You are on page 1of 6

Copyright

Multifactor Models
Harvard Business School Case 9-207-056
Courseware 9-207-710

This courseware was prepared solely as the basis for class discussion. Cases are not intended
to serve as endorsements, sources of primary data, or illustrations of effective or ineffective
management. Copyright © 2007 President and Fellows of Harvard College. No part of this product
may be reproduced, stored in a retrieval system, used in a spreadsheet or transmitted in any form
or by any means—electronic, mechanical, photocopying, recording or otherwise—without the
permission of Harvard Business School.

1
Exhibit 1 Total Monthly Returns on Benchmark Portfolios (January 2000 to December 2004)

Long-Term
Russell Russell Russell Russell Russell Russell Russell Russell Value-Weighted Government Treasury
Month S&P 500 1000 Value 1000 Growth Midcap Midcap Growth Midcap Value 2000 2000 Growth 2000 Value Market Bonds Bills

1/31/2000 -5.10% -3.39% -4.72% -3.30% 0.00% -6.10% -1.70% -0.90% -2.70% -3.98% 2.28% 0.41%
2/29/2000 -2.00% -7.66% 4.85% 7.70% 21.00% -4.40% 16.40% 23.20% 5.90% 3.17% 2.64% 0.43%
3/31/2000 9.70% 12.01% 7.09% 5.70% 0.10% 11.80% -6.70% -10.50% 0.20% 5.35% 3.67% 0.47%
4/28/2000 -3.10% -1.31% -4.79% -4.70% -9.70% 0.30% -6.10% -10.10% 0.40% -5.95% -0.76% 0.46%
5/31/2000 -2.20% 0.81% -5.08% -2.60% -7.30% 1.50% -5.90% -8.80% -1.70% -3.90% -0.54% 0.50%
6/30/2000 2.40% -4.80% 7.70% 3.00% 10.60% -3.90% 8.60% 12.90% 2.60% 5.16% 2.44% 0.40%
7/31/2000 -1.60% 1.20% -4.40% -1.10% -6.30% 2.20% -3.30% -8.60% 3.20% -1.71% 1.73% 0.48%
8/31/2000 6.10% 5.30% 9.20% 9.60% 15.10% 5.90% 7.50% 10.50% 4.10% 7.64% 2.40% 0.50%
9/29/2000 -5.30% 0.80% -9.50% -1.40% -4.90% 0.80% -3.10% -5.00% -0.80% -5.11% -1.57% 0.51%
10/31/2000 -0.50% 2.30% -4.70% -1.50% -6.80% 1.80% -4.60% -8.10% -0.50% -2.46% 1.87% 0.56%
11/30/2000 -8.00% -3.90% -14.80% -9.00% -21.70% -1.50% -10.40% -18.20% -2.30% -10.25% 3.19% 0.51%
12/29/2000 0.40% 4.90% -3.20% 7.60% 5.30% 8.60% 8.40% 6.10% 10.50% 2.03% 2.43% 0.50%
1/31/2001 3.50% 0.20% 6.90% 1.60% 5.70% -0.50% 5.10% 8.10% 2.60% 3.95% 0.05% 0.54%
2/28/2001 -9.20% -3.00% -17.00% -6.10% -17.30% -0.60% -6.70% -13.70% -0.40% -9.93% 1.91% 0.39%
3/30/2001 -6.40% -3.60% -10.90% -6.20% -14.30% -2.90% -5.00% -9.10% -1.80% -7.03% -0.74% 0.44%
4/30/2001 7.70% 4.80% 12.60% 8.60% 16.70% 5.40% 7.70% 12.20% 4.50% 8.39% -3.13% 0.39%
5/31/2001 0.50% 2.00% -1.50% 1.90% -0.50% 2.60% 2.30% 2.30% 2.30% 1.06% 0.37% 0.32%
6/29/2001 -2.50% -2.30% -2.30% -0.90% 0.00% -1.50% 3.30% 2.70% 3.80% -1.75% 0.85% 0.28%
7/31/2001 -1.10% -0.30% -2.60% -2.90% -6.80% -0.50% -5.50% -8.60% -2.40% -1.83% 3.76% 0.30%
8/31/2001 -6.40% -4.20% -8.20% -4.00% -7.30% -2.00% -3.30% -6.30% -0.50% -5.91% 2.06% 0.31%
9/28/2001 -8.20% -7.20% -10.00% -12.20% -16.60% -9.70% -13.60% -16.20% -11.30% -9.15% 0.81% 0.28%
10/31/2001 1.80% -1.00% 5.20% 3.90% 10.50% 0.40% 5.80% 9.60% 2.40% 2.80% 4.64% 0.22%
11/30/2001 7.50% 5.60% 9.50% 8.20% 10.70% 6.80% 7.60% 8.30% 7.00% 7.87% -4.71% 0.17%
12/31/2001 0.80% 2.20% -0.30% 3.80% 3.80% 3.90% 6.00% 6.20% 5.90% 1.78% -1.83% 0.15%
