Copyright

Multifactor Models
Harvard Business School Case 9-207-056
Courseware 9-207-710
This courseware was prepared solely as the basis for class discussion. Cases are not intended to
serve as endorsements, sources of primary data, or illustrations of effective or ineffective
management. Copyright 2007 President and Fellows of Harvard College. No part of this product
may be reproduced, stored in a retrieval system, used in a spreadsheet or transmitted in any form or
by any meanselectronic, mechanical, photocopying, recording or otherwisewithout the
permission of Harvard Business School.

Exhibit 1 Total Monthly Returns on Benchmark Portfolios (January 2000 to December 2004)

Month
1/31/2000
2/29/2000
3/31/2000
4/28/2000
5/31/2000
6/30/2000
7/31/2000
8/31/2000
9/29/2000
10/31/2000
11/30/2000
12/29/2000
1/31/2001
2/28/2001
3/30/2001
4/30/2001
5/31/2001
6/29/2001
7/31/2001
8/31/2001
9/28/2001
10/31/2001
11/30/2001
12/31/2001
1/31/2002
2/28/2002
3/29/2002
4/30/2002
5/31/2002
6/28/2002
7/31/2002
8/30/2002
9/30/2002
10/31/2002
11/29/2002
12/31/2002
1/31/2003
2/28/2003
3/31/2003
4/30/2003
5/30/2003
6/30/2003
7/31/2003
8/29/2003
9/30/2003
10/31/2003
11/28/2003
12/31/2003
1/30/2004
2/27/2004
3/31/2004
4/30/2004
5/31/2004
6/30/2004
7/30/2004
8/31/2004
9/30/2004
10/29/2004
11/30/2004
12/31/2004

S&P 500
-5.10%
-2.00%
9.70%
-3.10%
-2.20%
2.40%
-1.60%
6.10%
-5.30%
-0.50%
-8.00%
0.40%
3.50%
-9.20%
-6.40%
7.70%
0.50%
-2.50%
-1.10%
-6.40%
-8.20%
1.80%
7.50%
0.80%
-1.60%
-2.10%
3.70%
-6.10%
-0.90%
-7.20%
-7.90%
0.50%
-11.00%
8.60%
5.70%
-6.00%
-2.70%
-1.70%
0.80%
8.10%
5.10%
1.10%
1.60%
1.80%
-1.20%
5.50%
0.70%
5.10%
1.70%
1.20%
-1.60%
-1.70%
1.20%
1.80%
-3.40%
0.20%
0.90%
1.40%
3.90%
3.20%

Russell
1000 Value
-3.39%
-7.66%
12.01%
-1.31%
0.81%
-4.80%
1.20%
5.30%
0.80%
2.30%
-3.90%
4.90%
0.20%
-3.00%
-3.60%
4.80%
2.00%
-2.30%
-0.30%
-4.20%
-7.20%
-1.00%
5.60%
2.20%
-0.90%
0.00%
4.60%
-3.60%
0.30%
-5.90%
-9.50%
0.50%
-11.30%
7.20%
6.00%
-4.50%
-2.60%
-2.90%
0.00%
8.60%
6.20%
1.10%
1.30%
1.30%
-1.20%
5.90%
1.10%
5.90%
1.60%
1.90%
-1.10%
-2.60%
0.80%
2.20%
-1.60%
1.20%
1.30%
1.50%
4.80%
3.10%

Russell
1000 Growth
-4.72%
4.85%
7.09%
-4.79%
-5.08%
7.70%
-4.40%
9.20%
-9.50%
-4.70%
-14.80%
-3.20%
6.90%
-17.00%
-10.90%
12.60%
-1.50%
-2.30%
-2.60%
-8.20%
-10.00%
5.20%
9.50%
-0.30%
-1.80%
-4.20%
3.40%
-8.20%
-2.50%
-9.30%
-5.60%
0.20%
-10.50%
9.10%
5.30%
-7.00%
-2.50%
-0.60%
1.80%
7.30%
4.90%
1.30%
2.40%
2.40%
-1.20%
5.50%
0.90%
3.30%
2.00%
0.50%
-1.90%
-1.20%
1.80%
1.10%
-5.70%
-0.60%
0.90%
1.50%
3.30%
3.80%

