991.3440.3941.7511.9581.854
2.050.4991.3440.4021.7511.9821.913
2.0750.4991.3440.411.7512.0061.971
2.10.4991.3440.4191.7512.0292.03
2.1250.4991.3440.4271.7512.0532.088
2.150.4991.3440.4351.7512.0762.146
2.1750.4991.3440.4431.7512.0982.204
2.20.4991.3440.4511.7512.1212.262
2.2250.4991.3440.4591.7512.1432.32
2.250.4991.3440.4661.7512.1652.378
2.2750.4991.3440.4741.7512.1872.435
2.30.4991.3440.4821.7512.2082.493
2.3250.4991.3440.4891.7512.2292.55
2.350.4991.3440.4971.7512.2512.606
2.3750.4991.3440.5041.7512.2712.663
2.40.4991.3440.5121.7512.2922.719
2.4250.4991.3440.5191.7512.3132.775
2.450.4991.3440.5261.7512.3332.831
2.4750.4991.3440.5331.7512.3532.886
2.50.4991.3440.541.7512.3732.941
2.5250.4991.3440.5471.7512.3932.996
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19.250.4991.3440.5541.7514.6939.862
19.2750.4991.3440.5541.7514.6939.862
19.30.4991.3440.5541.7514.6939.863
19.3250.4991.3440.5541.7514.6939.863
19.350.4991.3440.5541.7514.6939.863
19.3750.4991.3440.5541.7514.6949.863
19.40.4991.3440.5541.7514.6949.863
19.4250.4991.3440.5541.7514.6949.864
19.450.4991.3440.5541.7514.6949.864
19.4750.4991.3440.5541.7514.6949.864
19.50.4991.3440.5541.7514.6949.864
19.5250.4991.3440.5541.7514.6949.865
19.550.4991.3440.5541.7514.6949.865
19.5750.4991.3440.5541.7514.6949.865
19.60.4991.3440.5541.7514.6949.865
19.6250.4991.3440.5541.7514.6949.865
19.650.4991.3440.5541.7514.6949.866
19.6750.4991.3440.5541.7514.6949.866
19.69999999999990.4991.3440.5541.7514.6949.866
19.72499999999990.4991.3440.5541.7514.6949.866
19.74999999999990.4991.3440.5541.7514.6949.866
19.77499999999990.4991.3440.5541.7514.6959.867
19.79999999999990.4991.3440.5541.7514.6959.867
19.82499999999990.4991.3440.5541.7514.6959.867
19.84999999999990.4991.3440.5541.7514.6959.867
19.87499999999990.4991.3440.5541.7514.6959.867
19.89999999999990.4991.3440.5541.7514.6959.868
19.92499999999990.4991.3440.5541.7514.6959.868
19.94999999999990.4991.3440.5541.7514.6959.868
19.97499999999990.4991.3440.5541.7514.6959.868
19.99999999999990.4991.3440.5541.7514.6959.868
20.02499999999990.4991.3440.5541.7514.6959.869
20.04999999999990.4991.3440.5541.7514.6959.869
20.07499999999990.4991.3440.5541.7514.6959.869
20.09999999999990.4991.3440.5541.7514.6959.869
20.12499999999990.4991.3440.5541.7514.6959.869
20.14999999999990.4991.3440.5541.7514.6959.869
20.17499999999990.4991.3440.5541.7514.6959.87
20.19999999999990.4991.3440.5541.7514.6959.87
20.22499999999990.4991.3440.5541.7514.6969.87
20.24999999999990.4991.3440.5541.7514.6969.87
20.27499999999990.4991.3440.5541.7514.6969.87
20.29999999999990.4991.3440.5541.7514.6969.871
20.32499999999990.4991.3440.5541.7514.6969.871
20.34999999999990.4991.3440.5541.7514.6969.871
20.37499999999990.4991.3440.5541.7514.6969.871
20.39999999999990.4991.3440.5541.7514.6969.871
20.42499999999990.4991.3440.5541.7514.6969.871
20.44999999999990.4991.3440.5541.7514.6969.871
20.47499999999990.4991.3440.5541.7514.6969.872
20.49999999999990.4991.3440.5541.7514.6969.872
20.52499999999990.4991.3440.5541.7514.6969.872
20.54999999999990.4991.3440.5541.7514.6969.872
20.57499999999990.4991.3440.5541.7514.6969.872
20.59999999999990.4991.3440.5541.7514.6969.872
20.62499999999990.4991.3440.5541.7514.6969.873
20.64999999999990.4991.3440.5541.7514.6969.873
20.67499999999990.4991.3440.5541.7514.6969.873
20.69999999999990.4991.3440.5541.7514.6969.873
20.72499999999990.4991.3440.5541.7514.6969.873
20.74999999999990.4991.3440.5541.7514.6979.873
20.77499999999990.4991.3440.5541.7514.6979.873
20.79999999999990.4991.3440.5541.7514.6979.874
20.82499999999990.4991.3440.5541.7514.6979.874
20.84999999999990.4991.3440.5541.7514.6979.874
20.87499999999990.4991.3440.5541.7514.6979.874
20.89999999999990.4991.3440.5541.7514.6979.874
20.92499999999990.4991.3440.5541.7514.6979.874
20.94999999999990.4991.3440.5541.7514.6979.874
20.97499999999990.4991.3440.5541.7514.6979.875
20.99999999999990.4991.3440.5541.7514.6979.875
21.02499999999990.4991.3440.5541.7514.6979.875
21.04999999999990.4991.3440.5541.7514.6979.875
21.07499999999990.4991.3440.5541.7514.6979.875
21.09999999999990.4991.3440.5541.7514.6979.875
21.12499999999990.4991.3440.5541.7514.6979.875
21.14999999999990.4991.3440.5541.7514.6979.875
21.17499999999990.4991.3440.5541.7514.6979.876
21.19999999999990.4991.3440.5541.7514.6979.876
21.22499999999990.4991.3440.5541.7514.6979.876
21.24999999999990.4991.3440.5541.7514.6979.876
21.27499999999990.4991.3440.5541.7514.6979.876
21.29999999999990.4991.3440.5541.7514.6979.876
21.32499999999990.4991.3440.5541.7514.6979.876
21.34999999999990.4991.3440.5541.7514.6979.876
21.37499999999990.4991.3440.5541.7514.6989.877
21.39999999999990.4991.3440.5541.7514.6989.877
21.42499999999990.4991.3440.5541.7514.6989.877
21.44999999999990.4991.3440.5541.7514.6989.877
21.47499999999980.4991.3440.5541.7514.6989.877
21.49999999999980.4991.3440.5541.7514.6989.877