1/31/2002 -1.60% -0.90% -1.80% -0.70% -3.30% 0.90% -1.10% -3.60% 1.20% -1.61% 1.38% 0.14%
2/28/2002 -2.10% 0.00% -4.20% -1.20% -5.70% 1.40% -2.80% -6.50% 0.40% -2.17% 1.15% 0.13%
3/29/2002 3.70% 4.60% 3.40% 5.90% 7.60% 4.90% 7.90% 8.60% 7.30% 4.47% -4.36% 0.13%
4/30/2002 -6.10% -3.60% -8.20% -2.00% -5.30% -0.20% 0.80% -2.20% 3.40% -4.96% 4.10% 0.15%
5/31/2002 -0.90% 0.30% -2.50% -1.30% -3.00% -0.40% -4.50% -5.90% -3.50% -1.05% 0.15% 0.14%
6/28/2002 -7.20% -5.90% -9.30% -6.80% -11.10% -4.60% -5.10% -8.50% -2.40% -7.02% 1.87% 0.13%
7/31/2002 -7.90% -9.50% -5.60% -9.90% -9.70% -9.90% -15.20% -15.40% -15.00% -8.11% 3.03% 0.15%
8/30/2002 0.50% 0.50% 0.20% 0.40% -0.40% 0.90% -0.40% -0.10% -0.60% 0.80% 4.64% 0.14%
9/30/2002 -11.00% -11.30% -10.50% -9.40% -8.00% -10.30% -7.30% -7.30% -7.40% -10.00% 4.17% 0.14%
10/31/2002 8.60% 7.20% 9.10% 4.90% 7.70% 3.00% 3.10% 5.00% 1.40% 7.50% -2.94% 0.14%
11/29/2002 5.70% 6.00% 5.30% 6.80% 7.80% 6.00% 8.80% 9.80% 7.80% 6.13% -1.22% 0.12%
12/31/2002 -6.00% -4.50% -7.00% -4.10% -6.10% -2.60% -5.70% -7.00% -4.50% -5.33% 5.07% 0.11%
1/31/2003 -2.70% -2.60% -2.50% -2.10% -1.00% -2.90% -2.90% -2.80% -2.90% -2.34% -1.06% 0.10%
2/28/2003 -1.70% -2.90% -0.60% -1.50% -0.90% -1.90% -3.10% -2.70% -3.50% -1.54% 3.29% 0.09%
3/31/2003 0.80% 0.00% 1.80% 0.80% 1.80% 0.10% 1.10% 1.40% 0.80% 1.03% -1.35% 0.10%
4/30/2003 8.10% 8.60% 7.30% 7.20% 6.80% 7.50% 9.40% 9.40% 9.30% 8.28% 1.02% 0.10%
5/30/2003 5.10% 6.20% 4.90% 9.00% 9.60% 8.50% 10.60% 11.20% 10.10% 6.35% 5.92% 0.09%
6/30/2003 1.10% 1.10% 1.30% 0.90% 1.40% 0.50% 1.70% 1.80% 1.50% 1.63% -1.54% 0.10%
7/31/2003 1.60% 1.30% 2.40% 3.20% 3.50% 3.00% 6.20% 7.50% 4.80% 2.31% -9.82% 0.07%
8/29/2003 1.80% 1.30% 2.40% 4.20% 5.50% 3.30% 4.50% 5.30% 3.70% 2.49% 1.66% 0.07%
9/30/2003 -1.20% -1.20% -1.20% -1.40% -2.00% -1.00% -2.00% -2.60% -1.30% -0.91% 5.46% 0.08%
10/31/2003 5.50% 5.90% 5.50% 7.50% 8.00% 7.20% 8.30% 8.60% 8.00% 6.03% -2.83% 0.07%
11/28/2003 0.70% 1.10% 0.90% 2.70% 2.60% 2.70% 3.50% 3.20% 3.70% 1.66% 0.27% 0.07%
12/31/2003 5.10% 5.90% 3.30% 2.80% 1.00% 4.10% 1.90% 0.40% 3.40% 4.55% 1.39% 0.08%
1/30/2004 1.70% 1.60% 2.00% 2.80% 3.30% 2.50% 4.30% 5.20% 3.40% 2.31% 1.87% 0.07%
2/27/2004 1.20% 1.90% 0.50% 2.00% 1.60% 2.30% 0.80% -0.20% 1.80% 1.55% 2.30% 0.06%
3/31/2004 -1.60% -1.10% -1.90% -0.10% -0.20% 0.00% 0.80% 0.40% 1.20% -1.07% 1.41% 0.09%
4/30/2004 -1.70% -2.60% -1.20% -3.70% -2.90% -4.30% -5.20% -5.00% -5.30% -2.42% -5.88% 0.08%
5/31/2004 1.20% 0.80% 1.80% 2.30% 2.30% 2.30% 1.50% 1.90% 1.10% 1.41% -0.51% 0.06%
6/30/2004 1.80% 2.20% 1.10% 2.60% 1.50% 3.30% 4.10% 3.30% 4.90% 2.16% 1.21% 0.08%
7/30/2004 -3.40% -1.60% -5.70% -4.50% -6.70% -2.80% -6.80% -9.00% -4.70% -3.77% 1.55% 0.10%
8/31/2004 0.20% 1.20% -0.60% 0.30% -1.30% 1.40% -0.60% -2.20% 0.80% 0.27% 3.95% 0.11%
9/30/2004 0.90% 1.30% 0.90% 3.10% 3.70% 2.70% 4.60% 5.50% 3.80% 2.06% 0.96% 0.11%
10/29/2004 1.40% 1.50% 1.50% 2.70% 3.40% 2.20% 1.90% 2.40% 1.40% 1.78% 1.54% 0.11%
11/30/2004 3.90% 4.80% 3.30% 5.90% 5.10% 6.50% 8.60% 8.40% 8.70% 4.82% -2.34% 0.15%
12/31/2004 3.20% 3.10% 3.80% 4.10% 4.70% 3.60% 2.80% 3.50% 2.10% 3.52% 2.50% 0.16%

