Large Cap Values

Large Cap
Growth

Total Monthly Returns on Benchmark Portfolios (Jan 2

1/31/2000
2/29/2000
3/31/2000
4/28/2000
5/31/2000
6/30/2000
7/31/2000
8/31/2000
9/29/2000
10/31/2000
11/30/2000
12/29/2000
1/31/2001
2/28/2001
3/30/2001
4/30/2001
5/31/2001
6/29/2001
7/31/2001
8/31/2001
9/28/2001
10/31/2001
11/30/2001
12/31/2001
1/31/2002
2/28/2002
3/29/2002
4/30/2002
5/31/2002
6/28/2002
7/31/2002
8/30/2002
9/30/2002
10/31/2002
11/29/2002
12/31/2002
1/31/2003
2/28/2003
3/31/2003
4/30/2003
5/30/2003
6/30/2003

S&P 500

Russell 1000
Value

Russell 1000
Growth

-5.10%
-2.00%
9.70%
-3.10%
-2.20%
2.40%
-1.60%
6.10%
-5.30%
-0.50%
-8.00%
40.00%
3.50%
-9.20%
-6.40%
7.70%
0.50%
-2.50%
-1.10%
-6.40%
-8.20%
1.80%
7.50%
0.80%
-1.60%
-2.10%
3.70%
-6.10%
-0.90%
-7.20%
-7.90%
0.50%
-11.00%
8.60%
5.70%
-6.00%
-2.70%
-1.70%
0.80%
8.10%
5.10%
1.10%

0.00%
-7.66%
12.01%
-1.31%
0.81%
-4.80%
1.20%
5.30%
0.80%
2.30%
-3.90%
4.90%
20.00%
-3.00%
-3.60%
4.80%
2.00%
-2.30%
-0.30%
-4.20%
-7.20%
-1.00%
5.60%
2.20%
-0.90%
0.00%
4.60%
-3.60%
0.30%
-5.90%
-9.50%
0.50%
-11.30%
7.20%
6.00%
-4.50%
-2.60%
-2.90%
0.00%
8.60%
6.20%
1.10%

-4.72%
4.85%
7.09%
-4.79%
-5.08%
7.70%
-4.40%
9.20%
-9.50%
-4.70%
-14.80%
-3.20%
6.90%
-17.00%
-10.90%
12.60%
-1.50%
-2.30%
-2.60%
-8.20%
-10.00%
5.20%
9.50%
-0.30%
-1.80%
-4.20%
3.40%
-8.20%
-2.50%
-9.30%
-5.60%
0.20%
-10.50%
9.10%
5.30%
-7.00%
-2.50%
-0.60%
1.80%
7.30%
4.90%
1.30%

Rf

7/31/2003
8/29/2003
9/30/2003
10/31/2003
11/28/2003
12/31/2003
1/30/2004
2/27/2004
3/31/2004
4/30/2004
5/31/2004
6/30/2004
7/30/2004
8/31/2004
9/30/2004
10/29/2004
11/30/2004
12/31/2004
Expected Return
Variance
Standard Deviation
Correlation

1.60%
1.80%
-1.20%
5.50%
0.70%
5.10%
1.70%
1.20%
-1.60%
-1.70%
1.20%
1.80%
-3.40%
0.20%
0.90%
1.40%
3.90%
3.20%
0.45%
0.49%
7.01%
1

Exp. Return on Benchmark Portfolios

Exp. Return on Govt Bonds & Treasury Bills

0.47%
0.54%

1.30%
1.30%
-1.20%
5.90%
1.10%
5.90%
1.60%
1.90%
-1.10%
-2.60%
0.80%
2.20%
-1.60%
1.20%
1.30%
1.50%
4.80%
3.10%
0.67%
0.26%
5.06%
1
AVERAGE(C65:N65)

2.40%
2.40%
-1.20%
5.50%
0.90%
3.30%
2.00%
0.50%
-1.90%
-1.20%
1.80%
1.10%
-5.70%
-0.60%
0.90%
1.50%
3.30%
3.80%
-0.68%
0.38%
6.17%
1

Small Cap
Value

Small Cap Growth

turns on Benchmark Portfolios (Jan 2000 ~ Dec 2004)

Russell Midcap
-3.30%
7.70%
5.70%
-4.70%
-2.60%
3.00%
-1.10%
9.60%
-1.40%
-1.50%
-9.00%
7.60%
1.60%
-6.10%
-6.20%
8.60%
1.90%
-0.90%
-2.90%
4.00%
-12.20%
3.90%
8.20%
3.80%
-0.70%
-1.20%
5.90%
-2.00%
-1.30%
-6.80%
-9.90%
0.40%
-9.40%
4.90%
6.80%
-4.10%
-2.10%
-1.50%
0.80%
7.20%
9.00%
0.90%

