Copyright
These spreadsheet exhibits relate to the case Smart Beta Exchange-Traded Funds and Factor Investing, Case #KE1068.
©2018 by the Kellogg School of Management at Northwestern University. This case was prepared by Professor Phillip A. Braun. Cases are developed 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. Some details may have been fictionalized for pedagogical purposes. To order copies or request permission to reproduce materials, call 800-545-7685 (or 617-783-7600 outside the United States or Canada) or e-mail .edu. No part of this publication may be reproduced, stored in a retrieval system, used in a spreadsheet, or transmitted in any form or by any means—electronic, mechanical, photocopying, recording, or otherwise—without the permission of Kellogg Case Publishing.
Exhibit 1
Monthly Returns for Portfolios Sorted by Beta Monthly Returns for Portfolios Sorted by Size Monthly Returns for Portfolios Sorted by B/M Monthly Returns for Portfolios Sorted by Profitability Monthly Returns for Firms Sorted by Investment Monthly Returns for Portfolios Sorted by Momentum
Date Smallest Betas Quintile 2 Quintile 3 Quintile 4 Largest Betas Smallest Firms Quintile 2 Quintile 3 Quintile 4 Biggest Firms Smallest B/M Firms Quintile 2 Quintile 3 Quintile 4 Largest B/M Firms Lowest Profit Firms Quintile 2 Quintile 3 Quintile 4 Highest Profit Firms Lowest Investment Firms Quintile 2 Quintile 3 Quintile 4 Highest Investment Firms Lowest Momentum Firms Quintile 2 Quintile 3 Quintile 4 Highest Momentum Firms
200501 -2.1% -0.4% -1.9% -2.3% -6.2% -3.6% -4.3% -3.6% -2.8% -2.3% -3.5% -2.0% -1.4% -2.3% -1.3% -5.1% -3.7% -2.5% -1.6% -2.0% -5.3% -2.5% -1.8% -1.2% -4.1% -5.3% -2.7% -2.4% -1.7% -1.9%
200502 2.4% 5.2% 1.7% 0.0% 0.5% 0.3% 2.4% 2.0% 2.6% 2.3% 0.7% 3.6% 3.4% 1.9% 4.0% 0.5% 3.2% 2.4% 3.3% 1.3% 2.1% 1.7% 3.3% 1.9% 1.4% -0.7% 0.7% 1.2% 2.0% 3.8%
200503 -0.0% -2.5% -2.0% -2.1% -2.2% -3.6% -2.5% -2.3% -1.0% -1.1% -1.3% -3.2% -1.6% -1.3% 0.0% -2.2% -0.6% -2.4% -2.1% -1.3% -1.4% -0.8% -1.6% -2.3% -1.8% -4.1% -1.8% -1.8% -1.7% -2.7%
200504 -0.2% -2.0% -2.5% -2.6% -5.3% -6.3% -6.5% -5.2% -4.1% -2.3% -1.6% -2.6% -4.2% -2.0% -3.1% -4.4% -2.0% -2.3% -1.9% -2.2% -3.5% -2.4% -3.1% -1.7% -2.1% -7.3% -4.1% -3.8% -4.3% -6.2%
200505 2.0% 2.3% 3.2% 4.4% 8.3% 4.2% 7.5% 6.4% 6.1% 3.8% 4.4% 3.3% 4.0% 2.7% 3.9% 5.7% 4.5% 4.6% 3.5% 2.8% 5.3% 3.9% 3.6% 2.6% 5.2% 4.8% 4.3% 4.4% 4.6% 6.7%
200506 0.6% 1.2% 0.7% 0.5% 0.2% 3.7% 3.9% 3.0% 2.3% 1.3% -1.1% 1.3% 2.3% 2.6% 3.0% 0.2% 1.5% 1.2% 0.3% 0.6% 1.6% 0.9% 0.3% 0.0% 1.6% 3.3% 2.8% 2.8% 3.8% 3.9%
200507 1.9% 3.7% 4.6% 5.7% 6.6% 7.0% 6.9% 5.5% 5.6% 4.6% 5.0% 2.9% 3.8% 3.7% 5.2% 4.8% 5.0% 4.0% 3.9% 3.6% 3.7% 3.8% 3.3% 4.5% 5.1% 7.6% 5.4% 4.9% 5.8% 7.2%
200508 -1.8% 0.7% -0.7% -1.2% -1.7% -1.1% -1.6% -1.3% -0.8% -0.9% -1.8% -0.8% -0.2% -0.9% 0.8% -0.0% 0.0% -1.0% -1.1% -1.8% -1.1% -1.1% -1.5% 0.2% -1.8% -1.8% -1.2% -1.4% -0.6% 0.2%
200509 -0.1% 1.7% 0.5% 1.3% 0.7% 0.7% 0.3% 0.3% 0.9% 1.1% -0.3% 1.3% 1.1% 1.5% 2.4% 1.3% 0.3% 0.7% 1.4% 0.3% 0.8% -0.1% -0.2% 1.3% 1.9% -0.2% -0.3% 1.3% 0.8% 2.3%
200510 -1.3% -2.6% -1.0% -1.0% -3.3% -3.5% -3.0% -3.1% -2.6% -1.8% -0.8% -2.5% -1.4% -1.2% -4.4% -2.1% -1.1% -1.6% -1.9% -1.8% -2.8% -1.8% -1.1% -2.4% -0.8% -4.4% -1.9% -2.2% -2.3% -4.0%
200511 1.9% 2.9% 4.7% 5.4% 6.3% 3.0% 4.8% 5.4% 4.4% 3.8% 4.3% 4.2% 4.1% 4.1% 1.2% 4.3% 4.4% 4.7% 3.2% 3.6% 3.0% 4.9% 2.0% 4.6% 4.9% 3.4% 3.1% 4.0% 4.1% 4.2%
200512 1.3% -0.1% -1.1% 0.7% -0.9% 1.1% -0.1% 0.4% 0.8% 0.7% -0.8% 0.5% 0.9% 0.4% 0.4% 0.8% -0.5% 0.5% -0.2% -0.1% 0.2% -0.5% 0.7% -0.4% 0.3% 1.3% -0.0% 0.5% 0.7% 1.3%
200601 2.3% 3.1% 2.4% 5.0% 4.9% 9.0% 8.6% 6.9% 4.4% 3.4% 2.4% 2.8% 3.8% 4.2% 6.7% 4.3% 4.6% 2.6% 3.9% 2.0% 4.9% 1.8% 2.6% 3.5% 4.3% 8.8% 6.1% 5.3% 6.2% 10.9%
200602 0.1% -0.5% 0.2% 0.5% 0.4% 0.9% -0.3% -0.5% 0.3% 0.1% -0.1% 0.4% 0.4% 0.9% -2.0% -0.7% 0.7% 0.4% -0.0% 0.0% 1.3% 0.5% 1.3% -0.7% -0.9% 0.4% 0.9% 1.1% 1.6% -1.0%
200603 0.6% 1.3% 2.3% 3.4% 2.2% 4.8% 4.3% 3.7% 2.4% 1.5% 1.6% 2.1% 2.3% 1.6% 1.8% 2.7% 0.7% 2.4% 2.2% 1.1% 2.5% 1.5% 0.7% 2.3% 2.2% 4.1% 3.1% 3.9% 4.5% 5.4%
200604 0.9% 1.7% 0.1% 2.5% 0.3% 0.6% 0.5% 0.4% 0.9% 1.5% -0.7% 1.8% 2.2% 2.3% 3.0% 1.7% -0.7% 1.4% 1.5% 1.3% 1.0% 0.8% 1.1% 1.3% 1.2% 0.4% 0.6% -0.1% 0.8% 1.1%
200605 -1.3% -1.8% -3.2% -4.2% -6.1% -5.3% -4.8% -4.4% -3.6% -2.7% -3.6% -3.2% -3.0% -2.1% -1.6% -2.7% -3.0% -3.2% -3.1% -2.9% -3.0% -2.0% -1.2% -2.9% -5.7% -4.3% -3.5% -3.2% -4.4% -7.2%
200606 0.4% 0.9% -0.1% -0.6% -1.1% -1.1% -0.3% -0.8% -0.9% 0.5% 0.1% -0.9% 0.1% 0.6% 2.1% -0.5% 0.2% -1.0% 0.9% 0.5% 0.5% 0.1% -0.2% -0.0% 0.4% -2.1% -0.9% 0.3% 0.1% -0.9%
200607 2.9% 0.1% -0.6% -1.6% -6.1% -3.7% -3.8% -3.7% -3.5% -0.7% -2.2% 0.7% 0.5% 1.0% 0.2% -2.0% -2.0% -0.1% 0.2% 0.5% -0.4% -0.2% 1.1% -1.9% -0.9% -4.7% -2.1% -1.7% -2.4% -4.4%
200608 2.5% 1.1% 2.4% 1.7% 5.9% 1.8% 3.2% 2.4% 2.1% 2.3% 3.9% 2.2% 2.8% 0.5% 1.2% 2.8% 3.3% 3.0% 2.2% 1.9% 4.9% 2.6% 2.9% 0.8% 1.1% 3.5% 2.4% 1.8% 2.2% 1.1%
200609 1.7% 2.5% 0.8% 4.5% 2.3% 0.6% 1.3% 1.1% 1.9% 2.5% 2.8% 1.9% 2.7% 1.0% 2.9% 2.2% 1.1% 3.6% 2.4% 1.9% 3.1% 2.6% 1.3% 2.7% 2.1% 0.6% 1.5% 0.8% 1.4% 1.1%
200610 2.7% 3.5% 3.5% 4.4% 3.7% 5.1% 5.6% 5.2% 4.1% 3.3% 3.4% 3.8% 2.8% 3.6% 5.3% 5.0% 4.0% 2.6% 2.7% 4.4% 3.2% 3.6% 4.2% 2.6% 4.3% 5.6% 4.9% 4.0% 4.0% 5.7%
200611 1.0% 2.3% 1.8% 3.6% 2.8% 2.3% 2.7% 4.1% 3.9% 2.2% 1.3% 2.9% 2.0% 2.9% 1.4% 2.2% 3.2% 1.8% 1.5% 2.4% 2.0% 0.7% 2.0% 2.4% 3.7% 3.0% 2.8% 2.1% 2.6% 2.3%
200612 1.1% 1.4% 2.4% 1.6% -0.3% 2.0% -0.0% 0.2% 0.2% 0.7% -0.3% 1.7% 1.8% 2.2% 2.9% 1.8% 1.0% 0.9% 2.2% 0.1% 2.0% 2.5% 1.9% 0.3% -0.8% 0.7% 0.7% 1.5% 1.7% 1.7%
200701 0.8% 0.9% 2.3% 2.5% 3.9% 2.4% 1.7% 2.6% 3.5% 2.4% 2.4% 1.4% 1.0% 1.5% 2.8% 2.4% 1.9% 1.2% 2.1% 1.5% 1.2% 2.7% 0.9% 1.9% 2.8% 3.0% 1.3% 2.2% 2.2% 2.8%
200702 -1.9% -2.0% -1.1% -1.2% -0.6% 0.3% -0.3% 0.4% 0.2% -0.6% -2.0% -0.9% -2.9% -0.6% -1.5% -1.6% 0.5% -1.7% -2.2% -2.1% -2.0% -2.5% -1.5% -1.2% -0.9% 0.8% -0.0% 0.6% 0.4% -0.7%
200703 0.6% 2.0% 2.0% 0.3% 0.8% -0.1% 0.5% 2.1% 1.1% 1.1% 0.5% 1.4% 0.9% 1.8% 1.8% 1.9% 1.1% 1.0% 0.8% 1.4% 0.8% 0.5% 1.3% 0.9% 2.4% -1.1% 0.5% 1.0% 1.2% 2.2%
200704 4.0% 3.9% 4.0% 4.7% 4.6% 1.9% 1.8% 3.5% 4.1% 4.2% 5.0% 3.8% 3.7% 3.3% 3.0% 3.3% 3.3% 3.9% 3.8% 5.2% 5.2% 4.1% 4.3% 3.5% 3.1% 2.5% 1.6% 2.3% 2.4% 3.2%
200705 2.5% 3.8% 3.3% 4.9% 4.9% 1.3% 3.6% 5.5% 4.1% 3.5% 2.9% 4.0% 3.7% 3.6% 4.6% 3.1% 3.5% 3.8% 3.4% 4.1% 3.5% 3.1% 2.9% 3.5% 5.3% 2.0% 2.7% 3.1% 3.3% 2.3%
200706 -2.3% -1.1% -2.4% -1.7% -0.2% -0.1% -1.8% -1.0% -2.0% -1.6% -1.4% -0.4% -3.1% -1.9% -2.1% -1.0% -2.6% -1.1% -2.0% -1.1% -1.2% -2.3% -1.7% -1.3% -1.4% -0.8% -0.6% -0.7% -0.7% -0.7%
200707 -3.1% -3.4% -3.7% -3.0% -3.6% -5.2% -6.4% -4.7% -4.6% -2.8% -1.6% -2.6% -4.8% -6.1% -4.5% -4.2% -3.6% -3.9% -3.4% -2.2% -3.6% -3.4% -3.0% -4.3% -2.7% -5.7% -5.4% -4.8% -3.7% -4.2%
200708 2.4% 1.6% 1.2% 1.6% -0.9% -2.3% 2.0% 0.5% -0.3% 0.7% 1.4% 2.3% 2.5% 0.7% -1.0% 1.5% 1.5% 1.6% 1.7% 0.9% 0.6% 1.7% 1.6% 0.9% 2.1% -1.7% 0.1% -0.4% -1.0% 0.0%
200709 3.0% 3.8% 3.7% 3.4% 4.6% 1.3% 0.9% 2.5% 2.3% 3.9% 4.7% 3.5% 2.3% 2.3% 3.2% 3.1% 3.4% 3.8% 3.0% 4.1% 2.3% 2.9% 3.5% 3.3% 4.9% -0.2% 0.6% 1.2% 2.3% 4.6%
200710 1.7% 2.1% 1.6% 2.0% 3.2% 0.4% 2.3% 2.4% 1.5% 2.0% 4.0% 2.2% -0.2% 2.2% 0.4% 1.5% 2.7% 2.4% 1.3% 3.0% 3.5% 1.3% 1.4% 2.0% 2.7% -1.7% 0.1% 1.8% 2.9% 4.4%
200711 -2.0% -4.8% -5.2% -4.8% -7.6% -9.6% -7.7% -6.1% -5.6% -4.0% -3.9% -3.6% -6.5% -3.9% -5.9% -5.6% -4.5% -5.8% -3.6% -4.0% -4.3% -4.7% -3.1% -4.5% -5.6% -11.4% -6.2% -6.1% -6.5% -7.9%
200712 -1.9% -0.0% 0.6% -0.2% -1.2% -1.8% -0.2% -1.6% -1.7% -0.8% -0.8% -0.4% -1.0% -0.6% 0.2% -0.6% -1.4% -1.0% -1.2% 0.7% -1.1% -1.5% 0.2% -1.2% 0.2% -3.5% -2.4% -1.5% 0.4% 1.4%
