GTC by wanghonghx

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									Abbreviations Explained
Abbreviation
F1
F2
F3
F4
F5
F6
SIC 13
SIC 2021
SIC 36
SIC 48
SIC 60
US




Worksheet Descriptions
Worksheet
SIC 13 summary
SIC 2021 summary
SIC 36 summary
SIC 48 summary
SIC 60 summary
US summary
SIC 13 F1
SIC 13 F2
SIC 13 F3
SIC 13 F4
SIC 13 F5
SIC 13 F6
SIC 2021 F1
SIC 2021 F2
SIC 2021 F3
SIC 36 F1
SIC 36 F2
SIC 36 F3
SIC 36 F4
SIC 36 F5
SIC 36 F6
SIC 48 F1
SIC 48 F2
SIC 48 F3
SIC 48 F4
SIC 48 F5
SIC 48   F6
SIC 60   F1
SIC 60   F2
SIC 60   F3
SIC 60   F4
SIC 60   F5
SIC 60   F6
US F1
US F2
US F3
US F4
US F5
US F6
SIC 13   F1xF4
SIC 60   F1xF2
SIC 13   F1 OS
SIC 13   F4 OS
SIC 60   F1 OS
SIC 60   F2 OS
eviations Explained
       Description
       Factor 1: One month price momentum
       Factor 2: Three month price momentum
       Factor 3: Dividend yield
       Factor 4: Rate of reinvestment
       Factor 5: Consensus forecast earnings estimate revision ratio
       Factor 6: Change in consensus FY1 estimates
       SIC code 13xx: Oil and gas extraction
       SIC code 20xx + SIC code 21xx: Food & kindred and tobacco products
       SIC code 36xx: Electronic & other electric equipment
       SIC code 48xx: Communication
       SIC code 60xx: Depository institutions
       US market, common stock

       A "good" screen, explored results out-of-sample


sheet Descriptions
       SIC Code
       Results summary for SIC 13
       Results summary for SIC 2021
       Results summary for SIC 36
       Results summary for SIC 48
       Results summary for SIC 60
       Results summary for US
       industry SIC 13, uni-variate screen using F1
       industry SIC 13, uni-variate screen using F2
       industry SIC 13, uni-variate screen using F3
       industry SIC 13, uni-variate screen using F4
       industry SIC 13, uni-variate screen using F5
       industry SIC 13, uni-variate screen using F6
       industry SIC 2021, uni-variate screen using F1
       industry SIC 2021, uni-variate screen using F2
       industry SIC 2021, uni-variate screen using F3
       industry SIC 36, uni-variate screen using F1
       industry SIC 36, uni-variate screen using F2
       industry SIC 36, uni-variate screen using F3
       industry SIC 36, uni-variate screen using F4
       industry SIC 36, uni-variate screen using F5
       industry SIC 36, uni-variate screen using F6
       industry SIC 48, uni-variate screen using F1
       industry SIC 48, uni-variate screen using F2
       industry SIC 48, uni-variate screen using F3
       industry SIC 48, uni-variate screen using F4
       industry SIC 48, uni-variate screen using F5
industry SIC 48, uni-variate screen using F6
industry SIC 60, uni-variate screen using F1
industry SIC 60, uni-variate screen using F2
industry SIC 60, uni-variate screen using F3
industry SIC 60, uni-variate screen using F4
industry SIC 60, uni-variate screen using F5
industry SIC 60, uni-variate screen using F6
market US, uni-variate screen using F1
market US, uni-variate screen using F2
market US, uni-variate screen using F3
market US, uni-variate screen using F4
market US, uni-variate screen using F5
market US, uni-variate screen using F6
industry SIC 13, bi-variate screen using F1 & F4
industry SIC 60, bi-variate screen using F1 & F2
industry SIC 13, uni-variate screen using F1 with   out   of   sample   data   (2001-2002)
industry SIC 13, uni-variate screen using F4 with   out   of   sample   data   (2001-2002)
industry SIC 60, uni-variate screen using F1 with   out   of   sample   data   (2001-2002)
industry SIC 60, uni-variate screen using F2 with   out   of   sample   data   (2001-2002)
SIC 13 summary

Factor 1                    1        2        3        4        5       Long/Short
Fractile returns            1.84%    8.50%   10.37%   19.93%   31.34%      -29.51%
Std Dev                    31.97%   28.83%   31.34%   31.27%   37.41%       24.07%
Avg Relative Performance     3.00     2.50     2.75     2.00     1.63

Factor 2                    1        2        3        4        5       Long/Short
Fractile returns            3.32%    7.74%   14.82%   17.58%   21.98%      -18.67%
Std Dev                    35.53%   31.90%   29.12%   33.55%   37.27%       26.45%
Avg Relative Performance     3.06     2.56     2.19     2.25     1.81

Factor 3                    1        2        3        4        5       Long/Short
Fractile returns           12.86%   15.60%   18.35%   33.33%   11.44%        1.42%
Std Dev                    25.51%   33.32%   38.75%   63.94%   35.72%       16.11%
Avg Relative Performance     2.38     2.44     2.19     2.44     2.44

Factor 4                    1        2        3        4        5       Long/Short
Fractile returns           22.03%   18.76%   13.23%    4.92%    1.82%       20.21%
Std Dev                    34.81%   28.46%   26.94%   30.86%   37.79%       26.52%
Avg Relative Performance     1.63     2.06     2.31     2.94     2.94

Factor 5                    1        2        3        4        5       Long/Short
Fractile returns           13.73%   18.24%   16.04%    9.26%   11.76%        1.97%
Std Dev                    30.89%   28.08%   31.31%   30.55%   30.40%       21.51%
Avg Relative Performance     2.38     2.19     2.44     2.44     2.44

Factor 6                    1        2        3        4        5       Long/Short
Fractile returns           13.73%   18.24%   16.04%    9.26%   11.76%        1.97%
Std Dev                    30.89%   28.08%   31.31%   30.55%   30.40%       21.51%
Avg Relative Performance     2.38     2.19     2.44     2.44     2.44
Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%
SIC 2021 summary

Factor 1                    1        2        3        4        5       Long/Short
Fractile returns           18.02%   17.06%   18.77%   18.80%   16.35%        1.67%
Std Dev                    20.69%   13.72%   14.01%   18.80%   24.68%       20.67%
Avg Relative Performance     2.44     2.63     2.00     2.06     2.75

Factor 2                    1        2        3        4        5       Long/Short
Fractile returns            3.69%   17.86%   15.76%   21.80%   28.91%      -25.22%
Std Dev                    23.38%   16.87%   18.54%   18.92%   25.09%       23.08%
Avg Relative Performance     3.38     2.38     2.50     2.13     1.50

Factor 3                    1        2        3        4        5       Long/Short
Fractile returns           18.93%   15.23%    9.59%   12.29%   13.22%        5.71%
Std Dev                    20.96%   19.11%   19.86%   30.19%   25.34%       21.27%
Avg Relative Performance     1.88     2.19     2.63     2.63     2.56
Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%
SIC 36 summary

Factor 1                    1        2        3        4        5       Long/Short
Fractile returns           32.46%   21.03%   33.84%   20.04%   37.40%       -4.94%
Std Dev                    39.85%   28.39%   33.82%   35.33%   36.79%       28.92%
Avg Relative Performance     2.50     2.63     1.88     2.75     2.13

Factor 2                    1        2        3        4        5       Long/Short
Fractile returns           35.48%   31.55%   20.85%   29.69%   28.87%        6.61%
Std Dev                    38.02%   32.63%   31.93%   32.32%   38.80%       31.05%
Avg Relative Performance     2.13     2.19     2.63     2.44     2.50

Factor 3                    1        2        3        4        5       Long/Short
Fractile returns           26.77%   23.81%   30.45%   29.79%   33.02%       -6.26%
Std Dev                    27.06%   39.75%   36.01%   40.71%   36.98%       19.76%
Avg Relative Performance     2.13     2.75     2.50     2.38     2.13

Factor 4                    1        2        3        4        5       Long/Short
Fractile returns           37.00%   22.42%   21.72%   31.52%   16.78%       20.21%
Std Dev                    34.97%   26.69%   31.03%   38.08%   42.56%       31.01%
Avg Relative Performance     1.69     2.56     2.56     2.19     2.88

Factor 5                    1        2        3        4        5       Long/Short
Fractile returns           32.20%   31.40%   13.00%   19.31%   26.02%        6.17%
Std Dev                    35.78%   32.76%   31.69%   34.14%   28.07%       24.87%
Avg Relative Performance     1.81     2.06     2.81     2.75     2.44

Factor 6                    1        2        3        4        5       Long/Short
Fractile returns           31.18%   31.55%   21.25%   24.58%   31.01%        0.17%
Std Dev                    39.64%   32.97%   25.25%   27.19%   35.77%       25.06%
Avg Relative Performance     2.50     1.94     2.38     2.50     2.56
Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%
SIC 48 summary

Factor 1                    1        2        3        4        5       Long/Short
Fractile returns           16.30%    9.95%   10.62%   18.29%   31.63%      -15.33%
Std Dev                    25.93%   20.03%   24.36%   26.25%   47.16%       39.31%
Avg Relative Performance     2.38     2.63     2.63     2.25     2.00

Factor 2                    1        2        3        4        5       Long/Short
Fractile returns           12.67%   18.91%   10.50%   24.59%   41.72%      -29.06%
Std Dev                    27.78%   19.72%   24.91%   28.27%   50.83%       42.93%
Avg Relative Performance     3.06     2.19     2.75     2.31     1.56

Factor 3                    1        2        3        4        5       Long/Short
Fractile returns           14.79%   18.41%   10.22%   20.14%   24.78%       -9.99%
Std Dev                    16.67%   23.02%   31.88%   36.74%   36.22%       28.31%
Avg Relative Performance     2.13     2.50     2.88     2.25     2.13

Factor 4                    1        2        3        4        5       Long/Short
Fractile returns           19.39%   13.45%   14.99%   22.54%   14.36%        5.04%
Std Dev                    21.14%   20.25%   27.96%   36.16%   44.04%       34.47%
Avg Relative Performance     1.88     2.31     2.56     2.38     2.75

Factor 5                    1        2        3        4        5       Long/Short
Fractile returns           19.45%   16.76%   14.62%   17.68%   15.92%        3.53%
Std Dev                    24.33%   20.85%   18.87%   25.54%   26.30%       26.71%
Avg Relative Performance     2.31     2.38     2.50     2.31     2.38

Factor 6                    1        2        3        4        5       Long/Short
Fractile returns           19.45%   16.76%   14.62%   17.68%   15.92%        3.53%
Std Dev                    24.33%   20.85%   18.87%   25.54%   26.30%       26.71%
Avg Relative Performance     2.31     2.38     2.50     2.31     2.38
Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%
SIC 60 summary

Factor 1                    1        2        3        4        5       Long/Short
Fractile returns            5.09%   21.22%   19.55%   29.70%   39.03%      -33.94%
Std Dev                    20.40%   20.27%   21.42%   23.68%   22.48%       12.97%
Avg Relative Performance     3.63     2.56     2.63     1.94     1.13

Factor 2                    1        2        3        4        5       Long/Short
Fractile returns            6.55%   18.08%   19.50%   21.38%   35.98%      -29.42%
Std Dev                    21.17%   19.60%   20.59%   22.73%   26.07%       17.29%
Avg Relative Performance     3.38     2.44     2.44     2.25     1.38

Factor 3                    1        2        3        4        5       Long/Short
Fractile returns           32.95%   22.54%   16.49%   13.45%   17.90%       15.05%
Std Dev                    23.20%   23.69%   22.44%   20.91%   23.22%       13.28%
Avg Relative Performance     1.25     2.13     2.69     3.06     2.75

Factor 4                    1        2        3        4        5       Long/Short
Fractile returns           22.95%   18.25%   19.15%   15.67%   19.16%        3.79%
Std Dev                    23.28%   22.03%   21.24%   21.09%   23.23%       15.01%
Avg Relative Performance     1.94     2.69     2.31     2.81     2.13

Factor 5                    1        2        3        4        5       Long/Short
Fractile returns           27.44%   20.05%   22.96%   19.52%   13.65%       13.79%
Std Dev                    21.80%   20.04%   19.75%   23.07%   25.00%       12.34%
Avg Relative Performance     1.88     2.19     2.00     2.56     3.25

Factor 6                    1        2        3        4        5       Long/Short
Fractile returns           24.00%   29.16%   17.79%   16.73%   18.76%        5.24%
Std Dev                    22.86%   22.65%   22.57%   23.00%   25.85%       13.62%
Avg Relative Performance     2.13     1.81     2.44     2.94     2.56
Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%
US summary

Factor 1                    1        2        3        4        5       Long/Short
Fractile returns           17.80%   16.64%   18.15%   17.94%   17.35%        0.45%
Std Dev                    21.52%   14.09%   15.05%   17.81%   27.03%       22.83%
Avg Relative Performance     2.19     2.69     1.94     2.50     2.56

Factor 2                    1        2        3        4        5       Long/Short
Fractile returns           21.53%   14.02%   19.62%   17.91%   20.31%        1.22%
Std Dev                    14.12%   13.86%   24.19%   24.83%   25.49%       20.63%
Avg Relative Performance     1.88     2.44     2.56     2.63     2.38

Factor 3                    1        2        3        4        5       Long/Short
Fractile returns           20.59%   15.85%   12.60%   13.49%   12.36%        8.24%
Std Dev                    16.50%   14.28%   12.43%   18.61%   30.02%       19.96%
Avg Relative Performance     1.75     2.19     2.81     2.38     2.75

Factor 4                    1        2        3        4        5       Long/Short
Fractile returns           21.82%   16.77%   16.39%   14.50%   11.87%        9.94%
Std Dev                    16.45%   15.81%   15.15%   14.00%   15.94%        9.60%
Avg Relative Performance     1.81     2.25     2.25     2.50     3.06

Factor 5                    1        2        3        4        5       Long/Short
Fractile returns           21.46%   18.24%   17.27%   14.70%   10.84%       10.62%
Std Dev                    20.16%   14.68%   13.13%   14.31%   17.64%       13.58%
Avg Relative Performance     2.06     2.25     2.00     2.75     2.81