Russell Midcap Russell Midcap

Growth
Value
0.00%
21.00%
10.00%
-9.70%
-7.30%
10.60%
-6.30%
15.10%
-4.90%
6.80%
-21.70%
5.30%
5.70%
-17.30%
-14.30%
16.70%
-0.50%
0.00%
-6.80%
-7.30%
-16.60%
10.50%
10.70%
3.80%
-3.30%
-5.70%
7.60%
-5.30%
-3.00%
-11.10%
-9.70%
-0.40%
-8.00%
7.70%
7.80%
-6.10%
-1.00%
-0.90%
1.80%
6.80%
9.60%
1.40%

-6.10%
-4.40%
11.80%
0.30%
1.50%
-3.90%
2.20%
5.90%
0.80%
1.80%
-1.50%
8.60%
-0.50%
-0.60%
-2.90%
5.40%
2.60%
-1.50%
-0.50%
-2.00%
-9.70%
0.40%
6.80%
3.90%
0.90%
1.40%
4.90%
-0.20%
-0.40%
-4.60%
-9.90%
0.90%
-10.30%
3.00%
6.00%
-2.60%
-2.90%
-1.90%
0.10%
7.50%
8.50%
0.50%

Total Monthly Returns Benchmark Portfolios, Value-Weighted Mark

Government Bonds, and Treasury Bills (Jan 2000 ~ Dec 20
Russell 2000

Russell 2000
Growth

Russell 2000
Value

-1.70%
16.40%
-6.70%
-6.10%
-5.90%
8.60%
-3.30%
7.50%
-3.10%
-4.60%
-10.40%
8.40%
5.10%
-6.70%
-5.00%
7.70%
2.30%
3.30%
-5.50%
-3.30%
-13.60%
5.80%
7.60%
6.00%
-1.10%
-2.80%
7.90%
0.80%
-4.60%
-5.10%
-15.20%
-0.40%
-7.30%
3.10%
8.80%
-5.70%
-2.90%
-3.10%
1.10%
9.40%
10.60%
1.70%

-0.90%
23.20%
-10.50%
-10.10%
-8.80%
12.90%
-8.60%
10.50%
-5.00%
-8.10%
-18.20%
6.10%
8.10%
-13.70%
-9.10%
12.20%
2.30%
2.70%
-8.60%
-6.30%
-16.20%
9.60%
8.30%
6.20%
-3.60%
-6.50%
8.60%
2.20%
-5.90%
-8.50%
-15.40%
-0.10%
-7.30%
5.00%
9.80%
-7.00%
-2.80%
-2.70%
1.40%
9.40%
11.20%
1.80%

-2.70%
5.90%
0.20%
0.40%
-1.70%
2.60%
3.20%
4.10%
-0.80%
-0.50%
-2.30%
1-.5%
2.60%
-0.40%
-1.80%
4.50%
2.30%
3.80%
-2.40%
-0.50%
-11.30%
2.40%
7.00%
5.90%
1.20%
0.40%
7.30%
3.40%
3.50%
-2.40%
-15.00%
-0.60%
-7.40%
1.40%
7.80%
-4.50%
-2.90%
-3.50%
0.80%
9.30%
10.10%
1.50%

3.20%
4.20%
-1.40%
7.50%
2.70%
2.80%
2.80%
2.00%
-0.10%
-3.70%
2.30%
2.60%
-4.50%
0.30%
3.10%
2.70%
5.90%
4.10%
0.79%
0.25%
5.04%
1

3.50%
5.50%
-2.00%
8.00%
2.60%
1.00%
3.30%
1.60%
-0.20%
-2.90%
2.30%
1.50%
-6.70%
-1.30%
3.70%
3.40%
5.10%
4.70%
0.41%
0.69%
8.28%
1

3.00%
3.30%
-1.00%
7.20%
2.70%
4.10%
2.50%
2.30%
0.00%
-4.30%
2.30%
3.30%
-2.80%
1.40%
2.70%
2.20%
6.50%
3.60%
0.97%
0.19%
4.41%
1

6.20%
4.50%
-2.00%
8.30%
3.50%
1.90%
4.30%
0.80%
0.80%
-5.20%
1.50%
4.10%
-6.80%
-0.60%
4.60%
1.90%
8.60%
2.80%
0.62%
0.40%
6.32%
1

7.50%
5.30%
-2.60%
8.60%
3.20%
0.40%
5.20%
-0.20%
0.40%
-5.00%
1.90%
3.30%
-9.00%
-2.20%
5.50%
2.40%
8.40%
3.50%
0.07%
0.69%
8.33%
1

4.80%
3.70%
-1.30%
8.00%
3.70%
3.40%
3.40%
1.80%
1.20%
-5.30%
1.10%
4.90%
-4.70%
0.80%
3.80%
1.40%
8.70%
2.10%
1.23%
0.21%
4.63%
1