Monthly Return -0.21% 0.34% -0.68% 0.65% 0.02% 0.97% 0.62% 0.00% 1.27% 0.02% 0.86% 0.22%
Yearly Return -2.47% 4.11% -7.91% 8.11% 0.26% 12.30% 7.72% -0.04% 16.28% 0.21% 10.87% 2.70%
Monthly VAR 0.22% 0.19% 0.38% 0.26% 0.67% 0.19% 0.40% 0.69% 0.23% 0.24% 0.08% 0.00%
Exhibit 2 Total Monthly Returns for HML, SMB, MOM, and 10 Industry Portfolios (January 2000 to December 2004)

Consumer Consumer
Month HML SMB MOM Nondurables Durables Manufacturing Energy Hi-Tech Telecom Shops Health Utilities Energy

1/31/2000 0.22% 4.39% 1.82% -4.81% -0.75% -7.55% 0.89% -4.70% -3.98% -11.20% 7.57% 5.64% -4.69%
2/29/2000 12.66% -21.87% 18.40% -6.22% -8.40% -2.96% -5.56% 18.09% -3.45% -3.82% -2.67% -7.16% -6.96%
3/31/2000 7.94% -16.58% -6.78% 7.78% 10.70% 5.80% 12.17% 3.99% 7.53% 13.44% 0.11% 5.70% 14.05%
4/28/2000 9.07% -7.62% -8.48% -1.83% 9.51% 1.28% -1.87% -10.67% -7.90% -4.46% 5.17% 7.55% -3.37%
5/31/2000 3.74% -4.78% -9.13% 7.24% -13.29% -1.54% 9.50% -10.85% -10.05% -2.66% 3.98% 3.90% 3.42%
6/30/2000 -9.82% 13.46% 16.41% 2.36% -9.49% -1.09% -5.27% 12.95% 4.05% -2.32% 10.70% -4.70% -2.82%
7/31/2000 8.39% -2.86% -0.06% 0.83% 4.58% -0.61% -2.54% -5.17% -7.30% -1.43% -6.19% 4.41% 5.58%
8/31/2000 -1.34% -1.11% 5.74% -1.81% 7.90% 6.88% 8.73% 12.51% -1.05% -2.48% 3.61% 11.57% 8.98%
9/29/2000 6.86% -1.79% 2.16% 3.42% -3.69% -5.92% 4.45% -14.98% -4.00% 2.78% 3.68% 9.58% 0.38%
### 4.86% -3.60% -4.75% 7.37% 1.86% 4.58% -2.92% -7.29% -0.38% -1.46% 2.59% -2.18% -0.91%
### 12.49% -3.14% -2.49% 2.79% -11.28% -3.65% -2.62% -23.28% -15.53% -1.41% 0.76% 3.03% -5.87%
### 6.07% 1.58% 6.85% 5.27% 1.44% 7.07% 7.63% -7.96% -4.19% 5.71% 3.53% 6.53% 7.14%
1/31/2001 -5.62% 6.89% 25.05% -1.90% 13.43% -0.06% -3.39% 16.55% 14.22% 6.41% -8.95% -10.30% 0.05%
2/28/2001 13.71% -1.16% 12.66% 0.19% -1.25% -4.26% 0.06% -25.94% -9.61% -5.36% -0.48% 6.24% -4.26%
3/30/2001 6.23% 0.58% 8.40% -4.62% -2.81% -7.29% -0.18% -13.59% -5.83% -2.89% -8.46% 1.63% -4.11%
4/30/2001 -4.47% 0.24% -8.10% 0.91% 8.18% 8.46% 10.12% 17.94% 2.68% 5.64% 4.02% 5.47% 5.78%
5/31/2001 2.81% 2.96% 2.15% 3.36% -2.85% 2.86% 0.11% -3.32% -1.29% 1.54% 3.02% 0.01% 3.73%
6/29/2001 -2.08% 6.49% 0.28% -1.60% 3.52% -4.41% -7.55% 1.47% -3.05% -2.45% -2.81% -6.22% 0.05%
7/31/2001 5.54% -4.23% 5.59% -0.14% 3.18% 0.54% -2.29% -7.58% -0.72% 4.62% 2.28% -3.66% -2.33%
8/31/2001 3.34% 2.15% 5.45% 2.46% -11.14% -1.96% -3.47% -12.66% -9.26% -7.01% -3.12% 0.42% -5.33%
9/28/2001 1.68% -6.48% 11.53% -2.56% -16.87% -12.73% -5.54% -18.92% -2.46% -9.53% -0.61% -6.39% -8.30%
### -7.00% 6.82% -8.42% 1.07% 1.19% 3.83% 4.32% 15.68% -9.42% 1.62% 1.20% 1.40% -0.50%
### 0.76% 0.39% -8.60% 2.08% 15.18% 8.37% -4.06% 15.89% 6.03% 10.14% 5.03% -1.61% 7.93%
### 0.38% 5.10% -0.01% 1.98% -0.77% 2.64% 5.96% -0.61% 2.75% 4.55% -2.88% 3.85% 3.25%
1/31/2002 3.50% 1.05% 3.74% 1.92% 2.79% 1.68% -2.88% -0.57% -7.22% 2.80% -2.35% -4.07% -2.90%
2/28/2002 3.96% -1.69% 6.85% 4.36% 3.17% 4.24% 5.41% -13.21% -2.39% -0.06% -0.51% -0.26% -0.49%
3/29/2002 1.13% 4.29% -1.70% 3.73% 6.70% 4.96% 7.65% 6.42% 0.33% 2.01% 0.47% 10.04% 5.31%
