MONTH-TO-DATE FACTOR & MODEL EFFECTIVENESS --- TOP-MINUS BOTTOM-DECILE RETURN SPREAD --- COLUMBINE 1500



MOMENTUM FACTOR SPREADSRESULTS AS OF 2/3/2012VALUATION FACTOR SPREADS
Col
Alpha
Est
Rev
Earn
Chg
Earn
Grow
Earn
Sup
Ind
Mom
Momentum
Average
ECONOMIC SECTORValuation
Average
Book
Val
Rpt
E/P
Est
E/P
Cash
Flow
 
ROE
(4.8)(2.3)1.42.80.1(3.3)(1.0)Consumer Discretionary0.23.7(1.5)0.00.5(1.8)
(2.4)1.1(0.9)2.7(0.4)0.20.0Consumer Staples(0.4)0.3(2.1)(0.2)0.1(0.1)
99.9(104.2)(101.0)(1.5)0.8(4.9)(18.5)Energy0.85.0(1.4)(0.1)2.2(1.6)
(3.6)(1.9)1.63.7(0.4)(2.1)(0.5)Financials1.05.3(1.3)0.61.3(0.9)
(2.0)(0.5)2.51.9(1.2)(4.4)(0.6)Health Care(2.0)(0.5)(3.6)(3.1)(1.0)(1.8)
(5.0)(1.2)2.9(1.1)0.6(0.5)(0.7)Industrials(0.3)3.2(2.5)(0.4)(0.3)(1.8)
(2.5)(1.2)1.6(1.2)(2.5)(1.0)(1.1)Information Technology(0.7)(0.4)0.1(2.4)(0.4)(0.4)
(2.7)(2.1)(0.7)0.6(0.9)(1.4)(1.2)Materials1.95.61.60.63.4(1.5)
(2.8)(2.2)1.3(2.6)(0.3)3.6(0.5)Telecommunication Services(3.1)(0.7)(0.3)(2.6)(1.0)(10.7)
0.30.70.1(0.3)(2.1)0.7(0.1)Utilities(0.0)(0.5)0.01.6(1.3)0.0

 
7.4(11.4)(9.1)0.5(0.6)(1.3)(2.4)Universe Average(0.3)2.1(1.1)(0.6)0.4(2.1)


   COMPONENT MODEL SPREADS STOCK SELECTION MODEL SPREADS
  Col
Alpha
 
Exp
 
Mom
 
Valn
Ind
Mom
ECONOMIC SECTOR  
Combo
 
Sector
 
Core*
Sml
Cap*
  
  (4.8)(0.1)(1.4)(2.8)(3.3)Consumer Discretionary(2.7)(1.2)(3.4)(3.4)  
  (2.4)0.31.50.30.2Consumer Staples0.71.3(0.2)4.5  
  99.9(100.7)(3.5)1.7(4.9)Energy(1.4)(3.0)(4.5)(4.6)  
  (3.6)0.7(3.4)(1.0)(2.1)Financials(1.8)(1.8)(3.0)(1.8)  
  (2.0)(1.2)(4.6)(1.8)(4.4)Health Care(3.8)(5.2)(0.6)(2.6)  
  (5.0)(0.3)(2.9)(2.1)(0.5)Industrials(4.6)(3.5)(3.9)(4.6)  
  (2.5)(2.1)(0.6)(0.2)(1.0)Information Technology(1.1)(0.4)0.6(1.6)  
  (2.7)(0.7)0.5(0.3)(1.4)Materials(1.1)(0.4)0.1(2.3)  
  (2.8)(14.3)(10.8)(9.9)3.6Telecommunication Services(7.2)5.62.2(3.8)  
  0.30.70.9(1.6)0.7Utilities1.2(1.6)0.4(4.3)  
   
 
 
  7.4(11.8)(2.4)(1.8)(1.3)Universe Average(2.2)(1.0)(1.2)(2.4)  

 x.x  = positive spread

(x.x) = negative or zero spread

Price-only returns
*Results in appropriate style universe




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