Benchmark Portfolios, Value-Weighted Market, Long-Term

Bonds, and Treasury Bills (Jan 2000 ~ Dec 2004)
Value
Weighted
Market
-3.98%
3.17%
5.35%
-5.95%
-3.90%
5.16%
-1.71%
7.64%
-5.11%
-2.46%
-10.25%
2.03%
3.95%
-9.93%
-7.03%
8.39%
1.06%
-1.75%
-1.83%
-5.91%
-9.15%
2.50%
7.87%
1.78%
-1.61%
-2.17%
4.47%
-4.96%
-1.05%
-7.02%
-8.11%
0.80%
-10.00%
7.50%
6.13%
-5.33%
-2.34%
-1.54%
1.03%
8.28%
6.35%
1.63%

Long-Term
Government
Bond
2.28%
2.64%
3.67%
-0.76%
-0.54%
2.44%
1.73%
2.40%
-1.57%
1.87%
3.19%
2.43%
0.05%
1.91%
-0.74%
-3.13%
0.37%
0.85%
3.76%
2.06%
0.81%
4.64%
-4.71%
-1.83%
1.38%
1.15%
-4.36%
4.10%
0.15%
1.87%
3.03%
4.64%
4.17%
-2.94%
-1.22%
5.07%
-1.06%
3.29%
-1.35%
1.02%
5.92%
-1.54%

Treasury Bills

Rf

0.41%
0.43%
0.47%
0.46%
0.50%
0.40%
0.48%
0.50%
0.51%
0.56%
0.51%
0.50%
0.54%
0.39%
0.44%
0.39%
0.32%
0.28%
0.30%
0.31%
0.28%
0.22%
0.17%
0.15%
0.14%
0.13%
0.13%
0.15%
0.14%
0.13%
0.15%
0.14%
0.14%
0.14%
0.12%
0.11%
0.10%
0.09%
0.10%
0.10%
0.09%
0.10%

0.00%
5.94%
4.07%
-3.78%
-2.93%
3.93%
-1.52%
6.99%
-2.88%
-0.75%
-8.03%
7.51%
4.80%
-6.80%
-5.63%
7.15%
1.14%
-0.03%
-2.37%
-3.15%
-9.42%
3.83%
6.21%
2.70%
-0.92%
-1.80%
4.51%
-1.64%
-1.30%
-5.49%
-8.59%
0.55%
-7.35%
4.56%
5.75%
-3.97%
-2.14%
-1.41%
0.70%
6.92%
7.30%
0.96%

2.31%
2.49%
-0.91%
6.03%
1.66%
4.55%
2.31%
1.55%
-1.07%
-2.42%
1.41%
2.16%
-3.77%
0.27%
2.06%
1.78%
4.82%
3.52%
0.01%
0.24%
4.92%
1

-9.82%
1.66%
5.46%
-2.83%
0.27%
1.39%
1.87%
2.30%
1.41%
-5.88%
-0.51%
1.21%
1.55%
3.95%
0.96%
1.54%
-2.34%
2.50%
0.86%
0.08%
2.90%
1

0.07%
0.07%
0.08%
0.07%
0.07%
0.08%
0.07%
0.06%
0.09%
0.08%
0.06%
0.08%
0.10%
0.11%
0.11%
0.11%
0.15%
0.16%
0.22%
0.00%
0.16%
1

2.17%
3.02%
-0.77%
5.65%
1.93%
2.83%
2.59%
1.32%
-0.17%
-3.34%
1.35%
2.35%
-3.94%
0.29%
2.47%
1.82%
4.82%
3.09%
-1.52%

Total Monthly Returns for HML, S

DATES

HML

SMB

MOM

1/31/2000
2/29/2000
3/31/2000
4/28/2000
5/31/2000
6/30/2000
7/31/2000
8/31/2000
9/29/2000
10/31/2000
11/30/2000
12/29/2000
1/31/2001
2/28/2001
3/30/2001
4/30/2001
5/31/2001
6/29/2001
7/31/2001
8/31/2001
9/28/2001
10/31/2001
11/30/2001
12/31/2001
1/31/2002
2/28/2002
3/29/2002
4/30/2002
5/31/2002
6/28/2002
7/31/2002
8/30/2002
9/30/2002
10/31/2002
11/29/2002
12/31/2002
1/31/2003
2/28/2003
3/31/2003
4/30/2003
5/30/2003
6/30/2003
7/31/2003
8/29/2003
9/30/2003
10/31/2003

0.22%
12.66%
7.94%
9.07%
3.74%
-9.82%
8.39%
-1.34%
6.86%
4.86%
12.49%
6.07%
-5.62%
13.71%
6.23%
-4.47%
2.81%
-2.08%
5.54%
3.34%
1.68%
-7.00%
0.76%
0.38%
3.50%
3.96%
1.13%
4.21%
2.53%
1.52%
-3.61%
2.12%
1.17%
-6.57%
-1.57%
3.83%
-0.85%
-1.56%
-1.75%
0.05%
0.19%
0.56%
2.06%
1.77%
0.98%
1.78%

