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Multifactor Models
Harvard Business School Case 9-207-056
Courseware 9-207-710

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

Russell Russell Russell Russell Russell

Month S&P 500 1000 Value 1000 Growth Midcap Midcap Growth Midcap Value

1/31/2000 -5.10% -3.39% -4.72% -3.30% 0.00% -6.10%

2/29/2000 -2.00% -7.66% 4.85% 7.70% 21.00% -4.40%
3/31/2000 9.70% 12.01% 7.09% 5.70% 0.10% 11.80%
4/28/2000 -3.10% -1.31% -4.79% -4.70% -9.70% 0.30%
5/31/2000 -2.20% 0.81% -5.08% -2.60% -7.30% 1.50%
6/30/2000 2.40% -4.80% 7.70% 3.00% 10.60% -3.90%
7/31/2000 -1.60% 1.20% -4.40% -1.10% -6.30% 2.20%
8/31/2000 6.10% 5.30% 9.20% 9.60% 15.10% 5.90%
9/29/2000 -5.30% 0.80% -9.50% -1.40% -4.90% 0.80%
10/31/2000 -0.50% 2.30% -4.70% -1.50% -6.80% 1.80%
11/30/2000 -8.00% -3.90% -14.80% -9.00% -21.70% -1.50%
12/29/2000 0.40% 4.90% -3.20% 7.60% 5.30% 8.60%
1/31/2001 3.50% 0.20% 6.90% 1.60% 5.70% -0.50%
2/28/2001 -9.20% -3.00% -17.00% -6.10% -17.30% -0.60%
3/30/2001 -6.40% -3.60% -10.90% -6.20% -14.30% -2.90%
4/30/2001 7.70% 4.80% 12.60% 8.60% 16.70% 5.40%
5/31/2001 0.50% 2.00% -1.50% 1.90% -0.50% 2.60%
6/29/2001 -2.50% -2.30% -2.30% -0.90% 0.00% -1.50%
7/31/2001 -1.10% -0.30% -2.60% -2.90% -6.80% -0.50%
8/31/2001 -6.40% -4.20% -8.20% -4.00% -7.30% -2.00%
9/28/2001 -8.20% -7.20% -10.00% -12.20% -16.60% -9.70%
10/31/2001 1.80% -1.00% 5.20% 3.90% 10.50% 0.40%
11/30/2001 7.50% 5.60% 9.50% 8.20% 10.70% 6.80%
12/31/2001 0.80% 2.20% -0.30% 3.80% 3.80% 3.90%
1/31/2002 -1.60% -0.90% -1.80% -0.70% -3.30% 0.90%
2/28/2002 -2.10% 0.00% -4.20% -1.20% -5.70% 1.40%
3/29/2002 3.70% 4.60% 3.40% 5.90% 7.60% 4.90%
4/30/2002 -6.10% -3.60% -8.20% -2.00% -5.30% -0.20%
5/31/2002 -0.90% 0.30% -2.50% -1.30% -3.00% -0.40%
6/28/2002 -7.20% -5.90% -9.30% -6.80% -11.10% -4.60%
7/31/2002 -7.90% -9.50% -5.60% -9.90% -9.70% -9.90%
8/30/2002 0.50% 0.50% 0.20% 0.40% -0.40% 0.90%
9/30/2002 -11.00% -11.30% -10.50% -9.40% -8.00% -10.30%
10/31/2002 8.60% 7.20% 9.10% 4.90% 7.70% 3.00%
11/29/2002 5.70% 6.00% 5.30% 6.80% 7.80% 6.00%
12/31/2002 -6.00% -4.50% -7.00% -4.10% -6.10% -2.60%
1/31/2003 -2.70% -2.60% -2.50% -2.10% -1.00% -2.90%
2/28/2003 -1.70% -2.90% -0.60% -1.50% -0.90% -1.90%
3/31/2003 0.80% 0.00% 1.80% 0.80% 1.80% 0.10%
4/30/2003 8.10% 8.60% 7.30% 7.20% 6.80% 7.50%
5/30/2003 5.10% 6.20% 4.90% 9.00% 9.60% 8.50%
6/30/2003 1.10% 1.10% 1.30% 0.90% 1.40% 0.50%
7/31/2003 1.60% 1.30% 2.40% 3.20% 3.50% 3.00%
8/29/2003 1.80% 1.30% 2.40% 4.20% 5.50% 3.30%
9/30/2003 -1.20% -1.20% -1.20% -1.40% -2.00% -1.00%
10/31/2003 5.50% 5.90% 5.50% 7.50% 8.00% 7.20%
11/28/2003 0.70% 1.10% 0.90% 2.70% 2.60% 2.70%
12/31/2003 5.10% 5.90% 3.30% 2.80% 1.00% 4.10%
1/30/2004 1.70% 1.60% 2.00% 2.80% 3.30% 2.50%
2/27/2004 1.20% 1.90% 0.50% 2.00% 1.60% 2.30%
3/31/2004 -1.60% -1.10% -1.90% -0.10% -0.20% 0.00%
4/30/2004 -1.70% -2.60% -1.20% -3.70% -2.90% -4.30%
5/31/2004 1.20% 0.80% 1.80% 2.30% 2.30% 2.30%
6/30/2004 1.80% 2.20% 1.10% 2.60% 1.50% 3.30%
7/30/2004 -3.40% -1.60% -5.70% -4.50% -6.70% -2.80%
8/31/2004 0.20% 1.20% -0.60% 0.30% -1.30% 1.40%
9/30/2004 0.90% 1.30% 0.90% 3.10% 3.70% 2.70%
10/29/2004 1.40% 1.50% 1.50% 2.70% 3.40% 2.20%
11/30/2004 3.90% 4.80% 3.30% 5.90% 5.10% 6.50%
12/31/2004 3.20% 3.10% 3.80% 4.10% 4.70% 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)