21.52499999999980.4991.3440.5541.7514.6989.877
21.54999999999980.4991.3440.5541.7514.6989.877
21.57499999999980.4991.3440.5541.7514.6989.877
21.59999999999980.4991.3440.5541.7514.6989.878
21.62499999999980.4991.3440.5541.7514.6989.878
21.64999999999980.4991.3440.5541.7514.6989.878
21.67499999999980.4991.3440.5541.7514.6989.878
21.69999999999980.4991.3440.5541.7514.6989.878
21.72499999999980.4991.3440.5541.7514.6989.878
21.74999999999980.4991.3440.5541.7514.6989.878
21.77499999999980.4991.3440.5541.7514.6989.878
21.79999999999980.4991.3440.5541.7514.6989.878
21.82499999999980.4991.3440.5541.7514.6989.879
21.84999999999980.4991.3440.5541.7514.6989.879
21.87499999999980.4991.3440.5541.7514.6989.879
21.89999999999980.4991.3440.5541.7514.6989.879
21.92499999999980.4991.3440.5541.7514.6989.879
21.94999999999980.4991.3440.5541.7514.6989.879
21.97499999999980.4991.3440.5541.7514.6989.879
21.99999999999980.4991.3440.5541.7514.6989.879
22.02499999999980.4991.3440.5541.7514.6989.879
22.04999999999980.4991.3440.5541.7514.6989.879
22.07499999999980.4991.3440.5541.7514.6989.88
22.09999999999980.4991.3440.5541.7514.6989.88
22.12499999999980.4991.3440.5541.7514.6989.88
22.14999999999980.4991.3440.5541.7514.6989.88
22.17499999999980.4991.3440.5541.7514.6989.88
22.19999999999980.4991.3440.5541.7514.6999.88
22.22499999999980.4991.3440.5541.7514.6999.88
22.24999999999980.4991.3440.5541.7514.6999.88
22.27499999999980.4991.3440.5541.7514.6999.88
22.29999999999980.4991.3440.5541.7514.6999.88
22.32499999999980.4991.3440.5541.7514.6999.88
22.34999999999980.4991.3440.5541.7514.6999.881
22.37499999999980.4991.3440.5541.7514.6999.881
22.39999999999980.4991.3440.5541.7514.6999.881
22.42499999999980.4991.3440.5541.7514.6999.881
22.44999999999980.4991.3440.5541.7514.6999.881
22.47499999999980.4991.3440.5541.7514.6999.881
22.49999999999980.4991.3440.5541.7514.6999.881
22.52499999999980.4991.3440.5541.7514.6999.881
22.54999999999980.4991.3440.5541.7514.6999.881
22.57499999999980.4991.3440.5541.7514.6999.881
22.59999999999980.4991.3440.5541.7514.6999.881
22.62499999999980.4991.3440.5541.7514.6999.881
22.64999999999980.4991.3440.5541.7514.6999.881
22.67499999999980.4991.3440.5541.7514.6999.882
22.69999999999980.4991.3440.5541.7514.6999.882
22.72499999999980.4991.3440.5541.7514.6999.882
22.74999999999980.4991.3440.5541.7514.6999.882
22.77499999999980.4991.3440.5541.7514.6999.882
22.79999999999980.4991.3440.5541.7514.6999.882
22.82499999999980.4991.3440.5541.7514.6999.882
22.84999999999980.4991.3440.5541.7514.6999.882
22.87499999999980.4991.3440.5541.7514.6999.882
22.89999999999980.4991.3440.5541.7514.6999.882
22.92499999999980.4991.3440.5541.7514.6999.882
22.94999999999980.4991.3440.5541.7514.6999.882
22.97499999999980.4991.3440.5541.7514.6999.882
22.99999999999980.4991.3440.5541.7514.6999.883
23.02499999999980.4991.3440.5541.7514.6999.883
23.04999999999980.4991.3440.5541.7514.6999.883
23.07499999999980.4991.3440.5541.7514.6999.883
23.09999999999980.4991.3440.5541.7514.6999.883
23.12499999999980.4991.3440.5541.7514.6999.883
23.14999999999980.4991.3440.5541.7514.6999.883
23.17499999999980.4991.3440.5541.7514.6999.883
23.19999999999980.4991.3440.5541.7514.6999.883
23.22499999999970.4991.3440.5541.7514.6999.883
23.24999999999970.4991.3440.5541.7514.6999.883
23.27499999999970.4991.3440.5541.7514.6999.883
23.29999999999970.4991.3440.5541.7514.6999.883
23.32499999999970.4991.3440.5541.7514.79.883
23.34999999999970.4991.3440.5541.7514.79.883
23.37499999999970.4991.3440.5541.7514.79.883
23.39999999999970.4991.3440.5541.7514.79.884
23.42499999999970.4991.3440.5541.7514.79.884
23.44999999999970.4991.3440.5541.7514.79.884
23.47499999999970.4991.3440.5541.7514.79.884
23.49999999999970.4991.3440.5541.7514.79.884
23.52499999999970.4991.3440.5541.7514.79.884
23.54999999999970.4991.3440.5541.7514.79.884
23.57499999999970.4991.3440.5541.7514.79.884
23.59999999999970.4991.3440.5541.7514.79.884
23.62499999999970.4991.3440.5541.7514.79.884
23.64999999999970.4991.3440.5541.7514.79.884
23.67499999999970.4991.3440.5541.7514.79.884
23.69999999999970.4991.3440.5541.7514.79.884
23.72499999999970.4991.3440.5541.7514.79.884
23.74999999999970.4991.3440.5541.7514.79.884
23.77499999999970.4991.3440.5541.7514.79.884
23.79999999999970.4991.3440.5541.7514.79.884
23.82499999999970.4991.3440.5541.7514.79.885
23.84999999999970.4991.3440.5541.7514.79.885
23.87499999999970.4991.3440.5541.7514.79.885
23.89999999999970.4991.3440.5541.7514.79.885
23.92499999999970.4991.3440.5541.7514.79.885
23.94999999999970.4991.3440.5541.7514.79.885
23.97499999999970.4991.3440.5541.7514.79.885
23.99999999999970.4991.3440.5541.7514.79.885
24.02499999999970.4991.3440.5541.7514.79.885
24.04999999999970.4991.3440.5541.7514.79.885
24.07499999999970.4991.3440.5541.7514.79.885
24.09999999999970.4991.3440.5541.7514.79.885
24.12499999999970.4991.3440.5541.7514.79.885
24.14999999999970.4991.3440.5541.7514.79.885