4.39%
-21.87%
-16.58%
-7.62%
-4.78%
13.46%
-2.86%
-1.11%
-1.79%
-3.60%
-3.14%
1.58%
6.89%
-1.16%
0.58%
0.24%
2.96%
6.49%
-4.23%
2.15%
-6.48%
6.82%
0.39%
5.10%
1.05%
-1.69%
4.29%
5.80%
-3.72%
3.54%
-5.11%
-2.24%
2.72%
3.00%
3.15%
-0.53%
1.41%
-0.32%
0.83%
1.16%
4.68%
1.47%
5.55%
2.60%
0.57%
2.88%

1.82%
18.40%
-6.78%
-8.48%
-9.13%
16.41%
-0.06%
5.74%
2.16%
-4.75%
-2.49%
6.85%
25.05%
12.66%
8.40%
-8.10%
2.15%
0.28%
5.59%
5.45%
11.53%
-8.42%
-8.60%
-0.01%
3.74%
6.85%
-1.70%
7.88%
3.22%
6.15%
3.38%
1.70%
9.16%
5.28%
16.27%
9.65%
1.53%
1.29%
1.51%
-9.48%
10.81%
-1.01%
-0.35%
-0.54%
-0.05%
3.71%

Rm

11/28/2003
12/31/2003
1/30/2004
2/27/2004
3/31/2004
4/30/2004
5/31/2004
6/30/2004
7/30/2004
8/31/2004
9/30/2004
10/29/2004
11/30/2004
12/31/2004
Expected Return
Variance
Standard Deviation
Correlation

1.39%
2.71%
1.66%
0.42%
0.02%
-1.79%
-0.23%
1.79%
4.44%
0.95%
0.35%
-0.98%
1.91%
-0.38%
1.74%
0.20%
4.42%
1

Exp. Return on Benchmark Portfolios

0.29%

2.21%
-2.87%
2.61%
-1.23%
1.83%
-2.49%
-0.22%
2.18%
-3.77%
-1.47%
2.82%
0.51%
4.10%
0.16%
0.19%
0.27%
5.21%
1

1.64%
-5.67%
2.56%
-1.11%
0.20%
-5.35%
1.64%
2.08%
-2.32%
-1.55%
5.29%
-1.54%
3.24%
-2.80%
2.35%
0.49%
6.99%
1

Total Monthly Returns for HML, SMB, MOM and 10 Industry Portfolio (Jan 2000 ~ Dec 2004)
Consumer Non
Durables
-4.81%
-6.22%
7.78%
-1.83%
7.24%
2.36%
0.83%
-1.81%
3.42%
7.37%
2.79%
5.27%
-1.90%
0.19%
-4.62%
0.91%
3.36%
-1.60%
-0.14%
2.46%
-2.56%
1.07%
2.08%
1.98%
1.92%
4.36%
3.73%
2.66%
1.45%
-5.77%
-6.72%
2.49%
-7.68%
5.26%
-1.28%
0.00%
-4.79%
-3.08%
-2.67%
4.69%
9.22%
1.57%
-2.33%
0.66%
1.11%
5.59%

Consumer
Durables
-0.75%
-8.40%
10.70%
9.51%
-13.29%
-9.49%
4.58%
7.90%
-3.69%
1.86%
-11.28%
1.44%
13.43%
-1.25%
-2.81%
8.18%
-2.85%
3.52%
3.18%
-11.14%
-16.87%
1.19%
15.18%
-0.77%
2.79%
3.17%
6.70%
1.99%
-0.45%
-83.90%
-11.98%
0.44%
-11.16%
-2.83%
12.02%
-6.57%
-3.57%
-4.86%
-2.86%
15.15%
2.79%
2.19%
6.65%
8.08%
-4.23%
7.23%

Manufacturing

Energy

Hi-Tech

Telecom

-7.55%
-2.96%
5.80%
1.28%
-1.54%
-1.09%
-0.61%
6.88%
-5.92%
4.58%
-3.65%
7.07%
-0.06%
-4.26%
-7.29%
8.46%
2.86%
-4.41%
0.54%
-1.96%
-12.73%
3.83%
8.37%
2.64%
1.68%
4.24%
4.96%
-1.49%
-0.29%
-3.07%
-8.48%
-1.29%
-8.25%
3.82%
6.12%
-3.77%
-4.03%
-2.19%
1.35%
6.29%
4.67%
0.54%
4.89%
4.12%
-3.69%
8.81%