Long-Term
Russell Russell Russell Value-Weighted Government Treasury
Month 2000 2000 Growth 2000 Value Market Bonds Bills

1/31/2000 -1.70% -0.90% -2.70% -3.98% 2.28% 0.41%

2/29/2000 16.40% 23.20% 5.90% 3.17% 2.64% 0.43%
3/31/2000 -6.70% -10.50% 0.20% 5.35% 3.67% 0.47%
4/28/2000 -6.10% -10.10% 0.40% -5.95% -0.76% 0.46%
5/31/2000 -5.90% -8.80% -1.70% -3.90% -0.54% 0.50%
6/30/2000 8.60% 12.90% 2.60% 5.16% 2.44% 0.40%
7/31/2000 -3.30% -8.60% 3.20% -1.71% 1.73% 0.48%
8/31/2000 7.50% 10.50% 4.10% 7.64% 2.40% 0.50%
9/29/2000 -3.10% -5.00% -0.80% -5.11% -1.57% 0.51%
10/31/2000 -4.60% -8.10% -0.50% -2.46% 1.87% 0.56%
11/30/2000 -10.40% -18.20% -2.30% -10.25% 3.19% 0.51%
12/29/2000 8.40% 6.10% 10.50% 2.03% 2.43% 0.50%
1/31/2001 5.10% 8.10% 2.60% 3.95% 0.05% 0.54%
2/28/2001 -6.70% -13.70% -0.40% -9.93% 1.91% 0.39%
3/30/2001 -5.00% -9.10% -1.80% -7.03% -0.74% 0.44%
4/30/2001 7.70% 12.20% 4.50% 8.39% -3.13% 0.39%
5/31/2001 2.30% 2.30% 2.30% 1.06% 0.37% 0.32%
6/29/2001 3.30% 2.70% 3.80% -1.75% 0.85% 0.28%
7/31/2001 -5.50% -8.60% -2.40% -1.83% 3.76% 0.30%
8/31/2001 -3.30% -6.30% -0.50% -5.91% 2.06% 0.31%
9/28/2001 -13.60% -16.20% -11.30% -9.15% 0.81% 0.28%
10/31/2001 5.80% 9.60% 2.40% 2.80% 4.64% 0.22%
11/30/2001 7.60% 8.30% 7.00% 7.87% -4.71% 0.17%
12/31/2001 6.00% 6.20% 5.90% 1.78% -1.83% 0.15%
1/31/2002 -1.10% -3.60% 1.20% -1.61% 1.38% 0.14%
2/28/2002 -2.80% -6.50% 0.40% -2.17% 1.15% 0.13%
3/29/2002 7.90% 8.60% 7.30% 4.47% -4.36% 0.13%
4/30/2002 0.80% -2.20% 3.40% -4.96% 4.10% 0.15%
5/31/2002 -4.50% -5.90% -3.50% -1.05% 0.15% 0.14%
6/28/2002 -5.10% -8.50% -2.40% -7.02% 1.87% 0.13%
7/31/2002 -15.20% -15.40% -15.00% -8.11% 3.03% 0.15%