24.17499999999970.4991.3440.5541.7514.79.885
24.19999999999970.4991.3440.5541.7514.79.885
24.22499999999970.4991.3440.5541.7514.79.885
24.24999999999970.4991.3440.5541.7514.79.885
24.27499999999970.4991.3440.5541.7514.79.885
24.29999999999970.4991.3440.5541.7514.79.885
24.32499999999970.4991.3440.5541.7514.79.885
24.34999999999970.4991.3440.5541.7514.79.886
24.37499999999970.4991.3440.5541.7514.79.886
24.39999999999970.4991.3440.5541.7514.79.886
24.42499999999970.4991.3440.5541.7514.79.886
24.44999999999970.4991.3440.5541.7514.79.886
24.47499999999970.4991.3440.5541.7514.79.886
24.49999999999970.4991.3440.5541.7514.79.886
24.52499999999970.4991.3440.5541.7514.79.886
24.54999999999970.4991.3440.5541.7514.79.886
24.57499999999970.4991.3440.5541.7514.79.886
24.59999999999970.4991.3440.5541.7514.79.886
24.62499999999970.4991.3440.5541.7514.79.886
24.64999999999970.4991.3440.5541.7514.79.886
24.67499999999970.4991.3440.5541.7514.79.886
24.69999999999970.4991.3440.5541.7514.79.886
24.72499999999970.4991.3440.5541.7514.79.886
24.74999999999970.4991.3440.5541.7514.79.886
24.77499999999970.4991.3440.5541.7514.79.886
24.79999999999970.4991.3440.5541.7514.79.886
24.82499999999970.4991.3440.5541.7514.79.886
24.84999999999970.4991.3440.5541.7514.79.886
24.87499999999970.4991.3440.5541.7514.79.886
24.89999999999970.4991.3440.5541.7514.79.886
24.92499999999970.4991.3440.5541.7514.79.886
24.94999999999970.4991.3440.5541.7514.79.887
24.97499999999960.4991.3440.5541.7514.79.887
24.99999999999960.4991.3440.5541.7514.79.887
Return to Figure 3


Figure 3. Discounted Cumulative Revenues and Costs
Trading arrangements last three years
Time horizon (years)Billions of dollars: Revenues: Based on penalties and dilutionBillions of dollars: Revenues: Based on disgorgementBillions of dollars: Costs: Performance-related losses
0000
0.0250.0160.0440.001
0.050.0320.0870.003
0.0750.0480.130.006
0.10.0640.1720.01
0.1250.0790.2140.015
0.150.0950.2560.021
0.1750.110.2970.028
0.20.1250.3380.036
0.2250.140.3780.045
0.250.1550.4190.055
0.2750.170.4580.066
0.30.1850.4980.077
0.3250.1990.5370.089
0.350.2140.5760.103
0.3750.2280.6140.118
0.40.2420.6520.134
0.4250.2560.690.151
0.450.270.7270.169
0.4750.2840.7640.187
0.50.2970.8010.205
0.5250.3110.8370.224
0.550.3240.8730.243
0.5750.3370.9090.262
0.60.350.9440.282
0.6250.3630.9790.302
0.650.3761.0140.323
0.6750.3891.0480.346
0.70.4021.0820.369
0.7250.4141.1160.392
0.750.4271.150.417
0.7750.4391.1830.443
0.80.4511.2160.471
0.8250.4631.2480.501
0.850.4751.280.532
0.8750.4871.3120.564
0.90.4991.3440.597
0.9250.5111.3750.632
0.9500000000000010.5221.4070.668
0.9750000000000010.5341.4370.705
10.5451.4680.742
1.0250.5561.4980.779
1.050.5671.5280.817
1.0750.5781.5580.855
1.10.5891.5870.892
1.1250.61.6170.931
1.150.6111.6450.969
1.1750.6211.6741.008
1.20.6321.7031.048
1.2250.6421.7311.088
1.250.6531.7591.13
1.2750.6631.7861.171
1.30.6731.8141.213
1.3250.6831.8411.254
1.350.6931.8681.296
1.3750.7031.8941.339
1.40.7131.9211.382
1.4250.7231.9471.425
1.450.7321.9731.468
1.4750.7421.9981.512
1.50.7512.0241.557
1.5250.7612.0491.602
1.550.772.0741.648
1.5750.7792.0991.694
1.60.7882.1231.741
1.6250.7972.1481.788
1.650.8062.1721.836
1.6750.8152.1961.884
1.70.8242.2191.931
1.7250.8332.2431.978
1.750.8412.2662.026
1.7750.852.2892.073
1.80.8582.3122.122
1.8250.8672.3342.17
1.850.8752.3572.218
1.8750.8832.3792.267
1.90.8912.4012.315
1.9250.8992.4232.363
1.950.9072.4442.412
1.9750.9152.4662.46
20.9232.4872.508
2.0250.9312.5082.555
2.050.9392.5292.603
2.0750.9462.5492.651
2.10.9542.572.698
2.1250.9622.592.746
2.150.9692.612.793
2.1750.9762.632.84
2.20.9842.652.887
2.2250.9912.6692.934
2.250.9982.6892.98
2.2751.0052.7083.027
2.31.0122.7273.073
2.3251.0192.7463.119
2.351.0262.7643.165
2.3751.0332.7833.211
2.41.042.8013.256
2.4251.0472.8193.302
2.451.0532.8373.347
2.4751.062.8553.392
2.51.0662.8733.436
2.5251.0732.893.481
2.549999999999991.0792.9083.525
2.574999999999991.0862.9253.569
2.599999999999991.0922.9423.613
2.624999999999991.0982.9593.657
2.649999999999991.1052.9763.7
2.674999999999991.1112.9923.743
2.699999999999991.1173.0093.786
2.724999999999991.1233.0253.828
2.749999999999991.1293.0413.871
2.774999999999991.1353.0573.913
2.799999999999991.1413.0733.955
2.824999999999991.1473.0893.996
2.849999999999991.1523.1044.038
2.874999999999991.1583.124.079
2.899999999999991.1643.1354.12
2.924999999999991.1693.154.16
2.949999999999991.1753.1654.201
2.974999999999991.183.184.241
2.999999999999991.1863.1954.28
3.024999999999991.1913.2094.32
3.049999999999991.1973.2244.359
3.074999999999991.2023.2384.398
3.099999999999991.2073.2524.437
3.124999999999991.2123.2664.475
3.149999999999991.2183.284.514
3.174999999999991.2233.2944.552
3.199999999999991.2283.3084.589
3.224999999999991.2333.3214.627
3.249999999999991.2383.3354.664
3.274999999999991.2433.3484.7
3.299999999999991.2483.3614.737