4/30/2002 4.21% 5.80% 7.88% 2.66% 1.99% -1.49% -4.57% -11.77% -12.69% -1.38% -7.60% -0.56% -3.72%
5/31/2002 2.53% -3.72% 3.22% 1.45% -0.45% -0.29% -0.73% -3.76% 2.98% -1.30% -2.23% -6.47% -0.44%
6/28/2002 1.52% 3.54% 6.15% -5.77% -8.39% -3.07% -0.11% -12.20% -14.38% -5.08% -9.61% -5.33% -5.43%
7/31/2002 -3.61% -5.11% 3.38% -6.72% -11.98% -8.48% -11.85% -9.56% -11.68% -11.27% -2.58% -12.30% -6.46%
8/30/2002 2.12% -2.24% 1.70% 2.49% 0.44% -1.29% 0.60% -0.85% 0.34% 1.91% 0.67% 3.36% 1.07%
9/30/2002 1.17% 2.72% 9.16% -7.68% -11.16% -8.25% -8.04% -16.74% -9.32% -9.37% -5.85% -10.86% -10.73%
### -6.57% -3.00% -5.28% 5.26% -2.83% 3.82% 3.23% 19.34% 21.34% 5.71% 5.69% -0.68% 6.39%
### -1.57% 3.15% 16.27% -1.28% 12.02% 6.12% 3.08% 16.17% 11.83% 1.85% 3.70% 1.62% 4.66%
### 3.83% -0.53% 9.65% 0.00% -6.57% -3.77% 0.83% -13.02% -9.07% -6.88% -4.07% 3.84% -5.00%
1/31/2003 -0.85% 1.41% 1.53% -4.79% -3.57% -4.03% -2.42% -1.47% -3.48% -4.76% -0.59% -3.12% -2.30%
2/28/2003 -1.56% -0.32% 1.29% -3.08% -4.86% -2.19% 2.01% 1.28% -6.44% -1.19% -2.01% -3.92% -2.60%
3/31/2003 -1.75% 0.83% 1.51% -2.67% -2.67% 1.35% 1.32% -0.99% -0.57% 4.61% 3.79% 4.35% 0.77%
4/30/2003 0.05% 1.16% -9.48% 4.69% 15.15% 6.29% -0.49% 9.21% 11.16% 8.85% 4.12% 7.35% 11.78%
5/30/2003 0.19% 4.68% 10.81% 9.22% 2.79% 4.67% 8.76% 9.73% 6.23% 3.39% 3.92% 10.11% 5.31%
6/30/2003 0.56% 1.47% -1.01% 1.57% 2.19% 0.54% -1.15% 0.25% 1.96% 3.46% 4.10% 0.66% 0.94%
7/31/2003 -2.06% 5.55% -0.35% -2.33% 6.65% 4.89% -2.61% 5.63% -1.62% 3.35% 0.63% -5.25% 3.57%
8/29/2003 1.77% 2.60% -0.54% 0.66% 8.08% 4.12% 6.24% 6.06% 1.39% 6.72% -2.54% 1.91% 0.64%
9/30/2003 0.98% 0.57% -0.05% 1.11% -4.23% -3.69% -2.28% -0.89% -5.64% -4.51% 0.23% 3.91% 0.30%
### 1.78% 2.88% 3.71% 5.59% 7.23% 8.81% 1.60% 8.22% 6.69% 9.03% 0.72% 1.58% 6.41%
### 1.39% 2.21% 1.64% 3.78% 3.11% 2.06% 0.61% 1.90% -0.62% 0.60% 1.62% 0.95% 1.08%
### 2.71% -2.87% -5.67% 3.31% 11.96% 6.74% 13.49% 2.12% 7.36% -2.15% 5.69% 5.81% 4.50%
1/30/2004 1.66% 2.61% 2.56% 0.13% -0.96% -0.67% 0.33% 4.48% 1.43% 0.43% 3.03% 1.91% 2.73%
2/27/2004 0.42% -1.23% -1.11% 4.28% -0.23% 2.00% 4.64% -2.91% -0.79% 6.07% 0.90% 2.06% 2.00%
3/31/2004 0.02% 1.83% 0.20% -0.30% -1.13% -0.22% -0.10% -2.57% -2.42% 0.28% -3.90% 1.16% -0.57%
4/30/2004 -1.79% -2.49% -5.35% 1.51% 2.52% -0.21% 2.51% -4.89% -0.49% -2.66% 3.57% -3.51% -3.83%
5/31/2004 -0.23% -0.22% 1.64% -2.19% -1.57% 1.61% 0.47% 4.83% -2.90% 0.27% -0.38% 1.28% 2.07%
6/30/2004 1.79% 2.18% 2.08% 1.87% 5.45% 5.33% 5.44% 2.63% 0.60% 0.06% -0.38% 2.01% 1.54%
7/30/2004 4.44% -3.77% -2.32% -5.81% -4.79% -4.07% 3.34% -8.47% -1.30% -4.00% -5.89% 0.99% -2.40%
8/31/2004 0.95% -1.47% -1.55% 0.83% -2.38% 1.32% -1.33% -4.42% 1.29% -1.15% 1.66% 3.61% 1.90%
9/30/2004 0.35% 2.82% 5.29% -1.76% 2.67% 1.90% 8.77% 3.26% 1.35% 2.55% -1.41% 1.36% 1.28%
### -0.98% 0.51% -1.54% 2.87% -2.83% -1.38% 0.69% 5.01% 3.27% 3.08% -2.40% 4.18% 1.23%
### 1.91% 4.10% 3.24% 4.52% 7.10% 7.16% 6.47% 5.85% 3.45% 3.60% 0.66% 5.04% 4.93%
### -0.38% 0.16% -2.80% 4.80% 4.89% 2.59% -2.19% 3.16% 4.22% 3.42% 5.65% 2.39% 4.41%