Factor 6                    1        2        3        4        5       Long/Short
Fractile returns           21.46%   18.24%   17.27%   14.70%   10.84%       10.62%
Std Dev                    20.16%   14.68%   13.13%   14.31%   17.64%       13.58%
Avg Relative Performance     2.06     2.25     2.00     2.75     2.81
Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%


Benchmark
    16.30%
    13.68%
Market:                             United States                     Average Portfolio Size                 #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 13 F 1                        Maximum Portfolio Size                   0
Sample period:                      1990_1 - 2000_12                  Minimum Portfolio Size                   0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                         Portfolios - value weighted               Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                             -1-          -2-           -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                    1.8%         8.5%          10.4%        19.9%   31.3%     -29.5%     -20.5%        16.3%           15.4%
Cumulative return (indexed at 100 to start)                   70          164            184          527     1449       2          8            536             323
STD deviation of returns (annualized)                       32.0%        28.8%          31.3%        31.3%   37.4%     24.1%      20.2%         13.7%           13.9%
Sharpe Ratio                                                 -0.10        0.12           0.17         0.48    0.71      -1.23      -1.01
Average annual excess return                        Rm      -14.5%       -7.8%          -5.9%        3.6%    15.0%
                                                       Rf   -3.1%         3.6%          5.5%         15.0%   26.4%
STD deviation of excess return                      Rm      30.6%        28.5%          28.8%        27.7%   34.1%
                                                       Rf   32.0%        28.8%          31.4%        31.2%   37.4%
T-Stat: Average XS Return (Rm) = 0                          -1.568       -0.908         -0.682       0.436   1.465     -4.066     -3.364
Systematic risk (Beta)                                      0.729         0.551         0.906        1.064   1.141     -0.412     -0.462
Alpha                                                       -11.371      -2.683         -4.855       2.908   13.441    -24.812   -15.201
T-Stat: alpha = 0                                           -1.203       -0.310         -0.541       0.338   1.269     -2.857     -2.547
Coefficient of determination                                0.090         0.061         0.150        0.211   0.167     0.032      0.091

Average market cap ($ millions)

% periods > benchmark                                       46.2%        45.5%          45.5%        52.3%   54.5%
% periods > benchmark, up market                            47.7%        40.9%          45.5%        53.4%   53.4%
% periods > benchmark, down market                          43.2%        54.5%          45.5%        50.0%   56.8%
Max # of consec benchmark outperformance                      7             6             4            5       7

Maximum positive excess return                              23.2%        28.1%          30.2%        31.9%   44.3%     27.6%      19.4%
Maximum negative excess return                              -28.9%       -24.5%        -26.0%       -17.2%   -29.0%    -23.5%     -20.6%
% periods positive returns to negative                      100.0%       109.5%        112.9%       144.4%   175.0%    34.0%      53.5%        200.0%           154.0%
% periods of negative returns                               50.0%        47.7%          47.0%        40.9%   36.4%     63.6%      65.2%         33.3%           45.5%
Max # of consecutive negative periods                         7             4             6            4       5         8          12               5            5
Max # of consecutive positive periods                         5             6             6            5       8         3          3            10               10

Cumulative annual returns - (index = 100 each year)
                               13        1990                89.7         90.5           73.4        111.1   101.2      93.8       85.4         95.2             93.5
14                             25        1991               106.9         78.2          102.0        106.3   128.6      80.0       79.9         131.1           126.9
26                37                     1992               108.7         87.8          130.0        106.8   127.4      82.2       81.6         111.0           107.9
38                49                     1993               116.0         110.1          96.0        106.9   158.7      85.2       97.4         113.0           115.1
50                61                     1994                73.1         103.2          79.2         95.1    95.1      65.9       81.5         103.7           105.5
62                73                     1995               137.0         115.1         126.4        137.0   169.2      62.0       68.6         129.7           121.5
74                85                     1996               120.5         145.0         139.4        148.3   225.7      75.5       90.7         120.3           118.7
86                97                     1997                67.1         102.8         124.0         89.3    79.1      66.2       83.2         140.4           140.7
98                109                    1998                38.9         64.7           66.4         82.1    49.1      81.9       99.2         109.1           108.1
110               121                    1999               127.3         145.7         132.1        142.7   225.1      46.0       53.1         127.8           139.8
122               133                    2000               143.6         143.6         129.7        193.1   173.2      72.0       81.3         113.3           116.3
s                 145                    2001                62.2         70.5           79.5         74.6    89.4      76.3       84.5         76.9            104.1
146               157                    2002                89.5         94.1          105.0         94.8    53.9     114.9      105.5         79.5             75.6

Average relative performance                                  3.0          2.5           2.8          2.0      1.6

Cumulative return (Indexed to 100)
      Last two years                                         95.1         93.5           90.5        113.0   116.9     100.0      100.0              100.0         100.0
      Last five years                                       118.3         117.4          93.0        129.4   135.9      81.8       85.0                  95.9         61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                     Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 13 F 2                        Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                  Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                         Long-Short - VW        Market/
Performance measure/                                                         Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                             -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                    3.3%         7.7%          14.8%        17.6%    22.0%     -18.7%     -14.3%        16.3%           15.4%
Cumulative return (indexed at 100 to start)                   70           134           326          378      530        7          16           536             323
STD deviation of returns (annualized)                       35.5%        31.9%          29.1%        33.5%    37.3%     26.5%      22.1%         13.7%           13.9%
Sharpe Ratio                                                 -0.04        0.09           0.34         0.38     0.46      -0.71      -0.65
Average annual excess return                           Rm   -13.0%        -8.6%         -1.5%         1.3%     5.7%
                                                       Rf   -1.6%         2.8%           9.9%        12.7%    17.1%
STD deviation of excess return                         Rm   33.6%        30.7%          26.9%        30.5%    34.1%
                                                       Rf   35.5%        31.9%          29.1%        33.5%    37.3%
T-Stat: Average XS Return (Rm) = 0                          -1.282       -0.925         -0.182       0.139    0.553     -2.341     -2.141
Systematic risk (Beta)                                      0.860         0.698         0.833        1.013    1.103     -0.243     -0.279
Alpha                                                       -11.388      -5.123         0.429        1.131    4.509     -15.897   -11.075
T-Stat: alpha = 0                                           -1.090       -0.541         0.051        0.119    0.425     -1.627     -1.636
Coefficient of determination                                0.103         0.083         0.146        0.164    0.157     0.004      0.022

Average market cap ($ millions)

% periods > benchmark                                       49.2%        46.2%          47.0%        49.2%    54.5%
% periods > benchmark, up market                            51.1%        45.5%          45.5%        48.9%    60.2%
% periods > benchmark, down market                          45.5%        47.7%          50.0%        50.0%    43.2%
Max # of consec benchmark outperformance                      6             5              5           6        8

Maximum positive excess return                              27.6%        27.9%          34.0%        31.5%    48.7%     26.9%      19.2%
Maximum negative excess return                              -29.6%       -34.5%         -21.0%       -23.1%   -23.1%    -31.1%     -21.0%
% periods positive returns to negative                      120.0%       106.3%        123.7%       116.4%    135.7%    40.0%      76.0%        200.0%           154.0%
% periods of negative returns                               45.5%        48.5%          44.7%        46.2%    42.4%     59.1%      56.8%         33.3%           45.5%
Max # of consecutive negative periods                         5             5              4           5        6         11         7                5            5
Max # of consecutive positive periods                         6             6              6           6        8         5          6                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990                63.6         97.7           91.9         76.6     98.3      95.9      107.0          95.2            93.5
14                             25        1991                73.6         61.9           85.0         98.9    124.0      44.6       72.3         131.1           126.9
26                37                     1992               111.4         114.6         145.7        110.1    129.6      72.9       69.2         111.0           107.9
38                49                     1993                97.7         120.7         104.4        106.6    142.3      94.6      105.8         113.0           115.1
50                61                     1994                75.4         75.1          101.2         94.2     93.2      46.0       64.3         103.7           105.5
62                73                     1995               135.5         121.4         124.3        168.1    185.6      79.7       71.4         129.7           121.5
74                85                     1996               175.4         124.1         168.3        146.4    129.1      97.6       92.4         120.3           118.7
86                97                     1997                82.0         106.4          95.7        132.8     59.1     168.5      112.5         140.4           140.7
98                109                    1998                52.3         55.7           67.8         49.7     58.7     106.1      109.6         109.1           108.1
110               121                    1999               132.0         160.6         144.3        157.8    155.4      64.6       75.9         127.8           139.8
122               133                    2000               135.6         148.2         138.4        176.3    195.8      71.2       83.4         113.3           116.3

Average relative performance                                  3.1          2.6            2.2         2.3       1.8

Cumulative return (Indexed to 100)
      Last two years                                         85.4         90.8           93.7        106.0    112.3     100.0      100.0              100.0         100.0
      Last five years                                       104.8         105.3         101.9        125.5    122.1      82.9       82.1                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 13 F 3                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   12.9%       15.6%          18.3%        33.3%    11.4%      1.4%      -8.2%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  289          303           332          793      177        95         21           536             323
STD deviation of returns (annualized)                       25.5%       33.3%          38.7%        63.9%    35.7%     16.1%      27.4%         13.7%           13.9%
Sharpe Ratio                                                 0.31        0.32           0.35         0.44     0.18      0.09       -0.30
Average annual excess return                           Rm   -3.4%        -0.7%          2.1%        17.0%    -4.9%
                                                       Rf   8.0%        10.7%          13.4%        28.4%     6.5%
STD deviation of excess return                         Rm   22.9%       30.8%          36.3%        61.8%    33.7%
                                                       Rf   25.5%       33.3%          38.7%        64.0%    35.7%
T-Stat: Average XS Return (Rm) = 0                          -0.499      -0.075         0.187        0.913    -0.478    0.293      -0.987
Systematic risk (Beta)                                      0.843        0.937         0.994        1.215    0.874     -0.031     -0.155
Alpha                                                       -1.647       0.013         2.117        14.575   -3.427    1.781      -6.391
T-Stat: alpha = 0                                           -0.232       0.001         0.187        0.758    -0.327    0.296      -0.752
Coefficient of determination                                0.198        0.141         0.116        0.060    0.105     -0.007     -0.002

Average market cap ($ millions)

% periods > benchmark                                       47.0%       50.0%          47.7%        50.0%    43.9%
% periods > benchmark, up market                            46.6%       48.9%          45.5%        51.1%    40.9%
% periods > benchmark, down market                          47.7%       52.3%          52.3%        47.7%    50.0%
Max # of consec benchmark outperformance                      5            7              5           5        5

Maximum positive excess return                              24.0%       29.4%          42.3%       149.0%    32.5%     12.8%      11.6%
Maximum negative excess return                              -19.7%      -28.3%         -29.5%       -30.5%   -25.7%    -15.4%     -67.9%
% periods positive returns to negative                      123.7%      127.6%        131.6%       116.4%    106.3%    58.8%     100.0%        200.0%           154.0%
% periods of negative returns                               44.7%       43.9%          43.2%        46.2%    48.5%     47.0%      50.0%         33.3%           45.5%
Max # of consecutive negative periods                         4            4              4           6        5         4          5                5            5
Max # of consecutive positive periods                         6            7              6           6        6         12         8                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990                99.4        87.1           90.2         61.3     67.5     122.0      112.0          95.2            93.5
14                             25        1991                94.9        93.4           93.5        306.1     94.8     113.8       33.4         131.1           126.9
26                37                     1992               113.7        135.5          81.9        127.8    106.0     117.0      101.8         111.0           107.9
38                49                     1993               114.0        117.8         124.6        106.1    117.0      76.6       92.5         113.0           115.1
50                61                     1994                92.4        77.1           83.0         87.1     94.2      96.9       94.3         103.7           105.5
62                73                     1995               132.5        142.0         151.7        126.2    109.5     118.7      104.6         129.7           121.5
74                85                     1996               144.2        168.6         191.8        202.6    202.6      86.3       92.1         120.3           118.7
86                97                     1997               108.1        98.3           97.9        139.8    102.8      73.3       61.1         140.4           140.7
98                109                    1998                66.2        49.1           46.0         40.2     39.6     167.0      135.9         109.1           108.1
110               121                    1999               133.5        180.7         182.4        158.8    163.9      86.1       94.2         127.8           139.8
122               133                    2000               140.3        144.7         194.2        156.9    160.8      79.9       93.1         113.3           116.3

Average relative performance                                 2.4          2.4            2.2         2.4       2.4

Cumulative return (Indexed to 100)
      Last two years                                         92.6        99.9          100.0         94.0     98.8     100.0      100.0              100.0         100.0
      Last five years                                       106.5        103.7         113.1        112.7    113.2      91.3       91.3                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 13 F 4                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-           -3-          -4-       -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   22.0%       18.8%          13.2%        4.9%      1.8%     20.2%      17.0%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  582         508            292          103       56       527        486           536             323
STD deviation of returns (annualized)                       34.8%       28.5%          26.9%        30.9%    37.8%     26.5%      22.7%         13.7%           13.9%
Sharpe Ratio                                                 0.49        0.49           0.31         0.00     -0.08     0.76       0.75
Average annual excess return                        Rm      5.7%         2.5%          -3.1%       -11.4%    -14.5%
                                                       Rf   17.1%       13.9%          8.3%         0.0%     -3.1%
STD deviation of excess return                      Rm      32.7%       26.1%          25.0%        29.1%    37.3%
                                                       Rf   34.8%       28.5%          26.9%        30.9%    37.8%
T-Stat: Average XS Return (Rm) = 0                          0.581        0.314         -0.408       -1.296   -1.288    2.528      2.483
Systematic risk (Beta)                                      0.877        0.848         0.774        0.780    0.600     0.277      0.173
Alpha                                                       7.137        4.192         -0.487       -8.868   -9.926    17.063     15.061
T-Stat: alpha = 0                                           0.701        0.518         -0.063       -0.983   -0.864    1.747      2.138
Coefficient of determination                                0.112        0.160         0.148        0.113    0.040     0.007      0.003

Average market cap ($ millions)

% periods > benchmark                                       50.0%       50.8%          44.7%        43.9%    43.9%
% periods > benchmark, up market                            51.1%       51.1%          43.2%        39.8%    44.3%
% periods > benchmark, down market                          47.7%       50.0%          47.7%        52.3%    43.2%
Max # of consec benchmark outperformance                      6            6             5            7        5