Russell
Midcap
-3.30%
7.70%
5.70%
-4.70%
-2.60%
3.00%
-1.10%
9.60%
-1.40%
-1.50%
-9.00%
7.60%
1.60%
-6.10%
-6.20%
8.60%
1.90%
-0.90%
-2.90%
-4.00%
-12.20%
3.90%
8.20%
3.80%
-0.70%
-1.20%
5.90%
-2.00%
-1.30%
-6.80%
-9.90%
0.40%
-9.40%
4.90%
6.80%
-4.10%
-2.10%
-1.50%
0.80%
7.20%
9.00%
0.90%
3.20%
4.20%
-1.40%
7.50%
2.70%
2.80%
2.80%
2.00%
-0.10%
-3.70%
2.30%
2.60%
-4.50%
0.30%
3.10%
2.70%
5.90%
4.10%

Russell
Midcap Growth
0.00%
21.00%
0.10%
-9.70%
-7.30%
10.60%
-6.30%
15.10%
-4.90%
-6.80%
-21.70%
5.30%
5.70%
-17.30%
-14.30%
16.70%
-0.50%
0.00%
-6.80%
-7.30%
-16.60%
10.50%
10.70%
3.80%
-3.30%
-5.70%
7.60%
-5.30%
-3.00%
-11.10%
-9.70%
-0.40%
-8.00%
7.70%
7.80%
-6.10%
-1.00%
-0.90%
1.80%
6.80%
9.60%
1.40%
3.50%
5.50%
-2.00%
8.00%
2.60%
1.00%
3.30%
1.60%
-0.20%
-2.90%
2.30%
1.50%
-6.70%
-1.30%
3.70%
3.40%
5.10%
4.70%

Russell
Midcap Value
-6.10%
-4.40%
11.80%
0.30%
1.50%
-3.90%
2.20%
5.90%
0.80%
1.80%
-1.50%
8.60%
-0.50%
-0.60%
-2.90%
5.40%
2.60%
-1.50%
-0.50%
-2.00%
-9.70%
0.40%
6.80%
3.90%
0.90%
1.40%
4.90%
-0.20%
-0.40%
-4.60%
-9.90%
0.90%
-10.30%
3.00%
6.00%
-2.60%
-2.90%
-1.90%
0.10%
7.50%
8.50%
0.50%
3.00%
3.30%
-1.00%
7.20%
2.70%
4.10%
2.50%
2.30%
0.00%
-4.30%
2.30%
3.30%
-2.80%
1.40%
2.70%
2.20%
6.50%
3.60%

Exhibit 1 (continued) Total Monthly Returns Benchmark Portfolios, Value-Weighted Market, Long-Term Government
Bonds,and Treasury Bills (January 200 to December 2004)

Month
1/31/2000
2/29/2000
3/31/2000
4/28/2000
5/31/2000
6/30/2000
7/31/2000
8/31/2000
9/29/2000
10/31/2000
11/30/2000
12/29/2000
1/31/2001
2/28/2001
3/30/2001
4/30/2001
5/31/2001
6/29/2001
7/31/2001
8/31/2001
9/28/2001
10/31/2001
11/30/2001
12/31/2001
1/31/2002
2/28/2002
3/29/2002
4/30/2002
5/31/2002
6/28/2002
7/31/2002
8/30/2002
9/30/2002
10/31/2002
11/29/2002
12/31/2002
1/31/2003
2/28/2003
3/31/2003
4/30/2003
5/30/2003
6/30/2003
7/31/2003
8/29/2003
9/30/2003
10/31/2003
11/28/2003
12/31/2003
1/30/2004
2/27/2004
3/31/2004
4/30/2004
5/31/2004
6/30/2004
7/30/2004
8/31/2004
9/30/2004
10/29/2004
11/30/2004
12/31/2004

Russell
2000
-1.70%
16.40%
-6.70%
-6.10%
-5.90%
8.60%
-3.30%
7.50%
-3.10%
-4.60%
-10.40%
8.40%
5.10%
-6.70%
-5.00%
7.70%
2.30%
3.30%
-5.50%
-3.30%
-13.60%
5.80%
7.60%
6.00%
-1.10%
-2.80%
7.90%
0.80%
-4.50%
-5.10%
-15.20%
-0.40%
-7.30%
3.10%
8.80%
-5.70%
-2.90%
-3.10%
1.10%
9.40%
10.60%
1.70%
6.20%
4.50%
-2.00%
8.30%
3.50%
1.90%
4.30%
0.80%
0.80%
-5.20%
1.50%
4.10%
-6.80%
-0.60%
4.60%
1.90%
8.60%
2.80%