Monthly Return 1.67% 0.09% 2.17% 0.86% 0.57% 0.62% 1.06% -0.75% -1.13% 0.27% 0.29% 1.00% 0.65%
Yearly Return 21.94% 1.06% 29.44% 10.88% 7.10% 7.74% 13.45% -8.67% -12.79% 3.30% 3.58% 12.65% 8.05%
Monthly VAR 0.20% 0.27% 0.50% 0.15% 0.52% 0.22% 0.27% 1.12% 0.48% 0.26% 0.17% 0.27% 0.24%
Exhibit 3 Yearly Returns (January 1963 to 2004)

Security Average Annual Return

Value-Weighted Market 12.17%


Long-Term Government Bonds 7.96%
HML 6.19%
SMB 3.90%
MOM 10.99%
NonDurables 14.65%
Durables 12.39%
Manufacturing 12.58%
Energy 13.99%
Hi-Tech 13.39%
Telecom 11.64%
Shops 14.39%
Health 14.44%
Utilities 11.04%
Other 13.87%

Source: Adapted from Ken French's Data Library and Ibbotson & Associates.
Exhibit 5 Total Monthly Returns January 2000 to December 2004

Diversified
Goldman Sachs CORE DFA Tax-Managed U.S. Special Equity T Rowe Price Russell Russell Treasury
Month Large Cap Growth Small Cap Value Inv Blue Chip Growth Midcap Value 2000 Value Bills HML SMB MOM