3.324999999999991.2533.3744.773
3.349999999999991.2573.3874.809
3.374999999999991.2623.44.845
3.399999999999991.2673.4134.881
3.424999999999991.2723.4254.916
3.449999999999991.2763.4384.951
3.474999999999991.2813.454.985
3.499999999999991.2853.4625.02
3.524999999999991.293.4755.054
3.549999999999991.2943.4875.088
3.574999999999991.2993.4995.121
3.599999999999991.3033.515.154
3.624999999999991.3073.5225.187
3.649999999999991.3123.5345.22
3.674999999999991.3163.5455.253
3.699999999999991.323.5575.285
3.724999999999991.3243.5685.317
3.749999999999991.3293.5795.348
3.774999999999991.3333.595.38
3.799999999999991.3373.6015.411
3.824999999999991.3413.6125.442
3.849999999999991.3453.6235.472
3.874999999999991.3493.6345.503
3.899999999999991.3533.6445.533
3.924999999999991.3573.6555.563
3.949999999999991.3613.6655.592
3.974999999999991.3643.6765.622
3.999999999999991.3683.6865.651
4.024999999999991.3723.6965.679
4.049999999999991.3763.7065.708
4.074999999999991.3793.7165.736
4.099999999999991.3833.7265.764
4.124999999999991.3873.7355.792
4.149999999999991.393.7455.819
4.174999999999991.3943.7555.847
4.199999999999991.3973.7645.874
4.224999999999991.4013.7745.9
4.249999999999991.4043.7835.927
4.274999999999991.4083.7925.953
4.299999999999991.4113.8015.979
4.324999999999991.4143.816.005
4.349999999999991.4183.8196.031
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17.72500000000011.7794.7948.337
17.75000000000011.7794.7948.337
17.77500000000011.784.7948.337
17.80000000000011.784.7948.337
17.82500000000011.784.7948.337
17.85000000000011.784.7948.337
17.87500000000011.784.7948.337
17.90000000000011.784.7948.337
17.92500000000011.784.7948.337
17.951.784.7948.337
17.9751.784.7948.337
181.784.7948.337
18.0251.784.7948.337
18.051.784.7958.337
18.0751.784.7958.337
18.11.784.7958.337
18.1251.784.7958.337
18.151.784.7958.337
18.1751.784.7958.337
18.21.784.7958.337
18.2251.784.7958.337
18.251.784.7958.338
18.2751.784.7958.338
18.31.784.7958.338
18.3251.784.7958.338
18.351.784.7958.338
18.3751.784.7958.338
18.41.784.7958.338
18.4251.784.7958.338
18.451.784.7958.338
18.4751.784.7958.338
18.51.784.7968.338
18.5251.784.7968.338
18.551.784.7968.338
18.5751.784.7968.338
18.61.784.7968.338
18.6251.784.7968.338
18.651.784.7968.338
18.6751.784.7968.338
18.71.784.7968.338
18.7251.784.7968.338
18.751.784.7968.338
18.7751.784.7968.338
18.81.784.7968.338
18.8251.784.7968.338
18.851.784.7968.338
18.8751.784.7968.338
18.91.784.7968.338
18.9251.784.7968.338
18.951.784.7968.338
18.9751.784.7968.338
191.7814.7968.338
19.0251.7814.7978.338
19.051.7814.7978.338
19.0751.7814.7978.338
19.11.7814.7978.338
19.1251.7814.7978.338
19.151.7814.7978.338
19.1751.7814.7978.338
19.21.7814.7978.338
19.2251.7814.7978.338
19.251.7814.7978.338
19.2751.7814.7978.338
19.31.7814.7978.338
19.3251.7814.7978.338
19.351.7814.7978.338
19.3751.7814.7978.338
19.41.7814.7978.338
19.4251.7814.7978.338
19.451.7814.7978.338
19.4751.7814.7978.338
19.51.7814.7978.338
19.5251.7814.7978.338
19.551.7814.7978.338
19.5751.7814.7978.338
19.61.7814.7978.338
19.6251.7814.7978.338
19.651.7814.7978.338
19.6751.7814.7978.338
19.69999999999991.7814.7988.338
19.72499999999991.7814.7988.338
19.74999999999991.7814.7988.338
19.77499999999991.7814.7988.338
19.79999999999991.7814.7988.339
19.82499999999991.7814.7988.339
19.84999999999991.7814.7988.339
19.87499999999991.7814.7988.339
19.89999999999991.7814.7988.339
19.92499999999991.7814.7988.339
19.94999999999991.7814.7988.339
19.97499999999991.7814.7988.339
19.99999999999991.7814.7988.339
20.02499999999991.7814.7988.339
20.04999999999991.7814.7988.339
20.07499999999991.7814.7988.339
20.09999999999991.7814.7988.339
20.12499999999991.7814.7988.339
20.14999999999991.7814.7988.339
20.17499999999991.7814.7988.339
20.19999999999991.7814.7988.339
20.22499999999991.7814.7988.339
20.24999999999991.7814.7988.339
20.27499999999991.7814.7988.339
20.29999999999991.7814.7988.339
20.32499999999991.7814.7988.339
20.34999999999991.7814.7988.339
20.37499999999991.7814.7988.339
20.39999999999991.7814.7988.339
20.42499999999991.7814.7988.339
20.44999999999991.7814.7988.339
20.47499999999991.7814.7988.339
20.49999999999991.7814.7988.339
20.52499999999991.7814.7988.339
20.54999999999991.7814.7988.339
20.57499999999991.7814.7998.339
20.59999999999991.7814.7998.339
20.62499999999991.7814.7998.339
20.64999999999991.7814.7998.339
20.67499999999991.7814.7998.339
20.69999999999991.7814.7998.339
20.72499999999991.7814.7998.339
20.74999999999991.7814.7998.339
20.77499999999991.7814.7998.339
20.79999999999991.7814.7998.339
20.82499999999991.7814.7998.339
20.84999999999991.7814.7998.339
20.87499999999991.7814.7998.339
20.89999999999991.7814.7998.339
20.92499999999991.7814.7998.339
20.94999999999991.7814.7998.339
20.97499999999991.7814.7998.339
20.99999999999991.7814.7998.339
21.02499999999991.7814.7998.339
21.04999999999991.7814.7998.339