200801 -3.6% -5.8% -5.8% -9.5% -7.4% -5.0% -5.9% -5.2% -4.2% -5.5% -8.0% -5.7% -4.4% -3.1% -5.8% -7.1% -7.1% -6.8% -4.1% -6.4% -4.8% -6.5% -6.4% -3.7% -7.8% -1.5% -4.2% -4.9% -7.3% -10.5%
200802 -3.0% -2.8% -3.1% -2.7% -2.3% -2.7% -3.1% -2.9% -3.3% -2.7% -2.4% -2.9% -3.5% -4.4% -2.9% -2.5% -2.7% -5.0% -3.0% -2.0% -3.4% -3.8% -0.7% -4.5% -2.9% -4.4% -3.8% -2.0% -1.3% -0.5%
200803 -0.1% -1.0% 0.3% -0.8% -2.4% -3.6% 0.6% -1.6% -2.7% -1.9% 0.3% 0.6% -3.4% -3.0% 0.3% -1.1% -0.6% -0.5% -0.8% -0.4% -0.6% -0.5% -0.6% -1.1% -0.5% -4.9% -1.6% 0.2% -1.2% -1.8%
200804 1.5% 5.3% 4.8% 7.0% 8.7% 0.7% 3.1% 7.4% 4.9% 5.7% 4.7% 3.0% 5.8% 5.4% 5.8% 4.9% 2.9% 4.4% 5.4% 4.8% 2.2% 2.1% 5.4% 6.3% 6.2% 1.1% 2.3% 2.7% 2.5% 4.8%
200805 0.8% 1.1% 2.6% 3.5% 4.4% 2.9% 5.1% 4.9% 4.0% 2.3% 3.5% 0.6% -0.3% 1.9% 3.9% 3.7% 2.9% 0.4% 1.7% 2.2% 3.0% 1.6% 2.4% -0.1% 3.1% 2.7% 2.8% 4.3% 2.7% 5.0%
200806 -8.3% -7.2% -7.9% -9.1% -9.6% -8.9% -10.5% -10.3% -10.8% -9.6% -7.1% -8.1% -10.5% -9.8% -8.4% -10.2% -8.8% -10.3% -8.6% -5.7% -8.0% -8.9% -7.0% -9.4% -8.6% -13.1% -11.5% -8.8% -7.2% -3.2%
200807 -0.8% -0.4% -0.1% -0.5% -2.6% 0.7% 4.1% 1.0% -2.3% -2.2% -0.2% -1.2% -2.7% 0.4% 2.8% 0.7% -1.2% -0.4% -0.8% -0.8% -2.2% 1.0% -0.5% 0.5% -3.1% 0.2% 2.2% 2.9% 2.2% -1.8%
200808 1.4% 1.7% 2.3% 0.9% 1.8% 1.7% 5.0% 3.4% 2.1% 0.3% 1.6% 1.6% 1.2% 0.8% 4.4% 0.1% 1.0% 1.4% 2.1% 1.8% 3.3% 2.2% 1.9% 1.3% 0.2% 2.5% 3.4% 3.2% 2.5% -0.0%
200809 -4.5% -5.7% -10.4% -15.5% -18.7% -11.6% -7.7% -10.8% -12.8% -12.4% -10.8% -8.2% -7.3% -7.3% -10.2% -14.0% -10.0% -8.9% -7.5% -8.4% -10.1% -8.4% -7.3% -7.5% -13.5% -14.0% -9.5% -8.4% -7.2% -13.5%
200810 -13.0% -16.0% -18.3% -24.2% -22.8% -20.8% -23.0% -21.7% -22.6% -20.0% -16.9% -15.3% -16.7% -19.5% -20.2% -24.4% -17.9% -17.0% -15.7% -15.3% -19.6% -14.1% -17.0% -16.8% -18.7% -25.1% -21.9% -19.2% -16.4% -19.8%
200811 -3.1% -8.6% -9.6% -12.4% -15.3% -15.8% -12.9% -11.7% -11.4% -9.2% -8.6% -4.1% -7.8% -10.5% -10.5% -13.8% -9.3% -8.6% -6.3% -5.8% -11.0% -4.0% -7.7% -7.7% -9.6% -18.7% -15.0% -12.6% -9.3% -10.3%
200812 0.0% 1.3% 3.3% 3.2% 4.2% 1.2% 7.2% 5.4% 5.0% 2.7% 2.7% 1.7% 1.3% -0.6% 4.7% 3.0% 2.0% 0.9% 1.3% 2.5% 0.8% 2.6% 2.5% 0.7% 2.8% 3.3% 3.7% 2.7% 3.3% 2.5%
200901 -8.4% -8.5% -8.2% -8.0% -3.4% -1.4% -9.6% -8.4% -5.7% -6.5% -3.9% -8.7% -10.0% -13.6% -13.7% -8.5% -7.4% -10.4% -8.3% -6.4% -7.4% -9.0% -9.8% -8.6% -4.9% 3.7% -5.5% -6.5% -6.3% -9.0%
200902 -9.9% -10.7% -9.9% -10.6% -6.3% -11.4% -13.2% -11.4% -11.0% -11.0% -6.9% -10.0% -13.0% -13.4% -14.4% -11.9% -11.7% -11.2% -10.5% -7.3% -8.8% -11.1% -10.6% -11.2% -6.3% -14.5% -11.1% -10.2% -9.8% -10.7%
200903 5.8% 8.2% 11.1% 13.5% 11.6% 13.1% 12.7% 11.6% 10.1% 10.5% 9.7% 6.4% 11.2% 9.0% 9.2% 12.6% 7.9% 8.0% 9.7% 7.9% 9.7% 6.6% 7.9% 9.6% 10.6% 24.4% 11.1% 9.9% 7.8% 6.3%
200904 4.3% 10.8% 11.2% 15.8% 20.6% 21.0% 24.5% 23.9% 20.6% 17.6% 8.9% 8.2% 12.3% 11.9% 18.0% 13.8% 10.6% 10.8% 9.2% 8.9% 13.6% 7.8% 9.7% 9.5% 11.6% 41.1% 26.7% 17.4% 13.1% 6.5%
200905 5.9% 4.1% 4.3% 4.6% 6.0% 11.9% 6.6% 5.4% 6.9% 8.0% 4.7% 4.9% 6.0% 5.9% 1.6% 6.9% 3.9% 5.8% 5.2% 4.4% 4.8% 3.7% 4.3% 5.2% 7.2% 21.3% 11.5% 6.0% 5.0% 3.4%
200906 -0.2% -0.7% 2.0% 0.5% 2.0% 5.4% 2.0% 0.9% 0.1% -0.9% 2.0% -0.7% -0.8% -1.0% 2.7% 1.3% 0.5% -0.1% -0.7% 1.9% 2.8% 1.2% -0.6% -0.3% 0.7% 4.6% 3.1% 2.2% 3.2% 4.0%
200907 4.8% 7.8% 8.4% 12.3% 15.1% 8.2% 10.3% 10.1% 8.7% 8.1% 6.3% 8.9% 8.1% 10.3% 9.9% 8.4% 8.1% 9.3% 8.5% 5.9% 10.8% 7.2% 8.4% 7.6% 6.7% 10.2% 11.1% 9.2% 6.3% 7.2%
200908 1.1% 3.1% 4.2% 4.0% 13.3% 8.8% 3.5% 3.3% 4.9% 3.5% 1.4% 3.9% 2.8% 5.4% 13.2% 6.2% 5.7% 2.6% 2.7% 1.9% 6.6% 3.2% 2.4% 2.7% 3.3% 18.8% 6.2% 3.8% 1.9% 1.2%
200909 2.2% 3.0% 6.0% 7.8% 6.4% 7.7% 7.1% 6.4% 6.6% 4.4% 3.9% 3.8% 4.4% 4.9% 5.3% 5.0% 2.9% 6.8% 3.1% 4.2% 5.4% 2.3% 6.3% 2.5% 5.2% 11.4% 6.9% 5.6% 5.0% 4.5%
200910 -0.8% -2.1% -2.2% -3.8% -9.3% -7.2% -7.2% -5.7% -4.4% -2.4% -0.6% -1.9% -3.3% -4.8% -8.7% -5.9% -4.9% -4.5% -0.8% 0.0% -4.3% -1.4% -3.2% -2.6% -1.9% -9.0% -4.9% -4.6% -4.3% -6.6%
200911 5.9% 5.0% 5.6% 5.4% 7.8% 0.4% 2.4% 3.9% 4.6% 5.8% 6.6% 5.3% 4.2% 4.9% 5.0% 3.5% 3.9% 6.6% 6.5% 5.8% 4.5% 5.4% 6.5% 5.9% 5.3% -0.2% 2.0% 2.4% 2.0% 4.8%
200912 0.6% 3.7% 3.0% 5.5% 4.3% 6.2% 9.0% 7.4% 6.1% 3.4% 1.8% 3.3% 3.5% 4.4% 3.3% 3.9% 3.8% 3.1% 3.4% 1.3% 3.8% 1.5% 2.9% 2.1% 4.3% 5.8% 5.8% 5.9% 7.3% 7.8%
201001 -2.2% -3.4% -3.9% -5.0% -3.9% 1.2% -2.5% -3.2% -3.3% -3.3% -3.8% -4.1% -1.7% -4.4% -2.0% -2.2% -2.4% -2.8% -4.2% -4.0% -5.2% -2.0% -2.5% -2.8% -5.1% 2.0% -1.7% -1.3% -2.1% -2.3%
201002 1.5% 4.1% 2.9% 5.4% 7.2% 3.5% 3.7% 5.0% 4.9% 3.5% 2.8% 3.9% 2.7% 4.7% 6.4% 4.7% 3.7% 3.1% 2.9% 3.6% 4.8% 2.6% 4.1% 3.3% 3.3% 1.8% 3.3% 4.0% 4.7% 6.9%
201003 4.1% 5.1% 8.3% 8.1% 10.7% 8.1% 8.6% 8.2% 7.5% 5.8% 5.6% 6.2% 6.3% 7.2% 8.8% 6.9% 7.0% 6.8% 6.0% 5.4% 8.0% 5.6% 6.6% 5.3% 6.6% 6.9% 8.0% 7.9% 7.7% 9.7%
201004 0.6% 1.3% 2.2% 4.5% 6.0% 10.4% 5.4% 4.9% 4.4% 1.8% 1.0% 2.5% 2.6% 2.3% 4.4% 2.3% 2.0% 2.2% 0.9% 2.6% 3.8% 1.4% 1.9% 2.0% 1.7% 8.7% 5.8% 5.4% 6.9% 10.2%
201005 -6.4% -7.7% -8.9% -8.2% -11.1% -8.8% -7.5% -7.4% -7.1% -7.6% -7.3% -7.8% -8.3% -7.9% -10.1% -7.9% -8.1% -7.4% -7.4% -8.3% -7.5% -7.1% -7.6% -7.5% -9.0% -8.9% -6.6% -7.1% -7.4% -9.0%
201006 -3.0% -5.1% -7.3% -7.8% -10.4% -8.6% -7.6% -7.2% -6.3% -5.3% -4.1% -7.1% -4.0% -6.8% -11.0% -4.8% -6.2% -5.7% -5.2% -5.6% -8.2% -3.9% -4.8% -4.8% -6.9% -8.0% -5.3% -6.2% -7.8% -9.8%
201007 5.2% 6.3% 8.1% 8.9% 11.8% 4.6% 6.9% 7.1% 7.3% 7.2% 7.2% 5.7% 8.2% 7.3% 6.3% 6.3% 6.7% 7.5% 7.0% 7.0% 8.2% 7.9% 7.3% 7.4% 5.6% 5.0% 5.9% 5.9% 5.9% 7.6%
201008 -0.9% -6.1% -6.7% -6.5% -9.1% -7.5% -7.3% -6.4% -4.8% -4.3% -4.0% -5.0% -5.0% -3.9% -7.8% -6.4% -4.5% -5.1% -5.3% -3.4% -6.8% -7.6% -4.4% -4.1% -3.4% -7.5% -6.3% -5.8% -5.7% -7.2%
201009 6.5% 9.8% 11.9% 12.1% 12.7% 9.9% 13.4% 12.9% 10.8% 10.0% 10.7% 9.4% 8.9% 8.4% 7.8% 9.9% 9.6% 9.3% 9.0% 9.9% 11.6% 8.7% 8.8% 8.7% 10.7% 10.6% 10.4% 10.4% 10.8% 12.6%
201010 2.7% 3.5% 5.6% 3.2% 6.3% 4.7% 3.5% 3.9% 3.1% 4.0% 4.7% 4.5% 4.1% 1.9% 1.5% 2.2% 4.4% 2.7% 4.4% 4.4% 4.6% 3.7% 4.2% 4.1% 3.2% 4.0% 3.7% 3.5% 5.0% 4.7%
201011 -0.7% -0.1% 1.0% 3.1% 4.6% 1.8% 3.5% 4.0% 2.4% 0.6% 0.2% 2.5% 0.3% 0.3% -1.0% 1.7% 1.0% -0.6% 0.9% 0.5% 3.2% 0.8% 1.3% 0.5% -0.3% 0.5% 2.9% 2.7% 3.1% 3.9%
201012 4.6% 6.5% 8.0% 9.6% 9.3% 8.9% 9.0% 7.9% 7.5% 6.6% 4.9% 6.3% 7.8% 8.3% 11.3% 9.7% 6.4% 7.8% 6.8% 5.1% 9.7% 9.3% 6.2% 6.3% 5.3% 10.7% 7.5% 7.9% 7.5% 7.4%
201101 0.9% 2.2% 3.5% 3.0% 2.0% 2.4% 0.4% 1.2% 2.3% 2.1% 1.2% 3.2% 2.5% 2.4% 2.1% 3.0% 1.4% 3.6% 2.6% 0.7% 2.1% 2.8% 3.3% 1.0% 1.5% 3.1% 1.6% 1.4% 0.9% 1.6%
201102 3.4% 2.5% 4.5% 4.7% 3.7% 3.7% 5.6% 5.2% 4.1% 3.6% 2.5% 3.8% 4.4% 4.7% 3.8% 4.2% 5.0% 4.1% 3.5% 2.4% 5.1% 3.0% 3.4% 3.6% 3.6% 3.1% 4.5% 3.8% 5.5% 5.1%
201103 1.4% -0.3% 0.1% 0.9% 0.1% 0.4% 2.2% 3.1% 2.0% 0.5% 0.5% 0.3% 1.7% 0.5% -1.2% -1.2% 1.4% 0.0% 0.3% 1.2% 0.7% -0.1% 1.3% 0.3% 0.4% -1.1% 1.6% 1.9% 2.4% 3.4%
201104 3.8% 4.2% 0.7% 2.1% 3.6% 0.4% 2.2% 3.3% 2.9% 3.3% 3.7% 3.6% 2.0% 2.0% 1.5% 1.1% 3.7% 2.6% 2.7% 3.7% 2.1% 2.0% 3.6% 3.6% 2.7% 0.5% 1.9% 2.6% 2.3% 1.7%
201105 0.5% -1.5% -2.3% -2.3% -4.0% -2.7% -2.2% -1.4% -0.6% -0.7% -0.2% -2.0% -1.8% -1.9% -2.2% -3.5% -1.4% -1.3% -1.7% -0.1% -3.0% -2.2% -1.1% -1.1% -0.6% -3.0% -1.3% -1.1% -1.8% -1.9%
201106 -1.4% -1.5% -2.1% -2.2% -1.9% -3.1% -1.7% -2.0% -2.3% -1.6% -1.2% -2.4% -1.9% -1.6% -2.0% -3.2% -2.0% -1.9% -1.6% -0.9% -3.5% -2.2% -1.3% -0.8% -2.0% -4.0% -1.9% -1.7% -1.6% -1.4%
201107 -2.5% -2.0% -0.9% -3.6% -4.0% -1.3% -4.2% -4.3% -3.7% -3.1% -0.9% -2.3% -2.5% -3.4% -4.5% -4.7% -3.7% -3.3% -1.9% -0.5% -4.3% -3.4% -2.6% -2.6% -0.3% -2.0% -2.6% -2.9% -3.2% -2.6%
201108 -1.3% -5.8% -7.2% -11.2% -13.9% -10.4% -9.8% -8.2% -7.7% -5.8% -4.7% -4.8% -8.6% -5.4% -8.4% -9.2% -7.4% -6.4% -5.3% -4.5% -6.6% -6.0% -5.1% -6.0% -6.2% -11.4% -6.9% -6.7% -8.2% -10.2%
