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Morningstar Equity Style Box

This is a proprietary Morningstar data point. The Morningstar Style Box is a nine-square grid that provides a graphical representation of the "investment style" of equities and mutual funds. For equities and equity funds, it classifies securities according to market capitalization (the vertical axis) and growth and value factors (the horizontal axis). Fixed income funds are classified according to credit quality (the vertical axis) and sensitivity to changes in interest rates (the horizontal axis).

By providing an easy-to-understand visual representation of equities and fund characteristics, the Morningstar Style Box allows for informed comparisons and portfolio construction based on actual holdings, as opposed to assumptions based on a fund's name or how it is marketed. The Style Box also forms the basis for Morningstar's style-based fund categories and market indexes.

How It Works

The vertical axis of the Style Box defines three size categories, or capitalization bands-small, mid-size, and large. The horizontal axis defines three style categories. Two of these categories, "value" and "growth," are common to both equities and funds. However, for equities, the central column of the style box represents the core style (those equities for which neither value or growth characteristics dominate); for funds, it represents the blend style (a mixture of growth and value equities or mostly core equities).

Style Box assignments begin at the individual equity level. Morningstar determines the investment style of each individual equity in its database. Equities are evaluated against other equities in the same geographic area (United States, Latin America, Canada, Europe, Japan, Asia ex-Japan, Australia/New Zealand). The style attributes of individual equities are then used to determine the style classification of equity mutual funds.

The Horizontal Axis

The scores for a equity's value and growth characteristics determine its horizontal placement:

Value Score Components and Weights

Forward looking measures 50.0%

Price/Prospective Earnings.

Historical based measures 50.0%

Price/book 12.5% Price/sales 12.5% Price/cash flow 12.5% Dividend yield 12.5%

Growth Score Components and Weights

Forward looking measures 50.0%

Long-term projected earnings growth

Historical-based measures 50.0%

Historical earnings growth 12.5% Sales growth 12.5% Cash flow growth 12.5% Book value growth 12.5%

Growth and value characteristics for each individual equity are compared to those of other equities within the same capitalization band and are scored from zero to 100 for both value and growth. To determine the overall style score, the value score is subtracted from the growth score.

The resulting number can range from 100 (for low-yield, extremely growth-oriented equities) to -100 (high-yield, low-growth equities). An equity is classified as growth if the net score equals or exceeds the "growth threshold" (normally about 25 for large-cap equities). It is deemed value if its score equals or falls below the "value threshold "(normally about -15 for large-cap equities). And if the score lies between the two thresholds, the equity is classified as "core."

The thresholds between value, core, and growth equities vary to some degree over time, as the distribution of equity styles changes in the market. However, on average, the three equity styles each account for approximately one third of the total free float in each size category.

The Vertical Axis

Rather than a fixed number of "large cap"or "small cap" equities, Morningstar uses a flexible system that isn't adversely affected by overall movements in the market. Large-cap equities are defined as the group that accounts for the top 70% of the capitalization of each geographic area; mid-cap equities represent the next 20%; and small-cap equities represent the balance.