21.07499999999991.7814.7998.339
21.09999999999991.7814.7998.339
21.12499999999991.7814.7998.339
21.14999999999991.7814.7998.339
21.17499999999991.7814.7998.339
21.19999999999991.7814.7998.339
21.22499999999991.7814.7998.339
21.24999999999991.7814.7998.339
21.27499999999991.7814.7998.339
21.29999999999991.7814.7998.339
21.32499999999991.7814.7998.339
21.34999999999991.7824.7998.339
21.37499999999991.7824.7998.339
21.39999999999991.7824.7998.339
21.42499999999991.7824.7998.339
21.44999999999991.7824.7998.339
21.47499999999981.7824.7998.339
21.49999999999981.7824.7998.339
21.52499999999981.7824.7998.339
21.54999999999981.7824.7998.339
21.57499999999981.7824.7998.339
21.59999999999981.7824.7998.339
21.62499999999981.7824.7998.339
21.64999999999981.7824.7998.339
21.67499999999981.7824.7998.339
21.69999999999981.7824.7998.339
21.72499999999981.7824.7998.339
21.74999999999981.7824.7998.339
21.77499999999981.7824.7998.339
21.79999999999981.7824.7998.339
21.82499999999981.7824.7998.339
21.84999999999981.7824.7998.339
21.87499999999981.7824.7998.339
21.89999999999981.7824.88.339
21.92499999999981.7824.88.339
21.94999999999981.7824.88.339
21.97499999999981.7824.88.339
21.99999999999981.7824.88.339
22.02499999999981.7824.88.339
22.04999999999981.7824.88.339
22.07499999999981.7824.88.339
22.09999999999981.7824.88.339
22.12499999999981.7824.88.339
22.14999999999981.7824.88.339
22.17499999999981.7824.88.339
22.19999999999981.7824.88.339
22.22499999999981.7824.88.339
22.24999999999981.7824.88.339
22.27499999999981.7824.88.339
22.29999999999981.7824.88.339
22.32499999999981.7824.88.339
22.34999999999981.7824.88.339
22.37499999999981.7824.88.339
22.39999999999981.7824.88.339
22.42499999999981.7824.88.339
22.44999999999981.7824.88.339
22.47499999999981.7824.88.339
22.49999999999981.7824.88.339
22.52499999999981.7824.88.339
22.54999999999981.7824.88.339
22.57499999999981.7824.88.339
22.59999999999981.7824.88.339
22.62499999999981.7824.88.339
22.64999999999981.7824.88.339
22.67499999999981.7824.88.339
22.69999999999981.7824.88.339
22.72499999999981.7824.88.339
22.74999999999981.7824.88.339
22.77499999999981.7824.88.339
22.79999999999981.7824.88.339
22.82499999999981.7824.88.339
22.84999999999981.7824.88.339
22.87499999999981.7824.88.339
22.89999999999981.7824.88.339
22.92499999999981.7824.88.339
22.94999999999981.7824.88.339
22.97499999999981.7824.88.339
22.99999999999981.7824.88.339
23.02499999999981.7824.88.339
23.04999999999981.7824.88.339
23.07499999999981.7824.88.339
23.09999999999981.7824.88.339
23.12499999999981.7824.88.339
23.14999999999981.7824.88.339
23.17499999999981.7824.88.339
23.19999999999981.7824.88.339
23.22499999999971.7824.88.339
23.24999999999971.7824.88.339
23.27499999999971.7824.88.339
23.29999999999971.7824.88.339
23.32499999999971.7824.88.339
23.34999999999971.7824.88.339
23.37499999999971.7824.88.339
23.39999999999971.7824.88.339
23.42499999999971.7824.88.339
23.44999999999971.7824.88.339
23.47499999999971.7824.88.339
23.49999999999971.7824.88.339
23.52499999999971.7824.88.339
23.54999999999971.7824.88.339
23.57499999999971.7824.88.339
23.59999999999971.7824.88.339
23.62499999999971.7824.88.339
23.64999999999971.7824.88.339
23.67499999999971.7824.88.339
23.69999999999971.7824.88.339
23.72499999999971.7824.88.339
23.74999999999971.7824.88.339
23.77499999999971.7824.88.339
23.79999999999971.7824.88.339
23.82499999999971.7824.88.339
23.84999999999971.7824.88.339
23.87499999999971.7824.88.339
23.89999999999971.7824.88.339
23.92499999999971.7824.88.339
23.94999999999971.7824.88.339
23.97499999999971.7824.88.339
23.99999999999971.7824.88.339
24.02499999999971.7824.88.339
24.04999999999971.7824.88.339
24.07499999999971.7824.88.339
24.09999999999971.7824.88.339
24.12499999999971.7824.88.339
24.14999999999971.7824.88.339
24.17499999999971.7824.88.339
24.19999999999971.7824.88.339
24.22499999999971.7824.88.339
24.24999999999971.7824.88.339
24.27499999999971.7824.88.339
24.29999999999971.7824.88.339
24.32499999999971.7824.88.339
24.34999999999971.7824.88.339
24.37499999999971.7824.88.339
24.39999999999971.7824.88.339
24.42499999999971.7824.88.339
24.44999999999971.7824.88.339
24.47499999999971.7824.8018.339
24.49999999999971.7824.8018.339
24.52499999999971.7824.8018.339
24.54999999999971.7824.8018.339
24.57499999999971.7824.8018.339
24.59999999999971.7824.8018.339
24.62499999999971.7824.8018.339
24.64999999999971.7824.8018.339
24.67499999999971.7824.8018.339
24.69999999999971.7824.8018.339
24.72499999999971.7824.8018.339
24.74999999999971.7824.8018.339
24.77499999999971.7824.8018.339
24.79999999999971.7824.8018.339
24.82499999999971.7824.8018.339
24.84999999999971.7824.8018.339
24.87499999999971.7824.8018.339
24.89999999999971.7824.8018.339
24.92499999999971.7824.8018.339
24.94999999999971.7824.8018.339
24.97499999999961.7824.8018.339
24.99999999999961.7824.8018.339
Return to Figure 3