Russell
2000 Growth
-0.90%
23.20%
-10.50%
-10.10%
-8.80%
12.90%
-8.60%
10.50%
-5.00%
-8.10%
-18.20%
6.10%
8.10%
-13.70%
-9.10%
12.20%
2.30%
2.70%
-8.60%
-6.30%
-16.20%
9.60%
8.30%
6.20%
-3.60%
-6.50%
8.60%
-2.20%
-5.90%
-8.50%
-15.40%
-0.10%
-7.30%
5.00%
9.80%
-7.00%
-2.80%
-2.70%
1.40%
9.40%
11.20%
1.80%
7.50%
5.30%
-2.60%
8.60%
3.20%
0.40%
5.20%
-0.20%
0.40%
-5.00%
1.90%
3.30%
-9.00%
-2.20%
5.50%
2.40%
8.40%
3.50%

Russell
2000 Value
-2.70%
5.90%
0.20%
0.40%
-1.70%
2.60%
3.20%
4.10%
-0.80%
-0.50%
-2.30%
10.50%
2.60%
-0.40%
-1.80%
4.50%
2.30%
3.80%
-2.40%
-0.50%
-11.30%
2.40%
7.00%
5.90%
1.20%
0.40%
7.30%
3.40%
-3.50%
-2.40%
-15.00%
-0.60%
-7.40%
1.40%
7.80%
-4.50%
-2.90%
-3.50%
0.80%
9.30%
10.10%
1.50%
4.80%
3.70%
-1.30%
8.00%
3.70%
3.40%
3.40%
1.80%
1.20%
-5.30%
1.10%
4.90%
-4.70%
0.80%
3.80%
1.40%
8.70%
2.10%

Value-Weighted
Market
-3.98%
3.17%
5.35%
-5.95%
-3.90%
5.16%
-1.71%
7.64%
-5.11%
-2.46%
-10.25%
2.03%
3.95%
-9.93%
-7.03%
8.39%
1.06%
-1.75%
-1.83%
-5.91%
-9.15%
2.80%
7.87%
1.78%
-1.61%
-2.17%
4.47%
-4.96%
-1.05%
-7.02%
-8.11%
0.80%
-10.00%
7.50%
6.13%
-5.33%
-2.34%
-1.54%
1.03%
8.28%
6.35%
1.63%
2.31%
2.49%
-0.91%
6.03%
1.66%
4.55%
2.31%
1.55%
-1.07%
-2.42%
1.41%
2.16%
-3.77%
0.27%
2.06%
1.78%
4.82%
3.52%

Source: Adapted from Thomson Research Datastream, Ken French's Data Library, and Ibbotson & Associates.

Long-Term
Government
Bonds
2.28%
2.64%
3.67%
-0.76%
-0.54%
2.44%
1.73%
2.40%
-1.57%
1.87%
3.19%
2.43%
0.05%
1.91%
-0.74%
-3.13%
0.37%
0.85%
3.76%
2.06%
0.81%
4.64%
-4.71%
-1.83%
1.38%
1.15%
-4.36%
4.10%
0.15%
1.87%
3.03%
4.64%
4.17%
-2.94%
-1.22%
5.07%
-1.06%
3.29%
-1.35%
1.02%
5.92%
-1.54%
-9.82%
1.66%
5.46%
-2.83%
0.27%
1.39%
1.87%
2.30%
1.41%
-5.88%
-0.51%
1.21%
1.55%
3.95%
0.96%
1.54%
-2.34%
2.50%

Treasury
Bills
0.41%
0.43%
0.47%
0.46%
0.50%
0.40%
0.48%
0.50%
0.51%
0.56%
0.51%
0.50%
0.54%
0.39%
0.44%
0.39%
0.32%
0.28%
0.30%
0.31%
0.28%
0.22%
0.17%
0.15%
0.14%
0.13%
0.13%
0.15%
0.14%
0.13%
0.15%
0.14%
0.14%
0.14%
0.12%
0.11%
0.10%
0.09%
0.10%
0.10%
0.09%
0.10%
0.07%
0.07%
0.08%
0.07%
0.07%
0.08%
0.07%
0.06%
0.09%
0.08%
0.06%
0.08%
0.10%
0.11%
0.11%
0.11%
0.15%
0.16%

