| MOMENTUM FACTOR SPREADS | RESULTS AS OF 2/3/2012 | 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 |
| (4.8) | (2.3) | 1.4 | 2.8 | 0.1 | (3.3) | (1.0) | Consumer Discretionary | 0.2 | 3.7 | (1.5) | 0.0 | 0.5 | (1.8) |
| (2.4) | 1.1 | (0.9) | 2.7 | (0.4) | 0.2 | 0.0 | Consumer 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) | Energy | 0.8 | 5.0 | (1.4) | (0.1) | 2.2 | (1.6) |
| (3.6) | (1.9) | 1.6 | 3.7 | (0.4) | (2.1) | (0.5) | Financials | 1.0 | 5.3 | (1.3) | 0.6 | 1.3 | (0.9) |
| (2.0) | (0.5) | 2.5 | 1.9 | (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) | Materials | 1.9 | 5.6 | 1.6 | 0.6 | 3.4 | (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) |
| 0.3 | 0.7 | 0.1 | (0.3) | (2.1) | 0.7 | (0.1) | Utilities | (0.0) | (0.5) | 0.0 | 1.6 | (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) | 0.3 | 1.5 | 0.3 | 0.2 | Consumer Staples | 0.7 | 1.3 | (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) | 3.6 | Telecommunication Services | (7.2) | 5.6 | 2.2 | (3.8) | ||||
| 0.3 | 0.7 | 0.9 | (1.6) | 0.7 | Utilities | 1.2 | (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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