Figure 4. Discounted Cumulative Revenues and Costs
Skim 1 percent of assets annually (forever)
Time horizon (years)Billions of dollars: "Revenues" from skimmingBillions of dollars: Costs: Performance-related losses
000
0.0250.3790
0.050.7320.001
0.0751.0660.002
0.11.3930.003
0.1251.7090.004
0.152.0010.006
0.1752.2870.008
0.22.5710.01
0.2252.8420.012
0.253.1020.015
0.2753.3520.018
0.33.590.021
0.3253.8210.024
0.354.0550.028
0.3754.2920.032
0.44.5230.036
0.4254.7430.041
0.454.9510.046
0.4755.1590.051
0.55.3550.056
0.5255.5420.061
0.555.7180.066
0.5755.8870.071
0.66.050.076
0.6256.2110.082
0.656.3760.087
0.6756.5360.093
0.76.6950.099
0.7256.8550.106
0.757.0140.112
0.7757.1750.119
0.87.3410.127
0.8257.5090.135
0.857.6790.143
0.8757.8480.152
0.98.020.16
0.9258.1930.17
0.9500000000000018.3560.179
0.9750000000000018.520.189
18.6820.199
1.0258.840.209
1.058.9950.219
1.0759.1450.229
1.19.2910.239
1.1259.4360.249
1.159.5780.259
1.1759.7180.269
1.29.8560.28
1.2259.9940.29
1.2510.1310.301
1.27510.2670.312
1.310.40.323
1.32510.530.334
1.3510.6590.345
1.37510.7860.356
1.410.9120.367
1.42511.0340.379
1.4511.1540.39
1.47511.2720.401
1.511.3890.413
1.52511.5020.425
1.5511.6180.437
1.57511.7340.449
1.611.850.461
1.62511.9640.473
1.6512.0760.485
1.67512.1860.498
1.712.2940.51
1.72512.3980.522
1.7512.5020.534
1.77512.6050.547
1.812.7070.559
1.82512.8070.572
1.8512.9050.584
1.87513.0020.597
1.913.0980.609
1.92513.1920.622
1.9513.2840.634
1.97513.3750.646
213.4650.659
2.02513.5530.671
2.0513.640.683
2.07513.7250.696
2.113.8090.708
2.12513.8920.72
2.1513.9740.732
2.17514.0540.744
2.214.1330.757
2.22514.210.769
2.2514.2870.781
2.27514.3620.793
2.314.4360.805
2.32514.5090.816
2.3514.580.828
2.37514.6510.84
2.414.720.852
2.42514.7880.864
2.4514.8560.875
2.47514.9220.887
2.514.9870.898
2.52515.0510.91
2.5499999999999915.1140.921
2.5749999999999915.1760.932
2.5999999999999915.2370.944
2.6249999999999915.2970.955
2.6499999999999915.3570.966
2.6749999999999915.4150.977
2.6999999999999915.4720.988
2.7249999999999915.5290.999
2.7499999999999915.5841.01
2.7749999999999915.6391.021
2.7999999999999915.6921.032
2.8249999999999915.7451.043
2.8499999999999915.7971.053
2.8749999999999915.8491.064
2.8999999999999915.8991.074
2.9249999999999915.9491.085
2.9499999999999915.9981.095
2.9749999999999916.0461.106
2.9999999999999916.0931.116
3.0249999999999916.141.126
3.0499999999999916.1861.136
3.0749999999999916.2311.146
3.0999999999999916.2751.156
3.1249999999999916.3191.166
3.1499999999999916.3621.176
3.1749999999999916.4041.186
3.1999999999999916.4461.195
3.2249999999999916.4871.205
3.2499999999999916.5271.214
3.2749999999999916.5671.224
3.2999999999999916.6061.233
3.3249999999999916.6441.243
3.3499999999999916.6821.252
3.3749999999999916.7191.261
3.3999999999999916.7561.27
3.4249999999999916.7921.279
3.4499999999999916.8281.288
3.4749999999999916.8631.297
3.4999999999999916.8971.306
3.5249999999999916.9311.315
3.5499999999999916.9641.323
3.5749999999999916.9971.332
3.5999999999999917.0291.341
3.6249999999999917.0611.349
3.6499999999999917.0921.358
3.6749999999999917.1231.366
3.6999999999999917.1531.374
3.7249999999999917.1831.382
3.7499999999999917.2121.39
3.7749999999999917.2411.399
3.7999999999999917.271.406
3.8249999999999917.2981.414
3.8499999999999917.3251.422
3.8749999999999917.3521.43
3.8999999999999917.3791.438
3.9249999999999917.4051.445
3.9499999999999917.4311.453
3.9749999999999917.4561.46
3.9999999999999917.4811.468
4.0249999999999917.5061.475
4.0499999999999917.531.483
4.0749999999999917.5541.49
4.0999999999999917.5771.497
4.1249999999999917.61.504
4.1499999999999917.6231.511
4.1749999999999917.6461.518
4.1999999999999917.6681.525
4.2249999999999917.6891.532
4.2499999999999917.7111.539
4.2749999999999917.7311.545
4.2999999999999917.7521.552
4.3249999999999917.7721.559
4.3499999999999917.7921.565
4.3749999999999917.8121.572
4.417.8311.578
4.42517.8511.584
4.4517.8691.591
4.47517.8881.597
4.517.9061.603
4.52517.9241.609
4.5517.9411.615
4.57517.9591.621
4.617.9761.627
4.62517.9931.633
4.6518.0091.639
4.67518.0251.645
4.718.0411.65
4.72518.0571.656
4.7518.0731.661
4.77518.0881.667
4.818.1031.672
4.82518.1181.678
4.8518.1321.683
4.87518.1461.689
4.918.161.694
4.92518.1741.699
4.9518.1881.704
4.97518.2011.709
518.2151.714
5.02518.2281.719
5.0518.241.724
5.07518.2531.729
5.118.2651.734
5.1250000000000118.2781.739
5.1500000000000118.291.743
5.1750000000000118.3011.748
5.2000000000000118.3131.753
5.2250000000000118.3241.757
5.2500000000000118.3361.762
5.2750000000000118.3471.766
5.3000000000000118.3581.771
5.3250000000000118.3681.775
5.3500000000000118.3791.779
5.3750000000000118.3891.784
5.4000000000000118.41.788
5.4250000000000118.411.792
5.4500000000000118.421.796
5.4750000000000118.4291.801
5.5000000000000118.4391.805
5.5250000000000118.4481.809
5.5500000000000118.4581.813
5.5750000000000118.4671.817
5.6000000000000118.4761.82
