| MOMENTUM FACTOR SPREADS | RESULTS AS OF 11/18/2008 | VALUATION FACTOR SPREADS | ||||||||||
| Col Alpha | Est Rev | Earn Chg | Earn Grow | Earn Sup | Momentum Average | ECONOMIC SECTOR | Valuation Average | Book Val | Rpt E/P | Est E/P | Cash Flow | Divd Yld |
| 7.2 | (0.0) | 0.0 | (9.8) | 0.3 | (0.5) | Utilities | 2.1 | 1.8 | 0.9 | (1.9) | 1.8 | 7.9 |
| (17.6) | (7.3) | 1.1 | 25.6 | 26.9 | 5.8 | Telecommunication Services | (3.0) | (18.9) | (14.6) | (6.1) | (16.8) | 41.4 |
| 12.7 | 10.2 | 18.8 | (13.1) | 9.4 | 7.6 | Materials | (4.8) | (19.5) | (1.9) | 2.3 | (19.4) | 14.2 |
| 3.5 | 10.3 | (8.8) | (7.2) | 5.0 | 0.6 | Information Technology | (2.0) | (3.8) | 2.3 | (3.3) | (9.1) | 4.0 |
| 8.9 | (1.7) | 5.6 | (1.2) | 8.8 | 4.1 | Industrials | (8.7) | (12.7) | (8.6) | (17.7) | (11.5) | 7.0 |
| 8.5 | 5.5 | 5.2 | 10.3 | 7.2 | 7.3 | Health Care | 4.2 | 0.3 | 9.7 | 5.4 | 7.2 | (1.6) |
| 13.1 | 3.9 | 1.2 | 5.8 | 2.7 | 5.3 | Financials | (7.5) | (8.9) | (9.4) | 6.5 | (4.9) | (21.0) |
| (2.1) | 17.7 | (2.0) | (9.1) | 21.1 | 5.1 | Energy | 0.9 | 11.7 | (5.6) | (13.7) | (7.8) | 20.1 |
| 13.4 | 6.6 | 4.0 | 7.3 | 0.1 | 6.3 | Consumer Staples | (6.9) | (19.4) | 16.7 | (13.7) | (15.1) | (3.1) |
| 16.9 | 13.3 | 3.4 | 2.3 | 8.5 | 8.9 | Consumer Discretionary | (2.9) | (7.0) | 1.7 | (2.3) | (12.2) | 5.3 |
| 9.0 | 7.2 | 1.8 | 0.1 | 7.5 | 5.1 | Universe Average | (3.4) | (6.6) | (0.9) | (3.7) | (7.9) | 1.9 |
| COMPONENT MODEL SPREADS | STOCK SELECTION MODEL SPREADS | |||||||||||
| Col Alpha | Exp | Mom | Valn | Ind Mom | ECONOMIC SECTOR | Combo | Sector | Core* | Grow* | Sml Cap* | Value* | |
| 7.2 | (6.3) | 3.6 | 1.0 | 0.0 | Utilities | 9.8 | 0.4 | 7.7 | 20.8 | (9.1) | 8.8 | |
| (17.6) | (7.3) | (30.1) | (2.4) | (19.4) | Telecommunication Services | 15.2 | 7.8 | 4.1 | (44.5) | (50.5) | 7.0 | |
| 12.7 | 7.6 | 16.8 | (18.3) | 20.7 | Materials | 6.7 | 5.9 | 2.1 | 2.0 | 1.5 | 11.9 | |
| 3.5 | 10.6 | 6.9 | (5.2) | 7.2 | Information Technology | (1.1) | (0.6) | 10.7 | (0.6) | 4.8 | 0.6 | |
| 8.9 | 2.7 | 11.3 | (14.8) | 8.7 | Industrials | (0.9) | 3.0 | 6.9 | 2.6 | 2.9 | (3.5) | |
| 8.5 | 6.3 | 9.6 | (2.7) | 2.6 | Health Care | 9.6 | 8.7 | 8.2 | 6.9 | 10.4 | 6.9 | |
| 13.1 | 9.0 | 11.3 | (11.7) | 6.4 | Financials | 7.6 | 11.7 | 8.6 | 10.2 | 24.0 | 10.9 | |
| (2.1) | 14.3 | (1.1) | 1.7 | (10.5) | Energy | (4.1) | (14.4) | (2.8) | (7.1) | (17.8) | (8.3) | |
| 13.4 | 6.0 | 6.0 | (25.0) | 1.2 | Consumer Staples | (11.2) | (1.0) | 7.2 | (13.6) | (7.1) | (10.5) | |
| 16.9 | 13.6 | 16.7 | (17.8) | 18.4 | Consumer Discretionary | 5.9 | 18.5 | 23.5 | 6.2 | 6.2 | (1.5) | |
| 9.0 | 8.2 | 9.5 | (10.5) | 7.1 | Universe Average | 3.0 | 5.6 | 9.5 | 1.5 | 5.1 | 2.3 | |
| x.x = positive spread (x.x) = negative or zero spread Price-only returns | *Results in appropriate style universe | |||||||||||
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