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



MOMENTUM FACTOR SPREADSRESULTS AS OF 9/7/2010VALUATION 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
(1.1)(0.8)(0.9)(2.3)(0.4)0.1(0.9)Utilities0.40.6(0.3)1.2(0.2)0.4
4.96.3(3.9)1.21.82.42.1Telecommunication Services(1.8)(1.8)(2.9)(1.4)0.5(3.5)
(1.7)(1.0)1.80.11.0(2.3)(0.4)Materials0.80.60.72.9(0.3)(0.3)
(0.6)0.51.7(0.1)0.0(0.2)0.2Information Technology0.40.11.10.71.0(0.8)
(0.4)0.90.6(4.2)0.50.8(0.3)Industrials(0.8)2.5(2.8)(1.4)0.3(2.6)
0.81.2(0.6)0.41.20.40.6Health Care(1.1)(1.8)(1.0)(1.4)(0.8)(0.7)
(1.1)0.11.1(0.1)(2.1)(1.6)(0.6)Financials(0.9)1.0(2.3)(2.6)(0.2)(0.4)
0.61.42.3(2.0)0.3(1.3)0.2Energy(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)1.11.3(0.6)(0.2)(1.7)
1.4(1.8)0.40.10.91.30.4Consumer Discretionary(1.1)(0.3)(2.1)(1.6)(1.0)(0.4)

 
(0.2)0.20.7(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)0.4Utilities(1.0)(0.8)0.51.6(4.3)(0.6)
   4.91.31.0(4.3)Telecommunication Services(2.3)1.41.87.3(0.1)6.8
   (1.7)(0.1)(0.8)0.5Materials(1.3)(0.4)(2.2)5.00.41.7
   (0.6)0.6(0.5)1.0Information Technology(0.4)0.22.60.9(0.5)0.6
   (0.4)1.5(0.7)(2.7)Industrials(1.0)(2.1)0.20.2(3.3)(0.3)
   0.8(0.1)0.1(1.8)Health Care0.70.80.21.70.91.6
   (1.1)(1.3)(2.3)(0.4)Financials(2.1)(1.4)(0.7)(1.2)(2.8)(0.4)
   0.60.1(1.2)(2.0)Energy(2.0)(3.2)(1.6)(3.3)(2.5)(1.9)
   (2.7)2.4(1.2)2.1Consumer Staples(2.4)(0.9)(1.8)(2.7)(4.9)(1.7)
   1.40.3(0.1)(0.2)Consumer Discretionary(0.2)1.4(1.8)2.21.82.5
     
 
   (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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