5.6250000000000118.4851.824
5.6500000000000118.4931.828
5.6750000000000118.5021.832
5.7000000000000118.511.836
5.7250000000000118.5191.839
5.7500000000000118.5271.843
5.7750000000000118.5351.847
5.8000000000000118.5431.85
5.8250000000000218.5511.854
5.8500000000000218.5581.857
5.8750000000000218.5661.861
5.9000000000000218.5731.864
5.9250000000000218.5811.867
5.9500000000000218.5881.871
5.9750000000000218.5951.874
6.0000000000000218.6021.877
6.0250000000000218.6091.88
6.0500000000000218.6161.884
6.0750000000000218.6221.887
6.1000000000000218.6291.89
6.1250000000000218.6351.893
6.1500000000000218.6411.896
6.1750000000000218.6481.899
6.2000000000000218.6541.902
6.2250000000000218.661.905
6.2500000000000218.6661.908
6.2750000000000218.6721.911
6.3000000000000218.6771.914
6.3250000000000218.6831.916
6.3500000000000218.6891.919
6.3750000000000218.6941.922
6.4000000000000218.71.925
6.4250000000000218.7051.927
6.4500000000000218.711.93
6.4750000000000218.7151.933
6.5000000000000218.721.935
6.5250000000000318.7251.938
6.5500000000000318.731.94
6.5750000000000318.7351.943
6.6000000000000318.741.945
6.6250000000000318.7451.948
6.6500000000000318.7491.95
6.6750000000000318.7541.953
6.7000000000000318.7581.955
6.7250000000000318.7631.957
6.7500000000000318.7671.96
6.7750000000000318.7711.962
6.8000000000000318.7751.964
6.8250000000000318.7791.966
6.8500000000000318.7831.969
6.8750000000000318.7871.971
6.9000000000000318.7911.973
6.9250000000000318.7951.975
6.9500000000000318.7991.977
6.9750000000000318.8031.979
7.0000000000000318.8061.981
7.0250000000000318.811.983
7.0500000000000318.8141.985
7.0750000000000318.8171.987
7.1000000000000318.8211.989
7.1250000000000318.8241.991
7.1500000000000318.8271.993
7.1750000000000318.8311.995
7.2000000000000318.8341.997
7.2250000000000418.8371.999
7.2500000000000418.842.001
7.2750000000000418.8432.002
7.3000000000000418.8462.004
7.3250000000000418.8492.006
7.3500000000000418.8522.008
7.3750000000000418.8552.009
7.4000000000000418.8582.011
7.4250000000000418.8612.013
7.4500000000000418.8642.014
7.4750000000000418.8662.016
7.5000000000000418.8692.018
7.5250000000000418.8722.019
7.5500000000000418.8742.021
7.5750000000000418.8772.022
7.6000000000000418.8792.024
7.6250000000000418.8822.025
7.6500000000000418.8842.027
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23.699999999999719.0362.143
23.724999999999719.0362.143
23.749999999999719.0362.143
23.774999999999719.0362.143
23.799999999999719.0362.143
23.824999999999719.0362.143
23.849999999999719.0362.143
23.874999999999719.0362.143
23.899999999999719.0362.143
23.924999999999719.0362.143
23.949999999999719.0362.143
23.974999999999719.0362.143
23.999999999999719.0362.143
24.024999999999719.0362.143
24.049999999999719.0362.143
24.074999999999719.0362.143
24.099999999999719.0362.143
24.124999999999719.0362.143
24.149999999999719.0362.143
24.174999999999719.0362.143
24.199999999999719.0362.143
24.224999999999719.0362.143
24.249999999999719.0362.143
24.274999999999719.0362.143
24.299999999999719.0362.143
24.324999999999719.0362.143
24.349999999999719.0362.143
24.374999999999719.0362.143
24.399999999999719.0362.143
24.424999999999719.0362.143
24.449999999999719.0362.143
24.474999999999719.0362.143
24.499999999999719.0362.143
24.524999999999719.0362.143
24.549999999999719.0362.143
24.574999999999719.0362.143
24.599999999999719.0362.143
24.624999999999719.0362.143
24.649999999999719.0362.143
24.674999999999719.0362.143
24.699999999999719.0362.143
24.724999999999719.0362.143
24.749999999999719.0362.143
24.774999999999719.0362.143
24.799999999999719.0362.143
24.824999999999719.0362.143
24.849999999999719.0362.143
24.874999999999719.0362.143
24.899999999999719.0362.143
24.924999999999719.0362.143
24.949999999999719.0362.143
24.974999999999619.0362.143
24.999999999999619.0362.143
Return to Figure 4


Figure 5. Abnormal Flows to Scandal-Tainted Mutual Fund Families
Abnormal flows to tainted mutual funds
Months relative to initial revelation of scandalPercent of assets: Estimated abnormal flowPercent of assets: Lower bound of 95-percent confidence intervalPercent of assets: Upper bound of 95-percent confidence interval
-12-0.252935677-0.5311900690.026097205
-110.148678517-0.1585582630.456860741
-10-0.100903958-0.3420811650.14085701
-9-0.088510606-0.3411435790.164762885
-80.029324299-0.2578984690.317374269
-70.170486664-0.1510350270.493043579
-6-0.037696993-0.3539910690.279601157
-50.092586135-0.2247569420.410938446
-4-0.074701085-0.3454535320.196786872
-30.121650935-0.1707857950.41494442
-2-0.01859797-0.2999076760.263505567
-1-0.007122846-0.3176515170.304373177
0-0.153342111-0.4342006120.128308745
1-1.05616994-1.433275396-0.677621124
2-0.699388416-0.958456246-0.439643028
3-0.574689804-0.833135528-0.315570526
4-0.477849549-0.725098087-0.229985328
5-0.305748435-0.544061495-0.066864436
6-0.398561626-0.644283734-0.15223181
