| MOMENTUM FACTOR SPREADS | RESULTS AS OF 9/7/2010 | VALUATION FACTOR SPREADS | |||||||||||
| Col Alpha | Est Rev | Earn Chg | Earn Grow | Earn Sup | Ind Mom | Momentum Average | ECONOMIC SECTOR | Valuation Average | Book Val | Rpt E/P | Est E/P | Cash Flow | ROE |
| (1.1) | (0.8) | (0.9) | (2.3) | (0.4) | 0.1 | (0.9) | Utilities | 0.4 | 0.6 | (0.3) | 1.2 | (0.2) | 0.4 |
| 4.9 | 6.3 | (3.9) | 1.2 | 1.8 | 2.4 | 2.1 | Telecommunication Services | (1.8) | (1.8) | (2.9) | (1.4) | 0.5 | (3.5) |
| (1.7) | (1.0) | 1.8 | 0.1 | 1.0 | (2.3) | (0.4) | Materials | 0.8 | 0.6 | 0.7 | 2.9 | (0.3) | (0.3) |
| (0.6) | 0.5 | 1.7 | (0.1) | 0.0 | (0.2) | 0.2 | Information Technology | 0.4 | 0.1 | 1.1 | 0.7 | 1.0 | (0.8) |
| (0.4) | 0.9 | 0.6 | (4.2) | 0.5 | 0.8 | (0.3) | Industrials | (0.8) | 2.5 | (2.8) | (1.4) | 0.3 | (2.6) |
| 0.8 | 1.2 | (0.6) | 0.4 | 1.2 | 0.4 | 0.6 | Health Care | (1.1) | (1.8) | (1.0) | (1.4) | (0.8) | (0.7) |
| (1.1) | 0.1 | 1.1 | (0.1) | (2.1) | (1.6) | (0.6) | Financials | (0.9) | 1.0 | (2.3) | (2.6) | (0.2) | (0.4) |
| 0.6 | 1.4 | 2.3 | (2.0) | 0.3 | (1.3) | 0.2 | Energy | (1.4) | (0.5) | (1.2) | (1.5) | (1.0) | (2.6) |
| (2.7) | 1.4 | (2.1) | (3.5) | 0.7 | (1.4) | (1.3) | Consumer Staples | (0.0) | 1.1 | 1.3 | (0.6) | (0.2) | (1.7) |
| 1.4 | (1.8) | 0.4 | 0.1 | 0.9 | 1.3 | 0.4 | Consumer Discretionary | (1.1) | (0.3) | (2.1) | (1.6) | (1.0) | (0.4) |
| (0.2) | 0.2 | 0.7 | (1.0) | 0.1 | (0.2) | (0.1) | Universe Average | (0.6) | 0.4 | (1.1) | (0.9) | (0.2) | (1.0) |
| COMPONENT MODEL SPREADS | STOCK SELECTION MODEL SPREADS | ||||||||||||
| Col Alpha | Exp | Mom | Valn | ECONOMIC SECTOR | Combo | Sector | Core* | Grow* | Sml Cap* | Value* | |||
| (1.1) | (1.2) | (2.1) | 0.4 | Utilities | (1.0) | (0.8) | 0.5 | 1.6 | (4.3) | (0.6) | |||
| 4.9 | 1.3 | 1.0 | (4.3) | Telecommunication Services | (2.3) | 1.4 | 1.8 | 7.3 | (0.1) | 6.8 | |||
| (1.7) | (0.1) | (0.8) | 0.5 | Materials | (1.3) | (0.4) | (2.2) | 5.0 | 0.4 | 1.7 | |||
| (0.6) | 0.6 | (0.5) | 1.0 | Information Technology | (0.4) | 0.2 | 2.6 | 0.9 | (0.5) | 0.6 | |||
| (0.4) | 1.5 | (0.7) | (2.7) | Industrials | (1.0) | (2.1) | 0.2 | 0.2 | (3.3) | (0.3) | |||
| 0.8 | (0.1) | 0.1 | (1.8) | Health Care | 0.7 | 0.8 | 0.2 | 1.7 | 0.9 | 1.6 | |||
| (1.1) | (1.3) | (2.3) | (0.4) | Financials | (2.1) | (1.4) | (0.7) | (1.2) | (2.8) | (0.4) | |||
| 0.6 | 0.1 | (1.2) | (2.0) | Energy | (2.0) | (3.2) | (1.6) | (3.3) | (2.5) | (1.9) | |||
| (2.7) | 2.4 | (1.2) | 2.1 | Consumer Staples | (2.4) | (0.9) | (1.8) | (2.7) | (4.9) | (1.7) | |||
| 1.4 | 0.3 | (0.1) | (0.2) | Consumer Discretionary | (0.2) | 1.4 | (1.8) | 2.2 | 1.8 | 2.5 | |||
| (0.2) | 0.2 | (0.8) | (0.7) | Universe Average | (0.9) | (0.5) | (0.3) | 0.9 | (1.0) | 0.4 | |||
| x.x = positive spread (x.x) = negative or zero spread Price-only returns | *Results in appropriate style universe | ||||||||||||
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