Maximum positive excess return                              40.3%       25.8%          28.0%        23.8%    32.3%     26.7%      22.7%
Maximum negative excess return                              -34.8%      -18.6%        -18.7%       -31.0%    -27.5%    -30.5%     -22.9%
% periods positive returns to negative                      135.7%      153.8%        106.3%       100.0%    112.9%    78.3%     153.8%        200.0%           154.0%
% periods of negative returns                               42.4%       39.4%          48.5%        50.0%    47.0%     37.1%      39.4%         33.3%           45.5%
Max # of consecutive negative periods                         5            4             6            5        6         4          3                5            5
Max # of consecutive positive periods                         8            6             6            6        6         10         10           10               10

Cumulative annual returns - (index = 100 each year)
                               13        1990                91.1        107.3         101.8         70.3     84.2      98.9      115.8         95.2             93.5
14                             25        1991                84.6        101.3          82.0         79.4    104.8      80.1       94.3         131.1           126.9
26                37                     1992               110.6        142.4         114.8        100.5     95.5     114.1      136.7         111.0           107.9
38                49                     1993               136.8        109.4         122.1        103.4    123.9      95.1      102.5         113.0           115.1
50                61                     1994                86.8        85.0           94.6        107.3     78.5      93.9       86.1         103.7           105.5
62                73                     1995               162.1        140.8         120.0        128.1     96.7     164.6      134.3         129.7           121.5
74                85                     1996               190.0        148.7         146.0        143.0    161.0     144.1      120.5         120.3           118.7
86                97                     1997               110.8        104.5         104.6         91.7     74.6     104.8      115.4         140.4           140.7
98                109                    1998                52.6        72.9           71.3         49.7     32.1     150.7      122.5         109.1           108.1
110               121                    1999               181.8        131.7         132.6        160.5    156.1     123.0      113.0         127.8           139.8
122               133                    2000               175.8        168.0         152.2        123.8    117.3     165.1      153.0         113.3           116.3
134               145                    2001               102.9        85.2           62.8         61.2     37.0     191.7      155.9         76.9            104.1
146               157                    2002               114.3        90.1           84.7         91.5     98.1     160.0      127.1         79.5             75.6

Average relative performance                                 1.6          2.1           2.3          2.9       2.9

Cumulative return (Indexed to 100)
      Last two years                                         87.7        85.6           96.5        100.8    118.2     100.0      100.0              100.0         100.0
      Last five years                                       106.5        105.7         114.6        103.3    121.4      78.4       89.0                  95.9         61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/26/2004
Screen name:                        SIC 13 F5                        Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   13.7%       18.2%          16.0%         9.3%    11.8%      2.0%       5.5%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  268          486           343          167      221        85        152           536             323
STD deviation of returns (annualized)                       30.9%       28.1%          31.3%        30.6%    30.4%     21.5%      18.1%         13.7%           13.9%
Sharpe Ratio                                                 0.29        0.47           0.36         0.14     0.23      0.09       0.30
Average annual excess return                           Rm   -2.6%        1.9%          -0.3%        -7.0%    -4.5%
                                                       Rf   8.8%        13.3%          11.1%         4.4%     6.9%
STD deviation of excess return                         Rm   28.7%       26.9%          29.5%        27.1%    29.5%
                                                       Rf   30.9%       28.1%          31.3%        30.6%    30.4%
T-Stat: Average XS Return (Rm) = 0                          -0.296       0.239         -0.029       -0.861   -0.511    0.304      1.005
Systematic risk (Beta)                                      0.845        0.670         0.795        1.035    0.650     0.195      -0.085
Alpha                                                       -0.807       5.701         2.075        -7.433   -0.556    -0.251     6.441
T-Stat: alpha = 0                                           -0.090       0.690         0.227        -0.881   -0.061    -0.031     1.148
Coefficient of determination                                0.133        0.100         0.114        0.208    0.079     0.003      -0.004

Average market cap ($ millions)

% periods > benchmark                                       47.7%       49.2%          50.0%        50.0%    43.9%
% periods > benchmark, up market                            45.5%       45.5%          47.7%        53.4%    42.0%
% periods > benchmark, down market                          52.3%       56.8%          54.5%        43.2%    47.7%
Max # of consec benchmark outperformance                      7            6              6           5        5

Maximum positive excess return                              28.1%       28.6%          29.2%        33.2%    34.2%     17.0%      14.2%
Maximum negative excess return                              -21.7%      -19.2%         -27.9%       -20.5%   -29.3%    -29.1%     -17.1%
% periods positive returns to negative                      123.7%      131.6%        123.7%       112.9%    135.7%    62.9%     131.6%        200.0%           154.0%
% periods of negative returns                               44.7%       43.2%          44.7%        47.0%    42.4%     44.7%      43.2%         33.3%           45.5%
Max # of consecutive negative periods                         6            7              4           6        4         4          4                5            5
Max # of consecutive positive periods                         8            9              6           8        7         5          5                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990                85.9        105.2          91.5         75.0     80.8     101.6      106.4          95.2            93.5
14                             25        1991                81.9        94.4          101.7         90.1    106.8      91.1      110.2         131.1           126.9
26                37                     1992               131.7        113.3         114.7        115.5    128.6      67.8       81.0         111.0           107.9
38                49                     1993               107.8        114.5         109.3        126.0    114.1     143.6      121.3         113.0           115.1
50                61                     1994               116.9        90.5           93.1         93.1     79.2     100.1       95.7         103.7           105.5
62                73                     1995               126.9        127.6         120.4        140.5    137.3      94.9       89.1         129.7           121.5
74                85                     1996               138.2        143.9         179.2        147.7    148.3     109.0      100.7         120.3           118.7
86                97                     1997               117.4        105.9         103.9         79.8     95.4     105.3      110.6         140.4           140.7
98                109                    1998                61.0        98.6           50.9         59.4     50.4     102.1      137.8         109.1           108.1
110               121                    1999               130.2        118.7         212.2        113.6    164.8      97.6      103.4         127.8           139.8
122               133                    2000               140.4        183.2         130.3        162.7    136.5      76.3       92.9         113.3           116.3

Average relative performance                                 2.4          2.2            2.4         2.4       2.4

Cumulative return (Indexed to 100)
      Last two years                                         87.2        86.4           94.1        104.2    103.7     100.0      100.0              100.0         100.0
      Last five years                                       107.8        111.3         101.5        112.7    106.3     100.7       97.2                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 13 F 6                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   13.7%       18.2%          16.0%         9.3%    11.8%      2.0%       5.5%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  268          486           343          167      221        85        152           536             323
STD deviation of returns (annualized)                       30.9%       28.1%          31.3%        30.6%    30.4%     21.5%      18.1%         13.7%           13.9%
Sharpe Ratio                                                 0.29        0.47           0.36         0.14     0.23      0.09       0.30
Average annual excess return                           Rm   -2.6%        1.9%          -0.3%        -7.0%    -4.5%
                                                       Rf   8.8%        13.3%          11.1%         4.4%     6.9%
STD deviation of excess return                         Rm   28.7%       26.9%          29.5%        27.1%    29.5%
                                                       Rf   30.9%       28.1%          31.3%        30.6%    30.4%
T-Stat: Average XS Return (Rm) = 0                          -0.296       0.239         -0.029       -0.861   -0.511    0.304      1.005
Systematic risk (Beta)                                      0.845        0.670         0.795        1.035    0.650     0.195      -0.085
Alpha                                                       -0.807       5.701         2.075        -7.433   -0.556    -0.251     6.441
T-Stat: alpha = 0                                           -0.090       0.690         0.227        -0.881   -0.061    -0.031     1.148
Coefficient of determination                                0.133        0.100         0.114        0.208    0.079     0.003      -0.004

Average market cap ($ millions)

% periods > benchmark                                       47.7%       49.2%          50.0%        50.0%    43.9%
% periods > benchmark, up market                            45.5%       45.5%          47.7%        53.4%    42.0%
% periods > benchmark, down market                          52.3%       56.8%          54.5%        43.2%    47.7%
Max # of consec benchmark outperformance                      7            6              6           5        5

Maximum positive excess return                              28.1%       28.6%          29.2%        33.2%    34.2%     17.0%      14.2%
Maximum negative excess return                              -21.7%      -19.2%         -27.9%       -20.5%   -29.3%    -29.1%     -17.1%
% periods positive returns to negative                      123.7%      131.6%        123.7%       112.9%    135.7%    62.9%     131.6%        200.0%           154.0%
% periods of negative returns                               44.7%       43.2%          44.7%        47.0%    42.4%     44.7%      43.2%         33.3%           45.5%
Max # of consecutive negative periods                         6            7              4           6        4         4          4                5            5
Max # of consecutive positive periods                         8            9              6           8        7         5          5                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990                85.9        105.2          91.5         75.0     80.8     101.6      106.4          95.2            93.5
14                             25        1991                81.9        94.4          101.7         90.1    106.8      91.1      110.2         131.1           126.9
26                37                     1992               131.7        113.3         114.7        115.5    128.6      67.8       81.0         111.0           107.9
38                49                     1993               107.8        114.5         109.3        126.0    114.1     143.6      121.3         113.0           115.1
50                61                     1994               116.9        90.5           93.1         93.1     79.2     100.1       95.7         103.7           105.5
62                73                     1995               126.9        127.6         120.4        140.5    137.3      94.9       89.1         129.7           121.5
74                85                     1996               138.2        143.9         179.2        147.7    148.3     109.0      100.7         120.3           118.7
86                97                     1997               117.4        105.9         103.9         79.8     95.4     105.3      110.6         140.4           140.7
98                109                    1998                61.0        98.6           50.9         59.4     50.4     102.1      137.8         109.1           108.1
110               121                    1999               130.2        118.7         212.2        113.6    164.8      97.6      103.4         127.8           139.8
122               133                    2000               140.4        183.2         130.3        162.7    136.5      76.3       92.9         113.3           116.3

Average relative performance                                 2.4          2.2            2.4         2.4       2.4

Cumulative return (Indexed to 100)
      Last two years                                         87.2        86.4           94.1        104.2    103.7     100.0      100.0              100.0         100.0
      Last five years                                       107.8        111.3         101.5        112.7    106.3     100.7       97.2                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC USC F1                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   18.0%       17.1%          18.8%        18.8%    16.4%      1.7%       0.0%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  573          583           698          642      427        85         83           536             323
STD deviation of returns (annualized)                       20.7%       13.7%          14.0%        18.8%    24.7%     20.7%      18.2%         13.7%           13.9%
Sharpe Ratio                                                 0.63        0.89           0.99         0.74     0.46      0.08       0.00
Average annual excess return                           Rm   1.7%         0.8%           2.5%         2.5%     0.1%
                                                       Rf   13.1%       12.2%          13.9%        13.9%    11.5%
STD deviation of excess return                         Rm   15.9%        6.1%           5.4%        10.1%    18.1%
                                                       Rf   20.7%       13.7%          14.0%        18.8%    24.7%
T-Stat: Average XS Return (Rm) = 0                          0.359        0.414         1.522        0.825    0.010     0.267      -0.007
Systematic risk (Beta)                                      0.967        0.904         0.946        1.175    1.257     -0.290     -0.281
Alpha                                                       2.102        1.857         3.084        0.512    -2.876    4.978      3.162
T-Stat: alpha = 0                                           0.424        1.003         1.860        0.168    -0.521    0.654      0.570
Coefficient of determination                                0.404        0.811         0.854        0.728    0.481     0.018      0.037

Average market cap ($ millions)

% periods > benchmark                                       47.0%       50.8%          54.5%        58.3%    52.3%
% periods > benchmark, up market                            48.9%       42.0%          52.3%        64.8%    55.7%
% periods > benchmark, down market                          43.2%       68.2%          59.1%        45.5%    45.5%
Max # of consec benchmark outperformance                      7            6              6           7        4

Maximum positive excess return                              30.0%       13.8%           4.5%        15.4%    29.9%     27.2%      21.1%
Maximum negative excess return                              -20.9%       -5.0%         -4.9%        -13.1%   -23.7%    -34.2%     -27.3%
% periods positive returns to negative                      164.0%      193.3%        230.0%       200.0%    144.4%    54.9%      85.9%        200.0%           154.0%
% periods of negative returns                               37.9%       34.1%          30.3%        33.3%    40.9%     49.2%      53.8%         33.3%           45.5%
Max # of consecutive negative periods                         3            3              3           4        5         11         11               5            5
Max # of consecutive positive periods                         6           10              8           10       10        7          4                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               128.2        119.0         119.8         96.4    102.4     118.8      117.2          95.2            93.5
14                             25        1991               131.4        127.3         134.2        143.8    137.3     105.4      101.7         131.1           126.9
26                37                     1992               122.4        118.2         111.3        110.9    102.6     100.6       99.8         111.0           107.9
38                49                     1993               110.8        112.0         118.3        108.9    121.0     108.3      106.1         113.0           115.1
50                61                     1994                93.6        97.0          103.9        101.7    101.7      86.7       93.2         103.7           105.5
62                73                     1995               131.8        138.4         140.8        147.1    124.2      94.8       93.5         129.7           121.5
74                85                     1996               112.8        125.4         128.7        126.9    123.3      99.0       97.6         120.3           118.7
86                97                     1997               104.3        125.1         132.3        135.8    133.2      72.6       81.7         140.4           140.7
98                109                    1998               132.9        126.6         120.6        134.4    107.7     117.7      108.2         109.1           108.1
110               121                    1999               129.1        108.9         105.0        125.4    124.8     100.5       89.8         127.8           139.8
122               133                    2000               100.7        100.0         104.6         88.3     87.6      96.7      102.5         113.3           116.3

Average relative performance                                 2.4          2.6            2.0         2.1       2.8