8/30/2002 -0.40% -0.10% -0.60% 0.80% 4.64% 0.14%
9/30/2002 -7.30% -7.30% -7.40% -10.00% 4.17% 0.14%
10/31/2002 3.10% 5.00% 1.40% 7.50% -2.94% 0.14%
11/29/2002 8.80% 9.80% 7.80% 6.13% -1.22% 0.12%
12/31/2002 -5.70% -7.00% -4.50% -5.33% 5.07% 0.11%
1/31/2003 -2.90% -2.80% -2.90% -2.34% -1.06% 0.10%
2/28/2003 -3.10% -2.70% -3.50% -1.54% 3.29% 0.09%
3/31/2003 1.10% 1.40% 0.80% 1.03% -1.35% 0.10%
4/30/2003 9.40% 9.40% 9.30% 8.28% 1.02% 0.10%
5/30/2003 10.60% 11.20% 10.10% 6.35% 5.92% 0.09%
6/30/2003 1.70% 1.80% 1.50% 1.63% -1.54% 0.10%
7/31/2003 6.20% 7.50% 4.80% 2.31% -9.82% 0.07%
8/29/2003 4.50% 5.30% 3.70% 2.49% 1.66% 0.07%
9/30/2003 -2.00% -2.60% -1.30% -0.91% 5.46% 0.08%
10/31/2003 8.30% 8.60% 8.00% 6.03% -2.83% 0.07%
11/28/2003 3.50% 3.20% 3.70% 1.66% 0.27% 0.07%
12/31/2003 1.90% 0.40% 3.40% 4.55% 1.39% 0.08%
1/30/2004 4.30% 5.20% 3.40% 2.31% 1.87% 0.07%
2/27/2004 0.80% -0.20% 1.80% 1.55% 2.30% 0.06%
3/31/2004 0.80% 0.40% 1.20% -1.07% 1.41% 0.09%
4/30/2004 -5.20% -5.00% -5.30% -2.42% -5.88% 0.08%
5/31/2004 1.50% 1.90% 1.10% 1.41% -0.51% 0.06%
6/30/2004 4.10% 3.30% 4.90% 2.16% 1.21% 0.08%
7/30/2004 -6.80% -9.00% -4.70% -3.77% 1.55% 0.10%
8/31/2004 -0.60% -2.20% 0.80% 0.27% 3.95% 0.11%
9/30/2004 4.60% 5.50% 3.80% 2.06% 0.96% 0.11%
10/29/2004 1.90% 2.40% 1.40% 1.78% 1.54% 0.11%
11/30/2004 8.60% 8.40% 8.70% 4.82% -2.34% 0.15%
12/31/2004 2.80% 3.50% 2.10% 3.52% 2.50% 0.16%

Source: Adapted from Thomson Research Datastream, Ken French's Data Library, and Ibbotson & Associates.
Exhibit 2 Total Monthly Returns for HML, SMB, MOM, and 10 Industry Portfolios (January 2000 to December 2004)