Exhibit 2 Total Monthly Returns for HML, SMB, MOM, and 10 Industry Portfolios (January 2000 to December 2004)

Month
1/31/2000
2/29/2000
3/31/2000
4/28/2000
5/31/2000
6/30/2000
7/31/2000
8/31/2000
9/29/2000
10/31/2000
11/30/2000
12/29/2000
1/31/2001
2/28/2001
3/30/2001
4/30/2001
5/31/2001
6/29/2001
7/31/2001
8/31/2001
9/28/2001
10/31/2001
11/30/2001
12/31/2001
1/31/2002
2/28/2002
3/29/2002
4/30/2002
5/31/2002
6/28/2002
7/31/2002
8/30/2002
9/30/2002
10/31/2002
11/29/2002
12/31/2002
1/31/2003
2/28/2003
3/31/2003
4/30/2003
5/30/2003
6/30/2003
7/31/2003
8/29/2003
9/30/2003
10/31/2003
11/28/2003
12/31/2003
1/30/2004
2/27/2004
3/31/2004
4/30/2004
5/31/2004
6/30/2004
7/30/2004
8/31/2004
9/30/2004
10/29/2004
11/30/2004
12/31/2004

HML
0.22%
12.66%
7.94%
9.07%
3.74%
-9.82%
8.39%
-1.34%
6.86%
4.86%
12.49%
6.07%
-5.62%
13.71%
6.23%
-4.47%
2.81%
-2.08%
5.54%
3.34%
1.68%
-7.00%
0.76%
0.38%
3.50%
3.96%
1.13%
4.21%
2.53%
1.52%
-3.61%
2.12%
1.17%
-6.57%
-1.57%
3.83%
-0.85%
-1.56%
-1.75%
0.05%
0.19%
0.56%
-2.06%
1.77%
0.98%
1.78%
1.39%
2.71%
1.66%
0.42%
0.02%
-1.79%
-0.23%
1.79%
4.44%
0.95%
0.35%
-0.98%
1.91%
-0.38%

SMB
4.39%
-21.87%
-16.58%
-7.62%
-4.78%
13.46%
-2.86%
-1.11%
-1.79%
-3.60%
-3.14%
1.58%
6.89%
-1.16%
0.58%
0.24%
2.96%
6.49%
-4.23%
2.15%
-6.48%
6.82%
0.39%
5.10%
1.05%
-1.69%
4.29%
5.80%
-3.72%
3.54%
-5.11%
-2.24%
2.72%
-3.00%
3.15%
-0.53%
1.41%
-0.32%
0.83%
1.16%
4.68%
1.47%
5.55%
2.60%
0.57%
2.88%
2.21%
-2.87%
2.61%
-1.23%
1.83%
-2.49%
-0.22%
2.18%
-3.77%
-1.47%
2.82%
0.51%
4.10%
0.16%

MOM
1.82%
18.40%
-6.78%
-8.48%
-9.13%
16.41%
-0.06%
5.74%
2.16%
-4.75%
-2.49%
6.85%
25.05%
12.66%
8.40%
-8.10%
2.15%
0.28%
5.59%
5.45%
11.53%
-8.42%
-8.60%
-0.01%
3.74%
6.85%
-1.70%
7.88%
3.22%
6.15%
3.38%
1.70%
9.16%
-5.28%
16.27%
9.65%
1.53%
1.29%
1.51%
-9.48%
10.81%
-1.01%
-0.35%
-0.54%
-0.05%
3.71%
1.64%
-5.67%
2.56%
-1.11%
0.20%
-5.35%
1.64%
2.08%
-2.32%
-1.55%
5.29%
-1.54%
3.24%
-2.80%