0.89%
-5.56%
12.17%
-1.87%
9.50%
-5.27%
-2.54%
8.73%
4.45%
-2.92%
-2.62%
7.63%
-3.39%
0.06%
-0.18%
10.12%
0.11%
-7.55%
-2.29%
-3.47%
-5.54%
4.32%
-4.06%
5.96%
-2.88%
5.41%
7.65%
-4.57%
-0.73%
-0.11%
-11.85%
0.60%
-8.04%
3.23%
3.08%
0.83%
-2.42%
2.01%
1.32%
-0.49%
8.76%
-1.15%
-2.61%
6.24%
-2.28%
1.60%

-4.70%
18.09%
3.99%
-10.67%
-10.85%
12.95%
-5.17%
12.51%
-14.98%
-7.29%
-23.28%
-7.96%
16.55%
-25.94%
-13.59%
17.94%
-3.32%
1.47%
-7.58%
-12.66%
-18.92%
15.68%
15.89%
-0.61%
-0.57%
-13.21%
6.42%
-11.77%
-3.76%
-12.20%
-9.56%
-85.00%
-16.74%
19.34%
16.17%
-13.02%
-1.47%
1.28%
0.99%
9.21%
9.73%
0.25%
5.63%
6.06%
-0.89%
8.22%

-3.98%
-3.45%
7.53%
-7.90%
-10.05%
4.05%
-7.30%
-1.05%
-4.00%
-0.38%
-5.53%
-4.19%
14.22%
-9.61%
-5.83%
2.68%
-1.29%
-3.05%
72.00%
-9.26%
-2.46%
-9.42%
6.03%
2.75%
-7.22%
-2.39%
0.33%
-12.69%
2.98%
-14.38%
-11.68%
0.34%
-9.32%
21.34%
11.83%
-9.07%
3.48%
-6.44%
-0.57%
11.16%
6.23%
1.96%
-1.62%
1.39%
-5.64%
6.69%

3.78%
3.31%
0.13%
4.28%
-0.30%
1.51%
-2.19%
1.87%
-5.81%
0.83%
-1.76%
2.87%
4.52%
4.80%
0.86%
0.15%
3.81%
1

3.11%
11.96%
-0.96%
-0.23%
-1.13%
2.52%
-1.57%
5.45%
-4.79%
-2.38%
2.67%
-2.83%
7.10%
4.89%
-0.69%
1.70%
13.03%
1

2.06%
6.74%
-0.67%
2.00%
-0.22%
-0.21%
1.61%
5.33%
-4.07%
1.32%
1.90%
-1.38%
7.16%
2.59%
0.62%
0.22%
4.74%
1

0.61%
13.49%
0.33%
4.64%
-0.10%
2.51%
0.47%
5.44%
3.34%
-1.33%
8.77%
0.69%
6.47%
-2.19%
1.06%
0.27%
5.15%
1

1.90%
2.12%
4.48%
-2.91%
-2.57%
-4.89%
4.83%
2.63%
-8.47%
-4.42%
3.26%
5.01%
5.85%
3.16%
-2.12%
2.31%
15.19%
1

-0.62%
7.36%
1.43%
-0.79%
-2.42%
-0.49%
-2.90%
0.60%
-1.30%
1.29%
1.35%
3.27%
3.45%
4.22%
0.36%
1.34%
11.56%
1

004)
Shops

Health

Utilities

Other

-11.20%
-3.82%
13.44%
-4.46%
-2.66%
-2.32%
-1.43%
-2.48%
2.78%
-1.46%
-1.41%
5.71%
6.41%
-5.36%
-2.89%
5.64%
1.54%
-2.45%
4.62%
-7.01%
-9.53%
1.62%
10.14%
4.55%
2.80%
0.06%
2.01%
-1.38%
-1.30%
-5.08%
-11.27%
1.91%
-9.37%
5.71%
1.85%
-6.88%
-4.76%
-1.19%
4.60%
8.85%
3.39%
3.46%
3.35%
6.72%
-4.51%
9.03%

7.57%
-2.67%
0.11%
5.17%
3.98%
10.70%
-6.19%
3.61%
3.68%
2.59%
0.76%
3.53%
-8.95%
-0.48%
8.46%
4.02%
3.02%
-2.81%
2.23%
-3.12%
-0.61%
1.20%
5.03%
-2.88%
-2.35%
-0.51%
0.47%
-7.60%
-2.23%
9.61%
-2.58%
0.67%
-5.85%
5.69%
3.00%
-4.07%
-0.59%
-2.01%
3.79%
4.12%
3.92%
4.10%
0.63%
-2.54%
0.23%
0.72%

5.64%
-7.16%
5.70%
7.55%
3.90%
-4.70%
4.41%
11.57%
9.58%
-2.18%
3.03%
6.53%
-10.30%
6.24%
1.30%
5.47%
0.01%
-6.22%
-3.66%
0.42%
-6.39%
1.40%
-1.61%
3.85%
-4.07%
-0.26%
10.04%
-0.56%
-6.47%
-5.33%
-12.30%
3.36%
-10.86%
-0.68%
1.62%
3.84%
-3.12%
-3.92%
4.35%
7.35%
10.11%
0.66%
-5.25%
1.91%
3.91%
1.58%