1/31/2000 -5.0% -2.1% -2.4% -3.2% -6.10% -2.70% 0.41% 0.22% 4.39% 1.82%
2/29/2000 4.5% 5.8% 18.3% 1.1% -4.40% 5.90% 0.43% 12.66% -21.87% 18.40%
3/31/2000 6.1% 4.2% -3.5% 8.7% 11.80% 0.20% 0.47% 7.94% -16.58% -6.78%
4/28/2000 -5.0% -1.9% -5.8% -3.1% 0.30% 0.40% 0.46% 9.07% -7.62% -8.48%
5/31/2000 -4.8% -3.0% -6.0% -2.2% 1.50% -1.70% 0.50% 3.74% -4.78% -9.13%
6/30/2000 7.2% 2.5% 9.7% 6.0% -3.90% 2.60% 0.40% -9.82% 13.46% 16.41%
7/31/2000 -3.7% 0.5% -6.5% -1.9% 2.20% 3.20% 0.48% 8.39% -2.86% -0.06%
8/31/2000 10.4% 6.8% 9.1% 8.5% 5.90% 4.10% 0.50% -1.34% -1.11% 5.74%
9/29/2000 -9.1% -1.4% -6.3% -5.0% 0.80% -0.80% 0.51% 6.86% -1.79% 2.16%
10/31/2000 -5.0% -2.3% -4.0% -2.3% 1.80% -0.50% 0.56% 4.86% -3.60% -4.75%
11/30/2000 -15.3% -4.8% -10.9% -9.7% -1.50% -2.30% 0.51% 12.49% -3.14% -2.49%
12/29/2000 -8.8% 8.4% 11.9% -2.2% 8.60% 10.50% 0.50% 6.07% 1.58% 6.85%
1/31/2001 6.4% 9.3% 5.4% 1.4% -0.50% 2.60% 0.54% -5.62% 6.89% 25.05%
2/28/2001 -17.1% -1.2% -7.4% -10.7% -0.60% -0.40% 0.39% 13.71% -1.16% 12.66%
3/30/2001 -11.7% -3.3% -6.2% -8.5% -2.90% -1.80% 0.44% 6.23% 0.58% 8.40%
4/30/2001 13.4% 6.9% 7.8% 10.1% 5.40% 4.50% 0.39% -4.47% 0.24% -8.10%
5/31/2001 -1.3% 4.6% 2.7% 0.7% 2.60% 2.30% 0.32% 2.81% 2.96% 2.15%
6/29/2001 -2.3% 3.4% 3.8% -2.5% -1.50% 3.80% 0.28% -2.08% 6.49% 0.28%
7/31/2001 -3.7% -1.6% -3.3% -2.5% -0.50% -2.40% 0.30% 5.54% -4.23% 5.59%
8/31/2001 -7.8% -2.0% -5.0% -7.0% -2.00% -0.50% 0.31% 3.34% 2.15% 5.45%
9/28/2001 -8.9% -16.2% -14.3% -7.1% -9.70% -11.30% 0.28% 1.68% -6.48% 11.53%
10/31/2001 4.2% 5.4% 4.5% 3.9% 0.40% 2.40% 0.22% -7.00% 6.82% -8.42%
11/30/2001 8.6% 9.4% 7.2% 7.9% 6.80% 7.00% 0.17% 0.76% 0.39% -8.60%
12/31/2001 -0.3% 7.3% 6.6% 1.4% 3.90% 5.90% 0.15% 0.38% 5.10% -0.01%
1/31/2002 -2.4% 0.4% -1.9% -2.9% 0.90% 1.20% 0.14% 3.50% 1.05% 3.74%
2/28/2002 -3.8% -1.2% -3.5% -2.9% 1.40% 0.40% 0.13% 3.96% -1.69% 6.85%
3/29/2002 2.5% 9.6% 6.8% 4.7% 4.90% 7.30% 0.13% 1.13% 4.29% -1.70%
4/30/2002 -6.2% 1.7% 1.2% -6.2% -0.20% 3.40% 0.15% 4.21% 5.80% 7.88%
5/31/2002 -2.5% -3.8% -3.1% -1.7% -0.40% -3.50% 0.14% 2.53% -3.72% 3.22%
6/28/2002 -9.3% -4.8% -5.3% -8.7% -4.60% -2.40% 0.13% 1.52% 3.54% 6.15%