Cumulative return (Indexed to 100)
      Last two years                                         99.2        98.5          101.7        118.9    133.4     100.0      100.0              100.0         100.0
      Last five years                                        99.6        92.5           94.5         92.0     91.4      87.7       91.1                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                     Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 2021 F2                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                  Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                         Long-Short - VW        Market/
Performance measure/                                                         Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                             -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                    3.7%        17.9%          15.8%        21.8%    28.9%     -25.2%     -14.6%        16.3%           15.4%
Cumulative return (indexed at 100 to start)                  110           603           466          892      1655       4          17           536             323
STD deviation of returns (annualized)                       23.4%        16.9%          18.5%        18.9%    25.1%     23.1%      17.4%         13.7%           13.9%
Sharpe Ratio                                                 -0.05        0.77           0.59         0.89     0.96      -1.09      -0.84
Average annual excess return                           Rm   -12.6%        1.6%          -0.5%         5.5%    12.6%
                                                       Rf   -1.2%        13.0%          10.9%        16.9%    24.0%
STD deviation of excess return                         Rm   20.8%        14.9%          15.2%        17.8%    21.7%
                                                       Rf   23.3%        16.8%          18.5%        18.9%    25.1%
T-Stat: Average XS Return (Rm) = 0                          -2.014        0.347         -0.117       1.028    1.927     -3.624     -2.772
Systematic risk (Beta)                                      0.802         0.662         0.796        0.609    0.922     -0.120     -0.034
Alpha                                                       -10.352       5.408         1.786        9.963    13.498    -23.850   -14.202
T-Stat: alpha = 0                                           -1.614        1.226         0.385        1.889    2.000     -2.805     -2.615
Coefficient of determination                                0.215         0.285         0.343        0.188    0.247     -0.004     -0.007

Average market cap ($ millions)

% periods > benchmark                                       45.5%        50.0%          50.8%        50.8%    61.4%
% periods > benchmark, up market                            39.8%        43.2%          50.0%        45.5%    62.5%
% periods > benchmark, down market                          56.8%        63.6%          52.3%        61.4%    59.1%
Max # of consec benchmark outperformance                      5             6             10           5        8

Maximum positive excess return                              14.3%        16.7%          12.3%        19.3%    19.5%     21.4%       9.1%
Maximum negative excess return                              -24.5%       -13.9%         -11.5%       -12.0%   -15.4%    -25.3%     -16.0%
% periods positive returns to negative                      116.4%       187.0%        153.8%       169.4%    200.0%    36.0%      69.2%        200.0%           154.0%
% periods of negative returns                               46.2%        34.8%          39.4%        37.1%    33.3%     62.1%      59.1%         33.3%           45.5%
Max # of consecutive negative periods                         6             5              6           5        4         8          7                5            5
Max # of consecutive positive periods                         7            15              9           7        13        4          5                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               130.1         130.9         142.0         91.8    137.9     109.4      107.6          95.2            93.5
14                             25        1991               131.8         136.8         137.2        176.3    139.3      81.8      100.4         131.1           126.9
26                37                     1992                78.7         123.0         121.2         93.5    110.1      80.5       88.7         111.0           107.9
38                49                     1993               114.1         97.1           91.4        100.9    108.0      98.2      110.9         113.0           115.1
50                61                     1994                93.7         113.1         105.1        117.6    142.3      65.8       72.5         103.7           105.5
62                73                     1995               119.8         142.1         142.0        139.3    164.2      66.0       81.4         129.7           121.5
74                85                     1996               108.1         130.3         142.9        131.2    142.3      66.9       82.4         120.3           118.7
86                97                     1997               113.6         120.0         123.4        132.0    140.6      92.5       97.6         140.4           140.7
98                109                    1998               103.1         115.3          88.7        135.4    133.9      81.7       84.4         109.1           108.1
110               121                    1999                47.4         79.6           78.3         79.3     83.3      39.5       58.1         127.8           139.8
122               133                    2000               106.1         122.0         118.1        191.9    138.9      62.1       77.4         113.3           116.3

Average relative performance                                  3.4          2.4            2.5         2.1       1.5

Cumulative return (Indexed to 100)
      Last two years                                         97.4         96.0           92.4        113.2    104.9     100.0      100.0              100.0         100.0
      Last five years                                       112.9         97.3          105.6        131.3    105.2     106.5       88.0                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 2021 F3                      Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   18.9%       15.2%           9.6%        12.3%    13.2%      5.7%       4.3%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  625          434           231          232      303       131        126           536             323
STD deviation of returns (annualized)                       21.0%       19.1%          19.9%        30.2%    25.3%     21.3%      21.0%         13.7%           13.9%
Sharpe Ratio                                                 0.67        0.54           0.24         0.24     0.33      0.27       0.21
Average annual excess return                           Rm   2.6%         -1.1%         -6.7%        -4.0%    -3.1%
                                                       Rf   14.0%       10.3%           4.7%         7.4%     8.3%
STD deviation of excess return                         Rm   19.5%       16.5%          17.1%        27.1%    22.2%
                                                       Rf   20.9%       19.0%          19.8%        30.2%    25.3%
T-Stat: Average XS Return (Rm) = 0                          0.449       -0.216         -1.299       -0.490   -0.460    0.890      0.683
Systematic risk (Beta)                                      0.653        0.746         0.766        0.974    0.900     -0.247     -0.237
Alpha                                                       6.585        1.829         -4.040       -3.705   -1.938    8.523      7.028
T-Stat: alpha = 0                                           1.121        0.365         -0.771       -0.439   -0.281    1.084      1.088
Coefficient of determination                                0.177        0.281         0.273        0.188    0.230     0.010      0.016

Average market cap ($ millions)

% periods > benchmark                                       53.8%       52.3%          43.9%        47.0%    52.3%
% periods > benchmark, up market                            47.7%       46.6%          42.0%        50.0%    51.1%
% periods > benchmark, down market                          65.9%       63.6%          47.7%        40.9%    54.5%
Max # of consec benchmark outperformance                      7            6              8           5        7

Maximum positive excess return                              21.5%       14.1%          20.1%        31.5%    18.8%     25.0%      14.3%
Maximum negative excess return                              -17.6%      -15.5%         -13.0%       -28.2%   -14.5%    -21.8%     -15.3%
% periods positive returns to negative                      175.0%      175.0%        140.0%       127.6%    112.9%    67.3%     127.6%        200.0%           154.0%
% periods of negative returns                               36.4%       36.4%          41.7%        43.9%    47.0%     42.4%      43.9%         33.3%           45.5%
Max # of consecutive negative periods                         6            6              5           5        6         7          5                5            5
Max # of consecutive positive periods                         7           12              7           7        7         8          8                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               142.3        131.9         107.9         92.9    113.2     140.3      137.1          95.2            93.5
14                             25        1991               145.4        135.3         125.8        127.0    121.3      75.5       85.6         131.1           126.9
26                37                     1992               107.8        107.6          95.8        112.5    100.3     159.5      131.7         111.0           107.9
38                49                     1993                85.0        101.9          93.0         94.2    143.9      52.0       73.1         113.0           115.1
50                61                     1994               114.6        101.7         112.9         88.7    130.2      91.2       97.7         103.7           105.5
62                73                     1995               147.3        146.0         104.3        135.5     96.7     105.0      106.1         129.7           121.5
74                85                     1996               127.5        133.9         130.4        114.7    106.6     130.9      118.0         120.3           118.7
86                97                     1997               118.8        118.4         136.1        105.3    134.0      90.7       93.4         140.4           140.7
98                109                    1998               120.3        99.3          103.8        111.4     88.1     166.7      147.4         109.1           108.1
110               121                    1999                59.4        84.3           76.7        102.4     82.2      58.7       63.9         127.8           139.8
122               133                    2000               180.3        112.4         114.7        111.9    117.5     119.4       90.1         113.3           116.3

Average relative performance                                 1.9          2.2            2.6         2.6       2.6

Cumulative return (Indexed to 100)
      Last two years                                         97.4        94.2          106.3         93.6    105.7     100.0      100.0              100.0         100.0
      Last five years                                       117.1        98.1          115.5         90.4    111.1     104.5      106.6                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 36 F 1                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   32.5%       21.0%          33.8%        20.0%    37.4%     -4.9%      -2.0%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  1587         635           2152         450      2814       30         59           536             323
STD deviation of returns (annualized)                       39.8%       28.4%          33.8%        35.3%    36.8%     28.9%      23.6%         13.7%           13.9%
Sharpe Ratio                                                 0.69        0.57           0.86         0.43     0.88      -0.17      -0.08
Average annual excess return                           Rm   16.2%        4.7%          17.5%         3.7%    21.1%
                                                       Rf   27.6%       16.1%          28.9%        15.1%    32.5%
STD deviation of excess return                         Rm   35.1%       22.2%          28.0%        28.7%    31.6%
                                                       Rf   39.9%       28.4%          33.8%        35.4%    36.8%
T-Stat: Average XS Return (Rm) = 0                          1.525        0.707         2.077        0.433    2.218     -0.566     -0.277
Systematic risk (Beta)                                      1.452        1.344         1.466        1.647    1.462     -0.010     -0.157
Alpha                                                       11.014       0.813         12.228       -3.636   15.833    -4.819     -0.185
T-Stat: alpha = 0                                           1.022        0.120         1.440        -0.428   1.645     -0.447     -0.025
Coefficient of determination                                0.242        0.414         0.346        0.401    0.290     -0.008     0.001

Average market cap ($ millions)

% periods > benchmark                                       53.8%       51.5%          57.6%        52.3%    58.3%
% periods > benchmark, up market                            61.4%       56.8%          60.2%        63.6%    63.6%
% periods > benchmark, down market                          38.6%       40.9%          52.3%        29.5%    47.7%
Max # of consec benchmark outperformance                      6           11              8           5        12

Maximum positive excess return                              56.2%       21.6%          52.9%        31.8%    37.0%     49.7%      34.2%
Maximum negative excess return                              -16.5%      -26.5%         -25.0%       -24.9%   -26.6%    -38.0%     -24.5%
% periods positive returns to negative                      135.7%      153.8%        169.4%       164.0%    153.8%    48.8%      85.9%        200.0%           154.0%
% periods of negative returns                               42.4%       39.4%          37.1%        37.9%    39.4%     53.0%      53.8%         33.3%           45.5%
Max # of consecutive negative periods                         5            5              4           4        5         4          6                5            5
Max # of consecutive positive periods                         6           10             13           7        8         6          4                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990                93.0        101.9         120.9         98.9    107.0      88.8       86.7          95.2            93.5
14                             25        1991               146.4        114.5         163.3        147.3    154.9      97.5      106.9         131.1           126.9
26                37                     1992               129.6        99.0          135.1        116.1    121.0      87.5       79.8         111.0           107.9
38                49                     1993               122.9        133.4         133.3        128.7    173.7      92.4       95.0         113.0           115.1
50                61                     1994               113.9        96.2          104.2        120.2    122.4      86.0       80.6         103.7           105.5
62                73                     1995               110.8        175.9         128.1        105.6     88.0     110.0      114.0         129.7           121.5
74                85                     1996               149.6        149.3         147.6        139.2    141.2      96.9      117.9         120.3           118.7
86                97                     1997                77.5        97.9          119.8        116.9     99.8      78.3       76.0         140.4           140.7
98                109                    1998               121.5        142.9         128.7        149.9    120.9     103.8       94.8         109.1           108.1
110               121                    1999               371.4        198.8         220.8        120.6    282.5      89.2      119.4         127.8           139.8
122               133                    2000               110.8        58.7           90.2         55.4    156.0     105.2      129.0         113.3           116.3

Average relative performance                                 2.5          2.6            1.9         2.8       2.1

Cumulative return (Indexed to 100)
      Last two years                                        102.6        113.5         122.8        124.6    140.6     100.0      100.0              100.0         100.0
      Last five years                                        87.7        63.7           97.5         82.8     95.5      72.9       76.9                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 36 F 2                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   35.5%       31.6%          20.8%        29.7%    28.9%      6.6%       4.2%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  2253        1819           550          1484     1032       99        109           536             323
STD deviation of returns (annualized)                       38.0%       32.6%          31.9%        32.3%    38.8%     31.1%      26.4%         13.7%           13.9%
Sharpe Ratio                                                 0.80        0.82           0.50         0.77     0.62      0.21       0.16
Average annual excess return                           Rm   19.2%       15.3%           4.5%        13.4%    12.6%
                                                       Rf   30.6%       26.7%          15.9%        24.8%    24.0%
STD deviation of excess return                         Rm   32.0%       27.9%          25.8%        27.8%    33.1%
                                                       Rf   38.1%       32.7%          32.0%        32.4%    38.8%
T-Stat: Average XS Return (Rm) = 0                          1.990        1.813         0.586        1.595    1.260     0.706      0.531
Systematic risk (Beta)                                      1.639        1.272         1.456        1.226    1.601     0.038      0.042
Alpha                                                       11.901      12.153         -0.652       10.820   5.729     6.172      3.753
T-Stat: alpha = 0                                           1.243        1.411         -0.084       1.256    0.574     0.533      0.456
Coefficient of determination                                0.342        0.278         0.384        0.263    0.313     -0.007     -0.007

Average market cap ($ millions)

% periods > benchmark                                       59.1%       55.3%          50.8%        53.0%    50.8%
% periods > benchmark, up market                            69.3%       60.2%          59.1%        58.0%    58.0%
% periods > benchmark, down market                          38.6%       45.5%          34.1%        43.2%    36.4%
Max # of consec benchmark outperformance                      7           11              5           9        8

Maximum positive excess return                              47.4%       62.4%          23.9%        43.4%    33.8%     52.8%      33.4%
Maximum negative excess return                              -20.2%      -17.2%         -29.8%       -14.4%   -23.8%    -27.9%     -21.3%
% periods positive returns to negative                      164.0%      153.8%        149.1%       153.8%    144.4%    61.5%     120.0%        200.0%           154.0%
% periods of negative returns                               37.9%       39.4%          40.2%        39.4%    40.9%     45.5%      45.5%         33.3%           45.5%
Max # of consecutive negative periods                         5            5              5           5        4         5          5                5            5
Max # of consecutive positive periods                         7            7              7           8        13        7          7                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               115.3        104.8         124.4         88.1    114.6     108.1      103.0          95.2            93.5
14                             25        1991               176.6        118.6         118.1        156.5    232.2      77.5       89.5         131.1           126.9
26                37                     1992               120.8        135.6         117.9        120.4    145.6      71.4       87.2         111.0           107.9
38                49                     1993               118.2        141.3         121.2        164.5    139.5      94.4      100.7         113.0           115.1
50                61                     1994               119.2        104.1         124.6        108.5    118.0      72.9       76.8         103.7           105.5
62                73                     1995               148.9        149.6         103.1        124.7     84.1     145.0      130.0         129.7           121.5
74                85                     1996               185.1        140.3         168.0        116.7    105.1     121.6      115.2         120.3           118.7
86                97                     1997                78.9        109.4         113.2        157.0     82.3     189.5      118.6         140.4           140.7
98                109                    1998               145.2        166.8         112.1        108.2     93.8      94.4      102.8         109.1           108.1
110               121                    1999               336.4        184.9         157.6        171.4    257.2      90.2      114.3         127.8           139.8
122               133                    2000                61.2        103.6          60.7        118.2     92.2     119.8      112.1         113.3           116.3