201109 -3.4% -6.1% -9.7% -13.6% -16.3% -11.0% -11.5% -11.7% -10.7% -8.2% -6.7% -6.7% -8.7% -7.0% -10.5% -10.3% -9.0% -8.6% -7.0% -5.9% -7.0% -8.2% -7.5% -8.7% -6.6% -10.8% -8.3% -9.3% -9.8% -14.1%
201110 6.4% 11.5% 13.6% 17.2% 20.7% 9.4% 16.8% 16.6% 15.2% 12.1% 10.2% 12.1% 13.4% 10.3% 12.4% 13.8% 12.9% 12.5% 10.4% 10.3% 10.1% 11.7% 11.6% 11.9% 11.2% 10.4% 12.3% 12.4% 11.8% 14.7%
201111 1.4% 0.2% -0.8% -2.4% -3.6% -2.8% -0.5% -0.7% -0.3% -0.6% -0.5% 0.5% 0.8% 0.6% -3.1% -1.8% -1.2% 0.6% -0.2% 0.2% 0.0% 0.0% -0.0% 0.2% -1.0% -5.3% -1.6% 0.1% -0.1% 0.1%
201112 2.9% -0.8% 0.5% -0.4% -1.7% 0.1% 0.1% -0.1% -0.6% -0.4% -0.8% 0.6% 2.3% 2.8% 0.7% -1.0% 1.6% 1.4% 1.3% 0.1% 3.1% 1.5% 1.0% 0.5% -0.8% -1.5% 1.1% 0.7% 0.7% 0.4%
201201 0.6% 6.4% 6.7% 8.4% 12.2% 10.7% 8.0% 7.2% 7.2% 6.3% 7.2% 3.8% 3.8% 2.2% 6.3% 6.9% 5.8% 4.3% 3.2% 6.2% 3.6% 4.0% 5.3% 5.7% 5.8% 14.3% 9.4% 7.3% 5.5% 5.1%
201202 1.9% 4.7% 6.6% 5.6% 6.1% 4.0% 3.3% 4.0% 4.9% 4.3% 5.1% 3.4% 3.6% 4.4% 5.3% 4.8% 4.7% 3.6% 4.4% 4.6% 4.3% 5.1% 3.2% 3.6% 5.4% 5.4% 3.4% 3.7% 2.9% 3.5%
201203 2.6% 3.6% 3.8% 1.9% 3.5% 4.2% 2.1% 1.5% 1.7% 2.5% 4.0% 2.4% 1.1% 2.7% 4.9% 3.1% 3.2% 2.6% 2.8% 3.6% 3.8% 3.6% 3.2% 1.8% 3.4% 2.6% 3.2% 3.3% 3.4% 3.7%
201204 0.7% -0.7% -1.7% -2.1% -1.9% -1.3% -2.2% -1.5% -0.8% -0.9% -0.3% -1.0% -1.0% 0.1% -2.7% -1.9% -1.5% -0.3% -1.0% -0.3% -0.5% -0.8% -1.4% -0.5% -0.7% -4.1% -0.9% -1.4% -0.1% 0.9%
201205 -2.2% -7.5% -6.8% -9.0% -13.0% -6.7% -7.2% -7.3% -8.4% -6.8% -6.4% -5.3% -6.5% -4.3% -8.4% -7.7% -6.5% -6.0% -6.8% -5.0% -4.5% -5.0% -6.3% -6.9% -7.0% -10.4% -7.4% -5.3% -5.0% -5.3%
201206 5.0% 3.7% 2.9% 4.1% 1.6% 3.7% 5.4% 3.6% 1.9% 3.4% 2.7% 3.7% 5.2% 4.3% 5.7% 5.0% 4.9% 4.1% 3.8% 3.1% 4.9% 4.3% 3.5% 3.2% 4.0% 3.4% 4.2% 4.0% 3.8% 4.1%
201207 2.2% -0.4% 1.6% 0.1% -2.7% -1.2% -1.8% -1.0% -0.8% 0.8% 1.0% 0.7% 1.5% 0.7% -0.6% -1.1% 0.6% 1.8% 0.9% 0.8% -0.1% 0.8% 1.0% 1.0% 0.7% -2.4% -1.9% -0.6% -0.0% 0.3%
201208 -0.2% 3.0% 4.4% 5.0% 6.7% 2.0% 2.9% 4.3% 4.1% 2.6% 2.8% 2.9% 1.6% 0.9% 5.0% 3.6% 2.6% 3.2% 2.1% 2.3% 4.3% 1.1% 1.4% 1.8% 4.7% 3.2% 3.2% 2.8% 2.1% 2.9%
201209 3.1% 1.1% 3.5% 2.4% 3.5% 4.4% 4.5% 2.6% 2.2% 2.4% 1.8% 2.6% 3.5% 3.0% 4.7% 4.1% 3.9% 3.2% 2.8% 1.3% 4.7% 3.3% 2.5% 2.1% 2.1% 4.9% 3.8% 3.0% 3.4% 3.1%
201210 -1.4% -1.8% -3.6% -0.3% 1.8% -2.4% -2.9% -0.8% -0.3% -1.2% -3.4% -0.9% -1.7% -1.4% 3.1% 0.3% -1.0% -3.1% -0.5% -3.0% 0.1% -1.4% -0.7% -1.3% -4.5% -3.3% -1.9% -1.5% -1.1% -0.4%
201211 0.1% 1.3% 0.7% 1.7% 0.1% -0.7% 0.6% 2.5% 2.1% 1.2% 1.6% 0.7% 0.5% -0.5% -1.2% 0.5% 0.1% 2.3% 0.2% 0.6% 1.1% 1.1% 0.3% 0.3% 1.3% -0.1% 1.0% 0.4% 0.3% 0.3%
201212 -0.9% 1.5% 1.1% 4.0% 7.0% 2.1% 3.7% 3.2% 2.4% 1.8% -0.3% 0.9% 1.6% 2.4% 5.7% 4.0% 1.6% 2.3% 1.2% -0.7% 2.8% 0.9% 1.3% 1.4% 0.1% 3.2% 2.9% 3.0% 2.3% 1.5%
201301 5.8% 5.8% 4.1% 6.2% 7.4% 7.9% 6.7% 6.4% 7.7% 6.3% 4.3% 5.6% 6.7% 5.8% 7.5% 8.0% 6.2% 6.3% 5.9% 3.3% 7.3% 6.6% 5.6% 5.9% 3.2% 8.0% 6.7% 6.1% 7.0% 8.0%
201302 2.3% 1.0% 1.1% -0.4% -0.3% 1.0% 1.1% 1.3% 1.2% 1.3% 1.2% 0.8% 1.8% 2.3% 0.9% 1.8% 1.5% 1.2% 1.4% 1.1% 1.4% 1.4% 2.2% 1.0% 0.5% -0.1% 1.5% 1.5% 1.6% 1.6%
201303 4.8% 3.7% 2.8% 4.0% 4.6% 4.3% 4.4% 4.8% 4.6% 4.4% 3.9% 3.6% 4.0% 4.8% 4.0% 4.7% 4.4% 3.5% 3.7% 4.2% 4.9% 4.7% 4.7% 3.9% 2.3% 2.8% 4.2% 4.2% 5.1% 6.4%
201304 2.4% 1.6% 1.1% 0.0% 1.7% -0.3% -0.8% -0.3% 0.9% 1.7% 1.8% 0.8% 1.6% 1.4% 2.2% 1.8% 0.3% 0.6% 1.9% 2.4% 1.1% 1.6% 2.3% 1.0% 1.6% -0.9% -0.1% 0.2% 0.4% 0.8%
201305 -0.7% 3.7% 5.1% 5.4% 6.2% 5.1% 6.0% 4.6% 3.7% 2.5% 2.2% 3.4% 1.7% 2.3% 6.2% 5.5% 2.1% 2.6% 2.8% 2.2% 3.9% 1.0% 2.6% 2.9% 3.7% 6.0% 4.8% 3.6% 4.1% 4.3%
201306 -0.6% -0.7% -2.1% -1.9% -2.8% 0.3% 0.5% -0.9% -1.7% -0.8% -2.0% -0.9% -0.2% -0.3% -1.9% -2.3% -0.2% -0.4% -1.0% -2.5% -1.7% -2.0% -0.1% -0.6% -2.6% -1.0% 0.4% 0.3% 1.1% -0.1%
201307 4.8% 5.6% 5.9% 5.4% 7.7% 8.1% 7.0% 7.5% 6.6% 5.8% 5.6% 5.7% 4.9% 5.5% 6.7% 7.7% 5.6% 5.2% 6.0% 4.8% 5.7% 5.3% 5.7% 4.0% 7.8% 8.3% 6.1% 7.1% 7.1% 7.9%
201308 -4.1% -1.7% -3.0% -1.2% -2.3% -1.5% -2.8% -2.9% -2.3% -2.5% -1.0% -3.1% -3.3% -3.8% -4.3% -2.7% -3.0% -3.0% -3.4% -1.6% -2.8% -3.5% -4.2% -2.2% -0.7% -1.5% -2.4% -2.2% -2.3% -2.4%
201309 2.0% 4.0% 4.5% 5.6% 5.2% 6.1% 6.3% 5.6% 5.3% 4.0% 4.7% 3.5% 3.2% 3.1% 2.7% 5.3% 3.0% 4.0% 3.6% 3.3% 3.5% 3.3% 3.2% 3.8% 5.0% 5.7% 4.2% 5.5% 5.7% 7.0%
201310 4.2% 5.0% 3.9% 3.3% 3.4% 1.9% 2.1% 3.7% 3.3% 4.1% 4.0% 4.0% 4.9% 4.4% 3.8% 2.1% 4.1% 4.8% 3.8% 5.1% 5.4% 3.7% 4.0% 3.9% 4.5% 1.9% 2.7% 3.6% 3.5% 2.8%
201311 2.6% 4.0% 3.0% 2.7% 3.9% 5.0% 4.5% 3.9% 2.0% 2.7% 3.4% 2.8% 3.1% 2.0% 4.7% 2.2% 2.7% 2.2% 4.0% 3.5% 2.3% 3.4% 3.6% 2.9% 2.9% 3.9% 4.2% 4.0% 4.3% 5.2%
201312 1.2% 3.1% 3.1% 3.5% 3.3% 2.9% 2.4% 2.9% 3.2% 3.0% 2.5% 2.8% 3.6% 2.3% 1.9% 3.3% 2.8% 3.2% 2.5% 2.1% 2.4% 2.7% 2.2% 2.8% 3.2% 2.7% 2.5% 2.3% 2.7% 3.5%
201401 -3.1% -3.4% -3.9% -4.3% -3.1% 2.7% -3.0% -2.7% -2.7% -2.9% -3.3% -2.5% -4.3% -4.1% -3.1% -1.3% -3.1% -1.6% -4.2% -4.9% -4.9% -4.0% -3.0% -3.6% -2.0% 2.7% -1.2% -1.9% -1.9% -0.5%
201402 4.1% 4.6% 4.5% 5.7% 6.1% 4.2% 4.4% 5.3% 5.5% 5.3% 5.2% 5.0% 4.9% 3.3% 3.3% 5.3% 2.4% 5.0% 5.0% 4.7% 4.3% 4.8% 3.8% 4.7% 5.5% 4.0% 3.3% 4.7% 4.9% 5.7%
201403 1.4% -0.0% 1.3% 0.2% -0.5% 0.0% 0.0% -0.4% 0.1% 0.4% -1.5% 0.3% 0.9% 3.5% 3.3% -1.0% 2.0% -0.3% 1.1% 0.7% 1.2% 0.8% 2.3% 1.5% -2.8% 0.5% 0.9% 1.2% 0.6% -1.6%
201404 2.1% -0.6% -1.3% -0.3% -1.7% -5.3% -4.0% -2.4% -1.3% 0.3% -0.2% -0.1% 0.2% 1.4% -1.4% -1.2% -0.8% -1.0% 0.2% 1.5% 0.3% 0.9% -0.2% -0.1% -0.8% -4.0% -1.6% -2.8% -2.6% -5.5%
201405 0.6% 3.6% 2.5% 2.3% 1.2% -0.9% 0.1% 1.4% 1.8% 2.4% 2.7% 2.0% 1.9% 1.4% 0.9% 1.3% 1.3% 2.6% 2.0% 2.3% 1.9% 0.8% 1.8% 2.2% 3.6% -1.2% 1.2% 0.8% 0.7% -0.1%
201406 1.5% 1.9% 3.1% 4.8% 3.4% 4.1% 6.4% 5.0% 4.2% 2.4% 2.0% 2.1% 2.5% 3.2% 3.8% 4.6% 2.9% 2.2% 2.6% 1.6% 2.0% 1.4% 1.5% 2.9% 4.4% 4.7% 3.5% 4.3% 4.0% 5.0%
201407 -1.4% -1.0% -3.1% -2.9% -3.6% -4.9% -6.2% -5.7% -3.6% -2.1% -2.0% -2.0% -1.2% -2.3% -2.5% -3.5% -3.8% -1.7% -2.0% -0.9% -2.7% -2.4% -2.3% -1.1% -1.9% -4.9% -3.5% -3.8% -4.2% -5.4%
201408 4.8% 3.8% 3.9% 4.2% 5.0% 3.1% 5.2% 5.1% 5.4% 4.2% 5.0% 4.6% 3.4% 2.6% 4.8% 6.2% 4.4% 3.4% 3.7% 4.7% 3.9% 4.0% 4.0% 4.7% 4.3% 3.3% 3.5% 4.6% 4.3% 4.9%
201409 0.1% -1.9% -2.8% -4.1% -6.0% -5.1% -5.6% -5.6% -4.1% -1.9% -1.2% -1.5% -2.7% -3.4% -1.7% -2.8% -2.9% -2.0% -1.5% -1.6% -1.8% -2.1% -2.0% -1.6% -2.6% -7.0% -3.8% -3.9% -4.0% -4.3%
201410 3.7% 2.9% 2.4% 0.5% -0.1% 1.4% 6.1% 4.6% 2.1% 2.3% 3.1% 2.6% 2.4% 1.2% 2.1% 2.3% 4.3% 1.9% 2.0% 2.6% 3.2% 2.9% 1.9% 2.9% 1.6% 0.9% 5.4% 4.8% 3.9% 2.5%
201411 3.4% 3.8% 2.5% -0.7% -1.0% -1.2% -0.4% 1.0% 1.5% 2.4% 3.6% 3.6% 2.9% 0.2% 0.3% 1.7% 1.5% 0.7% 3.1% 4.4% 2.9% 2.1% 2.4% 3.4% 1.3% -2.5% 0.0% 0.8% 0.6% 1.3%
201412 -0.7% -0.3% 0.7% 0.9% -0.4% 2.7% 2.7% 0.6% 0.2% -0.3% -0.9% -0.7% 0.3% 0.2% 2.1% 0.6% 0.6% 1.0% -0.2% -1.5% 0.6% 0.8% 0.4% -0.7% -1.4% 1.3% 1.9% 2.1% 2.3% 1.6%
Exhibit 2
Monthly Returns
Date MSCI USA Large-Mid-Cap Risk Weighted (Size) Index MSCI USA Large-Mid-Cap Enhanced Value Index MSCI USA Large-Mid-Cap Quality Index MSCI US Large-Mid-Cap Momentum Index MSCI USA Large-Mid-Cap Diversified Multiple-Factor Index MSCI USA Index (MSCI’s Large-Mid-Cap Index) iShares Russell 1000 ETF (IWB), a US Large-Mid-Cap ETF iShares Russell 2000 ETF (IWM), a US Small-Cap ETF iShares Core Aggregate US Bond ETF (AGG)
Proxy for the iShares Size ETF Proxy for the iShares Value ETF Proxy for the iShares Quality ETF Proxy for the iShares Momentum ETF Proxy for iShares Potential US Large-Mid-Cap Multifactor ETF
200501 -2.57% -1.73% -1.23% -2.11% -1.28% -2.57% -2.53% -4.18% 0.6%
200502 1.95% 3.34% 2.43% 5.82% 4.44% 1.87% 2.24% 1.68% -0.6%
200503 -0.91% -0.69% -1.24% -1.11% -0.61% -1.74% -1.58% -2.86% -0.6%
200504 -1.89% -3.35% -2.29% -3.94% -3.03% -1.92% -1.85% -5.73% 1.3%