Consumer
Nondurables
-4.81%
-6.22%
7.78%
-1.83%
7.24%
2.36%
0.83%
-1.81%
3.42%
7.37%
2.79%
5.27%
-1.90%
0.19%
-4.62%
0.91%
3.36%
-1.60%
-0.14%
2.46%
-2.56%
1.07%
2.08%
1.98%
1.92%
4.36%
3.73%
2.66%
1.45%
-5.77%
-6.72%
2.49%
-7.68%
5.26%
-1.28%
0.00%
-4.79%
-3.08%
-2.67%
4.69%
9.22%
1.57%
-2.33%
0.66%
1.11%
5.59%
3.78%
3.31%
0.13%
4.28%
-0.30%
1.51%
-2.19%
1.87%
-5.81%
0.83%
-1.76%
2.87%
4.52%
4.80%

Consumer
Durables
-0.75%
-8.40%
10.70%
9.51%
-13.29%
-9.49%
4.58%
7.90%
-3.69%
1.86%
-11.28%
1.44%
13.43%
-1.25%
-2.81%
8.18%
-2.85%
3.52%
3.18%
-11.14%
-16.87%
1.19%
15.18%
-0.77%
2.79%
3.17%
6.70%
1.99%
-0.45%
-8.39%
-11.98%
0.44%
-11.16%
-2.83%
12.02%
-6.57%
-3.57%
-4.86%
-2.67%
15.15%
2.79%
2.19%
6.65%
8.08%
-4.23%
7.23%
3.11%
11.96%
-0.96%
-0.23%
-1.13%
2.52%
-1.57%
5.45%
-4.79%
-2.38%
2.67%
-2.83%
7.10%
4.89%

Manufacturing
-7.55%
-2.96%
5.80%
1.28%
-1.54%
-1.09%
-0.61%
6.88%
-5.92%
4.58%
-3.65%
7.07%
-0.06%
-4.26%
-7.29%
8.46%
2.86%
-4.41%
0.54%
-1.96%
-12.73%
3.83%
8.37%
2.64%
1.68%
4.24%
4.96%
-1.49%
-0.29%
-3.07%
-8.48%
-1.29%
-8.25%
3.82%
6.12%
-3.77%
-4.03%
-2.19%
1.35%
6.29%
4.67%
0.54%
4.89%
4.12%
-3.69%
8.81%
2.06%
6.74%
-0.67%
2.00%
-0.22%
-0.21%
1.61%
5.33%
-4.07%
1.32%
1.90%
-1.38%
7.16%
2.59%

Energy
0.89%
-5.56%
12.17%
-1.87%
9.50%
-5.27%
-2.54%
8.73%
4.45%
-2.92%
-2.62%
7.63%
-3.39%
0.06%
-0.18%
10.12%
0.11%
-7.55%
-2.29%
-3.47%
-5.54%
4.32%
-4.06%
5.96%
-2.88%
5.41%
7.65%
-4.57%
-0.73%
-0.11%
-11.85%
0.60%
-8.04%
3.23%
3.08%
0.83%
-2.42%
2.01%
1.32%
-0.49%
8.76%
-1.15%
-2.61%
6.24%
-2.28%
1.60%
0.61%
13.49%
0.33%
4.64%
-0.10%
2.51%
0.47%
5.44%
3.34%
-1.33%
8.77%
0.69%
6.47%
-2.19%

Exhibit 2 (continued)
Month
1/31/2000
2/29/2000
3/31/2000
4/28/2000
5/31/2000
6/30/2000
7/31/2000
8/31/2000
9/29/2000
10/31/2000
11/30/2000
12/29/2000
1/31/2001
2/28/2001
3/30/2001
4/30/2001
5/31/2001
6/29/2001
7/31/2001
8/31/2001
9/28/2001
10/31/2001
11/30/2001
12/31/2001
1/31/2002
2/28/2002
3/29/2002
4/30/2002
5/31/2002
6/28/2002
7/31/2002
8/30/2002
9/30/2002
10/31/2002
11/29/2002
12/31/2002
1/31/2003
2/28/2003
3/31/2003
4/30/2003
5/30/2003
6/30/2003
7/31/2003
8/29/2003
9/30/2003
10/31/2003
11/28/2003
12/31/2003
1/30/2004
2/27/2004
3/31/2004
4/30/2004
5/31/2004
6/30/2004
7/30/2004
8/31/2004
9/30/2004
10/29/2004
11/30/2004
12/31/2004