Average relative performance                                 2.1          2.2            2.6         2.4       2.5

Cumulative return (Indexed to 100)
      Last two years                                         98.9        119.1         124.2        134.8    119.7     100.0      100.0              100.0         100.0
      Last five years                                        80.6        88.0           76.4        104.4     89.0      86.9       84.2                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 36 F 3                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   26.8%       23.8%          30.5%        29.8%    33.0%     -6.3%      -6.1%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  1235         560           1357         1033     1721       37         42           536             323
STD deviation of returns (annualized)                       27.1%       39.8%          36.0%        40.7%    37.0%     19.8%      19.0%         13.7%           13.9%
Sharpe Ratio                                                 0.81        0.48           0.71         0.61     0.76      -0.32      -0.32
Average annual excess return                           Rm   10.5%        7.5%          14.2%        13.5%    16.7%
                                                       Rf   21.9%       18.9%          25.6%        24.9%    28.1%
STD deviation of excess return                         Rm   20.4%       34.2%          30.5%        35.1%    29.8%
                                                       Rf   27.1%       39.8%          36.1%        40.8%    37.0%
T-Stat: Average XS Return (Rm) = 0                          1.703        0.729         1.541        1.274    1.863     -1.050     -1.069
Systematic risk (Beta)                                      1.352        1.611         1.494        1.641    1.788     -0.436     -0.233
Alpha                                                       6.461        0.544         8.521        6.191    7.746     -1.285     -3.466
T-Stat: alpha = 0                                           1.048        0.053         0.921        0.584    0.896     -0.180     -0.595
Coefficient of determination                                0.461        0.301         0.316        0.298    0.433     0.056      0.021

Average market cap ($ millions)

% periods > benchmark                                       56.1%       54.5%          53.0%        55.3%    55.3%
% periods > benchmark, up market                            65.9%       63.6%          60.2%        67.0%    63.6%
% periods > benchmark, down market                          36.4%       36.4%          38.6%        31.8%    38.6%
Max # of consec benchmark outperformance                      7           15             12           11       12

Maximum positive excess return                              22.7%       59.0%          39.7%        53.0%    35.2%     17.3%      11.7%
Maximum negative excess return                              -25.0%      -36.5%         -25.0%       -37.3%   -24.3%    -17.6%     -19.4%
% periods positive returns to negative                      169.4%      149.1%        144.4%       140.0%    175.0%    54.9%      88.6%        200.0%           154.0%
% periods of negative returns                               37.1%       40.2%          40.9%        41.7%    36.4%     49.2%      53.0%         33.3%           45.5%
Max # of consecutive negative periods                         5            6              5           5        4         4          9                5            5
Max # of consecutive positive periods                         8           15             12           10       7         6          6                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               111.1        106.6          99.4         91.0    125.3      95.0      107.8          95.2            93.5
14                             25        1991               132.9        119.9         175.3        152.5    154.1      69.2       72.0         131.1           126.9
26                37                     1992               127.4        115.8         117.9        137.4     95.7     149.7      107.7         111.0           107.9
38                49                     1993               134.8        149.6         131.3        135.4    128.6      93.7       98.2         113.0           115.1
50                61                     1994               106.5        142.9         104.0        118.1    126.1      81.4       99.5         103.7           105.5
62                73                     1995               128.8        108.5         130.4        132.2    164.5      75.2       86.1         129.7           121.5
74                85                     1996               172.4        149.7         119.3        124.2    124.5     105.2       99.2         120.3           118.7
86                97                     1997               103.4        88.9          114.2         93.6     93.3     118.3      112.7         140.4           140.7
98                109                    1998               147.3        132.1         101.2        121.7    139.7     128.6      125.9         109.1           108.1
110               121                    1999               168.2        128.6         336.4        235.3    234.1      58.0       62.4         127.8           139.8
122               133                    2000                80.3        72.2           79.9         77.0     91.9      63.0       64.3         113.3           116.3

Average relative performance                                 2.1          2.8            2.5         2.4       2.1

Cumulative return (Indexed to 100)
      Last two years                                        114.2        121.7         112.6        121.9    122.5     100.0      100.0              100.0         100.0
      Last five years                                        91.5        71.9           73.3         70.2     85.8      97.8      100.3                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 36 F 4                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   37.0%       22.4%          21.7%        31.5%    16.8%     20.2%       5.6%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  2862         792           640          1414     221       435        129           536             323
STD deviation of returns (annualized)                       35.0%       26.7%          31.0%        38.1%    42.6%     31.0%      25.4%         13.7%           13.9%
Sharpe Ratio                                                 0.92        0.66           0.54         0.70     0.28      0.65       0.22
Average annual excess return                           Rm   20.7%        6.1%           5.4%        15.2%     0.5%
                                                       Rf   32.1%       17.5%          16.8%        26.6%    11.9%
STD deviation of excess return                         Rm   28.5%       21.4%          24.8%        32.7%    38.0%
                                                       Rf   35.0%       26.7%          31.1%        38.1%    42.6%
T-Stat: Average XS Return (Rm) = 0                          2.405        0.947         0.726        1.546    0.042     2.162      0.725
Systematic risk (Beta)                                      1.598        1.180         1.436        1.538    1.482     0.116      -0.121
Alpha                                                       13.882       4.071         0.449        9.095    -5.009    18.891     6.934
T-Stat: alpha = 0                                           1.631        0.614         0.060        0.918    -0.429    1.641      0.877
Coefficient of determination                                0.385        0.360         0.396        0.299    0.220     -0.006     -0.003

Average market cap ($ millions)

% periods > benchmark                                       58.3%       52.3%          53.0%        56.1%    42.4%
% periods > benchmark, up market                            65.9%       55.7%          62.5%        62.5%    46.6%
% periods > benchmark, down market                          43.2%       45.5%          34.1%        43.2%    34.1%
Max # of consec benchmark outperformance                      7            8              8           11       6

Maximum positive excess return                              25.9%       32.5%          37.1%        36.2%    40.0%     30.5%      22.2%
Maximum negative excess return                              -25.0%      -17.4%         -20.7%       -31.4%   -43.3%    -32.3%     -24.9%
% periods positive returns to negative                      169.4%      164.0%        169.4%       169.4%    120.0%    61.5%     116.4%        200.0%           154.0%
% periods of negative returns                               37.1%       37.9%          37.1%        37.1%    45.5%     45.5%      46.2%         33.3%           45.5%
Max # of consecutive negative periods                         4            5              5           5        7         5          7                5            5
Max # of consecutive positive periods                         8           13              8           7        5         7          10               10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               114.9        113.8         106.5         89.8     68.2     110.7      117.8          95.2            93.5
14                             25        1991               144.4        125.4         129.1        144.9    201.0     115.4      107.0         131.1           126.9
26                37                     1992               150.9        115.4         109.1        141.3    130.1      70.4       76.0         111.0           107.9
38                49                     1993               126.0        160.8         117.3        158.3    133.6     134.3      110.4         113.0           115.1
50                61                     1994               114.1        112.1         106.5        106.4     80.7     115.7      102.5         103.7           105.5
62                73                     1995               153.3        102.0         134.4        116.2    134.8     141.9      132.7         129.7           121.5
74                85                     1996               209.0        132.0         123.3        137.4     85.4     116.3       99.3         120.3           118.7
86                97                     1997               101.4        99.7          104.7        103.6     86.9     151.8      117.2         140.4           140.7
98                109                    1998               164.9        101.5         118.1        145.9    109.5     181.6      143.7         109.1           108.1
110               121                    1999               159.8        214.4         247.9        392.9    198.1      87.1       71.5         127.8           139.8
122               133                    2000                92.8        91.2           67.2         48.1     53.1      64.0       58.2         113.3           116.3

Average relative performance                                 1.7          2.6            2.6         2.2       2.9

Cumulative return (Indexed to 100)
      Last two years                                        118.4        110.8         107.8        121.7    136.2     100.0      100.0              100.0         100.0
      Last five years                                        88.8        85.0           85.6         65.4     60.3     111.5      114.2                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 36 F5                        Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   32.2%       31.4%          13.0%        19.3%    26.0%      6.2%       9.1%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  1649        1659           232          448      1124      122        227           536             323
STD deviation of returns (annualized)                       35.8%       32.8%          31.7%        34.1%    28.1%     24.9%      18.2%         13.7%           13.9%
Sharpe Ratio                                                 0.76        0.81           0.26         0.42     0.75      0.25       0.50
Average annual excess return                           Rm   15.9%       15.1%          -3.3%         3.0%     9.7%
                                                       Rf   27.3%       26.5%           8.1%        14.4%    21.1%
STD deviation of excess return                         Rm   28.7%       26.7%          25.6%        29.2%    23.1%
                                                       Rf   35.8%       32.8%          31.7%        34.2%    28.1%
T-Stat: Average XS Return (Rm) = 0                          1.840        1.876         -0.427       0.342    1.397     0.823      1.667
Systematic risk (Beta)                                      1.732        1.473         1.437        1.342    1.185     0.547      0.339
Alpha                                                       7.557        9.702         -8.283       -0.886   7.614     -0.058     5.265
T-Stat: alpha = 0                                           0.904        1.203         -1.069       -0.099   1.065     -0.006     0.963
Coefficient of determination                                0.433        0.372         0.379        0.283    0.328     0.056      0.058

Average market cap ($ millions)

% periods > benchmark                                       61.4%       57.6%          45.5%        50.0%    53.0%
% periods > benchmark, up market                            69.3%       64.8%          48.9%        56.8%    58.0%
% periods > benchmark, down market                          45.5%       43.2%          38.6%        36.4%    43.2%
Max # of consec benchmark outperformance                      11          14              4           7        6

Maximum positive excess return                              35.1%       46.1%          20.9%        49.4%    17.9%     34.4%      14.0%
Maximum negative excess return                              -30.5%      -27.6%         -29.7%       -21.5%   -16.6%    -25.4%     -16.5%
% periods positive returns to negative                      153.8%      193.3%        123.7%       144.4%    140.0%    52.4%     149.1%        200.0%           154.0%
% periods of negative returns                               39.4%       34.1%          44.7%        40.9%    41.7%     50.8%      40.2%         33.3%           45.5%
Max # of consecutive negative periods                         4            5              6           6        5         6          4                5            5
Max # of consecutive positive periods                         8           15              7           12       10        5          7                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               118.9        96.8          107.2        106.7    102.7     109.3       95.4          95.2            93.5
14                             25        1991               134.3        199.2         141.1        116.2    127.1     114.6      131.4         131.1           126.9
26                37                     1992               121.2        159.7         127.4        111.9    124.9      74.8      110.3         111.0           107.9
38                49                     1993               130.7        156.8         103.0        128.4    112.4     156.7      146.6         113.0           115.1
50                61                     1994               117.2        110.6          90.5         95.8    144.2      71.0       87.5         103.7           105.5
62                73                     1995               137.5        146.4         108.8         98.2    129.5     135.5      135.7         129.7           121.5
74                85                     1996               187.7        119.8         123.5        145.5    112.7      93.8      106.0         120.3           118.7
86                97                     1997                85.6        122.0          77.5        105.3    127.1     101.2       95.9         140.4           140.7
98                109                    1998               132.4        89.4          124.0        131.7    112.0      81.5       81.9         109.1           108.1
110               121                    1999               259.1        209.3         139.1        240.2    191.7     105.0      101.4         127.8           139.8
122               133                    2000                73.4        77.7           72.0         55.2    106.6     155.7      124.4         113.3           116.3

Average relative performance                                 1.8          2.1            2.8         2.8       2.4

Cumulative return (Indexed to 100)
      Last two years                                        112.3        113.6         124.4        109.4    121.1     100.0      100.0              100.0         100.0
      Last five years                                        64.3        75.6           82.7         73.0    112.3      58.8       80.2                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 36 F 6                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   31.2%       31.6%          21.2%        24.6%    31.0%      0.2%       3.6%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  1252        1695           725          982      1498       61        114           536             323
STD deviation of returns (annualized)                       39.6%       33.0%          25.2%        27.2%    35.8%     25.1%      21.6%         13.7%           13.9%
Sharpe Ratio                                                 0.66        0.81           0.65         0.72     0.73      0.01       0.17
Average annual excess return                           Rm   14.9%       15.3%           4.9%         8.3%    14.7%
                                                       Rf   26.3%       26.7%          16.3%        19.7%    26.1%
STD deviation of excess return                         Rm   32.8%       26.6%          20.2%        21.0%    32.0%
                                                       Rf   39.7%       33.0%          25.3%        27.2%    35.8%
T-Stat: Average XS Return (Rm) = 0                          1.506        1.905         0.812        1.310    1.525     0.023      0.547
Systematic risk (Beta)                                      1.837        1.527         1.118        1.308    1.187     0.650      0.435
Alpha                                                       5.344        9.245         3.609        4.773    12.580    -7.236     -1.382
T-Stat: alpha = 0                                           0.559        1.162         0.575        0.746    1.267     -0.811     -0.213
Coefficient of determination                                0.396        0.396         0.360        0.427    0.200     0.081      0.068

Average market cap ($ millions)

% periods > benchmark                                       59.8%       53.0%          48.5%        53.8%    51.5%
% periods > benchmark, up market                            69.3%       61.4%          53.4%        61.4%    52.3%
% periods > benchmark, down market                          40.9%       36.4%          38.6%        38.6%    50.0%
Max # of consec benchmark outperformance                      11           8              6           7        5