-4.69%
-6.96%
14.05%
-3.37%
3.42%
-2.82%
5.58%
8.98%
0.38%
-0.91%
-5.87%
7.14%
0.05%
-4.26%
-4.11%
5.78%
3.73%
0.05%
-2.33%
-5.33%
-8.30%
-0.50%
7.93%
3.25%
-2.90%
-0.49%
5.31%
-3.72%
-0.44%
-5.43%
-6.46%
1.07%
-10.73%
6.39%
4.66%
-5.00%
-2.30%
-2.60%
0.77%
11.78%
5.31%
0.94%
3.57%
0.64%
0.30%
6.41%

Rm
-2.36%
-2.91%
8.13%
-0.66%
-1.04%
0.44%
-0.78%
5.48%
-0.43%
0.13%
-4.71%
3.22%
2.61%
-4.47%
-3.16%
6.92%
0.72%
-2.31%
6.66%
-5.11%
-8.39%
2.04%
6.50%
2.07%
-1.08%
0.04%
4.76%
-3.91%
-1.12%
-12.57%
-9.29%
-7.54%
-9.80%
6.73%
5.91%
-4.37%
-2.36%
-2.30%
1.11%
7.81%
6.41%
1.45%
1.29%
3.33%
-1.57%
5.59%

0.60%
-2.15%
0.43%
6.07%
0.28%
-2.66%
0.27%
0.06%
-4.00%
-1.15%
2.55%
3.08%
3.60%
3.42%
0.27%
0.26%
5.15%
1

1.62%
5.69%
3.03%
0.90%
-3.90%
3.57%
-0.38%
-0.38%
-5.89%
1.66%
-1.41%
-2.40%
0.66%
5.65%
0.88%
0.17%
4.08%
1

0.95%
5.81%
1.91%
2.06%
1.16%
-3.51%
1.28%
2.01%
0.99%
3.61%
1.36%
4.18%
5.04%
2.39%
0.99%
0.27%
5.21%
1

1.08%
4.50%
2.73%
2.00%
-0.57%
-3.83%
2.07%
1.54%
-2.40%
1.90%
1.28%
1.23%
4.93%
4.41%
0.65%
0.24%
4.88%
1

1.51%
5.88%
1.28%
1.80%
-0.98%
-0.55%
0.35%
2.46%
-3.24%
0.13%
2.00%
1.37%
4.88%
3.33%
0.29%

Yearly Returns (January 1963 to 2004)

Security

Value Weighted Market

Long-Term Government Bonds
HML
SMB
MOM
NonDurables
Durables
Manufacturing
Energy
Hi-Tech
Telecom
Shops
Health
Utilities
Other

Average Annual Return

12.17%
7.96%
6.19%
3.90%
10.99%
14.65%
12.39%
12.58%
13.99%
13.39%
11.64%
14.39%
14.44%
11.04%
13.87%

1.01%
0.66%
0.52%
0.33%
0.92%
1.22%
1.03%
1.05%
1.17%
1.12%
0.97%
1.20%
1.20%
0.92%
1.16%

Total Monthly Returns (Jan 2000 ~ Dec 2004)

1/31/2000
2/29/2000
3/31/2000
4/28/2000
5/31/2000
6/30/2000
7/31/2000
8/31/2000
9/29/2000
10/31/2000
11/30/2000
12/29/2000
1/31/2001
2/28/2001
3/30/2001
4/30/2001
5/31/2001
6/29/2001
7/31/2001
8/31/2001
9/28/2001
10/31/2001
11/30/2001
12/31/2001
1/31/2002
2/28/2002
3/29/2002
4/30/2002
5/31/2002
6/28/2002
7/31/2002
8/30/2002
9/30/2002
10/31/2002
11/29/2002
12/31/2002
1/31/2003
2/28/2003
3/31/2003
4/30/2003
5/30/2003
6/30/2003
7/31/2003
8/29/2003
9/30/2003

Goldman Sachs
CORE Large Cap
Growth
-5.0%
4.5%
6.1%
-5.0%
-4.8%
7.2%
-3.7%
10.4%
-9.1%
-5.0%
-15.3%
-8.8%
6.4%
-17.1%
-11.7%
13.4%
-1.3%
-2.3%
-3.7%
-7.8%
-8.9%
4.2%
8.6%
0.3%
-2.4%
-3.8%
2.5%
-6.2%
-2.5%
-9.3%
-6.0%
1.2%
-9.8%
9.0%
3.1%
-6.1%
-2.5%
-1.2%
2.2%
6.0%
5.5%
2.4%
2.6%
2.7%
0.9%