Hi-Tech

Telecom

-4.70%
18.09%
3.99%
-10.67%
-10.85%
12.95%
-5.17%
12.51%
-14.98%
-7.29%
-23.28%
-7.96%
16.55%
-25.94%
-13.59%
17.94%
-3.32%
1.47%
-7.58%
-12.66%
-18.92%
15.68%
15.89%
-0.61%
-0.57%
-13.21%
6.42%
-11.77%
-3.76%
-12.20%
-9.56%
-0.85%
-16.74%
19.34%
16.17%
-13.02%
-1.47%
1.28%
-0.99%
9.21%
9.73%
0.25%
5.63%
6.06%
-0.89%
8.22%
1.90%
2.12%
4.48%
-2.91%
-2.57%
-4.89%
4.83%
2.63%
-8.47%
-4.42%
3.26%
5.01%
5.85%
3.16%

Source: Adapted from Ken French's Data Library.

-3.98%
-3.45%
7.53%
-7.90%
-10.05%
4.05%
-7.30%
-1.05%
-4.00%
-0.38%
-15.53%
-4.19%
14.22%
-9.61%
-5.83%
2.68%
-1.29%
-3.05%
-0.72%
-9.26%
-2.46%
-9.42%
6.03%
2.75%
-7.22%
-2.39%
0.33%
-12.69%
2.98%
-14.38%
-11.68%
0.34%
-9.32%
21.34%
11.83%
-9.07%
-3.48%
-6.44%
-0.57%
11.16%
6.23%
1.96%
-1.62%
1.39%
-5.64%
6.69%
-0.62%
7.36%
1.43%
-0.79%
-2.42%
-0.49%
-2.90%
0.60%
-1.30%
1.29%
1.35%
3.27%
3.45%
4.22%

Shops
-11.20%
-3.82%
13.44%
-4.46%
-2.66%
-2.32%
-1.43%
-2.48%
2.78%
-1.46%
-1.41%
5.71%
6.41%
-5.36%
-2.89%
5.64%
1.54%
-2.45%
4.62%
-7.01%
-9.53%
1.62%
10.14%
4.55%
2.80%
-0.06%
2.01%
-1.38%
-1.30%
-5.08%
-11.27%
1.91%
-9.37%
5.71%
1.85%
-6.88%
-4.76%
-1.19%
4.61%
8.85%
3.39%
3.46%
3.35%
6.72%
-4.51%
9.03%
0.60%
-2.15%
0.43%
6.07%
0.28%
-2.66%
0.27%
0.06%
-4.00%
-1.15%
2.55%
3.08%
3.60%
3.42%

Health
7.57%
-2.67%
0.11%
5.17%
3.98%
10.70%
-6.19%
3.61%
3.68%
2.59%
0.76%
3.53%
-8.95%
-0.48%
-8.46%
4.02%
3.02%
-2.81%
2.28%
-3.12%
-0.61%
1.20%
5.03%
-2.88%
-2.35%
-0.51%
0.47%
-7.60%
-2.23%
-9.61%
-2.58%
0.67%
-5.85%
5.69%
3.70%
-4.07%
-0.59%
-2.01%
3.79%
4.12%
3.92%
4.10%
0.63%
-2.54%
0.23%
0.72%
1.62%
5.69%
3.03%
0.90%
-3.90%
3.57%
-0.38%
-0.38%
-5.89%
1.66%
-1.41%
-2.40%
0.66%
5.65%

Utilities
5.64%
-7.16%
5.70%
7.55%
3.90%
-4.70%
4.41%
11.57%
9.58%
-2.18%
3.03%
6.53%
-10.30%
6.24%
1.63%
5.47%
0.01%
-6.22%
-3.66%
0.42%
-6.39%
1.40%
-1.61%
3.85%
-4.07%
-0.26%
10.04%
-0.56%
-6.47%
-5.33%
-12.30%
3.36%
-10.86%
-0.68%
1.62%
3.84%
-3.12%
-3.92%
4.35%
7.35%
10.11%
0.66%
-5.25%
1.91%
3.91%
1.58%
0.95%
5.81%
1.91%
2.06%
1.16%
-3.51%
1.28%
2.01%
0.99%
3.61%
1.36%
4.18%
5.04%
2.39%