200505 2.90% 3.48% 2.66% 3.65% 3.62% 3.09% 3.52% 6.52% 1.1%
200506 1.33% 0.37% -1.30% 3.53% 2.47% 0.10% 0.41% 3.87% 0.6%
200507 4.29% 3.90% 3.49% 4.11% 4.12% 3.64% 3.87% 6.32% -0.9%
200508 -1.47% 0.23% -1.66% 1.54% -0.32% -1.13% -0.85% -1.86% 1.3%
200509 0.48% 2.50% -0.22% 3.90% 2.06% 0.74% 0.91% 0.30% -1.1%
200510 -2.31% -2.42% -1.51% -3.08% -3.06% -1.75% -1.77% -3.10% -0.8%
200511 3.59% 4.01% 2.81% 2.95% 4.01% 3.78% 3.78% 4.84% 0.4%
200512 0.28% 1.19% -0.86% 1.60% 1.29% -0.08% 0.13% -0.46% 0.9%
200601 2.76% 3.97% 1.51% 6.53% 4.50% 2.63% 2.79% 8.96% 0.0%
200602 0.56% -0.56% -0.11% -3.84% -0.39% -0.12% 0.22% -0.29% 0.3%
200603 1.25% 0.92% 0.50% 1.66% 1.63% 1.14% 1.41% 4.83% -1.0%
200604 1.10% 2.35% -0.39% 1.17% 1.56% 1.20% 1.19% -0.03% -0.2%
200605 -2.41% -2.83% -3.08% -4.23% -3.41% -3.17% -2.97% -5.62% -0.1%
200606 0.11% 0.17% 0.38% 0.82% 0.48% -0.01% 0.13% 0.61% 0.2%
200607 -0.26% 1.05% 0.53% -3.32% 0.74% 0.23% 0.22% -3.28% 1.3%
200608 2.13% 2.52% 2.42% -0.87% 1.04% 2.17% 2.37% 2.96% 1.5%
200609 2.01% 1.99% 1.84% 1.88% 1.03% 2.42% 2.36% 0.82% 0.9%
200610 3.64% 3.52% 3.95% 4.78% 2.86% 3.31% 3.37% 5.73% 0.7%
200611 2.06% 1.92% 1.90% 4.02% 2.51% 1.74% 2.12% 2.62% 1.1%
200612 1.25% 1.31% 0.37% 1.20% 1.01% 1.07% 1.27% 0.32% -0.6%
200701 2.13% 2.32% 1.24% 3.68% 2.53% 1.71% 1.93% 1.65% -0.0%
200702 -0.43% -1.96% -2.85% -3.02% -0.76% -2.05% -1.72% -0.79% 1.5%
200703 0.55% 1.73% 0.93% 2.17% 1.67% 0.96% 1.01% 1.06% -0.1%
200704 3.37% 4.17% 5.06% 3.67% 3.56% 4.19% 4.20% 1.77% 0.5%
200705 2.83% 3.14% 3.24% 3.51% 4.11% 3.28% 3.58% 4.09% -0.8%
200706 -2.59% -2.50% -1.44% -2.87% -2.01% -1.79% -1.91% -1.31% -0.4%
200707 -4.64% -4.42% -1.67% -3.34% -5.36% -3.19% -3.09% -6.83% 0.8%
200708 0.78% 0.59% 2.36% 1.16% 0.19% 1.31% 1.34% 2.25% 1.2%
200709 2.58% 1.86% 3.16% 6.97% 2.79% 3.64% 3.81% 1.72% 0.7%
200710 0.65% 0.60% 1.63% 4.35% 0.91% 1.58% 1.74% 2.87% 1.0%
200711 -3.97% -4.17% -3.23% -3.43% -3.64% -4.44% -4.27% -7.18% 1.8%
200712 -1.90% -1.85% 0.28% 3.06% 0.91% -0.74% -0.65% -0.07% 0.2%
200801 -4.62% -4.62% -7.20% -11.64% -7.16% -6.18% -5.99% -6.82% 1.8%
200802 -3.57% -2.75% -1.47% -0.52% -1.50% -3.33% -3.06% -3.71% 0.4%
200803 -0.88% -3.23% -0.57% -0.52% -1.99% -0.53% -0.69% 0.42% 0.2%
200804 4.28% 5.27% 3.27% 8.32% 4.69% 4.83% 5.05% 4.18% -0.2%
200805 2.11% 1.81% 2.47% 3.94% 3.97% 1.38% 1.82% 4.60% -0.9%
200806 -8.95% -9.62% -6.59% -1.44% -6.17% -8.31% -8.29% -7.69% 0.0%
200807 0.03% -1.54% -0.92% -9.19% -4.11% -1.28% -1.16% 3.70% -0.1%
200808 2.25% 1.69% 2.00% -0.90% 1.01% 1.15% 1.37% 3.60% 1.0%
200809 -7.87% -9.78% -7.32% -15.58% -11.00% -9.34% -9.51% -7.94% -1.5%
200810 -18.56% -18.47% -15.22% -14.51% -20.65% -17.25% -17.42% -20.75% -2.2%
200811 -7.88% -9.03% -5.11% -8.63% -7.58% -7.68% -7.56% -11.78% 4.0%
200812 3.14% 5.21% 0.90% 1.31% 3.88% 1.02% 1.59% 5.89% 3.5%
200901 -6.37% -8.38% -4.58% -9.29% -5.96% -8.28% -8.14% -11.09% -1.1%
200902 -10.35% -15.14% -8.73% -10.15% -10.64% -10.58% -10.30% -12.13% -0.4%
200903 7.20% 9.79% 8.46% 6.18% 8.11% 8.35% 8.73% 8.92% 1.2%
200904 11.27% 14.69% 6.92% 5.56% 8.78% 9.43% 10.09% 15.44% 0.4%
200905 3.73% 8.90% 4.92% 4.24% 4.82% 5.23% 5.52% 3.01% 0.7%
200906 1.08% 0.15% 1.35% 2.29% -0.27% 0.05% 0.25% 1.47% 0.6%
200907 7.15% 9.46% 5.67% 6.52% 7.04% 7.39% 7.62% 9.63% 1.5%
200908 2.93% 6.43% 1.94% 1.13% 3.89% 3.24% 3.61% 2.85% 1.0%
200909 4.07% 3.42% 3.18% 3.75% 4.34% 3.72% 4.04% 5.76% 1.1%
200910 -2.45% -2.91% 0.04% -3.00% -2.09% -2.05% -2.22% -6.78% 0.4%
200911 5.13% 5.62% 5.81% 6.74% 4.83% 5.69% 5.87% 3.13% 1.4%
200912 3.70% 2.99% 1.88% 2.83% 2.73% 1.90% 2.42% 8.02% -1.6%
201001 -3.06% -2.85% -4.39% -6.46% -2.54% -3.60% -3.61% -3.68% 1.4%
201002 3.33% 3.65% 2.05% 4.70% 3.60% 2.85% 3.28% 4.49% 0.3%
201003 5.26% 5.84% 4.76% 7.27% 5.74% 5.83% 6.12% 8.13% -0.1%
201004 2.05% 0.84% 0.86% 0.52% 1.71% 1.50% 1.84% 5.65% 1.1%
201005 -6.72% -9.16% -8.46% -6.93% -7.05% -8.27% -7.92% -7.57% 0.8%
201006 -4.12% -7.38% -4.08% -5.52% -4.79% -5.47% -5.55% -7.74% 1.6%
201007 5.91% 6.40% 6.01% 7.66% 5.06% 6.86% 6.93% 6.85% 1.0%
201008 -3.13% -5.48% -3.69% -4.56% -3.98% -4.67% -4.47% -7.40% 1.2%
201009 8.33% 9.91% 9.89% 10.29% 9.97% 8.92% 9.16% 12.45% 0.1%
201010 3.39% 3.82% 4.42% 4.89% 3.48% 3.82% 3.87% 4.08% 0.3%
201011 0.03% -1.20% -0.38% 1.67% -0.06% -0.12% 0.32% 3.46% -0.6%
201012 5.36% 7.92% 4.31% 4.02% 5.59% 6.52% 6.65% 7.92% -1.1%
201101 1.39% 3.62% 1.23% 0.46% 2.84% 2.30% 2.38% -0.27% 0.1%
201102 3.37% 4.23% 2.56% 3.88% 3.92% 3.13% 3.46% 5.47% 0.2%
201103 1.07% 0.60% -0.14% 1.87% 2.31% -0.03% 0.24% 2.59% 0.0%
201104 3.56% 2.10% 4.43% 3.77% 3.27% 2.95% 2.99% 2.63% 1.2%
201105 0.13% -1.67% -0.41% -0.62% -0.64% -1.30% -1.08% -1.88% 1.3%
201106 -1.69% -2.13% -0.70% -0.81% -1.25% -1.86% -1.75% -2.31% -0.3%
201107 -3.35% -4.76% -0.37% -1.97% -3.72% -2.06% -2.18% -3.62% 1.6%
201108 -3.81% -8.12% -4.33% -5.88% -5.98% -5.77% -5.77% -8.69% 1.5%
201109 -6.13% -9.29% -4.81% -5.19% -7.79% -7.34% -7.46% -11.18% 0.7%
201110 9.29% 12.77% 8.86% 8.14% 11.91% 10.83% 11.17% 15.08% 0.1%
201111 -0.01% -1.12% 0.20% 0.13% 0.08% -0.55% -0.27% -0.34% -0.1%
201112 0.97% 0.81% 0.19% 1.06% 0.86% 0.77% 0.82% 0.66% 1.1%
201201 3.31% 5.50% 5.20% 1.87% 5.02% 4.59% 4.85% 7.06% 0.9%
201202 2.87% 4.17% 3.75% 4.82% 4.41% 4.15% 4.37% 2.39% -0.0%
201203 2.40% 2.39% 3.46% 4.14% 2.07% 3.04% 3.11% 2.56% -0.6%
201204 0.07% -2.11% -0.42% 1.72% -0.75% -0.72% -0.59% -1.54% 1.1%
201205 -4.82% -8.24% -5.99% -4.91% -6.83% -6.39% -6.14% -6.60% 0.9%
201206 3.47% 3.99% 2.85% 2.90% 3.07% 3.79% 3.81% 4.98% 0.0%
201207 0.70% -0.03% 0.99% 1.25% 0.72% 1.23% 1.18% -1.34% 1.4%
201208 1.27% 2.62% 2.49% 1.11% 2.62% 2.08% 2.42% 3.34% 0.0%
201209 1.72% 2.62% 1.92% 1.66% 1.84% 2.38% 2.56% 3.29% 0.1%
201210 -0.57% -0.62% -3.71% -2.45% -0.77% -1.93% -1.71% -2.17% 0.2%
201211 0.79% -0.64% 0.76% 1.49% 0.21% 0.36% 0.79% 0.54% 0.2%
201212 0.66% 4.27% 0.30% -1.23% 0.85% 0.72% 1.02% 3.54% -0.2%
201301 5.92% 6.49% 5.03% 4.17% 5.72% 5.16% 5.41% 6.25% -0.6%
201302 1.94% 1.55% 1.16% 1.88% 0.84% 1.04% 1.33% 1.12% 0.5%
201303 4.49% 5.29% 3.15% 4.88% 4.68% 3.60% 3.84% 4.61% 0.0%
201304 2.06% 1.82% 2.06% 2.73% 1.47% 1.86% 1.80% -0.36% 1.0%
201305 -0.18% 3.85% 2.52% -0.31% 1.81% 1.85% 2.22% 3.99% -1.8%
201306 -0.66% -0.60% -2.75% -1.08% -1.01% -1.50% -1.38% -0.51% -1.6%
201307 5.09% 5.99% 4.28% 6.11% 5.74% 5.12% 5.34% 7.01% 0.1%
201308 -3.45% -3.46% -2.24% -3.61% -3.11% -2.98% -2.77% -3.17% -0.5%
201309 3.14% 2.65% 3.66% 3.02% 3.49% 3.15% 3.47% 6.37% 0.9%
201310 4.06% 4.73% 4.67% 5.10% 5.10% 4.31% 4.39% 2.51% 0.8%
201311 1.34% 3.80% 3.76% 2.86% 2.98% 2.62% 2.79% 4.01% -0.4%
201312 2.12% 2.48% 2.34% 2.92% 2.67% 2.51% 2.69% 1.97% -0.6%
201401 -2.63% -3.45% -4.17% -2.26% -4.67% -3.50% -3.21% -2.77% 1.5%
201402 4.64% 3.66% 4.57% 6.51% 5.07% 4.45% 4.74% 4.70% 0.5%
201403 0.68% 2.44% -0.59% -3.44% 1.02% 0.54% 0.63% -0.68% -0.2%
201404 0.69% 0.22% 0.87% -0.92% -0.14% 0.49% 0.46% -3.87% 0.9%
201405 1.80% 2.44% 1.87% 3.84% 2.25% 2.15% 2.29% 0.80% 1.1%
201406 2.13% 2.58% 0.52% 1.97% 1.24% 1.98% 2.26% 5.32% 0.1%
201407 -2.73% -0.53% -0.85% -1.11% -1.99% -1.53% -1.62% -6.04% -0.2%
201408 4.05% 3.85% 4.20% 4.46% 4.83% 3.79% 4.12% 4.96% 1.1%
201409 -2.26% -1.85% -1.09% -0.71% -2.39% -1.71% -1.76% -6.03% -0.7%
201410 3.80% 0.94% 2.81% 2.28% 3.57% 2.29% 2.44% 6.60% 1.0%
201411 2.57% 3.24% 2.09% 3.61% 2.70% 2.42% 2.60% 0.09% 0.7%
201412 0.36% 0.92% -0.42% -1.21% 0.56% -0.48% -0.25% 2.87% 0.1%
Exhibit 3
All of these minimum-variance frontiers were calculated using the respective monthly data from 2005-2014 presented in Exhibit 2.
Each line represents a different portfolio on the respective minimum-variance frontier.