DFA Tax-Managed
U.S. Small Cap
Value
-2.1%
5.8%
4.2%
-1.9%
-3.0%
2.5%
0.5%
6.8%
-1.4%
-2.3%
-4.8%
8.4%
9.3%
-1.2%
-3.3%
6.9%
4.6%
3.4%
-1.6%
-2.0%
-16.2%
5.4%
9.4%
7.3%
0.4%
-1.2%
9.6%
1.7%
-3.8%
-4.8%
-16.0%
-0.8%
-8.5%
1.7%
9.0%
-4.4%
-2.8%
-4.0%
10.0%
10.7%
11.6%
3.6%
6.3%
5.1%
-1.0%

10/31/2003
11/28/2003
12/31/2003
1/30/2004
2/27/2004
3/31/2004
4/30/2004
5/31/2004
6/30/2004
7/30/2004
8/31/2004
9/30/2004
10/29/2004
11/30/2004
12/31/2004
Expected Return
Variance
Standard Deviation
Correlation

4.8%
1.8%
3.3%
2.3%
0.4%
-1.2%
0.6%
1.5%
1.5%
-5.8%
0.0%
2.2%
0.5%
4.7%
3.8%
-0.66%
0.38%
6.16%
1

10.0%
4.4%
3.7%
4.1%
1.6%
0.9%
-4.0%
0.5%
5.1%
-5.8%
-1.2%
5.1%
0.9%
9.7%
1.9%
1.57%
0.35%
5.92%
1
Returns

Goldman Sachs CORE Large Cap Growth

DFA Tax-Managed U.S. Small Cap Value
Diversified Special Equity Inv
T Rowe Price Blue Chip Growth

Beta
-5%
-5%
-15%
0%

Rf
0.52%
0.52%
0.52%
0.52%

Monthly Returns (Jan 2000 ~ Dec 2004)

Diversified Special
Equity Inv

T Rowe Price Blue

Chip Growth

Rm

Rf

-2.4%
18.3%
-3.5%
-5.8%
-6.0%
9.7%
-6.5%
9.2%
-6.3%
-4.0%
-10.9%
11.9%
5.4%
-7.4%
-6.2%
7.8%
2.7%
3.8%
-3.3%
-5.0%
14.3%
4.5%
7.2%
6.6%
-1.9%
-3.5%
6.8%
-1.2%
-3.1%
-5.3%
-15.5%
0.0%
-6.4%
4.1%
5.7%
-5.2%
-2.1%
-3.3%
1.7%
7.3%
9.3%
3.2%
6.1%
6.5%
-1.6%

-3.2%
1.1%
8.7%
-3.1%
-2.2%
6.0%
-1.9%
8.5%
-5.0%
-2.3%
-9.7%
-2.2%
1.4%
-10.7%
-8.5%
10.1%
0.7%
-2.5%
-2.5%
-7.0%
-7.1%
3.9%
7.9%
1.4%
-2.9%
-2.9%
4.7%
-6.2%
-1.7%
-8.7%
-7.3%
1.8%
-10.4%
9.7%
5.0%
-6.4%
-2.0%
-1.0%
1.8%
8.3%
5.2%
1.4%
2.2%
1.3%
-1.5%

-2.36%
-2.91%
8.13%
-0.66%
-1.04%
0.44%
-0.78%
5.48%
-0.43%
0.13%
-4.71%
3.22%
2.61%
-4.47%
-3.16%
6.92%
0.72%
-2.31%
6.66%
-5.11%
-8.39%
2.04%
6.50%
2.07%
-1.08%
0.04%
4.76%
-3.91%
-1.12%
-12.57%
-9.29%
-7.54%
-9.80%
6.73%
5.91%
-4.37%
-2.36%
-2.30%
1.11%
7.81%
6.41%
1.45%
1.29%
3.33%
-1.57%

0.00%
5.94%
4.07%
-3.78%
-2.93%
3.93%
-1.52%
6.99%
-2.88%
-0.75%
-8.03%
7.51%
4.80%
-6.80%
-5.63%
7.15%
1.14%
-0.03%
-2.37%
-3.15%
-9.42%
3.83%
6.21%
2.70%
-0.92%
-1.80%
4.51%
-1.64%
-1.30%
-5.49%
-8.59%
0.55%
-7.35%
4.56%
5.75%
-3.97%
-2.14%
-1.41%
0.70%
6.92%
7.30%
0.96%
2.17%
3.02%
-0.77%

8.7%
4.0%
0.6%
4.6%
0.7%
1.0%
-4.9%
0.9%
3.3%
-6.5%
-1.9%
5.6%
2.1%
7.0%
2.6%
1.06%
0.42%
6.44%
1
Returns
Rm
0.29%
0.52%
0.00%
0.00%

