| MOMENTUM FACTOR SPREADS | RESULTS AS OF 7/30/2010 | 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 |
| 1.9 | (0.7) | 4.3 | (2.9) | (1.1) | 2.6 | 0.7 | Utilities | (0.3) | (4.4) | (3.0) | 3.2 | (0.9) | 3.5 |
| 18.1 | 5.8 | 2.8 | 3.0 | 8.6 | (3.4) | 5.8 | Telecommunication Services | (2.4) | (4.2) | (3.9) | (11.9) | 1.9 | 5.9 |
| 0.8 | 3.5 | 11.8 | (7.4) | 7.8 | 1.2 | 3.0 | Materials | 7.8 | (3.1) | 9.0 | 14.5 | 12.7 | 5.9 |
| (0.5) | 2.1 | (1.5) | (8.0) | 1.9 | 0.3 | (0.9) | Information Technology | (0.3) | (1.2) | 1.4 | 0.9 | (3.7) | 1.2 |
| 3.6 | (0.2) | (0.8) | (1.4) | (0.9) | 1.9 | 0.4 | Industrials | 1.0 | (1.0) | (1.1) | 3.9 | 1.8 | 1.4 |
| (1.8) | 2.0 | 2.6 | 1.2 | (3.9) | (10.8) | (1.8) | Health Care | 4.5 | 1.8 | 6.7 | 5.8 | 5.3 | 2.9 |
| (0.6) | (2.9) | 3.9 | 2.5 | 2.0 | (0.7) | 0.7 | Financials | (0.2) | (0.7) | (0.6) | (3.4) | 1.1 | 2.5 |
| 0.1 | (5.7) | (2.7) | 2.9 | 1.4 | 0.2 | (0.6) | Energy | 2.3 | 5.7 | 1.0 | 2.8 | 1.7 | 0.1 |
| (10.2) | 1.0 | (5.9) | (1.4) | 1.6 | 2.2 | (2.1) | Consumer Staples | (0.2) | (1.7) | 4.9 | (7.0) | (1.1) | 3.7 |
| (0.3) | (1.9) | 4.2 | (2.9) | (1.5) | 8.3 | 1.0 | Consumer Discretionary | (2.4) | 1.2 | (5.4) | (2.9) | 0.7 | (5.5) |
| 0.0 | (0.3) | 1.8 | (1.7) | 0.5 | 0.4 | 0.1 | Universe Average | 0.8 | (0.2) | 0.5 | 1.2 | 1.5 | 1.0 |
| COMPONENT MODEL SPREADS | STOCK SELECTION MODEL SPREADS | ||||||||||||
| Col Alpha | Exp | Mom | Valn | ECONOMIC SECTOR | Combo | Sector | Core* | Grow* | Sml Cap* | Value* | |||
| 1.9 | (1.3) | 0.3 | 3.4 | Utilities | 2.3 | 2.5 | (0.4) | 18.9 | 3.9 | 1.7 | |||
| 18.1 | 1.5 | (3.0) | 8.9 | Telecommunication Services | 8.9 | 12.6 | 1.4 | 4.9 | 12.9 | 4.0 | |||
| 0.8 | 3.2 | (0.7) | 4.9 | Materials | 3.0 | 5.2 | 8.8 | 12.7 | 8.1 | 3.5 | |||
| (0.5) | 3.2 | (2.9) | 0.5 | Information Technology | (1.1) | 1.1 | (4.8) | (1.5) | 0.7 | (3.8) | |||
| 3.6 | 2.2 | 2.4 | 5.5 | Industrials | 5.0 | 5.3 | 3.4 | 8.6 | 2.2 | 5.3 | |||
| (1.8) | 0.4 | (7.9) | (0.8) | Health Care | (7.3) | (6.7) | (6.6) | (5.0) | 2.5 | 0.9 | |||
| (0.6) | (2.1) | 1.0 | 2.3 | Financials | 3.5 | 3.4 | 1.5 | 11.5 | 6.7 | 4.5 | |||
| 0.1 | (6.0) | (0.0) | 3.1 | Energy | 0.8 | (1.1) | (1.4) | (1.5) | 0.1 | (1.5) | |||
| (10.2) | (3.9) | 2.1 | 5.7 | Consumer Staples | 1.0 | (1.4) | (1.1) | (2.4) | (29.8) | (7.5) | |||
| (0.3) | (2.8) | 4.0 | (0.5) | Consumer Discretionary | 1.3 | (2.3) | (5.6) | (1.5) | (0.0) | (5.1) | |||
| 0.0 | (0.3) | (0.3) | 2.1 | Universe Average | 0.9 | 0.8 | (1.2) | 1.1 | 2.2 | 0.7 | |||
| x.x = positive spread (x.x) = negative or zero spread Price-only returns | *Results in appropriate style universe | ||||||||||||
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