Consumer Consumer
Month HML SMB MOM Nondurables Durables Manufacturing Energy

1/31/2000 0.22% 4.39% 1.82% -4.81% -0.75% -7.55% 0.89%

2/29/2000 12.66% -21.87% 18.40% -6.22% -8.40% -2.96% -5.56%
3/31/2000 7.94% -16.58% -6.78% 7.78% 10.70% 5.80% 12.17%
4/28/2000 9.07% -7.62% -8.48% -1.83% 9.51% 1.28% -1.87%
5/31/2000 3.74% -4.78% -9.13% 7.24% -13.29% -1.54% 9.50%
6/30/2000 -9.82% 13.46% 16.41% 2.36% -9.49% -1.09% -5.27%
7/31/2000 8.39% -2.86% -0.06% 0.83% 4.58% -0.61% -2.54%
8/31/2000 -1.34% -1.11% 5.74% -1.81% 7.90% 6.88% 8.73%
9/29/2000 6.86% -1.79% 2.16% 3.42% -3.69% -5.92% 4.45%
10/31/2000 4.86% -3.60% -4.75% 7.37% 1.86% 4.58% -2.92%
11/30/2000 12.49% -3.14% -2.49% 2.79% -11.28% -3.65% -2.62%
12/29/2000 6.07% 1.58% 6.85% 5.27% 1.44% 7.07% 7.63%
1/31/2001 -5.62% 6.89% 25.05% -1.90% 13.43% -0.06% -3.39%
2/28/2001 13.71% -1.16% 12.66% 0.19% -1.25% -4.26% 0.06%
3/30/2001 6.23% 0.58% 8.40% -4.62% -2.81% -7.29% -0.18%
4/30/2001 -4.47% 0.24% -8.10% 0.91% 8.18% 8.46% 10.12%
5/31/2001 2.81% 2.96% 2.15% 3.36% -2.85% 2.86% 0.11%
6/29/2001 -2.08% 6.49% 0.28% -1.60% 3.52% -4.41% -7.55%
7/31/2001 5.54% -4.23% 5.59% -0.14% 3.18% 0.54% -2.29%
8/31/2001 3.34% 2.15% 5.45% 2.46% -11.14% -1.96% -3.47%
9/28/2001 1.68% -6.48% 11.53% -2.56% -16.87% -12.73% -5.54%
10/31/2001 -7.00% 6.82% -8.42% 1.07% 1.19% 3.83% 4.32%
11/30/2001 0.76% 0.39% -8.60% 2.08% 15.18% 8.37% -4.06%
12/31/2001 0.38% 5.10% -0.01% 1.98% -0.77% 2.64% 5.96%
1/31/2002 3.50% 1.05% 3.74% 1.92% 2.79% 1.68% -2.88%
2/28/2002 3.96% -1.69% 6.85% 4.36% 3.17% 4.24% 5.41%
3/29/2002 1.13% 4.29% -1.70% 3.73% 6.70% 4.96% 7.65%
4/30/2002 4.21% 5.80% 7.88% 2.66% 1.99% -1.49% -4.57%
5/31/2002 2.53% -3.72% 3.22% 1.45% -0.45% -0.29% -0.73%