5.4%
1.0%
4.7%
2.0%
0.9%
-1.0%
-2.2%
1.7%
1.6%
-4.7%
-0.1%
1.9%
1.5%
4.2%
3.1%
-0.13%
0.26%
5.11%
1

Rm-Rf
-0.23%
0.00%
-0.52%
-0.52%

CAPM
0.53%
0.52%
0.60%
0.52%

5.59%
1.51%
5.88%
1.28%
1.80%
-0.98%
-0.55%
0.35%
2.46%
-3.24%
0.13%
2.00%
1.37%
4.88%
3.33%
0.29%

5.65%
1.93%
2.83%
2.59%
1.32%
-0.17%
-3.34%
1.35%
2.35%
-3.94%
0.29%
2.47%
1.82%
4.82%
3.09%
0.52%

HML
1.74%
1.74%
1.74%
1.74%

Returns
SMB
0.19%
0.19%
0.19%
0.19%

Rm - Rf
-2.36%
-8.85%
4.06%
3.12%
1.90%
-3.49%
0.73%
-1.50%
2.45%
0.88%
3.32%
-4.30%
-2.19%
2.34%
2.47%
-0.23%
-0.42%
-2.28%
9.03%
-1.96%
1.03%
-1.79%
0.29%
-0.63%
-0.16%
1.84%
0.25%
-2.27%
0.17%
-7.07%
-0.70%
-8.09%
-2.45%
2.17%
0.15%
-0.40%
-0.22%
-0.89%
0.41%
0.89%
-0.88%
0.49%
-0.88%
0.31%
-0.80%

-0.06%
-0.42%
3.06%
-1.30%
0.48%
-0.80%
2.80%
-1.00%
0.10%
0.70%
-0.16%
-0.47%
-0.45%
0.06%
0.24%
-0.23%

Returns
MOM
2.35%
2.35%
2.35%
2.35%

3 Factor Model
2.46%
2.45%
2.53%
2.45%

4 Factor Model
4.81%
4.80%
4.88%
4.80%

Total Monthly Returns (Jan 2000 ~ Dec 2004)

1/31/2000
2/29/2000
3/31/2000
4/28/2000
5/31/2000
6/30/2000
7/31/2000
8/31/2000
9/29/2000
10/31/2000
11/30/2000
12/29/2000
1/31/2001
2/28/2001
3/30/2001
4/30/2001
5/31/2001
6/29/2001
7/31/2001
8/31/2001
9/28/2001
10/31/2001
11/30/2001
12/31/2001
1/31/2002
2/28/2002
3/29/2002
4/30/2002
5/31/2002
6/28/2002
7/31/2002
8/30/2002
9/30/2002
10/31/2002
11/29/2002
12/31/2002
1/31/2003
2/28/2003
3/31/2003
4/30/2003
5/30/2003
6/30/2003
7/31/2003

Yahoo
-25.6%
-0.8%
7.3%
-24.0%
-13.2%
9.6%
3.9%
-5.6%
-25.1%
-35.6%
-32.4%
-24.1%
24.1%
-36.2%
-33.9%
28.1%
-10.3%
10.4%
-11.9%
-32.7%
-25.7%
23.5%
43.1%
13.9%
-2.8%
-16.1%
27.7%
-20.1%
8.5%
-7.9%
-10.8%
-21.9%
-7.0%
55.9%
22.5%
-10.5%
11.3%
14.6%
15.2%
3.1%
20.5%
9.6%
-4.8%

Altria
-9.2%
-3.3%
7.1%
3.6%
19.4%
3.6%
-4.9%
17.3%
1.2%
24.4%
4.3%
16.7%
0.0%
9.5%
-0.5%
5.6%
2.6%
-0.2%
-10.3%
4.2%
3.1%
-3.1%
0.8%
-1.6%
9.3%
5.1%
1.1%
3.3%
5.2%
-22.7%
5.4%
8.6%
-21.3%
5.0%
-7.4%
9.1%
-6.6%
2.1%
-21.1%
2.7%
34.3%
11.6%
-11.9%

8/29/2003
9/30/2003
10/31/2003
11/28/2003
12/31/2003
1/30/2004
2/27/2004
3/31/2004
4/30/2004
5/31/2004
6/30/2004
7/30/2004
8/31/2004
9/30/2004
10/29/2004
11/30/2004
12/31/2004
Expected Return
Variance
Standard Deviation
Correlation

7.3%
6.0%
23.5%
-1.6%
4.7%
4.3%
-5.6%
9.3%
4.2%
21.4%
18.7%
-15.4%
-7.4%
18.9%
6.7%
4.0%
0.2%
0.22%
3.91%
19.77%
1

3.0%
8.0%
6.2%
11.8%
6.0%
2.1%
3.5%
-4.2%
1.7%
-13.4%
5.8%
-4.9%
2.8%
-2.5%
3.0%
18.6%
7.6%
2.62%
1.01%
10.05%
1

Avg. Return
0.2%