Minimum-Variance Frontier Constructed from the Four MSCI Individual Factor Indexes (Proxies for the iShares Factor ETFs): Size, Value, Quality, Momentum Minimum-Variance Frontier Constructed from the iShares Russell 1000 ETF and the Russell 2000 ETF
Standard Deviation Expected Return Standard Deviation Expected Return
19.90% 2.60% 19.96% 6.59%
19.55% 2.69% 19.69% 6.63%
19.21% 2.78% 19.43% 6.66%
18.86% 2.88% 19.17% 6.70%
18.52% 2.97% 18.91% 6.74%
18.18% 3.06% 18.65% 6.78%
17.84% 3.15% 18.40% 6.81%
17.51% 3.24% 18.16% 6.85%
17.18% 3.34% 17.91% 6.89%
16.86% 3.43% 17.68% 6.92%
16.54% 3.52% 17.44% 6.96%
16.23% 3.61% 17.21% 7.00%
15.92% 3.70% 16.99% 7.03%
15.61% 3.80% 16.77% 7.07%
15.31% 3.89% 16.55% 7.11%
15.02% 3.98% 16.35% 7.14%
14.73% 4.07% 16.14% 7.18%
14.45% 4.16% 15.94% 7.22%
14.17% 4.26% 15.75% 7.26%
13.90% 4.35% 15.57% 7.29%
13.64% 4.44% 15.39% 7.33%
13.39% 4.53% 15.22% 7.37%
13.15% 4.62% 15.05% 7.40%
12.91% 4.72% 14.90% 7.44%
12.69% 4.81% 14.75% 7.48%
12.48% 4.90% 14.60% 7.51%
12.27% 4.99% 14.47% 7.55%
12.08% 5.08% 14.34% 7.59%
11.90% 5.18% 14.23% 7.63%
11.73% 5.27% 14.12% 7.66%
11.57% 5.36% 14.02% 7.70%
11.43% 5.45% 13.92% 7.74%
11.30% 5.54% 13.84% 7.77%
11.18% 5.64% 13.77% 7.81%
11.08% 5.73% 13.70% 7.85%
11.00% 5.82% 13.65% 7.88%
10.93% 5.91% 13.61% 7.92%
10.87% 6.00% 13.57% 7.96%
10.83% 6.10% 13.55% 8.00%
10.81% 6.19% 13.53% 8.03%
10.80% 6.28% 13.53% 8.07%
10.81% 6.37% 13.53% 8.11%
10.84% 6.46% 13.55% 8.14%
10.88% 6.56% 13.57% 8.18%
10.94% 6.65% 13.61% 8.22%
11.02% 6.74% 13.65% 8.25%
11.11% 6.83% 13.70% 8.29%
11.21% 6.92% 13.77% 8.33%
11.33% 7.02% 13.84% 8.37%
11.46% 7.11% 13.92% 8.40%
11.61% 7.20% 14.02% 8.44%
11.77% 7.29% 14.12% 8.48%
11.94% 7.38% 14.23% 8.51%
12.12% 7.48% 14.34% 8.55%
12.32% 7.57% 14.47% 8.59%
12.53% 7.66% 14.60% 8.62%
12.74% 7.75% 14.75% 8.66%
12.97% 7.84% 14.90% 8.70%
13.21% 7.94% 15.05% 8.74%
13.45% 8.03% 15.22% 8.77%
13.71% 8.12% 15.39% 8.81%
13.97% 8.21% 15.57% 8.85%
14.24% 8.30% 15.75% 8.88%
14.52% 8.40% 15.94% 8.92%
14.80% 8.49% 16.14% 8.96%
15.09% 8.58% 16.34% 8.99%
15.38% 8.67% 16.55% 9.03%
15.69% 8.76% 16.77% 9.07%
15.99% 8.86% 16.99% 9.11%
16.30% 8.95% 17.21% 9.14%
16.62% 9.04% 17.44% 9.18%
16.94% 9.13% 17.67% 9.22%
17.27% 9.22% 17.91% 9.25%
17.59% 9.32% 18.16% 9.29%
17.93% 9.41% 18.40% 9.33%
18.26% 9.50% 18.65% 9.36%
18.60% 9.59% 18.91% 9.40%
18.95% 9.68% 19.17% 9.44%
19.29% 9.78% 19.43% 9.48%
19.64% 9.87% 19.69% 9.51%
19.99% 9.96% 19.96% 9.55%
Exhibit 4
All of these minimum-variance frontiers were calculated using the respective monthly data from 2005-2014 presented in Exhibit 2.
Each line represents a different portfolio on the respective minimum-variance frontier.
Minimum-Variance Frontier Constructed from the MSCI Diversified Multiple-Factor Index (Proxy for the iShares Multifactor ETF) and iShares Bond ETF Minimum-Variance Frontier Constructed from MSCI’s US Large-Mid-Cap Index (the MSCI USA Index) and iShares Bond ETF Minimum-Variance Frontier Constructed from the Four MSCI Factor Indexes for Size, Value, Quality, and Momentum (Proxies for the iShares Factor ETFs) and iShares Bond ETF
Standard Deviation Expected Return Standard Deviation Expected Return Standard Deviation Expected Return
16.9% 0.0% 19.9% 1.8% 17.8% 0.0%
16.5% 0.1% 19.4% 1.9% 17.4% 0.1%
16.0% 0.3% 18.9% 2.0% 16.9% 0.2%
15.6% 0.4% 18.4% 2.0% 16.5% 0.4%
15.1% 0.5% 18.0% 2.1% 16.0% 0.5%
14.7% 0.6% 17.5% 2.2% 15.6% 0.6%
14.3% 0.8% 17.0% 2.3% 15.1% 0.7%
13.8% 0.9% 16.5% 2.3% 14.6% 0.9%
13.4% 1.0% 16.0% 2.4% 14.2% 1.0%
12.9% 1.1% 15.5% 2.5% 13.7% 1.1%
12.5% 1.3% 15.1% 2.5% 13.3% 1.2%
12.1% 1.4% 14.6% 2.6% 12.8% 1.4%
11.6% 1.5% 14.1% 2.7% 12.4% 1.5%
11.2% 1.7% 13.6% 2.7% 11.9% 1.6%
10.8% 1.8% 13.2% 2.8% 11.5% 1.7%
10.3% 1.9% 12.7% 2.9% 11.0% 1.9%
9.9% 2.0% 12.2% 2.9% 10.6% 2.0%
9.5% 2.2% 11.7% 3.0% 10.1% 2.1%
9.0% 2.3% 11.3% 3.1% 9.7% 2.2%
8.6% 2.4% 10.8% 3.1% 9.3% 2.4%
8.2% 2.6% 10.3% 3.2% 8.8% 2.5%
7.8% 2.7% 9.9% 3.3% 8.4% 2.6%
7.4% 2.8% 9.4% 3.4% 8.0% 2.7%
7.0% 2.9% 8.9% 3.4% 7.5% 2.9%
6.6% 3.1% 8.5% 3.5% 7.1% 3.0%
6.2% 3.2% 8.0% 3.6% 6.7% 3.1%
5.8% 3.3% 7.6% 3.6% 6.3% 3.2%
5.4% 3.4% 7.1% 3.7% 5.9% 3.4%
5.1% 3.6% 6.7% 3.8% 5.5% 3.5%
4.7% 3.7% 6.3% 3.8% 5.2% 3.6%
4.4% 3.8% 5.9% 3.9% 4.8% 3.7%
4.1% 4.0% 5.5% 4.0% 4.5% 3.9%
3.9% 4.1% 5.1% 4.0% 4.2% 4.0%
3.6% 4.2% 4.7% 4.1% 3.9% 4.1%
3.5% 4.3% 4.4% 4.2% 3.6% 4.2%
3.3% 4.5% 4.1% 4.2% 3.4% 4.4%
3.3% 4.6% 3.8% 4.3% 3.3% 4.5%
3.3% 4.7% 3.6% 4.4% 3.2% 4.6%
3.3% 4.8% 3.4% 4.5% 3.2% 4.7%
3.4% 5.0% 3.3% 4.5% 3.3% 4.9%
3.6% 5.1% 3.2% 4.6% 3.4% 5.0%
3.8% 5.2% 3.3% 4.7% 3.6% 5.1%
4.1% 5.4% 3.4% 4.7% 3.8% 5.2%
4.4% 5.5% 3.6% 4.8% 4.1% 5.4%
4.7% 5.6% 3.8% 4.9% 4.4% 5.5%
5.0% 5.7% 4.1% 4.9% 4.7% 5.6%
5.4% 5.9% 4.4% 5.0% 5.0% 5.7%
5.7% 6.0% 4.7% 5.1% 5.4% 5.9%
6.1% 6.1% 5.1% 5.1% 5.8% 6.0%
6.5% 6.3% 5.5% 5.2% 6.2% 6.1%
6.9% 6.4% 5.9% 5.3% 6.6% 6.2%
7.3% 6.5% 6.3% 5.3% 7.0% 6.4%
7.7% 6.6% 6.7% 5.4% 7.4% 6.5%
8.1% 6.8% 7.2% 5.5% 7.8% 6.6%
8.5% 6.9% 7.6% 5.6% 8.3% 6.7%
9.0% 7.0% 8.1% 5.6% 8.7% 6.9%
9.4% 7.1% 8.5% 5.7% 9.1% 7.0%
9.8% 7.3% 9.0% 5.8% 9.6% 7.1%
10.2% 7.4% 9.4% 5.8% 10.0% 7.2%
10.7% 7.5% 9.9% 5.9% 10.4% 7.4%
11.1% 7.7% 10.3% 6.0% 10.9% 7.5%
11.5% 7.8% 10.8% 6.0% 11.3% 7.6%
12.0% 7.9% 11.3% 6.1% 11.8% 7.7%
12.4% 8.0% 11.8% 6.2% 12.2% 7.8%
12.9% 8.2% 12.2% 6.2% 12.7% 8.0%
13.3% 8.3% 12.7% 6.3% 13.1% 8.1%
13.7% 8.4% 13.2% 6.4% 13.6% 8.2%
14.2% 8.5% 13.7% 6.4% 14.0% 8.3%
14.6% 8.7% 14.1% 6.5% 14.5% 8.5%
15.1% 8.8% 14.6% 6.6% 15.0% 8.6%
15.5% 8.9% 15.1% 6.7% 15.4% 8.7%
16.0% 9.1% 15.6% 6.7% 15.9% 8.8%
16.4% 9.2% 16.1% 6.8% 16.3% 9.0%
16.8% 9.3% 16.5% 6.9% 16.8% 9.1%
17.3% 9.4% 17.0% 6.9% 17.2% 9.2%
17.7% 9.6% 17.5% 7.0% 17.7% 9.3%
18.2% 9.7% 18.0% 7.1% 18.2% 9.5%
18.6% 9.8% 18.5% 7.1% 18.6% 9.6%
19.1% 10.0% 18.9% 7.2% 19.1% 9.7%
19.5% 10.1% 19.4% 7.3% 19.5% 9.8%
20.0% 10.2% 19.9% 7.3% 20.0% 10.0%
Exhibit 1 Calculation
Monthly Returns for Portfolios Sorted by Beta Monthly Returns for Portfolios Sorted by Size Monthly Returns for Portfolios Sorted by B/M Monthly Returns for Portfolios Sorted by Profitability Monthly Returns for Firms Sorted by Investment Monthly Returns for Portfolios Sorted by Momentum
Date Smallest Betas Quintile 2 Quintile 3 Quintile 4 Largest Betas Smallest Firms Quintile 2 Quintile 3 Quintile 4 Biggest Firms Smallest B/M Firms Quintile 2 Quintile 3 Quintile 4 Largest B/M Firms Lowest Profit Firms Quintile 2 Quintile 3 Quintile 4 Highest Profit Firms Lowest Investment Firms Quintile 2 Quintile 3 Quintile 4 Highest Investment Firms Lowest Momentum Firms Quintile 2 Quintile 3 Quintile 4 Highest Momentum Firms
200501 -2.1% -0.4% -1.9% -2.3% -6.2% -3.6% -4.3% -3.6% -2.8% -2.3% -3.5% -2.0% -1.4% -2.3% -1.3% -5.1% -3.7% -2.5% -1.6% -2.0% -5.3% -2.5% -1.8% -1.2% -4.1% -5.3% -2.7% -2.4% -1.7% -1.9%
200502 2.4% 5.2% 1.7% 0.0% 0.5% 0.3% 2.4% 2.0% 2.6% 2.3% 0.7% 3.6% 3.4% 1.9% 4.0% 0.5% 3.2% 2.4% 3.3% 1.3% 2.1% 1.7% 3.3% 1.9% 1.4% -0.7% 0.7% 1.2% 2.0% 3.8%
200503 -0.0% -2.5% -2.0% -2.1% -2.2% -3.6% -2.5% -2.3% -1.0% -1.1% -1.3% -3.2% -1.6% -1.3% 0.0% -2.2% -0.6% -2.4% -2.1% -1.3% -1.4% -0.8% -1.6% -2.3% -1.8% -4.1% -1.8% -1.8% -1.7% -2.7%
200504 -0.2% -2.0% -2.5% -2.6% -5.3% -6.3% -6.5% -5.2% -4.1% -2.3% -1.6% -2.6% -4.2% -2.0% -3.1% -4.4% -2.0% -2.3% -1.9% -2.2% -3.5% -2.4% -3.1% -1.7% -2.1% -7.3% -4.1% -3.8% -4.3% -6.2%
200505 2.0% 2.3% 3.2% 4.4% 8.3% 4.2% 7.5% 6.4% 6.1% 3.8% 4.4% 3.3% 4.0% 2.7% 3.9% 5.7% 4.5% 4.6% 3.5% 2.8% 5.3% 3.9% 3.6% 2.6% 5.2% 4.8% 4.3% 4.4% 4.6% 6.7%
200506 0.6% 1.2% 0.7% 0.5% 0.2% 3.7% 3.9% 3.0% 2.3% 1.3% -1.1% 1.3% 2.3% 2.6% 3.0% 0.2% 1.5% 1.2% 0.3% 0.6% 1.6% 0.9% 0.3% 0.0% 1.6% 3.3% 2.8% 2.8% 3.8% 3.9%
200507 1.9% 3.7% 4.6% 5.7% 6.6% 7.0% 6.9% 5.5% 5.6% 4.6% 5.0% 2.9% 3.8% 3.7% 5.2% 4.8% 5.0% 4.0% 3.9% 3.6% 3.7% 3.8% 3.3% 4.5% 5.1% 7.6% 5.4% 4.9% 5.8% 7.2%