6/28/2002 1.52% 3.54% 6.15% -5.77% -8.39% -3.07% -0.11%
7/31/2002 -3.61% -5.11% 3.38% -6.72% -11.98% -8.48% -11.85%
8/30/2002 2.12% -2.24% 1.70% 2.49% 0.44% -1.29% 0.60%
9/30/2002 1.17% 2.72% 9.16% -7.68% -11.16% -8.25% -8.04%
10/31/2002 -6.57% -3.00% -5.28% 5.26% -2.83% 3.82% 3.23%
11/29/2002 -1.57% 3.15% 16.27% -1.28% 12.02% 6.12% 3.08%
12/31/2002 3.83% -0.53% 9.65% 0.00% -6.57% -3.77% 0.83%
1/31/2003 -0.85% 1.41% 1.53% -4.79% -3.57% -4.03% -2.42%
2/28/2003 -1.56% -0.32% 1.29% -3.08% -4.86% -2.19% 2.01%
3/31/2003 -1.75% 0.83% 1.51% -2.67% -2.67% 1.35% 1.32%
4/30/2003 0.05% 1.16% -9.48% 4.69% 15.15% 6.29% -0.49%
5/30/2003 0.19% 4.68% 10.81% 9.22% 2.79% 4.67% 8.76%
6/30/2003 0.56% 1.47% -1.01% 1.57% 2.19% 0.54% -1.15%
7/31/2003 -2.06% 5.55% -0.35% -2.33% 6.65% 4.89% -2.61%
8/29/2003 1.77% 2.60% -0.54% 0.66% 8.08% 4.12% 6.24%
9/30/2003 0.98% 0.57% -0.05% 1.11% -4.23% -3.69% -2.28%
10/31/2003 1.78% 2.88% 3.71% 5.59% 7.23% 8.81% 1.60%
11/28/2003 1.39% 2.21% 1.64% 3.78% 3.11% 2.06% 0.61%
12/31/2003 2.71% -2.87% -5.67% 3.31% 11.96% 6.74% 13.49%
1/30/2004 1.66% 2.61% 2.56% 0.13% -0.96% -0.67% 0.33%
2/27/2004 0.42% -1.23% -1.11% 4.28% -0.23% 2.00% 4.64%
3/31/2004 0.02% 1.83% 0.20% -0.30% -1.13% -0.22% -0.10%
4/30/2004 -1.79% -2.49% -5.35% 1.51% 2.52% -0.21% 2.51%
5/31/2004 -0.23% -0.22% 1.64% -2.19% -1.57% 1.61% 0.47%
6/30/2004 1.79% 2.18% 2.08% 1.87% 5.45% 5.33% 5.44%
7/30/2004 4.44% -3.77% -2.32% -5.81% -4.79% -4.07% 3.34%
8/31/2004 0.95% -1.47% -1.55% 0.83% -2.38% 1.32% -1.33%
9/30/2004 0.35% 2.82% 5.29% -1.76% 2.67% 1.90% 8.77%
10/29/2004 -0.98% 0.51% -1.54% 2.87% -2.83% -1.38% 0.69%
11/30/2004 1.91% 4.10% 3.24% 4.52% 7.10% 7.16% 6.47%
12/31/2004 -0.38% 0.16% -2.80% 4.80% 4.89% 2.59% -2.19%
Exhibit 2 (continued)