7-0.186428805-0.4275010020.055227045
8-0.219341095-0.4558747220.017754676
9-0.275505286-0.500213544-0.050289551
100.02705886-0.2262220310.280982719
11-0.13933414-0.3703784010.09224592
12-0.080562531-0.3384449790.17798731
13-0.257726613-0.489714469-0.025197825
14-0.24075033-0.478973048-0.001957281
15-0.118197791-0.3850520660.149371248
16-0.138043033-0.3904104090.114963833
17-0.2333134-0.4743654160.008322446
18-0.153825168-0.4271996950.120299902
19-0.275950754-0.519674197-0.031630197
20-0.070726377-0.3306352940.189860407
210.027550194-0.2281274930.283882987
22-0.004386004-0.2577281090.249599582
23-0.239815981-0.4983286030.019368375
24-0.241267581-0.5158336850.034056398
25-0.250263916-0.497530596-0.002382672
26-0.316811689-0.555450239-0.077600475
27-0.280996564-0.53879039-0.022534461
28-0.175466477-0.4351681870.08491273
29-0.13146431-0.3811600340.118857279
30-0.209321915-0.4594209190.04140537
31-0.184547501-0.4139084280.045341676
32-0.034874517-0.286622850.217509409
33-0.03613487-0.2554856780.183698419
34-0.275248794-0.497817063-0.05218278
35-0.353535188-0.593680412-0.112809922
Return to Figure 5


Figure 5. Abnormal Flows to Scandal-Tainted Mutual Fund Families
Additional abnormal flows to abused funds
Months relative to initial revelation of scandalPercent of assets: Estimated abnormal flowPercent of assets: Lower bound of 95-percent confidence intervalPercent of assets: Upper bound of 95-percent confidence interval
-120.107069579-0.4914071250.709145714
-11-0.185105867-0.8067765470.440461091
-10-0.232234019-0.9380002730.478560561
-9-0.071441069-0.6224742520.482647609
-8-0.794649534-1.426211851-0.159040696
-7-0.168930551-1.0230281020.692537527
-6-0.540146037-1.1743767280.098155241
-5-0.751006547-1.341704812-0.156771585
-4-0.28765089-0.8232820170.250873161
-3-0.504509952-1.061064570.055175616
-2-0.142653253-0.7090731290.426997849
-1-0.334812349-0.9624791330.296832478
0-0.471231205-1.1315789330.193526922
1-1.666156481-2.703571156-0.617680959
2-1.230780174-1.859140749-0.59839544
3-1.179008576-1.625100416-0.730892494
4-0.899150447-1.353290562-0.442919804
5-1.181700424-1.75690327-0.603129428
6-0.568659377-1.086341228-0.048268247
7-0.897637462-1.347116071-0.446110757
8-0.73479826-1.183019639-0.284543505
9-1.188759751-1.638266032-0.73719896
10-1.02312015-1.457412417-0.586913991
11-1.080315224-1.561572028-0.596706294
12-0.979021375-1.428211893-0.527784
13-1.15453055-1.653594513-0.652933266
14-0.986619161-1.786773472-0.179945603
15-1.266130265-1.732156648-0.797893793
16-1.222754849-1.65665894-0.786935819
17-0.94821908-1.41266984-0.481579967
18-1.162509035-1.637116176-0.685610592
19-1.116378723-1.595907269-0.634512811
20-0.973505852-1.578229354-0.365066506
21-1.181240917-2.024261079-0.330968388
22-1.246161295-1.778642062-0.710793032
23-1.32408484-1.797360287-0.848528799
24-1.117442705-1.744058128-0.486831615
25-1.079009476-1.566571589-0.589031865
26-0.801736808-1.303173199-0.297753034
27-0.673149529-1.274253753-0.068385407
28-0.626040052-1.144388485-0.104973964
29-0.921206553-1.542691696-0.295798851
30-1.28493234-1.989794992-0.574999712
31-0.906148701-1.44841901-0.360894604
32-1.068404577-1.611465694-0.5223468
33-1.020421014-1.566615884-0.471195375
34-0.566461522-1.100062568-0.029981405
35-0.896247839-1.464553539-0.32466482
Return to Figure 5


Figure 6. Cumulative Abnormal Flows to Scandal-Tainted Mutual Fund Families
Cumulative abnormal flows
Months relative to initial revelation of scandalPercent of assets: Tainted mutual fundsPercent of assets: Abused mutual funds
-12-0.252935677-0.146136916
-11-0.104633221-0.182785843
-10-0.2054316-0.515080985
-9-0.293760377-0.674145872
-8-0.264522222-1.434543153
-7-0.094486533-1.433293237
-6-0.132147908-2.002653381
-5-0.039684124-2.648569317
-4-0.114355564-3.001114962
-30.007156256-3.373079261
-2-0.011443045-3.528865718
-1-0.018565076-3.858711473
0-0.171878719-4.458489594
1-1.226233328-7.042628511
2-1.917045609-8.828860788
3-2.480718348-10.42155015
4-2.946713795-11.65119658
5-3.243452698-12.96214778
6-3.629087167-13.80202349
7-3.808750308-14.7350242
8-4.019737249-15.54719666
9-4.284167946-16.78104362
10-4.258268333-17.61018582
11-4.391669251-18.61381249
12-4.468693742-19.47552552
13-4.714903342-20.61034215
14-4.944302527-21.58286086
15-5.056656262-22.66723777
16-5.187718933-23.71827504
17-5.40892869-24.6178808
18-5.554433564-25.60881341
19-5.815056817-26.64229209
20-5.881670415-27.40781184
21-5.855740632-28.24553742
22-5.859869803-29.14282169
23-6.08563288-30.24870771
24-6.312217801-31.19454518
25-6.546684514-32.10729978
26-6.842755541-32.86498809
27-7.104524197-33.5042843
28-7.267524616-34.03652136
29-7.389434725-34.73010082
30-7.583288934-35.70364354
31-7.753841665-36.40384624
32-7.786012068-37.10525235
33-7.819333472-37.7695386
34-8.073059645-38.29236853
35-8.398053726-39.0616248
Return to Figure 6


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