7/31/2002 -6.0% -16.0% -15.5% -7.3% -9.90% -15.00% 0.15% -3.61% -5.11% 3.38%
8/30/2002 1.2% -0.8% 0.0% 1.8% 0.90% -0.60% 0.14% 2.12% -2.24% 1.70%
9/30/2002 -9.8% -8.5% -6.4% -10.4% -10.30% -7.40% 0.14% 1.17% 2.72% 9.16%
10/31/2002 9.0% 1.7% 4.1% 9.7% 3.00% 1.40% 0.14% -6.57% -3.00% -5.28%
11/29/2002 3.1% 9.0% 5.7% 5.0% 6.00% 7.80% 0.12% -1.57% 3.15% 16.27%
12/31/2002 -6.1% -4.4% -5.2% -6.4% -2.60% -4.50% 0.11% 3.83% -0.53% 9.65%
1/31/2003 -2.5% -2.8% -2.1% -2.0% -2.90% -2.90% 0.10% -0.85% 1.41% 1.53%
2/28/2003 -1.2% -4.0% -3.3% -1.0% -1.90% -3.50% 0.09% -1.56% -0.32% 1.29%
3/31/2003 2.2% 0.1% 1.7% 1.8% 0.10% 0.80% 0.10% -1.75% 0.83% 1.51%
4/30/2003 6.0% 10.7% 7.3% 8.3% 7.50% 9.30% 0.10% 0.05% 1.16% -9.48%
5/30/2003 5.5% 11.6% 9.3% 5.2% 8.50% 10.10% 0.09% 0.19% 4.68% 10.81%
6/30/2003 2.4% 3.6% 3.2% 1.4% 0.50% 1.50% 0.10% 0.56% 1.47% -1.01%
7/31/2003 2.6% 6.3% 6.1% 2.2% 3.00% 4.80% 0.07% -2.06% 5.55% -0.35%
8/29/2003 2.7% 5.1% 6.5% 1.3% 3.30% 3.70% 0.07% 1.77% 2.60% -0.54%
9/30/2003 -0.9% -1.0% -1.6% -1.5% -1.00% -1.30% 0.08% 0.98% 0.57% -0.05%
10/31/2003 4.8% 10.0% 8.7% 5.4% 7.20% 8.00% 0.07% 1.78% 2.88% 3.71%
11/28/2003 1.8% 4.4% 4.0% 1.0% 2.70% 3.70% 0.07% 1.39% 2.21% 1.64%
12/31/2003 3.3% 3.7% 0.6% 4.7% 4.10% 3.40% 0.08% 2.71% -2.87% -5.67%
1/30/2004 2.3% 4.1% 4.6% 2.0% 2.50% 3.40% 0.07% 1.66% 2.61% 2.56%
2/27/2004 0.4% 1.6% 0.7% 0.9% 2.30% 1.80% 0.06% 0.42% -1.23% -1.11%
3/31/2004 -1.2% 0.9% 1.0% -1.0% 0.00% 1.20% 0.09% 0.02% 1.83% 0.20%
4/30/2004 -0.6% -4.0% -4.9% -2.2% -4.30% -5.30% 0.08% -1.79% -2.49% -5.35%
5/31/2004 1.5% 0.5% 0.9% 1.7% 2.30% 1.10% 0.06% -0.23% -0.22% 1.64%
6/30/2004 1.5% 5.1% 3.3% 1.6% 3.30% 4.90% 0.08% 1.79% 2.18% 2.08%
7/30/2004 -5.8% -5.8% -6.5% -4.7% -2.80% -4.70% 0.10% 4.44% -3.77% -2.32%
8/31/2004 0.0% -1.2% -1.9% -0.1% 1.40% 0.80% 0.11% 0.95% -1.47% -1.55%
9/30/2004 2.2% 5.1% 5.6% 1.9% 2.70% 3.80% 0.11% 0.35% 2.82% 5.29%
10/29/2004 0.5% 0.9% 2.1% 1.5% 2.20% 1.40% 0.11% -0.98% 0.51% -1.54%
11/30/2004 4.7% 9.7% 7.0% 4.2% 6.50% 8.70% 0.15% 1.91% 4.10% 3.24%
12/31/2004 3.8% 1.9% 2.6% 3.1% 3.60% 2.10% 0.16% -0.38% 0.16% -2.80%