Month Hi-Tech Telecom Shops Health Utilities Energy

1/31/2000 -4.70% -3.98% -11.20% 7.57% 5.64% -4.69%

2/29/2000 18.09% -3.45% -3.82% -2.67% -7.16% -6.96%
3/31/2000 3.99% 7.53% 13.44% 0.11% 5.70% 14.05%
4/28/2000 -10.67% -7.90% -4.46% 5.17% 7.55% -3.37%
5/31/2000 -10.85% -10.05% -2.66% 3.98% 3.90% 3.42%
6/30/2000 12.95% 4.05% -2.32% 10.70% -4.70% -2.82%
7/31/2000 -5.17% -7.30% -1.43% -6.19% 4.41% 5.58%
8/31/2000 12.51% -1.05% -2.48% 3.61% 11.57% 8.98%
9/29/2000 -14.98% -4.00% 2.78% 3.68% 9.58% 0.38%
10/31/2000 -7.29% -0.38% -1.46% 2.59% -2.18% -0.91%
11/30/2000 -23.28% -15.53% -1.41% 0.76% 3.03% -5.87%
12/29/2000 -7.96% -4.19% 5.71% 3.53% 6.53% 7.14%
1/31/2001 16.55% 14.22% 6.41% -8.95% -10.30% 0.05%
2/28/2001 -25.94% -9.61% -5.36% -0.48% 6.24% -4.26%
3/30/2001 -13.59% -5.83% -2.89% -8.46% 1.63% -4.11%
4/30/2001 17.94% 2.68% 5.64% 4.02% 5.47% 5.78%
5/31/2001 -3.32% -1.29% 1.54% 3.02% 0.01% 3.73%
6/29/2001 1.47% -3.05% -2.45% -2.81% -6.22% 0.05%
7/31/2001 -7.58% -0.72% 4.62% 2.28% -3.66% -2.33%
8/31/2001 -12.66% -9.26% -7.01% -3.12% 0.42% -5.33%
9/28/2001 -18.92% -2.46% -9.53% -0.61% -6.39% -8.30%
10/31/2001 15.68% -9.42% 1.62% 1.20% 1.40% -0.50%
11/30/2001 15.89% 6.03% 10.14% 5.03% -1.61% 7.93%
12/31/2001 -0.61% 2.75% 4.55% -2.88% 3.85% 3.25%
1/31/2002 -0.57% -7.22% 2.80% -2.35% -4.07% -2.90%
2/28/2002 -13.21% -2.39% -0.06% -0.51% -0.26% -0.49%
3/29/2002 6.42% 0.33% 2.01% 0.47% 10.04% 5.31%
4/30/2002 -11.77% -12.69% -1.38% -7.60% -0.56% -3.72%
5/31/2002 -3.76% 2.98% -1.30% -2.23% -6.47% -0.44%
6/28/2002 -12.20% -14.38% -5.08% -9.61% -5.33% -5.43%
7/31/2002 -9.56% -11.68% -11.27% -2.58% -12.30% -6.46%
8/30/2002 -0.85% 0.34% 1.91% 0.67% 3.36% 1.07%
9/30/2002 -16.74% -9.32% -9.37% -5.85% -10.86% -10.73%
10/31/2002 19.34% 21.34% 5.71% 5.69% -0.68% 6.39%
11/29/2002 16.17% 11.83% 1.85% 3.70% 1.62% 4.66%
12/31/2002 -13.02% -9.07% -6.88% -4.07% 3.84% -5.00%
1/31/2003 -1.47% -3.48% -4.76% -0.59% -3.12% -2.30%
2/28/2003 1.28% -6.44% -1.19% -2.01% -3.92% -2.60%
3/31/2003 -0.99% -0.57% 4.61% 3.79% 4.35% 0.77%
4/30/2003 9.21% 11.16% 8.85% 4.12% 7.35% 11.78%
5/30/2003 9.73% 6.23% 3.39% 3.92% 10.11% 5.31%
6/30/2003 0.25% 1.96% 3.46% 4.10% 0.66% 0.94%
7/31/2003 5.63% -1.62% 3.35% 0.63% -5.25% 3.57%
8/29/2003 6.06% 1.39% 6.72% -2.54% 1.91% 0.64%
9/30/2003 -0.89% -5.64% -4.51% 0.23% 3.91% 0.30%
10/31/2003 8.22% 6.69% 9.03% 0.72% 1.58% 6.41%
11/28/2003 1.90% -0.62% 0.60% 1.62% 0.95% 1.08%
12/31/2003 2.12% 7.36% -2.15% 5.69% 5.81% 4.50%
1/30/2004 4.48% 1.43% 0.43% 3.03% 1.91% 2.73%
2/27/2004 -2.91% -0.79% 6.07% 0.90% 2.06% 2.00%
3/31/2004 -2.57% -2.42% 0.28% -3.90% 1.16% -0.57%
4/30/2004 -4.89% -0.49% -2.66% 3.57% -3.51% -3.83%
5/31/2004 4.83% -2.90% 0.27% -0.38% 1.28% 2.07%
6/30/2004 2.63% 0.60% 0.06% -0.38% 2.01% 1.54%
7/30/2004 -8.47% -1.30% -4.00% -5.89% 0.99% -2.40%
8/31/2004 -4.42% 1.29% -1.15% 1.66% 3.61% 1.90%
9/30/2004 3.26% 1.35% 2.55% -1.41% 1.36% 1.28%
10/29/2004 5.01% 3.27% 3.08% -2.40% 4.18% 1.23%
11/30/2004 5.85% 3.45% 3.60% 0.66% 5.04% 4.93%
12/31/2004 3.16% 4.22% 3.42% 5.65% 2.39% 4.41%

Source: Adapted from Ken French's Data Library.