Energy
-4.69%
-6.96%
14.05%
-3.37%
3.42%
-2.82%
5.58%
8.98%
0.38%
-0.91%
-5.87%
7.14%
0.05%
-4.26%
-4.11%
5.78%
3.73%
0.05%
-2.33%
-5.33%
-8.30%
-0.50%
7.93%
3.25%
-2.90%
-0.49%
5.31%
-3.72%
-0.44%
-5.43%
-6.46%
1.07%
-10.73%
6.39%
4.66%
-5.00%
-2.30%
-2.60%
0.77%
11.78%
5.31%
0.94%
3.57%
0.64%
0.30%
6.41%
1.08%
4.50%
2.73%
2.00%
-0.57%
-3.83%
2.07%
1.54%
-2.40%
1.90%
1.28%
1.23%
4.93%
4.41%

Exhibit 3

Yearly Returns (January 1963 to 2004)

Security
Value-Weighted Market

Average Annual Return

Long-Term Government Bonds

7.96%

HML

6.19%

SMB

3.90%

MOM

10.99%

NonDurables

14.65%

Durables

12.39%

Manufacturing

12.58%

Energy

13.99%

Hi-Tech

13.39%

Telecom

11.64%

Shops

14.39%

Health

14.44%

Utilities

11.04%

Other

13.87%

Source:

Adapted from Ken French's Data Library and Ibbotson & Associates.

Exhibit 5

Total Monthly Returns January 2000 to December 2004

Month
1/31/2000
2/29/2000
3/31/2000
4/28/2000
5/31/2000
6/30/2000
7/31/2000
8/31/2000
9/29/2000
10/31/2000
11/30/2000
12/29/2000
1/31/2001
2/28/2001
3/30/2001
4/30/2001
5/31/2001
6/29/2001
7/31/2001
8/31/2001
9/28/2001
10/31/2001
11/30/2001
12/31/2001
1/31/2002
2/28/2002
3/29/2002
4/30/2002
5/31/2002
6/28/2002
7/31/2002
8/30/2002
9/30/2002
10/31/2002
11/29/2002
12/31/2002
1/31/2003
2/28/2003
3/31/2003
4/30/2003
5/30/2003
6/30/2003
7/31/2003
8/29/2003
9/30/2003
10/31/2003
11/28/2003
12/31/2003
1/30/2004
2/27/2004
3/31/2004
4/30/2004
5/31/2004
6/30/2004
7/30/2004
8/31/2004
9/30/2004
10/29/2004
11/30/2004
12/31/2004

Source:

DFA Tax-Managed
U.S. Small Cap Value

-5.0%
4.5%
6.1%
-5.0%
-4.8%
7.2%
-3.7%
10.4%
-9.1%
-5.0%
-15.3%
-8.8%
6.4%
-17.1%
-11.7%
13.4%
-1.3%
-2.3%
-3.7%
-7.8%
-8.9%
4.2%
8.6%
-0.3%
-2.4%
-3.8%
2.5%
-6.2%
-2.5%
-9.3%
-6.0%
1.2%
-9.8%
9.0%
3.1%
-6.1%
-2.5%
-1.2%
2.2%
6.0%
5.5%
2.4%
2.6%
2.7%
-0.9%
4.8%
1.8%
3.3%
2.3%
0.4%
-1.2%
-0.6%
1.5%
1.5%
-5.8%
0.0%
2.2%
0.5%
4.7%
3.8%

Adapted from Thomson Research Datastream.

-2.1%
5.8%
4.2%
-1.9%
-3.0%
2.5%
0.5%
6.8%
-1.4%
-2.3%
-4.8%
8.4%
9.3%
-1.2%
-3.3%
6.9%
4.6%
3.4%
-1.6%
-2.0%
-16.2%
5.4%
9.4%
7.3%
0.4%
-1.2%
9.6%
1.7%
-3.8%
-4.8%
-16.0%
-0.8%
-8.5%
1.7%
9.0%
-4.4%
-2.8%
-4.0%
0.1%
10.7%
11.6%
3.6%
6.3%
5.1%
-1.0%
10.0%
4.4%
3.7%
4.1%
1.6%
0.9%
-4.0%
0.5%
5.1%
-5.8%
-1.2%
5.1%
0.9%
9.7%
1.9%

