Simulation setting.

The graphical scenario is presented for M = 10, 000 SNPs; K = 25 annotations; % of annotated SNPs in A1-A6 (u) = 10%; % of overlap between A1-A2, A3-A4, A5-A6 (v) = 50%; A7–A15 are noise SNPs, approximately 20% of which are randomly annotated; blue SNPs are non-null for trait P1 and their GWAS p-values are generated from Beta(α1 = 0.4, 1) distribution; orange SNPs are non-null for trait P2 and their GWAS p-values are generated from Beta(α2 = 0.4, 1) distribution; all other SNPs are null for both traits and their GWAS p-values are generated from U[0, 1] distribution for both traits.