Exhibit 3 Yearly Returns (January 1963 to 2004)

Security Average Annual Return

Value-Weighted Market 12.17%

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

Diversified
Goldman Sachs CORE DFA Tax-Managed U.S. Special Equity T Rowe Price
Month Large Cap Growth Small Cap Value Inv Blue Chip Growth

1/31/2000 -5.0% -2.1% -2.4% -3.2%

2/29/2000 4.5% 5.8% 18.3% 1.1%
3/31/2000 6.1% 4.2% -3.5% 8.7%
4/28/2000 -5.0% -1.9% -5.8% -3.1%
5/31/2000 -4.8% -3.0% -6.0% -2.2%
6/30/2000 7.2% 2.5% 9.7% 6.0%
7/31/2000 -3.7% 0.5% -6.5% -1.9%
8/31/2000 10.4% 6.8% 9.1% 8.5%
9/29/2000 -9.1% -1.4% -6.3% -5.0%
10/31/2000 -5.0% -2.3% -4.0% -2.3%
11/30/2000 -15.3% -4.8% -10.9% -9.7%
12/29/2000 -8.8% 8.4% 11.9% -2.2%
1/31/2001 6.4% 9.3% 5.4% 1.4%
2/28/2001 -17.1% -1.2% -7.4% -10.7%
3/30/2001 -11.7% -3.3% -6.2% -8.5%
4/30/2001 13.4% 6.9% 7.8% 10.1%
5/31/2001 -1.3% 4.6% 2.7% 0.7%
6/29/2001 -2.3% 3.4% 3.8% -2.5%
7/31/2001 -3.7% -1.6% -3.3% -2.5%
8/31/2001 -7.8% -2.0% -5.0% -7.0%
9/28/2001 -8.9% -16.2% -14.3% -7.1%
10/31/2001 4.2% 5.4% 4.5% 3.9%
11/30/2001 8.6% 9.4% 7.2% 7.9%
12/31/2001 -0.3% 7.3% 6.6% 1.4%
1/31/2002 -2.4% 0.4% -1.9% -2.9%
2/28/2002 -3.8% -1.2% -3.5% -2.9%
3/29/2002 2.5% 9.6% 6.8% 4.7%
4/30/2002 -6.2% 1.7% 1.2% -6.2%
5/31/2002 -2.5% -3.8% -3.1% -1.7%
6/28/2002 -9.3% -4.8% -5.3% -8.7%
7/31/2002 -6.0% -16.0% -15.5% -7.3%
8/30/2002 1.2% -0.8% 0.0% 1.8%
9/30/2002 -9.8% -8.5% -6.4% -10.4%
10/31/2002 9.0% 1.7% 4.1% 9.7%
11/29/2002 3.1% 9.0% 5.7% 5.0%
12/31/2002 -6.1% -4.4% -5.2% -6.4%
1/31/2003 -2.5% -2.8% -2.1% -2.0%
2/28/2003 -1.2% -4.0% -3.3% -1.0%
3/31/2003 2.2% 0.1% 1.7% 1.8%
4/30/2003 6.0% 10.7% 7.3% 8.3%
5/30/2003 5.5% 11.6% 9.3% 5.2%
6/30/2003 2.4% 3.6% 3.2% 1.4%
7/31/2003 2.6% 6.3% 6.1% 2.2%
8/29/2003 2.7% 5.1% 6.5% 1.3%
9/30/2003 -0.9% -1.0% -1.6% -1.5%
10/31/2003 4.8% 10.0% 8.7% 5.4%
11/28/2003 1.8% 4.4% 4.0% 1.0%
12/31/2003 3.3% 3.7% 0.6% 4.7%
1/30/2004 2.3% 4.1% 4.6% 2.0%
2/27/2004 0.4% 1.6% 0.7% 0.9%
3/31/2004 -1.2% 0.9% 1.0% -1.0%
4/30/2004 -0.6% -4.0% -4.9% -2.2%
5/31/2004 1.5% 0.5% 0.9% 1.7%
6/30/2004 1.5% 5.1% 3.3% 1.6%
7/30/2004 -5.8% -5.8% -6.5% -4.7%
8/31/2004 0.0% -1.2% -1.9% -0.1%
9/30/2004 2.2% 5.1% 5.6% 1.9%
10/29/2004 0.5% 0.9% 2.1% 1.5%
11/30/2004 4.7% 9.7% 7.0% 4.2%
12/31/2004 3.8% 1.9% 2.6% 3.1%