Maximum positive excess return                              39.3%       24.2%          37.2%        17.6%    33.4%     24.3%      13.3%
Maximum negative excess return                              -31.8%      -29.4%         -14.3%       -12.7%   -19.2%    -27.3%     -26.3%
% periods positive returns to negative                      158.8%      158.8%        140.0%       187.0%    127.6%    62.9%     116.4%        200.0%           154.0%
% periods of negative returns                               38.6%       38.6%          41.7%        34.8%    43.9%     44.7%      46.2%         33.3%           45.5%
Max # of consecutive negative periods                         4            4              5           5        6         5          6                5            5
Max # of consecutive positive periods                         13          13              6           9        6         8          6                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               105.6        143.8         111.4         87.1    111.3      86.3      106.2          95.2            93.5
14                             25        1991               139.7        153.1         118.9        144.5    132.7     121.2      131.7         131.1           126.9
26                37                     1992               110.2        165.3         110.3        130.7    130.9      87.1       93.8         111.0           107.9
38                49                     1993               134.3        136.7         150.1        129.7    130.6      98.7      126.4         113.0           115.1
50                61                     1994               121.3        111.9         109.4        103.5    137.8      74.3       79.0         103.7           105.5
62                73                     1995                99.7        132.9         123.8        123.0    100.7     133.9      137.7         129.7           121.5
74                85                     1996               177.3        135.7         137.8        145.3    108.1      76.9       83.1         120.3           118.7
86                97                     1997                96.9        91.0          104.3        123.9     88.8     169.2       97.0         140.4           140.7
98                109                    1998               129.1        133.5         114.4        147.4    107.0      98.3       99.1         109.1           108.1
110               121                    1999               313.5        197.3         170.0        164.1    277.7      83.1       94.7         127.8           139.8
122               133                    2000                68.2        70.4           87.3         82.9    149.7      80.8       96.7         113.3           116.3

Average relative performance                                 2.5          1.9            2.4         2.5       2.6

Cumulative return (Indexed to 100)
      Last two years                                        120.6        119.7         110.0        112.8    116.4     100.0      100.0              100.0         100.0
      Last five years                                        71.8        76.2           91.3         92.1     96.1      80.0       83.6                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 48 F 1                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   16.3%       10.0%          10.6%        18.3%    31.6%     -15.3%     -11.8%        16.3%           15.4%
Cumulative return (indexed at 100 to start)                  412          240           231          511      1082       0          15           536             323
STD deviation of returns (annualized)                       25.9%       20.0%          24.4%        26.2%    47.2%     39.3%      29.1%         13.7%           13.9%
Sharpe Ratio                                                 0.44        0.25           0.23         0.51     0.57      -0.39      -0.41
Average annual excess return                           Rm   0.0%         -6.3%         -5.7%         2.0%    15.3%
                                                       Rf   11.4%        5.1%           5.7%        13.4%    26.7%
STD deviation of excess return                         Rm   22.9%       14.1%          19.8%        23.1%    43.0%
                                                       Rf   26.0%       20.1%          24.4%        26.3%    47.2%
T-Stat: Average XS Return (Rm) = 0                          0.001       -1.491         -0.953       0.286    1.184     -1.293     -1.348
Systematic risk (Beta)                                      0.900        1.043         1.041        0.921    1.513     -0.614     -0.246
Alpha                                                       1.145       -6.837         -6.149       2.890    9.480     -8.336     -9.032
T-Stat: alpha = 0                                           0.161       -1.556         -0.999       0.402    0.719     -0.578     -1.003
Coefficient of determination                                0.219        0.502         0.337        0.224    0.186     0.024      0.006

Average market cap ($ millions)

% periods > benchmark                                       50.0%       43.9%          47.0%        47.7%    53.0%
% periods > benchmark, up market                            50.0%       46.6%          45.5%        43.2%    60.2%
% periods > benchmark, down market                          50.0%       38.6%          50.0%        56.8%    38.6%
Max # of consec benchmark outperformance                      7            7              5           4        6

Maximum positive excess return                              17.2%        9.6%          24.9%        31.2%    101.3%    37.0%      23.2%
Maximum negative excess return                              -24.7%       -9.2%         -17.7%       -19.0%   -38.8%    -97.9%     -60.8%
% periods positive returns to negative                      164.0%      127.6%        169.4%       127.6%    135.7%    50.0%      94.1%        200.0%           154.0%
% periods of negative returns                               37.9%       43.2%          36.4%        43.9%    42.4%     52.3%      51.5%         33.3%           45.5%
Max # of consecutive negative periods                         5            9              5           6        5         5          6                5            5
Max # of consecutive positive periods                         7           11              9           10       10        8          4                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               111.2        94.5          100.7         82.5    149.8      93.5       98.8          95.2            93.5
14                             25        1991               110.1        102.0         108.1        159.9    145.4      65.5       73.2         131.1           126.9
26                37                     1992               142.9        130.3          98.4        116.6    143.1      86.5       84.1         111.0           107.9
38                49                     1993               137.7        116.9         104.2        136.8    135.8      82.0       92.3         113.0           115.1
50                61                     1994               105.6        83.2           88.1         94.5     73.7     111.2      103.8         103.7           105.5
62                73                     1995               107.1        131.3         140.5        166.1    126.5      83.1       85.3         129.7           121.5
74                85                     1996                83.6        104.7         112.6         87.6    102.1      89.8       88.9         120.3           118.7
86                97                     1997               131.7        163.3         135.6        161.1    165.8      88.5      103.1         140.4           140.7
98                109                    1998               129.8        148.2         131.1        164.9    168.6      63.7       76.3         109.1           108.1
110               121                    1999               122.3        88.9          134.5        106.6    196.5      57.8       63.5         127.8           139.8
122               133                    2000                86.7        66.3           62.3         62.5     48.9     153.1      142.9         113.3           116.3

Average relative performance                                 2.4          2.6            2.6         2.3       2.0

Cumulative return (Indexed to 100)
      Last two years                                        107.0        111.0         116.0        134.8    204.9     100.0      100.0              100.0         100.0
      Last five years                                        90.8        87.4           89.9         89.7    126.1       2.3       44.2                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 48 F 2                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   12.7%       18.9%          10.5%        24.6%    41.7%     -29.1%     -17.4%        16.3%           15.4%
Cumulative return (indexed at 100 to start)                  261          638           226          951      3159       -1         6            536             323
STD deviation of returns (annualized)                       27.8%       19.7%          24.9%        28.3%    50.8%     42.9%      33.1%         13.7%           13.9%
Sharpe Ratio                                                 0.28        0.71           0.22         0.70     0.72      -0.68      -0.53
Average annual excess return                           Rm   -3.6%        2.6%          -5.8%         8.3%    25.4%
                                                       Rf   7.8%        14.0%           5.6%        19.7%    36.8%
STD deviation of excess return                         Rm   24.9%       15.6%          20.2%        23.1%    46.8%
                                                       Rf   27.8%       19.8%          24.9%        28.3%    50.8%
T-Stat: Average XS Return (Rm) = 0                          -0.484       0.555         -0.949       1.189    1.804     -2.245     -1.742
Systematic risk (Beta)                                      0.910        0.893         1.066        1.205    1.561     -0.651     -0.481
Alpha                                                       -2.606       3.830         -6.549       5.961    19.032    -21.638   -11.884
T-Stat: alpha = 0                                           -0.337       0.792         -1.040       0.833    1.325     -1.378     -1.178
Coefficient of determination                                0.194        0.377         0.337        0.335    0.170      0.023     0.032

Average market cap ($ millions)

% periods > benchmark                                       47.0%       50.8%          48.5%        53.8%    53.0%
% periods > benchmark, up market                            46.6%       53.4%          45.5%        54.5%    58.0%
% periods > benchmark, down market                          47.7%       45.5%          54.5%        52.3%    43.2%
Max # of consec benchmark outperformance                      8            6              5           12       11

Maximum positive excess return                              25.8%       11.4%          34.1%        37.7%    122.3%    30.4%      24.2%
Maximum negative excess return                              -29.9%      -12.4%         -20.8%       -26.9%   -32.8%    -120.4%    -75.7%
% periods positive returns to negative                      149.1%      164.0%        153.8%       169.4%    140.0%    43.2%      91.3%        200.0%           154.0%
% periods of negative returns                               40.2%       37.9%          39.4%        37.1%    41.7%     56.8%      52.3%         33.3%           45.5%
Max # of consecutive negative periods                         7            4              4           3        5          5         6                5            5
Max # of consecutive positive periods                         7            8             11           12       10         6         5                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               120.7        89.7           89.1        147.2    123.3      123.3      92.3          95.2            93.5
14                             25        1991                88.4        117.2         120.0        111.1    156.7      40.8       66.1         131.1           126.9
26                37                     1992               138.2        137.4         125.2        118.3    160.5      78.8       98.6         111.0           107.9
38                49                     1993               141.4        111.3         106.0        160.4    147.1      73.0       72.2         113.0           115.1
50                61                     1994                76.8        103.7          86.8         98.3     80.4      92.5       92.1         103.7           105.5
62                73                     1995               108.5        131.4         127.7        131.2    125.0      83.1       89.3         129.7           121.5
74                85                     1996                94.1        124.7          89.2        114.8    135.1      79.0       94.1         120.3           118.7
86                97                     1997               141.6        151.3         159.1        151.0    157.4      69.4       91.0         140.4           140.7
98                109                    1998               125.4        166.9         139.8        139.0    173.4      90.8       98.2         109.1           108.1
110               121                    1999               176.4        129.2          97.8        114.5    212.7      67.8       87.3         127.8           139.8
122               133                    2000                51.0        71.6           74.1         86.1     87.8      65.2       63.8         113.3           116.3

Average relative performance                                 3.1          2.2            2.8         2.3       1.6

Cumulative return (Indexed to 100)
      Last two years                                        105.4        110.1         137.6        141.2    225.8      100.0     100.0              100.0         100.0
      Last five years                                        89.5        92.7           98.0         85.9    148.2      -22.4      28.9                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 48 F 3                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   14.8%       18.4%          10.2%        20.1%    24.8%     -10.0%     -5.9%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  434          560           177          439      742        17         37           536             323
STD deviation of returns (annualized)                       16.7%       23.0%          31.9%        36.7%    36.2%     28.3%      24.6%         13.7%           13.9%
Sharpe Ratio                                                 0.59        0.59           0.17         0.41     0.55      -0.35      -0.24
Average annual excess return                           Rm   -1.5%        2.1%          -6.1%         3.8%     8.5%
                                                       Rf   9.9%        13.5%           5.3%        15.2%    19.9%
STD deviation of excess return                         Rm   13.8%       17.7%          26.5%        31.6%    29.6%
                                                       Rf   16.7%       23.1%          31.9%        36.7%    36.3%
T-Stat: Average XS Return (Rm) = 0                          -0.363       0.395         -0.761       0.403    0.950     -1.170     -0.790
Systematic risk (Beta)                                      0.739        1.083         1.342        1.444    1.674     -0.934     -0.648
Alpha                                                       1.466        1.170         -9.974       -1.225   0.804     0.662      1.528
T-Stat: alpha = 0                                           0.354        0.212         -1.227       -0.127   0.092     0.068      0.214
Coefficient of determination                                0.362        0.407         0.326        0.284    0.394     0.136      0.123

Average market cap ($ millions)

% periods > benchmark                                       47.7%       42.4%          43.9%        49.2%    50.8%
% periods > benchmark, up market                            38.6%       44.3%          52.3%        58.0%    58.0%
% periods > benchmark, down market                          65.9%       38.6%          27.3%        31.8%    36.4%
Max # of consec benchmark outperformance                      6            6              6           7        6

Maximum positive excess return                              9.9%        18.9%          23.3%        44.6%    25.2%     27.2%      17.0%
Maximum negative excess return                              -9.5%       -13.7%         -18.5%       -29.8%   -20.6%    -30.7%     -20.1%
% periods positive returns to negative                      158.8%      158.8%        112.9%       127.6%    149.1%    48.8%      85.9%        200.0%           154.0%
% periods of negative returns                               38.6%       38.6%          47.0%        43.9%    40.2%     53.0%      53.8%         33.3%           45.5%
Max # of consecutive negative periods                         5            4             10           6        5         6          6                5            5
Max # of consecutive positive periods                         14           7              7           8        6         6          7                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               106.0        96.8           82.9        156.3     55.6     170.0      115.9          95.2            93.5
14                             25        1991               105.9        98.9          122.6        106.3    170.0      47.1       60.6         131.1           126.9
26                37                     1992               119.4        129.1         142.3        107.6    125.5     120.6      124.8         111.0           107.9
38                49                     1993               121.3        116.6          91.3        168.0    161.0      54.5       59.4         113.0           115.1
50                61                     1994                98.5        95.3           71.7         74.6     69.7     102.4       98.9         103.7           105.5
62                73                     1995               145.7        128.6         124.8        133.6    139.8      98.0      100.4         129.7           121.5
74                85                     1996               107.2        95.2           82.1        124.4    106.5      91.1       81.4         120.3           118.7
86                97                     1997               139.2        152.5         119.7        168.0    177.8      83.8       75.9         140.4           140.7
98                109                    1998               141.8        135.6         133.9        157.1    192.4      82.6       96.8         109.1           108.1
110               121                    1999               105.0        199.6         208.6         99.2    179.0      66.2       98.9         127.8           139.8
122               133                    2000                83.6        80.6           54.4         45.1     61.1      80.5      123.9         113.3           116.3

Average relative performance                                 2.1          2.5            2.9         2.3       2.1

Cumulative return (Indexed to 100)
      Last two years                                        112.8        113.4         118.6        148.2    118.1     100.0      100.0              100.0         100.0
      Last five years                                        92.2        93.4           93.3         87.8     97.4      91.0       89.1                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 48 F 4                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   19.4%       13.4%          15.0%        22.5%    14.4%      5.0%      -2.0%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  655          348           335          568      161        67         46           536             323
STD deviation of returns (annualized)                       21.1%       20.3%          28.0%        36.2%    44.0%     34.5%      31.5%         13.7%           13.9%
Sharpe Ratio                                                 0.69        0.42           0.36         0.49     0.21      0.15       -0.06
Average annual excess return                           Rm   3.1%         -2.9%         -1.3%         6.2%    -1.9%
                                                       Rf   14.5%        8.5%          10.1%        17.6%     9.5%
STD deviation of excess return                         Rm   17.2%       15.4%          22.9%        30.4%    37.8%
                                                       Rf   21.1%       20.3%          28.0%        36.2%    44.1%
T-Stat: Average XS Return (Rm) = 0                          0.595       -0.613         -0.189       0.681    -0.170    0.484      -0.214
Systematic risk (Beta)                                      0.901        0.964         1.194        1.531    1.867     -0.966     -0.767
Alpha                                                       4.225       -2.442         -3.517       0.187    -11.824   16.049     6.710
T-Stat: alpha = 0                                           0.789       -0.508         -0.496       0.020    -1.057    1.318      0.726
Coefficient of determination                                0.334        0.417         0.335        0.330    0.330     0.096      0.104