200508 -1.8% 0.7% -0.7% -1.2% -1.7% -1.1% -1.6% -1.3% -0.8% -0.9% -1.8% -0.8% -0.2% -0.9% 0.8% -0.0% 0.0% -1.0% -1.1% -1.8% -1.1% -1.1% -1.5% 0.2% -1.8% -1.8% -1.2% -1.4% -0.6% 0.2%
200509 -0.1% 1.7% 0.5% 1.3% 0.7% 0.7% 0.3% 0.3% 0.9% 1.1% -0.3% 1.3% 1.1% 1.5% 2.4% 1.3% 0.3% 0.7% 1.4% 0.3% 0.8% -0.1% -0.2% 1.3% 1.9% -0.2% -0.3% 1.3% 0.8% 2.3%
200510 -1.3% -2.6% -1.0% -1.0% -3.3% -3.5% -3.0% -3.1% -2.6% -1.8% -0.8% -2.5% -1.4% -1.2% -4.4% -2.1% -1.1% -1.6% -1.9% -1.8% -2.8% -1.8% -1.1% -2.4% -0.8% -4.4% -1.9% -2.2% -2.3% -4.0%
200511 1.9% 2.9% 4.7% 5.4% 6.3% 3.0% 4.8% 5.4% 4.4% 3.8% 4.3% 4.2% 4.1% 4.1% 1.2% 4.3% 4.4% 4.7% 3.2% 3.6% 3.0% 4.9% 2.0% 4.6% 4.9% 3.4% 3.1% 4.0% 4.1% 4.2%
200512 1.3% -0.1% -1.1% 0.7% -0.9% 1.1% -0.1% 0.4% 0.8% 0.7% -0.8% 0.5% 0.9% 0.4% 0.4% 0.8% -0.5% 0.5% -0.2% -0.1% 0.2% -0.5% 0.7% -0.4% 0.3% 1.3% -0.0% 0.5% 0.7% 1.3%
Annualized return 4.7% 10.2% 6.2% 8.8% 1.8% 1.1% 6.9% 6.9% 11.3% 9.2% 2.7% 5.8% 10.8% 9.3% 12.2% 3.3% 11.2% 8.1% 6.6% 2.9% 1.9% 5.8% 3.9% 7.1% 9.7% -4.5% 3.8% 7.4% 11.4% 14.8%
200601 2.3% 3.1% 2.4% 5.0% 4.9% 9.0% 8.6% 6.9% 4.4% 3.4% 2.4% 2.8% 3.8% 4.2% 6.7% 4.3% 4.6% 2.6% 3.9% 2.0% 4.9% 1.8% 2.6% 3.5% 4.3% 8.8% 6.1% 5.3% 6.2% 10.9%
200602 0.1% -0.5% 0.2% 0.5% 0.4% 0.9% -0.3% -0.5% 0.3% 0.1% -0.1% 0.4% 0.4% 0.9% -2.0% -0.7% 0.7% 0.4% -0.0% 0.0% 1.3% 0.5% 1.3% -0.7% -0.9% 0.4% 0.9% 1.1% 1.6% -1.0%
200603 0.6% 1.3% 2.3% 3.4% 2.2% 4.8% 4.3% 3.7% 2.4% 1.5% 1.6% 2.1% 2.3% 1.6% 1.8% 2.7% 0.7% 2.4% 2.2% 1.1% 2.5% 1.5% 0.7% 2.3% 2.2% 4.1% 3.1% 3.9% 4.5% 5.4%
200604 0.9% 1.7% 0.1% 2.5% 0.3% 0.6% 0.5% 0.4% 0.9% 1.5% -0.7% 1.8% 2.2% 2.3% 3.0% 1.7% -0.7% 1.4% 1.5% 1.3% 1.0% 0.8% 1.1% 1.3% 1.2% 0.4% 0.6% -0.1% 0.8% 1.1%
200605 -1.3% -1.8% -3.2% -4.2% -6.1% -5.3% -4.8% -4.4% -3.6% -2.7% -3.6% -3.2% -3.0% -2.1% -1.6% -2.7% -3.0% -3.2% -3.1% -2.9% -3.0% -2.0% -1.2% -2.9% -5.7% -4.3% -3.5% -3.2% -4.4% -7.2%
200606 0.4% 0.9% -0.1% -0.6% -1.1% -1.1% -0.3% -0.8% -0.9% 0.5% 0.1% -0.9% 0.1% 0.6% 2.1% -0.5% 0.2% -1.0% 0.9% 0.5% 0.5% 0.1% -0.2% -0.0% 0.4% -2.1% -0.9% 0.3% 0.1% -0.9%
200607 2.9% 0.1% -0.6% -1.6% -6.1% -3.7% -3.8% -3.7% -3.5% -0.7% -2.2% 0.7% 0.5% 1.0% 0.2% -2.0% -2.0% -0.1% 0.2% 0.5% -0.4% -0.2% 1.1% -1.9% -0.9% -4.7% -2.1% -1.7% -2.4% -4.4%
200608 2.5% 1.1% 2.4% 1.7% 5.9% 1.8% 3.2% 2.4% 2.1% 2.3% 3.9% 2.2% 2.8% 0.5% 1.2% 2.8% 3.3% 3.0% 2.2% 1.9% 4.9% 2.6% 2.9% 0.8% 1.1% 3.5% 2.4% 1.8% 2.2% 1.1%
200609 1.7% 2.5% 0.8% 4.5% 2.3% 0.6% 1.3% 1.1% 1.9% 2.5% 2.8% 1.9% 2.7% 1.0% 2.9% 2.2% 1.1% 3.6% 2.4% 1.9% 3.1% 2.6% 1.3% 2.7% 2.1% 0.6% 1.5% 0.8% 1.4% 1.1%
200610 2.7% 3.5% 3.5% 4.4% 3.7% 5.1% 5.6% 5.2% 4.1% 3.3% 3.4% 3.8% 2.8% 3.6% 5.3% 5.0% 4.0% 2.6% 2.7% 4.4% 3.2% 3.6% 4.2% 2.6% 4.3% 5.6% 4.9% 4.0% 4.0% 5.7%
200611 1.0% 2.3% 1.8% 3.6% 2.8% 2.3% 2.7% 4.1% 3.9% 2.2% 1.3% 2.9% 2.0% 2.9% 1.4% 2.2% 3.2% 1.8% 1.5% 2.4% 2.0% 0.7% 2.0% 2.4% 3.7% 3.0% 2.8% 2.1% 2.6% 2.3%
200612 1.1% 1.4% 2.4% 1.6% -0.3% 2.0% -0.0% 0.2% 0.2% 0.7% -0.3% 1.7% 1.8% 2.2% 2.9% 1.8% 1.0% 0.9% 2.2% 0.1% 2.0% 2.5% 1.9% 0.3% -0.8% 0.7% 0.7% 1.5% 1.7% 1.7%
Annualized return 15.6% 16.7% 12.3% 22.1% 8.4% 17.5% 17.4% 15.0% 12.7% 15.2% 8.5% 17.2% 19.8% 20.3% 26.2% 17.7% 13.5% 15.0% 17.9% 13.9% 24.1% 15.1% 19.0% 10.5% 11.1% 16.3% 17.3% 16.6% 19.3% 15.5%
200701 0.8% 0.9% 2.3% 2.5% 3.9% 2.4% 1.7% 2.6% 3.5% 2.4% 2.4% 1.4% 1.0% 1.5% 2.8% 2.4% 1.9% 1.2% 2.1% 1.5% 1.2% 2.7% 0.9% 1.9% 2.8% 3.0% 1.3% 2.2% 2.2% 2.8%
200702 -1.9% -2.0% -1.1% -1.2% -0.6% 0.3% -0.3% 0.4% 0.2% -0.6% -2.0% -0.9% -2.9% -0.6% -1.5% -1.6% 0.5% -1.7% -2.2% -2.1% -2.0% -2.5% -1.5% -1.2% -0.9% 0.8% -0.0% 0.6% 0.4% -0.7%
200703 0.6% 2.0% 2.0% 0.3% 0.8% -0.1% 0.5% 2.1% 1.1% 1.1% 0.5% 1.4% 0.9% 1.8% 1.8% 1.9% 1.1% 1.0% 0.8% 1.4% 0.8% 0.5% 1.3% 0.9% 2.4% -1.1% 0.5% 1.0% 1.2% 2.2%
200704 4.0% 3.9% 4.0% 4.7% 4.6% 1.9% 1.8% 3.5% 4.1% 4.2% 5.0% 3.8% 3.7% 3.3% 3.0% 3.3% 3.3% 3.9% 3.8% 5.2% 5.2% 4.1% 4.3% 3.5% 3.1% 2.5% 1.6% 2.3% 2.4% 3.2%
200705 2.5% 3.8% 3.3% 4.9% 4.9% 1.3% 3.6% 5.5% 4.1% 3.5% 2.9% 4.0% 3.7% 3.6% 4.6% 3.1% 3.5% 3.8% 3.4% 4.1% 3.5% 3.1% 2.9% 3.5% 5.3% 2.0% 2.7% 3.1% 3.3% 2.3%
200706 -2.3% -1.1% -2.4% -1.7% -0.2% -0.1% -1.8% -1.0% -2.0% -1.6% -1.4% -0.4% -3.1% -1.9% -2.1% -1.0% -2.6% -1.1% -2.0% -1.1% -1.2% -2.3% -1.7% -1.3% -1.4% -0.8% -0.6% -0.7% -0.7% -0.7%
200707 -3.1% -3.4% -3.7% -3.0% -3.6% -5.2% -6.4% -4.7% -4.6% -2.8% -1.6% -2.6% -4.8% -6.1% -4.5% -4.2% -3.6% -3.9% -3.4% -2.2% -3.6% -3.4% -3.0% -4.3% -2.7% -5.7% -5.4% -4.8% -3.7% -4.2%
200708 2.4% 1.6% 1.2% 1.6% -0.9% -2.3% 2.0% 0.5% -0.3% 0.7% 1.4% 2.3% 2.5% 0.7% -1.0% 1.5% 1.5% 1.6% 1.7% 0.9% 0.6% 1.7% 1.6% 0.9% 2.1% -1.7% 0.1% -0.4% -1.0% 0.0%
200709 3.0% 3.8% 3.7% 3.4% 4.6% 1.3% 0.9% 2.5% 2.3% 3.9% 4.7% 3.5% 2.3% 2.3% 3.2% 3.1% 3.4% 3.8% 3.0% 4.1% 2.3% 2.9% 3.5% 3.3% 4.9% -0.2% 0.6% 1.2% 2.3% 4.6%
200710 1.7% 2.1% 1.6% 2.0% 3.2% 0.4% 2.3% 2.4% 1.5% 2.0% 4.0% 2.2% -0.2% 2.2% 0.4% 1.5% 2.7% 2.4% 1.3% 3.0% 3.5% 1.3% 1.4% 2.0% 2.7% -1.7% 0.1% 1.8% 2.9% 4.4%
200711 -2.0% -4.8% -5.2% -4.8% -7.6% -9.6% -7.7% -6.1% -5.6% -4.0% -3.9% -3.6% -6.5% -3.9% -5.9% -5.6% -4.5% -5.8% -3.6% -4.0% -4.3% -4.7% -3.1% -4.5% -5.6% -11.4% -6.2% -6.1% -6.5% -7.9%
200712 -1.9% -0.0% 0.6% -0.2% -1.2% -1.8% -0.2% -1.6% -1.7% -0.8% -0.8% -0.4% -1.0% -0.6% 0.2% -0.6% -1.4% -1.0% -1.2% 0.7% -1.1% -1.5% 0.2% -1.2% 0.2% -3.5% -2.4% -1.5% 0.4% 1.4%
Annualized return 3.5% 6.4% 5.9% 8.3% 7.2% -11.5% -4.3% 5.5% 2.0% 7.7% 11.4% 11.0% -4.9% 2.0% 0.5% 3.3% 5.4% 3.6% 3.4% 11.7% 4.6% 1.3% 6.6% 3.2% 12.9% -17.3% -8.0% -2.0% 2.7% 6.7%
200801 -3.6% -5.8% -5.8% -9.5% -7.4% -5.0% -5.9% -5.2% -4.2% -5.5% -8.0% -5.7% -4.4% -3.1% -5.8% -7.1% -7.1% -6.8% -4.1% -6.4% -4.8% -6.5% -6.4% -3.7% -7.8% -1.5% -4.2% -4.9% -7.3% -10.5%
200802 -3.0% -2.8% -3.1% -2.7% -2.3% -2.7% -3.1% -2.9% -3.3% -2.7% -2.4% -2.9% -3.5% -4.4% -2.9% -2.5% -2.7% -5.0% -3.0% -2.0% -3.4% -3.8% -0.7% -4.5% -2.9% -4.4% -3.8% -2.0% -1.3% -0.5%
200803 -0.1% -1.0% 0.3% -0.8% -2.4% -3.6% 0.6% -1.6% -2.7% -1.9% 0.3% 0.6% -3.4% -3.0% 0.3% -1.1% -0.6% -0.5% -0.8% -0.4% -0.6% -0.5% -0.6% -1.1% -0.5% -4.9% -1.6% 0.2% -1.2% -1.8%
200804 1.5% 5.3% 4.8% 7.0% 8.7% 0.7% 3.1% 7.4% 4.9% 5.7% 4.7% 3.0% 5.8% 5.4% 5.8% 4.9% 2.9% 4.4% 5.4% 4.8% 2.2% 2.1% 5.4% 6.3% 6.2% 1.1% 2.3% 2.7% 2.5% 4.8%
200805 0.8% 1.1% 2.6% 3.5% 4.4% 2.9% 5.1% 4.9% 4.0% 2.3% 3.5% 0.6% -0.3% 1.9% 3.9% 3.7% 2.9% 0.4% 1.7% 2.2% 3.0% 1.6% 2.4% -0.1% 3.1% 2.7% 2.8% 4.3% 2.7% 5.0%
200806 -8.3% -7.2% -7.9% -9.1% -9.6% -8.9% -10.5% -10.3% -10.8% -9.6% -7.1% -8.1% -10.5% -9.8% -8.4% -10.2% -8.8% -10.3% -8.6% -5.7% -8.0% -8.9% -7.0% -9.4% -8.6% -13.1% -11.5% -8.8% -7.2% -3.2%
200807 -0.8% -0.4% -0.1% -0.5% -2.6% 0.7% 4.1% 1.0% -2.3% -2.2% -0.2% -1.2% -2.7% 0.4% 2.8% 0.7% -1.2% -0.4% -0.8% -0.8% -2.2% 1.0% -0.5% 0.5% -3.1% 0.2% 2.2% 2.9% 2.2% -1.8%
200808 1.4% 1.7% 2.3% 0.9% 1.8% 1.7% 5.0% 3.4% 2.1% 0.3% 1.6% 1.6% 1.2% 0.8% 4.4% 0.1% 1.0% 1.4% 2.1% 1.8% 3.3% 2.2% 1.9% 1.3% 0.2% 2.5% 3.4% 3.2% 2.5% -0.0%
200809 -4.5% -5.7% -10.4% -15.5% -18.7% -11.6% -7.7% -10.8% -12.8% -12.4% -10.8% -8.2% -7.3% -7.3% -10.2% -14.0% -10.0% -8.9% -7.5% -8.4% -10.1% -8.4% -7.3% -7.5% -13.5% -14.0% -9.5% -8.4% -7.2% -13.5%
200810 -13.0% -16.0% -18.3% -24.2% -22.8% -20.8% -23.0% -21.7% -22.6% -20.0% -16.9% -15.3% -16.7% -19.5% -20.2% -24.4% -17.9% -17.0% -15.7% -15.3% -19.6% -14.1% -17.0% -16.8% -18.7% -25.1% -21.9% -19.2% -16.4% -19.8%
200811 -3.1% -8.6% -9.6% -12.4% -15.3% -15.8% -12.9% -11.7% -11.4% -9.2% -8.6% -4.1% -7.8% -10.5% -10.5% -13.8% -9.3% -8.6% -6.3% -5.8% -11.0% -4.0% -7.7% -7.7% -9.6% -18.7% -15.0% -12.6% -9.3% -10.3%
200812 0.0% 1.3% 3.3% 3.2% 4.2% 1.2% 7.2% 5.4% 5.0% 2.7% 2.7% 1.7% 1.3% -0.6% 4.7% 3.0% 2.0% 0.9% 1.3% 2.5% 0.8% 2.6% 2.5% 0.7% 2.8% 3.3% 3.7% 2.7% 3.3% 2.5%