Diversified
Special Equity
Inv
-2.4%
18.3%
-3.5%
-5.8%
-6.0%
9.7%
-6.5%
9.1%
-6.3%
-4.0%
-10.9%
11.9%
5.4%
-7.4%
-6.2%
7.8%
2.7%
3.8%
-3.3%
-5.0%
-14.3%
4.5%
7.2%
6.6%
-1.9%
-3.5%
6.8%
1.2%
-3.1%
-5.3%
-15.5%
0.0%
-6.4%
4.1%
5.7%
-5.2%
-2.1%
-3.3%
1.7%
7.3%
9.3%
3.2%
6.1%
6.5%
-1.6%
8.7%
4.0%
0.6%
4.6%
0.7%
1.0%
-4.9%
0.9%
3.3%
-6.5%
-1.9%
5.6%
2.1%
7.0%
2.6%

T Rowe Price
Blue Chip Growth
-3.2%
1.1%
8.7%
-3.1%
-2.2%
6.0%
-1.9%
8.5%
-5.0%
-2.3%
-9.7%
-2.2%
1.4%
-10.7%
-8.5%
10.1%
0.7%
-2.5%
-2.5%
-7.0%
-7.1%
3.9%
7.9%
1.4%
-2.9%
-2.9%
4.7%
-6.2%
-1.7%
-8.7%
-7.3%
1.8%
-10.4%
9.7%
5.0%
-6.4%
-2.0%
-1.0%
1.8%
8.3%
5.2%
1.4%
2.2%
1.3%
-1.5%
5.4%
1.0%
4.7%
2.0%
0.9%
-1.0%
-2.2%
1.7%
1.6%
-4.7%
-0.1%
1.9%
1.5%
4.2%
3.1%

Exhibit 7 Total Monthly Returns January 2000 to December 2004

Yahoo

1/31/2000

Source:

2/29/2000
3/31/2000
4/28/2000
5/31/2000
6/30/2000
7/31/2000
8/31/2000
9/29/2000
10/31/2000
11/30/2000
12/29/2000
1/31/2001
2/28/2001
3/30/2001
4/30/2001
5/31/2001
6/29/2001
7/31/2001
8/31/2001
9/28/2001
10/31/2001
11/30/2001
12/31/2001
1/31/2002
2/28/2002
3/29/2002
4/30/2002
5/31/2002
6/28/2002
7/31/2002
8/30/2002
9/30/2002
10/31/2002
11/29/2002
12/31/2002
1/31/2003
2/28/2003
3/31/2003
4/30/2003
5/30/2003
6/30/2003
7/31/2003
8/29/2003
9/30/2003
10/31/2003
11/28/2003
12/31/2003
1/30/2004
2/27/2004
3/31/2004
4/30/2004
5/31/2004
6/30/2004
7/30/2004
8/31/2004
9/30/2004
10/29/2004
11/30/2004
12/31/2004

Altria
-25.6%
-0.8%
7.3%
-24.0%
-13.2%
9.6%
3.9%
-5.6%
-25.1%
-35.6%
-32.4%
-24.1%
24.1%
-36.2%
-33.9%
28.1%
-10.3%
10.4%
-11.9%
-32.7%
-25.7%
23.5%
43.1%
13.9%
-2.8%
-16.1%
27.7%
-20.1%
8.5%
-7.9%
-10.8%
-21.9%
-7.0%
55.9%
22.5%
-10.5%
11.3%
14.6%
15.2%
3.1%
20.5%
9.6%
-4.8%
7.3%
6.0%
23.5%
-1.6%
4.7%
4.3%
-5.6%
9.3%
4.2%
21.4%
18.7%
-15.4%
-7.4%
18.9%
6.7%
4.0%
0.2%

Adapted from Thomson Research Datastream.

-9.2%
-3.3%
7.1%
3.6%
19.4%
3.6%
-4.9%
17.3%
1.2%
24.4%
4.3%
16.7%
0.0%
9.5%
-0.5%
5.6%
2.6%
-0.2%
-10.3%
4.2%
3.1%
-3.1%
0.8%
-1.6%
9.3%
5.1%
1.1%
3.3%
5.2%
-22.7%
5.4%
8.6%
-21.3%
5.0%
-7.4%
9.1%
-6.6%
2.1%
-21.1%
2.7%
34.3%
11.6%
-11.9%
3.0%
8.0%
6.2%
11.8%
6.0%
2.1%
3.5%
-4.2%
1.7%
-13.4%
5.8%
-4.9%
2.8%
-2.5%
3.0%
18.6%
7.6%