Average market cap ($ millions)

% periods > benchmark                                       48.5%       47.0%          48.5%        55.3%    46.2%
% periods > benchmark, up market                            50.0%       47.7%          45.5%        58.0%    56.8%
% periods > benchmark, down market                          45.5%       45.5%          54.5%        50.0%    25.0%
Max # of consec benchmark outperformance                      6            7              6           9        5

Maximum positive excess return                              20.1%       15.8%          26.6%        39.6%    34.2%     34.4%      26.6%
Maximum negative excess return                              -12.0%      -11.8%         -25.1%       -29.5%   -36.2%    -36.4%     -26.5%
% periods positive returns to negative                      169.4%      153.8%        158.8%       149.1%    106.3%    62.9%     103.1%        200.0%           154.0%
% periods of negative returns                               37.1%       39.4%          38.6%        40.2%    48.5%     44.7%      49.2%         33.3%           45.5%
Max # of consecutive negative periods                         5            4              4           6        6         5          5                5            5
Max # of consecutive positive periods                         12          13             10           10       5         5          7                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               107.6        86.5           80.8        107.5     87.4     124.1      101.1          95.2            93.5
14                             25        1991               127.0        125.8          98.1        110.1    135.2      80.2       96.4         131.1           126.9
26                37                     1992               132.1        137.3         116.5        132.7    106.7     139.3      127.6         111.0           107.9
38                49                     1993               108.3        121.1         122.3        148.8    176.6      56.4       66.5         113.0           115.1
50                61                     1994                97.3        84.8          102.5         73.1     89.5      87.0       92.2         103.7           105.5
62                73                     1995               139.4        148.2         124.4        134.5     87.1     124.6      108.1         129.7           121.5
74                85                     1996               112.9        105.1          95.9         84.1     77.9     119.2      107.6         120.3           118.7
86                97                     1997               156.9        142.1         135.2        166.3    119.2     128.1      107.9         140.4           140.7
98                109                    1998               149.5        140.1         191.9        124.8    137.7     133.2      146.7         109.1           108.1
110               121                    1999               110.5        106.0         156.7        285.5    247.9      48.4       42.0         127.8           139.8
122               133                    2000                84.4        69.0           59.6         49.6     29.2      71.1       75.9         113.3           116.3

Average relative performance                                 1.9          2.3            2.6         2.4       2.8

Cumulative return (Indexed to 100)
      Last two years                                        108.5        119.3         130.2        143.1    137.8     100.0      100.0              100.0         100.0
      Last five years                                        91.8        96.0           90.1         83.3     78.1      87.7       92.2                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 48 F 6                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   19.5%       16.8%          14.6%        17.7%    15.9%      3.5%       1.3%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  607          495           409          489      394        85         87           536             323
STD deviation of returns (annualized)                       24.3%       20.9%          18.9%        25.5%    26.3%     26.7%      22.4%         13.7%           13.9%
Sharpe Ratio                                                 0.60        0.57           0.52         0.50     0.42      0.13       0.06
Average annual excess return                           Rm   3.2%         0.5%          -1.7%         1.4%    -0.4%
                                                       Rf   14.6%       11.9%           9.7%        12.8%    11.0%
STD deviation of excess return                         Rm   19.1%       17.1%          16.5%        21.9%    24.0%
                                                       Rf   24.4%       20.9%          18.9%        25.6%    26.4%
T-Stat: Average XS Return (Rm) = 0                          0.549        0.089         -0.339       0.209    -0.052    0.438      0.193
Systematic risk (Beta)                                      1.117        0.885         0.728        0.964    0.816     0.301      0.111
Alpha                                                       1.818        1.768         1.418        1.792    1.721     0.096      0.036
T-Stat: alpha = 0                                           0.308        0.334         0.284        0.262    0.231     0.010      0.005
Coefficient of determination                                0.388        0.332         0.273        0.260    0.173     0.009      -0.003

Average market cap ($ millions)

% periods > benchmark                                       50.0%       52.3%          45.5%        47.7%    48.5%
% periods > benchmark, up market                            51.1%       48.9%          40.9%        45.5%    47.7%
% periods > benchmark, down market                          47.7%       59.1%          54.5%        52.3%    50.0%
Max # of consec benchmark outperformance                      7            7              7           8        7

Maximum positive excess return                              22.0%       16.2%          13.3%        35.2%    19.2%     38.0%      22.9%
Maximum negative excess return                              -16.3%      -12.5%         -13.6%       -19.3%   -20.7%    -23.0%     -28.0%
% periods positive returns to negative                      175.0%      135.7%        158.8%       149.1%    120.0%    61.5%     103.1%        200.0%           154.0%
% periods of negative returns                               36.4%       42.4%          38.6%        40.2%    45.5%     45.5%      49.2%         33.3%           45.5%
Max # of consecutive negative periods                         4            6              5           4        6         4          7                5            5
Max # of consecutive positive periods                         7           12              9           11       6         6          6                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990                97.7        91.0          112.9         80.1     78.0      84.1      103.7          95.2            93.5
14                             25        1991               115.7        137.8         119.5        112.4    117.8     152.0      121.3         131.1           126.9
26                37                     1992               149.0        114.9         135.5        123.8    135.8      93.3      105.0         111.0           107.9
38                49                     1993               107.9        112.9         107.1        133.3    182.0      68.6       77.3         113.0           115.1
50                61                     1994               119.6        82.0           94.2         98.5    104.7      84.5       84.9         103.7           105.5
62                73                     1995               128.4        141.5         132.5        151.0     95.1      97.7       86.3         129.7           121.5
74                85                     1996                99.5        123.4         101.1        103.0    108.0     140.7      130.6         120.3           118.7
86                97                     1997               149.8        143.2         133.5        160.4    130.9     103.7       97.1         140.4           140.7
98                109                    1998               139.8        169.8         143.4        134.4     83.1     120.6      124.9         109.1           108.1
110               121                    1999               110.5        96.6          118.0         99.9    153.2     120.9      105.5         127.8           139.8
122               133                    2000                94.6        90.5           73.1         99.7     96.9      82.4       85.6         113.3           116.3

Average relative performance                                 2.3          2.4            2.5         2.3       2.4

Cumulative return (Indexed to 100)
      Last two years                                        103.7        100.1         105.4        138.8    120.9     100.0      100.0              100.0         100.0
      Last five years                                        88.6        84.7           89.5        113.6    104.2      82.7       73.5                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 48 F 6                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   19.5%       16.8%          14.6%        17.7%    15.9%      3.5%       1.3%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  607          495           409          489      394        85         87           536             323
STD deviation of returns (annualized)                       24.3%       20.9%          18.9%        25.5%    26.3%     26.7%      22.4%         13.7%           13.9%
Sharpe Ratio                                                 0.60        0.57           0.52         0.50     0.42      0.13       0.06
Average annual excess return                           Rm   3.2%         0.5%          -1.7%         1.4%    -0.4%
                                                       Rf   14.6%       11.9%           9.7%        12.8%    11.0%
STD deviation of excess return                         Rm   19.1%       17.1%          16.5%        21.9%    24.0%
                                                       Rf   24.4%       20.9%          18.9%        25.6%    26.4%
T-Stat: Average XS Return (Rm) = 0                          0.549        0.089         -0.339       0.209    -0.052    0.438      0.193
Systematic risk (Beta)                                      1.117        0.885         0.728        0.964    0.816     0.301      0.111
Alpha                                                       1.818        1.768         1.418        1.792    1.721     0.096      0.036
T-Stat: alpha = 0                                           0.308        0.334         0.284        0.262    0.231     0.010      0.005
Coefficient of determination                                0.388        0.332         0.273        0.260    0.173     0.009      -0.003

Average market cap ($ millions)

% periods > benchmark                                       50.0%       52.3%          45.5%        47.7%    48.5%
% periods > benchmark, up market                            51.1%       48.9%          40.9%        45.5%    47.7%
% periods > benchmark, down market                          47.7%       59.1%          54.5%        52.3%    50.0%
Max # of consec benchmark outperformance                      7            7              7           8        7

Maximum positive excess return                              22.0%       16.2%          13.3%        35.2%    19.2%     38.0%      22.9%
Maximum negative excess return                              -16.3%      -12.5%         -13.6%       -19.3%   -20.7%    -23.0%     -28.0%
% periods positive returns to negative                      175.0%      135.7%        158.8%       149.1%    120.0%    61.5%     103.1%        200.0%           154.0%
% periods of negative returns                               36.4%       42.4%          38.6%        40.2%    45.5%     45.5%      49.2%         33.3%           45.5%
Max # of consecutive negative periods                         4            6              5           4        6         4          7                5            5
Max # of consecutive positive periods                         7           12              9           11       6         6          6                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990                97.7        91.0          112.9         80.1     78.0      84.1      103.7          95.2            93.5
14                             25        1991               115.7        137.8         119.5        112.4    117.8     152.0      121.3         131.1           126.9
26                37                     1992               149.0        114.9         135.5        123.8    135.8      93.3      105.0         111.0           107.9
38                49                     1993               107.9        112.9         107.1        133.3    182.0      68.6       77.3         113.0           115.1
50                61                     1994               119.6        82.0           94.2         98.5    104.7      84.5       84.9         103.7           105.5
62                73                     1995               128.4        141.5         132.5        151.0     95.1      97.7       86.3         129.7           121.5
74                85                     1996                99.5        123.4         101.1        103.0    108.0     140.7      130.6         120.3           118.7
86                97                     1997               149.8        143.2         133.5        160.4    130.9     103.7       97.1         140.4           140.7
98                109                    1998               139.8        169.8         143.4        134.4     83.1     120.6      124.9         109.1           108.1
110               121                    1999               110.5        96.6          118.0         99.9    153.2     120.9      105.5         127.8           139.8
122               133                    2000                94.6        90.5           73.1         99.7     96.9      82.4       85.6         113.3           116.3

Average relative performance                                 2.3          2.4            2.5         2.3       2.4

Cumulative return (Indexed to 100)
      Last two years                                        103.7        100.1         105.4        138.8    120.9     100.0      100.0              100.0         100.0
      Last five years                                        88.6        84.7           89.5        113.6    104.2      82.7       73.5                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                 #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 60 F1                        Maximum Portfolio Size                   0
Sample period:                      1990_1 - 1999_1                  Minimum Portfolio Size                   0
Number of observations:                  132 months

                                                                                                                       Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted               Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-           -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   5.1%        21.2%          19.6%        29.7%   39.0%     -33.9%     -21.2%        16.3%           15.4%
Cumulative return (indexed at 100 to start)                 139          807            660         1887     5256       2          9            536             323
STD deviation of returns (annualized)                      20.4%        20.3%          21.4%        23.7%   22.5%     13.0%      12.5%         13.7%           13.9%
Sharpe Ratio                                                0.01         0.80           0.68         1.05    1.52      -2.62      -1.70
Average annual excess return                          Rm   -11.2%        4.9%          3.3%         13.4%   22.7%
                                                      Rf    0.2%        16.3%          14.7%        24.8%   34.1%
STD deviation of excess return                        Rm   15.6%        15.2%          17.9%        19.1%   17.1%
                                                      Rf   20.4%        20.3%          21.4%        23.7%   22.5%
T-Stat: Average XS Return (Rm) = 0                         -2.385        1.075         0.604        2.326   4.422     -8.676     -5.648
Systematic risk (Beta)                                     0.965         0.983         0.874        1.025   1.072     -0.107     -0.075
Alpha                                                      -10.804       5.116         4.689       13.120   21.910    -32.714   -20.359
T-Stat: alpha = 0                                          -2.228        1.083         0.847        2.205   4.134     -7.246     -5.267
Coefficient of determination                               0.413         0.435         0.306        0.345   0.422     0.003      -0.001

Average market cap ($ millions)

% periods > benchmark                                      43.2%        53.0%          50.8%        53.8%   67.4%
% periods > benchmark, up market                           46.6%        60.2%          52.3%        58.0%   72.7%
% periods > benchmark, down market                         36.4%        38.6%          47.7%        45.5%   56.8%
Max # of consec benchmark outperformance                     7            12             8            7       12

Maximum positive excess return                             12.9%        11.5%          26.6%        35.4%   16.8%     11.0%       7.5%
Maximum negative excess return                             -16.1%       -12.7%        -16.3%       -12.0%   -14.2%    -15.3%     -20.0%
% periods positive returns to negative                     112.9%       127.6%        193.3%       175.0%   277.1%    21.2%      45.1%        200.0%           154.0%
% periods of negative returns                              47.0%        43.9%          34.1%        36.4%   26.5%     75.0%      68.9%         33.3%           45.5%
Max # of consecutive negative periods                        5             9             5            5       5         17         10               5            5
Max # of consecutive positive periods                        7             7            10            9       27        2          4            10               10

Cumulative annual returns - (index = 100 each year)
                               13        1990               75.6         84.6           75.0         88.3   111.6      72.8       83.0         95.2             93.5
14                             25        1991              129.1         180.9         193.7        184.5   205.5      70.6       87.2         131.1           126.9
26                37                     1992              132.9         116.8         140.7        153.1   158.5      62.1       65.5         111.0           107.9
38                49                     1993               95.0         106.4          96.5        118.3   119.4      90.0       85.7         113.0           115.1
50                61                     1994               82.8         91.4           95.7         91.4   121.8      72.5       84.3         103.7           105.5
62                73                     1995              123.5         151.4         143.6        172.6   178.0      67.9       83.3         129.7           121.5
74                85                     1996              126.2         157.7         145.1        155.4   152.8      76.1       81.3         120.3           118.7
86                97                     1997              109.4         134.1         142.6        144.9   157.2      70.9       80.0         140.4           140.7
98                109                    1998               97.7         108.6         112.6        112.6   128.2      79.5       90.2         109.1           108.1
110               121                    1999               72.6         94.5           82.9        106.1   110.5      59.7       74.3         127.8           139.8
122               133                    2000              112.3         141.5         126.2        150.7   164.1      48.1       59.5         113.3           116.3
134               145                    2001               80.0         95.3          105.3        100.7   108.4      80.2       86.9         76.9            104.1
146               157                    2002               87.0         89.1           97.8        106.1   113.5      81.8       86.4         79.5             75.6