Source: Adapted from Thomson Research Datastream.

Exhibit 7 Total Monthly Returns January 2000 to December 2004

Month Yahoo Altria

1/31/2000 -25.6% -9.2%

2/29/2000 -0.8% -3.3%
3/31/2000 7.3% 7.1%
4/28/2000 -24.0% 3.6%
5/31/2000 -13.2% 19.4%
6/30/2000 9.6% 3.6%
7/31/2000 3.9% -4.9%
8/31/2000 -5.6% 17.3%
9/29/2000 -25.1% 1.2%
10/31/2000 -35.6% 24.4%
11/30/2000 -32.4% 4.3%
12/29/2000 -24.1% 16.7%
1/31/2001 24.1% 0.0%
2/28/2001 -36.2% 9.5%
3/30/2001 -33.9% -0.5%
4/30/2001 28.1% 5.6%
5/31/2001 -10.3% 2.6%
6/29/2001 10.4% -0.2%
7/31/2001 -11.9% -10.3%
8/31/2001 -32.7% 4.2%
9/28/2001 -25.7% 3.1%
10/31/2001 23.5% -3.1%
11/30/2001 43.1% 0.8%
12/31/2001 13.9% -1.6%
1/31/2002 -2.8% 9.3%
2/28/2002 -16.1% 5.1%
3/29/2002 27.7% 1.1%
4/30/2002 -20.1% 3.3%
5/31/2002 8.5% 5.2%
6/28/2002 -7.9% -22.7%
7/31/2002 -10.8% 5.4%
8/30/2002 -21.9% 8.6%
9/30/2002 -7.0% -21.3%
10/31/2002 55.9% 5.0%
11/29/2002 22.5% -7.4%
12/31/2002 -10.5% 9.1%
1/31/2003 11.3% -6.6%
2/28/2003 14.6% 2.1%
3/31/2003 15.2% -21.1%
4/30/2003 3.1% 2.7%
5/30/2003 20.5% 34.3%
6/30/2003 9.6% 11.6%
7/31/2003 -4.8% -11.9%
8/29/2003 7.3% 3.0%
9/30/2003 6.0% 8.0%
10/31/2003 23.5% 6.2%
11/28/2003 -1.6% 11.8%
12/31/2003 4.7% 6.0%
1/30/2004 4.3% 2.1%
2/27/2004 -5.6% 3.5%
3/31/2004 9.3% -4.2%
4/30/2004 4.2% 1.7%
5/31/2004 21.4% -13.4%
6/30/2004 18.7% 5.8%
7/30/2004 -15.4% -4.9%
8/31/2004 -7.4% 2.8%
9/30/2004 18.9% -2.5%
10/29/2004 6.7% 3.0%
11/30/2004 4.0% 18.6%
12/31/2004 0.2% 7.6%

Source: Adapted from Thomson Research Datastream.