Annualized return -29.0% -33.5% -36.7% -48.8% -50.2% -48.6% -35.4% -37.8% -45.0% -43.4% -36.1% -33.2% -40.2% -41.5% -33.4% -49.0% -40.7% -41.8% -32.2% -30.1% -42.0% -32.3% -31.7% -36.3% -43.3% -55.0% -44.3% -35.6% -32.8% -41.7%
200901 -8.4% -8.5% -8.2% -8.0% -3.4% -1.4% -9.6% -8.4% -5.7% -6.5% -3.9% -8.7% -10.0% -13.6% -13.7% -8.5% -7.4% -10.4% -8.3% -6.4% -7.4% -9.0% -9.8% -8.6% -4.9% 3.7% -5.5% -6.5% -6.3% -9.0%
200902 -9.9% -10.7% -9.9% -10.6% -6.3% -11.4% -13.2% -11.4% -11.0% -11.0% -6.9% -10.0% -13.0% -13.4% -14.4% -11.9% -11.7% -11.2% -10.5% -7.3% -8.8% -11.1% -10.6% -11.2% -6.3% -14.5% -11.1% -10.2% -9.8% -10.7%
200903 5.8% 8.2% 11.1% 13.5% 11.6% 13.1% 12.7% 11.6% 10.1% 10.5% 9.7% 6.4% 11.2% 9.0% 9.2% 12.6% 7.9% 8.0% 9.7% 7.9% 9.7% 6.6% 7.9% 9.6% 10.6% 24.4% 11.1% 9.9% 7.8% 6.3%
200904 4.3% 10.8% 11.2% 15.8% 20.6% 21.0% 24.5% 23.9% 20.6% 17.6% 8.9% 8.2% 12.3% 11.9% 18.0% 13.8% 10.6% 10.8% 9.2% 8.9% 13.6% 7.8% 9.7% 9.5% 11.6% 41.1% 26.7% 17.4% 13.1% 6.5%
200905 5.9% 4.1% 4.3% 4.6% 6.0% 11.9% 6.6% 5.4% 6.9% 8.0% 4.7% 4.9% 6.0% 5.9% 1.6% 6.9% 3.9% 5.8% 5.2% 4.4% 4.8% 3.7% 4.3% 5.2% 7.2% 21.3% 11.5% 6.0% 5.0% 3.4%
200906 -0.2% -0.7% 2.0% 0.5% 2.0% 5.4% 2.0% 0.9% 0.1% -0.9% 2.0% -0.7% -0.8% -1.0% 2.7% 1.3% 0.5% -0.1% -0.7% 1.9% 2.8% 1.2% -0.6% -0.3% 0.7% 4.6% 3.1% 2.2% 3.2% 4.0%
200907 4.8% 7.8% 8.4% 12.3% 15.1% 8.2% 10.3% 10.1% 8.7% 8.1% 6.3% 8.9% 8.1% 10.3% 9.9% 8.4% 8.1% 9.3% 8.5% 5.9% 10.8% 7.2% 8.4% 7.6% 6.7% 10.2% 11.1% 9.2% 6.3% 7.2%
200908 1.1% 3.1% 4.2% 4.0% 13.3% 8.8% 3.5% 3.3% 4.9% 3.5% 1.4% 3.9% 2.8% 5.4% 13.2% 6.2% 5.7% 2.6% 2.7% 1.9% 6.6% 3.2% 2.4% 2.7% 3.3% 18.8% 6.2% 3.8% 1.9% 1.2%
200909 2.2% 3.0% 6.0% 7.8% 6.4% 7.7% 7.1% 6.4% 6.6% 4.4% 3.9% 3.8% 4.4% 4.9% 5.3% 5.0% 2.9% 6.8% 3.1% 4.2% 5.4% 2.3% 6.3% 2.5% 5.2% 11.4% 6.9% 5.6% 5.0% 4.5%
200910 -0.8% -2.1% -2.2% -3.8% -9.3% -7.2% -7.2% -5.7% -4.4% -2.4% -0.6% -1.9% -3.3% -4.8% -8.7% -5.9% -4.9% -4.5% -0.8% 0.0% -4.3% -1.4% -3.2% -2.6% -1.9% -9.0% -4.9% -4.6% -4.3% -6.6%
200911 5.9% 5.0% 5.6% 5.4% 7.8% 0.4% 2.4% 3.9% 4.6% 5.8% 6.6% 5.3% 4.2% 4.9% 5.0% 3.5% 3.9% 6.6% 6.5% 5.8% 4.5% 5.4% 6.5% 5.9% 5.3% -0.2% 2.0% 2.4% 2.0% 4.8%
200912 0.6% 3.7% 3.0% 5.5% 4.3% 6.2% 9.0% 7.4% 6.1% 3.4% 1.8% 3.3% 3.5% 4.4% 3.3% 3.9% 3.8% 3.1% 3.4% 1.3% 3.8% 1.5% 2.9% 2.1% 4.3% 5.8% 5.8% 5.9% 7.3% 7.8%
Annualized return 9.8% 23.4% 38.2% 53.1% 86.4% 76.6% 51.6% 51.8% 53.7% 44.3% 37.6% 23.4% 24.4% 21.7% 28.8% 36.6% 22.8% 26.4% 28.7% 30.8% 46.4% 16.6% 24.0% 22.1% 48.3% 177.0% 75.9% 45.3% 33.0% 18.5%
201001 -2.2% -3.4% -3.9% -5.0% -3.9% 1.2% -2.5% -3.2% -3.3% -3.3% -3.8% -4.1% -1.7% -4.4% -2.0% -2.2% -2.4% -2.8% -4.2% -4.0% -5.2% -2.0% -2.5% -2.8% -5.1% 2.0% -1.7% -1.3% -2.1% -2.3%
201002 1.5% 4.1% 2.9% 5.4% 7.2% 3.5% 3.7% 5.0% 4.9% 3.5% 2.8% 3.9% 2.7% 4.7% 6.4% 4.7% 3.7% 3.1% 2.9% 3.6% 4.8% 2.6% 4.1% 3.3% 3.3% 1.8% 3.3% 4.0% 4.7% 6.9%
201003 4.1% 5.1% 8.3% 8.1% 10.7% 8.1% 8.6% 8.2% 7.5% 5.8% 5.6% 6.2% 6.3% 7.2% 8.8% 6.9% 7.0% 6.8% 6.0% 5.4% 8.0% 5.6% 6.6% 5.3% 6.6% 6.9% 8.0% 7.9% 7.7% 9.7%
201004 0.6% 1.3% 2.2% 4.5% 6.0% 10.4% 5.4% 4.9% 4.4% 1.8% 1.0% 2.5% 2.6% 2.3% 4.4% 2.3% 2.0% 2.2% 0.9% 2.6% 3.8% 1.4% 1.9% 2.0% 1.7% 8.7% 5.8% 5.4% 6.9% 10.2%
201005 -6.4% -7.7% -8.9% -8.2% -11.1% -8.8% -7.5% -7.4% -7.1% -7.6% -7.3% -7.8% -8.3% -7.9% -10.1% -7.9% -8.1% -7.4% -7.4% -8.3% -7.5% -7.1% -7.6% -7.5% -9.0% -8.9% -6.6% -7.1% -7.4% -9.0%
201006 -3.0% -5.1% -7.3% -7.8% -10.4% -8.6% -7.6% -7.2% -6.3% -5.3% -4.1% -7.1% -4.0% -6.8% -11.0% -4.8% -6.2% -5.7% -5.2% -5.6% -8.2% -3.9% -4.8% -4.8% -6.9% -8.0% -5.3% -6.2% -7.8% -9.8%
201007 5.2% 6.3% 8.1% 8.9% 11.8% 4.6% 6.9% 7.1% 7.3% 7.2% 7.2% 5.7% 8.2% 7.3% 6.3% 6.3% 6.7% 7.5% 7.0% 7.0% 8.2% 7.9% 7.3% 7.4% 5.6% 5.0% 5.9% 5.9% 5.9% 7.6%
201008 -0.9% -6.1% -6.7% -6.5% -9.1% -7.5% -7.3% -6.4% -4.8% -4.3% -4.0% -5.0% -5.0% -3.9% -7.8% -6.4% -4.5% -5.1% -5.3% -3.4% -6.8% -7.6% -4.4% -4.1% -3.4% -7.5% -6.3% -5.8% -5.7% -7.2%
201009 6.5% 9.8% 11.9% 12.1% 12.7% 9.9% 13.4% 12.9% 10.8% 10.0% 10.7% 9.4% 8.9% 8.4% 7.8% 9.9% 9.6% 9.3% 9.0% 9.9% 11.6% 8.7% 8.8% 8.7% 10.7% 10.6% 10.4% 10.4% 10.8% 12.6%
201010 2.7% 3.5% 5.6% 3.2% 6.3% 4.7% 3.5% 3.9% 3.1% 4.0% 4.7% 4.5% 4.1% 1.9% 1.5% 2.2% 4.4% 2.7% 4.4% 4.4% 4.6% 3.7% 4.2% 4.1% 3.2% 4.0% 3.7% 3.5% 5.0% 4.7%
201011 -0.7% -0.1% 1.0% 3.1% 4.6% 1.8% 3.5% 4.0% 2.4% 0.6% 0.2% 2.5% 0.3% 0.3% -1.0% 1.7% 1.0% -0.6% 0.9% 0.5% 3.2% 0.8% 1.3% 0.5% -0.3% 0.5% 2.9% 2.7% 3.1% 3.9%
201012 4.6% 6.5% 8.0% 9.6% 9.3% 8.9% 9.0% 7.9% 7.5% 6.6% 4.9% 6.3% 7.8% 8.3% 11.3% 9.7% 6.4% 7.8% 6.8% 5.1% 9.7% 9.3% 6.2% 6.3% 5.3% 10.7% 7.5% 7.9% 7.5% 7.4%
Annualized return 11.8% 13.4% 20.1% 27.3% 34.0% 28.9% 29.9% 30.8% 27.2% 19.0% 17.5% 16.1% 21.8% 16.5% 11.9% 22.5% 19.3% 17.3% 14.9% 16.5% 26.1% 19.0% 21.5% 18.1% 9.9% 25.8% 28.7% 28.7% 29.8% 36.2%
201101 0.9% 2.2% 3.5% 3.0% 2.0% 2.4% 0.4% 1.2% 2.3% 2.1% 1.2% 3.2% 2.5% 2.4% 2.1% 3.0% 1.4% 3.6% 2.6% 0.7% 2.1% 2.8% 3.3% 1.0% 1.5% 3.1% 1.6% 1.4% 0.9% 1.6%
201102 3.4% 2.5% 4.5% 4.7% 3.7% 3.7% 5.6% 5.2% 4.1% 3.6% 2.5% 3.8% 4.4% 4.7% 3.8% 4.2% 5.0% 4.1% 3.5% 2.4% 5.1% 3.0% 3.4% 3.6% 3.6% 3.1% 4.5% 3.8% 5.5% 5.1%
201103 1.4% -0.3% 0.1% 0.9% 0.1% 0.4% 2.2% 3.1% 2.0% 0.5% 0.5% 0.3% 1.7% 0.5% -1.2% -1.2% 1.4% 0.0% 0.3% 1.2% 0.7% -0.1% 1.3% 0.3% 0.4% -1.1% 1.6% 1.9% 2.4% 3.4%
201104 3.8% 4.2% 0.7% 2.1% 3.6% 0.4% 2.2% 3.3% 2.9% 3.3% 3.7% 3.6% 2.0% 2.0% 1.5% 1.1% 3.7% 2.6% 2.7% 3.7% 2.1% 2.0% 3.6% 3.6% 2.7% 0.5% 1.9% 2.6% 2.3% 1.7%
201105 0.5% -1.5% -2.3% -2.3% -4.0% -2.7% -2.2% -1.4% -0.6% -0.7% -0.2% -2.0% -1.8% -1.9% -2.2% -3.5% -1.4% -1.3% -1.7% -0.1% -3.0% -2.2% -1.1% -1.1% -0.6% -3.0% -1.3% -1.1% -1.8% -1.9%
201106 -1.4% -1.5% -2.1% -2.2% -1.9% -3.1% -1.7% -2.0% -2.3% -1.6% -1.2% -2.4% -1.9% -1.6% -2.0% -3.2% -2.0% -1.9% -1.6% -0.9% -3.5% -2.2% -1.3% -0.8% -2.0% -4.0% -1.9% -1.7% -1.6% -1.4%
201107 -2.5% -2.0% -0.9% -3.6% -4.0% -1.3% -4.2% -4.3% -3.7% -3.1% -0.9% -2.3% -2.5% -3.4% -4.5% -4.7% -3.7% -3.3% -1.9% -0.5% -4.3% -3.4% -2.6% -2.6% -0.3% -2.0% -2.6% -2.9% -3.2% -2.6%
201108 -1.3% -5.8% -7.2% -11.2% -13.9% -10.4% -9.8% -8.2% -7.7% -5.8% -4.7% -4.8% -8.6% -5.4% -8.4% -9.2% -7.4% -6.4% -5.3% -4.5% -6.6% -6.0% -5.1% -6.0% -6.2% -11.4% -6.9% -6.7% -8.2% -10.2%
201109 -3.4% -6.1% -9.7% -13.6% -16.3% -11.0% -11.5% -11.7% -10.7% -8.2% -6.7% -6.7% -8.7% -7.0% -10.5% -10.3% -9.0% -8.6% -7.0% -5.9% -7.0% -8.2% -7.5% -8.7% -6.6% -10.8% -8.3% -9.3% -9.8% -14.1%
201110 6.4% 11.5% 13.6% 17.2% 20.7% 9.4% 16.8% 16.6% 15.2% 12.1% 10.2% 12.1% 13.4% 10.3% 12.4% 13.8% 12.9% 12.5% 10.4% 10.3% 10.1% 11.7% 11.6% 11.9% 11.2% 10.4% 12.3% 12.4% 11.8% 14.7%
201111 1.4% 0.2% -0.8% -2.4% -3.6% -2.8% -0.5% -0.7% -0.3% -0.6% -0.5% 0.5% 0.8% 0.6% -3.1% -1.8% -1.2% 0.6% -0.2% 0.2% 0.0% 0.0% -0.0% 0.2% -1.0% -5.3% -1.6% 0.1% -0.1% 0.1%
201112 2.9% -0.8% 0.5% -0.4% -1.7% 0.1% 0.1% -0.1% -0.6% -0.4% -0.8% 0.6% 2.3% 2.8% 0.7% -1.0% 1.6% 1.4% 1.3% 0.1% 3.1% 1.5% 1.0% 0.5% -0.8% -1.5% 1.1% 0.7% 0.7% 0.4%
Annualized return 12.2% 1.4% -1.9% -10.6% -18.2% -15.5% -5.4% -1.6% -1.7% -0.4% 2.2% 4.8% 1.8% 2.8% -12.6% -14.2% -0.5% 1.8% 2.2% 5.9% -2.6% -2.5% 5.3% 0.7% 0.9% -21.5% -1.1% -0.4% -2.6% -6.0%
201201 0.6% 6.4% 6.7% 8.4% 12.2% 10.7% 8.0% 7.2% 7.2% 6.3% 7.2% 3.8% 3.8% 2.2% 6.3% 6.9% 5.8% 4.3% 3.2% 6.2% 3.6% 4.0% 5.3% 5.7% 5.8% 14.3% 9.4% 7.3% 5.5% 5.1%
201202 1.9% 4.7% 6.6% 5.6% 6.1% 4.0% 3.3% 4.0% 4.9% 4.3% 5.1% 3.4% 3.6% 4.4% 5.3% 4.8% 4.7% 3.6% 4.4% 4.6% 4.3% 5.1% 3.2% 3.6% 5.4% 5.4% 3.4% 3.7% 2.9% 3.5%
201203 2.6% 3.6% 3.8% 1.9% 3.5% 4.2% 2.1% 1.5% 1.7% 2.5% 4.0% 2.4% 1.1% 2.7% 4.9% 3.1% 3.2% 2.6% 2.8% 3.6% 3.8% 3.6% 3.2% 1.8% 3.4% 2.6% 3.2% 3.3% 3.4% 3.7%
201204 0.7% -0.7% -1.7% -2.1% -1.9% -1.3% -2.2% -1.5% -0.8% -0.9% -0.3% -1.0% -1.0% 0.1% -2.7% -1.9% -1.5% -0.3% -1.0% -0.3% -0.5% -0.8% -1.4% -0.5% -0.7% -4.1% -0.9% -1.4% -0.1% 0.9%