Monthly Return -0.72% 1.40% 0.62% -0.13% 0.97% 1.27% 0.22% 1.67% 0.09% 2.17%
Yearly Return -8.3% 18.2% 7.7% -1.5% 12.3% 16.3% 2.7% 21.9% 1.1% 29.4%
STD 0.06 0.06 0.06 0.05

Slope/Beta 0.698 1.165 1.160 0.689 Annual Rate


HML 6% 0.5%
h (HML) (0.815) (0.212) (0.436) (0.551) SMB 4% 0.3%
s (SMB) 0.124 0.348 0.325 0.075 MOM 11% 0.9%
m (MOM) (0.152) (0.016) 0.109 (0.203)

CAPM 0.95% 1.44% 1.43% 0.94%

Model -5.281% 1.307% 1.201% -4.404%


JA
SR 0.118 0.209 0.186 0.140

0.45% 1.43% 1.41% 0.51%


Exhibit 7 Total Monthly Returns January 2000 to December 2004

Russell Russell
Month Yahoo Altria Midcap Value 2000 Value

### -25.6% -9.2% -6.10% -2.70%


2/29/2000 -0.8% -3.3% -4.40% 5.90%
3/31/2000 7.3% 7.1% 11.80% 0.20%
4/28/2000 -24.0% 3.6% 0.30% 0.40%
5/31/2000 -13.2% 19.4% 1.50% -1.70%
6/30/2000 9.6% 3.6% -3.90% 2.60%
7/31/2000 3.9% -4.9% 2.20% 3.20%
8/31/2000 -5.6% 17.3% 5.90% 4.10%
9/29/2000 -25.1% 1.2% 0.80% -0.80%
10/31/2000 -35.6% 24.4% 1.80% -0.50%
11/30/2000 -32.4% 4.3% -1.50% -2.30%
12/29/2000 -24.1% 16.7% 8.60% 10.50%
1/31/2001 24.1% 0.0% -0.50% 2.60%
2/28/2001 -36.2% 9.5% -0.60% -0.40%
3/30/2001 -33.9% -0.5% -2.90% -1.80%
4/30/2001 28.1% 5.6% 5.40% 4.50%
5/31/2001 -10.3% 2.6% 2.60% 2.30%
6/29/2001 10.4% -0.2% -1.50% 3.80%
7/31/2001 -11.9% -10.3% -0.50% -2.40%
8/31/2001 -32.7% 4.2% -2.00% -0.50%
9/28/2001 -25.7% 3.1% -9.70% -11.30%
10/31/2001 23.5% -3.1% 0.40% 2.40%
11/30/2001 43.1% 0.8% 6.80% 7.00%
12/31/2001 13.9% -1.6% 3.90% 5.90%
1/31/2002 -2.8% 9.3% 0.90% 1.20%
2/28/2002 -16.1% 5.1% 1.40% 0.40%
3/29/2002 27.7% 1.1% 4.90% 7.30%
4/30/2002 -20.1% 3.3% -0.20% 3.40%
5/31/2002 8.5% 5.2% -0.40% -3.50%
6/28/2002 -7.9% -22.7% -4.60% -2.40%
7/31/2002 -10.8% 5.4% -9.90% -15.00%
8/30/2002 -21.9% 8.6% 0.90% -0.60%
9/30/2002 -7.0% -21.3% -10.30% -7.40%
10/31/2002 55.9% 5.0% 3.00% 1.40%
11/29/2002 22.5% -7.4% 6.00% 7.80%
12/31/2002 -10.5% 9.1% -2.60% -4.50%
1/31/2003 11.3% -6.6% -2.90% -2.90%
2/28/2003 14.6% 2.1% -1.90% -3.50%
3/31/2003 15.2% -21.1% 0.10% 0.80%
4/30/2003 3.1% 2.7% 7.50% 9.30%
5/30/2003 20.5% 34.3% 8.50% 10.10%
6/30/2003 9.6% 11.6% 0.50% 1.50%
7/31/2003 -4.8% -11.9% 3.00% 4.80%
8/29/2003 7.3% 3.0% 3.30% 3.70%
9/30/2003 6.0% 8.0% -1.00% -1.30%
10/31/2003 23.5% 6.2% 7.20% 8.00%
11/28/2003 -1.6% 11.8% 2.70% 3.70%
12/31/2003 4.7% 6.0% 4.10% 3.40%
1/30/2004 4.3% 2.1% 2.50% 3.40%
2/27/2004 -5.6% 3.5% 2.30% 1.80%
3/31/2004 9.3% -4.2% 0.00% 1.20%
4/30/2004 4.2% 1.7% -4.30% -5.30%
5/31/2004 21.4% -13.4% 2.30% 1.10%
6/30/2004 18.7% 5.8% 3.30% 4.90%
7/30/2004 -15.4% -4.9% -2.80% -4.70%
8/31/2004 -7.4% 2.8% 1.40% 0.80%
9/30/2004 18.9% -2.5% 2.70% 3.80%
10/29/2004 6.7% 3.0% 2.20% 1.40%
11/30/2004 4.0% 18.6% 6.50% 8.70%
12/31/2004 0.2% 7.6% 3.60% 2.10%

Monthly Return 0.22% 2.62% 0.97% 1.27%


Yearly Return 2.6% 36.4% 12.3% 16.3%
STD 0.20 0.10 0.04 0.05
Rfr Yearly 4.20% 0.343% Monthly

Slope 1.70 0.52

CAPM 1.9% 1.9%


Yearly 25.5% 25.5%

You might also like