201205 -2.2% -7.5% -6.8% -9.0% -13.0% -6.7% -7.2% -7.3% -8.4% -6.8% -6.4% -5.3% -6.5% -4.3% -8.4% -7.7% -6.5% -6.0% -6.8% -5.0% -4.5% -5.0% -6.3% -6.9% -7.0% -10.4% -7.4% -5.3% -5.0% -5.3%
201206 5.0% 3.7% 2.9% 4.1% 1.6% 3.7% 5.4% 3.6% 1.9% 3.4% 2.7% 3.7% 5.2% 4.3% 5.7% 5.0% 4.9% 4.1% 3.8% 3.1% 4.9% 4.3% 3.5% 3.2% 4.0% 3.4% 4.2% 4.0% 3.8% 4.1%
201207 2.2% -0.4% 1.6% 0.1% -2.7% -1.2% -1.8% -1.0% -0.8% 0.8% 1.0% 0.7% 1.5% 0.7% -0.6% -1.1% 0.6% 1.8% 0.9% 0.8% -0.1% 0.8% 1.0% 1.0% 0.7% -2.4% -1.9% -0.6% -0.0% 0.3%
201208 -0.2% 3.0% 4.4% 5.0% 6.7% 2.0% 2.9% 4.3% 4.1% 2.6% 2.8% 2.9% 1.6% 0.9% 5.0% 3.6% 2.6% 3.2% 2.1% 2.3% 4.3% 1.1% 1.4% 1.8% 4.7% 3.2% 3.2% 2.8% 2.1% 2.9%
201209 3.1% 1.1% 3.5% 2.4% 3.5% 4.4% 4.5% 2.6% 2.2% 2.4% 1.8% 2.6% 3.5% 3.0% 4.7% 4.1% 3.9% 3.2% 2.8% 1.3% 4.7% 3.3% 2.5% 2.1% 2.1% 4.9% 3.8% 3.0% 3.4% 3.1%
201210 -1.4% -1.8% -3.6% -0.3% 1.8% -2.4% -2.9% -0.8% -0.3% -1.2% -3.4% -0.9% -1.7% -1.4% 3.1% 0.3% -1.0% -3.1% -0.5% -3.0% 0.1% -1.4% -0.7% -1.3% -4.5% -3.3% -1.9% -1.5% -1.1% -0.4%
201211 0.1% 1.3% 0.7% 1.7% 0.1% -0.7% 0.6% 2.5% 2.1% 1.2% 1.6% 0.7% 0.5% -0.5% -1.2% 0.5% 0.1% 2.3% 0.2% 0.6% 1.1% 1.1% 0.3% 0.3% 1.3% -0.1% 1.0% 0.4% 0.3% 0.3%
201212 -0.9% 1.5% 1.1% 4.0% 7.0% 2.1% 3.7% 3.2% 2.4% 1.8% -0.3% 0.9% 1.6% 2.4% 5.7% 4.0% 1.6% 2.3% 1.2% -0.7% 2.8% 0.9% 1.3% 1.4% 0.1% 3.2% 2.9% 3.0% 2.3% 1.5%
Annualized return 11.8% 15.0% 20.0% 22.7% 25.3% 19.3% 16.5% 19.1% 16.6% 16.9% 16.1% 14.3% 13.5% 15.0% 30.1% 22.8% 19.4% 18.9% 13.2% 13.7% 26.7% 17.6% 13.5% 12.2% 15.3% 15.6% 19.5% 19.7% 18.3% 21.1%
201301 5.8% 5.8% 4.1% 6.2% 7.4% 7.9% 6.7% 6.4% 7.7% 6.3% 4.3% 5.6% 6.7% 5.8% 7.5% 8.0% 6.2% 6.3% 5.9% 3.3% 7.3% 6.6% 5.6% 5.9% 3.2% 8.0% 6.7% 6.1% 7.0% 8.0%
201302 2.3% 1.0% 1.1% -0.4% -0.3% 1.0% 1.1% 1.3% 1.2% 1.3% 1.2% 0.8% 1.8% 2.3% 0.9% 1.8% 1.5% 1.2% 1.4% 1.1% 1.4% 1.4% 2.2% 1.0% 0.5% -0.1% 1.5% 1.5% 1.6% 1.6%
201303 4.8% 3.7% 2.8% 4.0% 4.6% 4.3% 4.4% 4.8% 4.6% 4.4% 3.9% 3.6% 4.0% 4.8% 4.0% 4.7% 4.4% 3.5% 3.7% 4.2% 4.9% 4.7% 4.7% 3.9% 2.3% 2.8% 4.2% 4.2% 5.1% 6.4%
201304 2.4% 1.6% 1.1% 0.0% 1.7% -0.3% -0.8% -0.3% 0.9% 1.7% 1.8% 0.8% 1.6% 1.4% 2.2% 1.8% 0.3% 0.6% 1.9% 2.4% 1.1% 1.6% 2.3% 1.0% 1.6% -0.9% -0.1% 0.2% 0.4% 0.8%
201305 -0.7% 3.7% 5.1% 5.4% 6.2% 5.1% 6.0% 4.6% 3.7% 2.5% 2.2% 3.4% 1.7% 2.3% 6.2% 5.5% 2.1% 2.6% 2.8% 2.2% 3.9% 1.0% 2.6% 2.9% 3.7% 6.0% 4.8% 3.6% 4.1% 4.3%
201306 -0.6% -0.7% -2.1% -1.9% -2.8% 0.3% 0.5% -0.9% -1.7% -0.8% -2.0% -0.9% -0.2% -0.3% -1.9% -2.3% -0.2% -0.4% -1.0% -2.5% -1.7% -2.0% -0.1% -0.6% -2.6% -1.0% 0.4% 0.3% 1.1% -0.1%
201307 4.8% 5.6% 5.9% 5.4% 7.7% 8.1% 7.0% 7.5% 6.6% 5.8% 5.6% 5.7% 4.9% 5.5% 6.7% 7.7% 5.6% 5.2% 6.0% 4.8% 5.7% 5.3% 5.7% 4.0% 7.8% 8.3% 6.1% 7.1% 7.1% 7.9%
201308 -4.1% -1.7% -3.0% -1.2% -2.3% -1.5% -2.8% -2.9% -2.3% -2.5% -1.0% -3.1% -3.3% -3.8% -4.3% -2.7% -3.0% -3.0% -3.4% -1.6% -2.8% -3.5% -4.2% -2.2% -0.7% -1.5% -2.4% -2.2% -2.3% -2.4%
201309 2.0% 4.0% 4.5% 5.6% 5.2% 6.1% 6.3% 5.6% 5.3% 4.0% 4.7% 3.5% 3.2% 3.1% 2.7% 5.3% 3.0% 4.0% 3.6% 3.3% 3.5% 3.3% 3.2% 3.8% 5.0% 5.7% 4.2% 5.5% 5.7% 7.0%
201310 4.2% 5.0% 3.9% 3.3% 3.4% 1.9% 2.1% 3.7% 3.3% 4.1% 4.0% 4.0% 4.9% 4.4% 3.8% 2.1% 4.1% 4.8% 3.8% 5.1% 5.4% 3.7% 4.0% 3.9% 4.5% 1.9% 2.7% 3.6% 3.5% 2.8%
201311 2.6% 4.0% 3.0% 2.7% 3.9% 5.0% 4.5% 3.9% 2.0% 2.7% 3.4% 2.8% 3.1% 2.0% 4.7% 2.2% 2.7% 2.2% 4.0% 3.5% 2.3% 3.4% 3.6% 2.9% 2.9% 3.9% 4.2% 4.0% 4.3% 5.2%
201312 1.2% 3.1% 3.1% 3.5% 3.3% 2.9% 2.4% 2.9% 3.2% 3.0% 2.5% 2.8% 3.6% 2.3% 1.9% 3.3% 2.8% 3.2% 2.5% 2.1% 2.4% 2.7% 2.2% 2.8% 3.2% 2.7% 2.5% 2.3% 2.7% 3.5%
Annualized return 27.1% 40.8% 33.1% 37.1% 44.3% 48.4% 43.6% 42.7% 39.6% 37.0% 34.7% 32.7% 36.4% 33.8% 39.5% 43.6% 33.5% 34.3% 35.4% 31.6% 38.4% 31.4% 36.2% 33.2% 35.7% 41.4% 40.4% 42.2% 47.9% 54.5%
201401 -3.1% -3.4% -3.9% -4.3% -3.1% 2.7% -3.0% -2.7% -2.7% -2.9% -3.3% -2.5% -4.3% -4.1% -3.1% -1.3% -3.1% -1.6% -4.2% -4.9% -4.9% -4.0% -3.0% -3.6% -2.0% 2.7% -1.2% -1.9% -1.9% -0.5%
201402 4.1% 4.6% 4.5% 5.7% 6.1% 4.2% 4.4% 5.3% 5.5% 5.3% 5.2% 5.0% 4.9% 3.3% 3.3% 5.3% 2.4% 5.0% 5.0% 4.7% 4.3% 4.8% 3.8% 4.7% 5.5% 4.0% 3.3% 4.7% 4.9% 5.7%
201403 1.4% -0.0% 1.3% 0.2% -0.5% 0.0% 0.0% -0.4% 0.1% 0.4% -1.5% 0.3% 0.9% 3.5% 3.3% -1.0% 2.0% -0.3% 1.1% 0.7% 1.2% 0.8% 2.3% 1.5% -2.8% 0.5% 0.9% 1.2% 0.6% -1.6%
201404 2.1% -0.6% -1.3% -0.3% -1.7% -5.3% -4.0% -2.4% -1.3% 0.3% -0.2% -0.1% 0.2% 1.4% -1.4% -1.2% -0.8% -1.0% 0.2% 1.5% 0.3% 0.9% -0.2% -0.1% -0.8% -4.0% -1.6% -2.8% -2.6% -5.5%
201405 0.6% 3.6% 2.5% 2.3% 1.2% -0.9% 0.1% 1.4% 1.8% 2.4% 2.7% 2.0% 1.9% 1.4% 0.9% 1.3% 1.3% 2.6% 2.0% 2.3% 1.9% 0.8% 1.8% 2.2% 3.6% -1.2% 1.2% 0.8% 0.7% -0.1%
201406 1.5% 1.9% 3.1% 4.8% 3.4% 4.1% 6.4% 5.0% 4.2% 2.4% 2.0% 2.1% 2.5% 3.2% 3.8% 4.6% 2.9% 2.2% 2.6% 1.6% 2.0% 1.4% 1.5% 2.9% 4.4% 4.7% 3.5% 4.3% 4.0% 5.0%
201407 -1.4% -1.0% -3.1% -2.9% -3.6% -4.9% -6.2% -5.7% -3.6% -2.1% -2.0% -2.0% -1.2% -2.3% -2.5% -3.5% -3.8% -1.7% -2.0% -0.9% -2.7% -2.4% -2.3% -1.1% -1.9% -4.9% -3.5% -3.8% -4.2% -5.4%
201408 4.8% 3.8% 3.9% 4.2% 5.0% 3.1% 5.2% 5.1% 5.4% 4.2% 5.0% 4.6% 3.4% 2.6% 4.8% 6.2% 4.4% 3.4% 3.7% 4.7% 3.9% 4.0% 4.0% 4.7% 4.3% 3.3% 3.5% 4.6% 4.3% 4.9%
201409 0.1% -1.9% -2.8% -4.1% -6.0% -5.1% -5.6% -5.6% -4.1% -1.9% -1.2% -1.5% -2.7% -3.4% -1.7% -2.8% -2.9% -2.0% -1.5% -1.6% -1.8% -2.1% -2.0% -1.6% -2.6% -7.0% -3.8% -3.9% -4.0% -4.3%
201410 3.7% 2.9% 2.4% 0.5% -0.1% 1.4% 6.1% 4.6% 2.1% 2.3% 3.1% 2.6% 2.4% 1.2% 2.1% 2.3% 4.3% 1.9% 2.0% 2.6% 3.2% 2.9% 1.9% 2.9% 1.6% 0.9% 5.4% 4.8% 3.9% 2.5%
201411 3.4% 3.8% 2.5% -0.7% -1.0% -1.2% -0.4% 1.0% 1.5% 2.4% 3.6% 3.6% 2.9% 0.2% 0.3% 1.7% 1.5% 0.7% 3.1% 4.4% 2.9% 2.1% 2.4% 3.4% 1.3% -2.5% 0.0% 0.8% 0.6% 1.3%
201412 -0.7% -0.3% 0.7% 0.9% -0.4% 2.7% 2.7% 0.6% 0.2% -0.3% -0.9% -0.7% 0.3% 0.2% 2.1% 0.6% 0.6% 1.0% -0.2% -1.5% 0.6% 0.8% 0.4% -0.7% -1.4% 1.3% 1.9% 2.1% 2.3% 1.6%
Annualized return 17.4% 13.9% 9.4% 5.9% -1.3% 0.2% 4.8% 5.4% 8.8% 12.9% 12.9% 13.9% 11.2% 7.3% 12.2% 12.3% 8.7% 10.2% 12.1% 14.0% 11.1% 10.1% 10.8% 15.8% 9.1% -2.9% 9.5% 10.9% 8.3% 2.9%
Average Annulized return 7% 9% 9% 9% 8% 6% 10% 11% 9% 9% 9% 9% 7% 7% 9% 6% 7% 7% 9% 10% 10% 7% 9% 7% 8% 6% 10% 11% 11% 9%
Relationship Between Average Annulized Returns and Beta
Smallest Betas Quintile 2 Quintile 3 Quintile 4 Largest Betas 7.4209773759098763E-2 9.0661129214522962E-2 8.5690880865311181E-2 8.6356148290454682E-2 7.9205161247403177E-2
Average Annulized Return
Relationship Between Average Annulized Returns and Size
Smallest Firms Quintile 2 Quintile 3 Quintile 4 Biggest Firms 6.3205753533483344E-2 9.7408821426477665E-2 0.10915472433404516 9.1234384048821227E-2 9.0260987847646357E-2
Average Annulized Return
Relationship Between Average Annulized Returns and B/M
Smallest B/M Firms Quintile 2 Quintile 3 Quintile 4 Largest B/M Firms 8.7546870774359187E-2 9.0707368379401299E-2 7.2095537345206351E-2 6.5657283131700384E-2 9.2800090432640259E-2
Average Annulized Return
Relationship Between Average Annulized Returns and Profitability
Lowest Profit Firms Quintile 2 Quintile 3 Quintile 4 Highest Profit Firms 6.1917262741015389E-2 7.1274295471234206E-2 7.1354361347049755E-2 8.627596205607091E-2 9.6629189323314435E-2
Average Annulized Return
Relationship Between Average Annulized Returns and Investment
Lowest Investment Firms Quintile 2 Quintile 3 Quintile 4 Highest Investment Firms 0.10375150190195881 6.7594258956648057E-2 9.3669386065813542E-2 6.9301921809058031E-2 8.1633200534449335E-2
Average Annulized Return
Relationship Between Average Annulized Returns and Momentum
Lowest Momentum Firms Quintile 2 Quintile 3 Quintile 4 Highest Momentum Firms 6.019838314861059E-2 9.8907918527624483E-2 0.10752016302949086 0.11327139680615472 9.1893387140591143E-2
Average Annulized Return