Average relative performance                                 3.6          2.6           2.6          1.9      1.1

Cumulative return (Indexed to 100)
      Last two years                                       102.0         109.4         105.0        100.7    95.7     100.0      100.0              100.0         100.0
      Last five years                                      116.9         122.1         105.7        104.6   100.9     113.7      115.8                  95.9         61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                 #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 60 F2                        Maximum Portfolio Size                   0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                   0
Number of observations:                  132 months

                                                                                                                       Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted               Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-           -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   6.6%        18.1%          19.5%        21.4%   36.0%     -29.4%     -16.4%        16.3%           15.4%
Cumulative return (indexed at 100 to start)                  160         584            668          777     3481       3          14           536             323
STD deviation of returns (annualized)                       21.2%       19.6%          20.6%        22.7%   26.1%     17.3%      14.4%         13.7%           13.9%
Sharpe Ratio                                                 0.08        0.67           0.71         0.72    1.19      -1.70      -1.14
Average annual excess return                        Rm      -9.7%        1.8%          3.2%         5.1%    19.7%
                                                       Rf   1.7%        13.2%          14.6%        16.5%   31.1%
STD deviation of excess return                      Rm      16.2%       14.8%          15.1%        17.7%   21.2%
                                                       Rf   21.2%       19.6%          20.6%        22.7%   26.1%
T-Stat: Average XS Return (Rm) = 0                          -1.998       0.398         0.702        0.952   3.079     -5.645     -3.771
Systematic risk (Beta)                                      0.999        0.941         1.022        1.044   1.118     -0.118     -0.111
Alpha                                                       -9.739       2.448         2.957        4.576   18.335    -28.073   -15.101
T-Stat: alpha = 0                                           -1.933       0.532         0.628        0.831   2.786     -4.484     -3.389
Coefficient of determination                                0.412        0.427         0.456        0.390   0.338     -0.001     0.003

Average market cap ($ millions)

% periods > benchmark                                       40.9%       51.5%          54.5%        53.0%   62.1%
% periods > benchmark, up market                            47.7%       54.5%          62.5%        54.5%   65.9%
% periods > benchmark, down market                          27.3%       45.5%          38.6%        50.0%   54.5%
Max # of consec benchmark outperformance                      6           11             8            7       8

Maximum positive excess return                              13.4%       13.5%          11.4%        13.9%   33.6%     11.9%       7.3%
Maximum negative excess return                              -14.7%      -15.9%        -14.2%       -16.8%   -13.3%    -29.9%     -18.5%
% periods positive returns to negative                      127.6%      158.8%        158.8%       200.0%   238.5%    26.0%      45.1%        200.0%           154.0%
% periods of negative returns                               43.9%       38.6%          38.6%        33.3%   29.5%     70.5%      68.9%         33.3%           45.5%
Max # of consecutive negative periods                         8            5             6            5       5         10         8                5            5
Max # of consecutive positive periods                         7            7             9            12      25        3          5            10               10

Cumulative annual returns - (index = 100 each year)
                               13        1990                78.3        94.6           84.1         91.6    84.8     103.4      100.4         95.2             93.5
14                             25        1991               142.5        173.4         158.7        129.2   185.0      84.7      108.8         131.1           126.9
26                37                     1992               132.0        119.4         139.1        148.9   160.2      59.1       72.3         111.0           107.9
38                49                     1993                97.5        108.0          96.0        103.0   118.0      81.9       85.1         113.0           115.1
50                61                     1994                82.9        107.4          96.8         96.1   115.5      73.8       87.3         103.7           105.5
62                73                     1995               130.4        128.3         161.0        174.7   189.8      78.3       84.8         129.7           121.5
74                85                     1996               131.3        144.7         161.4        143.8   133.2      67.1       76.0         120.3           118.7
86                97                     1997               101.9        132.8         135.0        155.3   151.3      78.3       89.8         140.4           140.7
98                109                    1998                92.3        111.0         113.8        102.8   122.8      73.9       89.6         109.1           108.1
110               121                    1999                66.8        81.7           89.0         88.4   111.6      68.6       73.4         127.8           139.8
122               133                    2000               124.9        114.9         108.9        125.5   193.8      52.5       70.7         113.3           116.3
134               145                    2001                89.3        98.5           93.4        105.7    99.1      98.0       96.5         76.9            104.1
146               157                    2002                87.9        98.8          105.3         93.6    87.7     103.2      104.5         79.5             75.6

Average relative performance                                 3.4          2.4           2.4          2.3      1.4

Cumulative return (Indexed to 100)
      Last two years                                         96.6        100.3         112.7        103.5   115.3     100.0      100.0              100.0         100.0
      Last five years                                       108.9        106.3         109.8        108.1   117.9      87.8       93.3                  95.9         61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 60 F3                        Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   33.0%       22.5%          16.5%        13.4%    17.9%     15.1%      12.1%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  2694         861           459          342      523       455        354           536             323
STD deviation of returns (annualized)                       23.2%       23.7%          22.4%        20.9%    23.2%     13.3%      10.4%         13.7%           13.9%
Sharpe Ratio                                                 1.21        0.74           0.52         0.41     0.56      1.13       1.16
Average annual excess return                           Rm   16.7%        6.2%           0.2%        -2.9%     1.6%
                                                       Rf   28.1%       17.6%          11.6%         8.5%    13.0%
STD deviation of excess return                         Rm   17.5%       17.9%          17.4%        14.9%    16.1%
                                                       Rf   23.2%       23.7%          22.5%        21.0%    23.2%
T-Stat: Average XS Return (Rm) = 0                          3.153        1.153         0.037        -0.635   0.331     3.758      3.842
Systematic risk (Beta)                                      1.118        1.138         1.035        1.081    1.247     -0.129     -0.036
Alpha                                                       15.314       4.663         -0.211       -3.778   -1.209    16.523     12.482
T-Stat: alpha = 0                                           2.820        0.839         -0.039       -0.817   -0.247    3.395      3.851
Coefficient of determination                                0.430        0.428         0.393        0.494    0.537     0.005      -0.005

Average market cap ($ millions)

% periods > benchmark                                       62.1%       56.8%          53.8%        50.0%    54.5%
% periods > benchmark, up market                            64.8%       64.8%          58.0%        56.8%    60.2%
% periods > benchmark, down market                          56.8%       40.9%          45.5%        36.4%    43.2%
Max # of consec benchmark outperformance                      8           11              7           7        7

Maximum positive excess return                              15.1%       15.6%          12.3%        13.9%    12.6%     20.2%      14.9%
Maximum negative excess return                              -17.2%      -19.5%         -18.5%       -14.1%   -16.7%    -12.7%     -10.2%
% periods positive returns to negative                      207.0%      169.4%        153.8%       127.6%    135.7%    75.0%     187.0%        200.0%           154.0%
% periods of negative returns                               32.6%       37.1%          39.4%        43.9%    42.4%     38.6%      34.8%         33.3%           45.5%
Max # of consecutive negative periods                         4            5              5           5        5         6          7                5            5
Max # of consecutive positive periods                         10           8              7           7        10        7          12               10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               101.4        91.7           75.4         71.3     91.4      97.0      107.7          95.2            93.5
14                             25        1991               205.8        178.9         167.0        150.8    147.5     138.2      130.1         131.1           126.9
26                37                     1992               147.5        144.8         126.0        135.0    108.0     134.7      122.1         111.0           107.9
38                49                     1993               125.5        102.6         114.2        106.3     98.1     147.1      121.7         113.0           115.1
50                61                     1994               103.0        101.4          98.3         95.6     88.5     106.6      106.7         103.7           105.5
62                73                     1995               155.9        160.0         137.3        132.0    154.5     106.5      108.2         129.7           121.5
74                85                     1996               157.3        147.1         142.7        133.5    148.5     107.0      110.4         120.3           118.7
86                97                     1997               147.8        143.1         128.0        141.9    113.7     114.9      107.7         140.4           140.7
98                109                    1998               118.7        106.6         120.1         89.2    118.3     100.3      110.7         109.1           108.1
110               121                    1999                91.7        81.5           74.5         93.6     97.2     125.0      110.9         127.8           139.8
122               133                    2000               171.7        119.1         114.9        111.2    137.9      77.7       90.1         113.3           116.3

Average relative performance                                 1.3          2.1            2.7         3.1       2.8

Cumulative return (Indexed to 100)
      Last two years                                        116.5        104.2         102.9        103.2     96.3     100.0      100.0              100.0         100.0
      Last five years                                       125.2        113.2         119.0        111.1     97.8     127.7      114.4                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 60 F4                        Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   22.9%       18.3%          19.2%        15.7%    19.2%      3.8%       3.2%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  910          562           634          435      603       127        130           536             323
STD deviation of returns (annualized)                       23.3%       22.0%          21.2%        21.1%    23.2%     15.0%      12.8%         13.7%           13.9%
Sharpe Ratio                                                 0.78        0.61           0.67         0.51     0.61      0.25       0.25
Average annual excess return                           Rm   6.6%         2.0%           2.9%        -0.6%     2.9%
                                                       Rf   18.0%       13.4%          14.3%        10.8%    14.3%
STD deviation of excess return                         Rm   15.7%       16.4%          16.4%        16.5%    20.1%
                                                       Rf   23.3%       22.0%          21.2%        21.1%    23.3%
T-Stat: Average XS Return (Rm) = 0                          1.403        0.396         0.579        -0.128   0.470     0.838      0.828
Systematic risk (Beta)                                      1.288        1.079         0.991        0.965    0.862     0.426      0.270
Alpha                                                       3.365        1.052         2.957        -0.234   4.426     -1.061     0.113
T-Stat: alpha = 0                                           0.711        0.207         0.581        -0.046   0.709     -0.200     0.030
Coefficient of determination                                0.570        0.445         0.403        0.387    0.251     0.098      0.076

Average market cap ($ millions)

% periods > benchmark                                       58.3%       53.8%          56.1%        47.0%    49.2%
% periods > benchmark, up market                            68.2%       60.2%          59.1%        51.1%    50.0%
% periods > benchmark, down market                          38.6%       40.9%          50.0%        38.6%    47.7%
Max # of consec benchmark outperformance                      11           7             13           7        6

Maximum positive excess return                              19.3%       14.8%          12.3%        12.3%    19.9%     14.5%      12.9%
Maximum negative excess return                              -13.9%      -18.4%         -20.5%       -16.1%   -18.7%    -21.4%     -17.7%
% periods positive returns to negative                      153.8%      140.0%        180.9%       153.8%    153.8%    64.3%     112.9%        200.0%           154.0%
% periods of negative returns                               39.4%       41.7%          35.6%        39.4%    39.4%     43.9%      47.0%         33.3%           45.5%
Max # of consecutive negative periods                         5            5              5           5        5         5          5                5            5
Max # of consecutive positive periods                         7            7              8           7        13        5          7                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990                92.1        89.2          102.5         91.5     61.5     112.6      104.5          95.2            93.5
14                             25        1991               153.2        164.4         158.3        177.7    171.6     117.8      109.1         131.1           126.9
26                37                     1992               124.6        122.5         134.8        136.5    144.7      87.5       87.1         111.0           107.9
38                49                     1993               102.6        107.5         103.9        101.9    128.0      71.0       81.2         113.0           115.1
50                61                     1994               105.9        93.5           92.7        103.6    105.2      97.6       99.6         103.7           105.5
62                73                     1995               167.6        140.6         148.3        138.1    142.7     111.6      106.7         129.7           121.5
74                85                     1996               151.3        149.3         139.2        131.7    135.0     111.8      108.5         120.3           118.7
86                97                     1997               132.5        131.3         150.7        154.0    149.9      84.4       90.9         140.4           140.7
98                109                    1998               113.7        112.5         103.3         88.6     93.0     113.1      103.4         109.1           108.1
110               121                    1999                93.7        77.0           88.0         70.8     79.3     117.2      120.6         127.8           139.8
122               133                    2000               133.1        130.2         106.6        105.9    137.8     112.4      120.9         113.3           116.3

Average relative performance                                 1.9          2.7            2.3         2.8       2.1

Cumulative return (Indexed to 100)
      Last two years                                        103.6        103.5          97.2        100.8    111.4     100.0      100.0              100.0         100.0
      Last five years                                       109.5        116.4         111.4        110.0    111.3      97.6      102.1                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 60 F5                        Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   27.4%       20.1%          23.0%        19.5%    13.6%     13.8%       7.2%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  1533         717           990          627      316       403        206           536             323
STD deviation of returns (annualized)                       21.8%       20.0%          19.8%        23.1%    25.0%     12.3%      10.9%         13.7%           13.9%
Sharpe Ratio                                                 1.03        0.76           0.91         0.63     0.35      1.12       0.66
Average annual excess return                           Rm   11.1%        3.8%           6.7%         3.2%    -2.7%
                                                       Rf   22.5%       15.2%          18.1%        14.6%     8.7%
STD deviation of excess return                         Rm   15.5%       14.9%          15.5%        17.4%    19.5%
                                                       Rf   21.8%       20.0%          19.8%        23.1%    25.0%
T-Stat: Average XS Return (Rm) = 0                          2.387        0.838         1.427        0.614    -0.450    3.707      2.187
Systematic risk (Beta)                                      1.126        0.984         0.904        1.112    1.151     -0.025     -0.077
Alpha                                                       9.702        3.938         7.758        1.943    -4.372    14.074     8.035
T-Stat: alpha = 0                                           2.025        0.851         1.614        0.360    -0.723    3.093      2.387
Coefficient of determination                                0.497        0.446         0.386        0.430    0.392     -0.007     0.002

Average market cap ($ millions)

% periods > benchmark                                       58.3%       53.8%          56.1%        58.3%    52.3%
% periods > benchmark, up market                            68.2%       59.1%          53.4%        61.4%    59.1%
% periods > benchmark, down market                          38.6%       43.2%          61.4%        52.3%    38.6%
Max # of consec benchmark outperformance                      10           7             11           10       7

Maximum positive excess return                              18.9%       14.5%          14.9%        14.0%    19.3%     12.8%      14.8%
Maximum negative excess return                              -9.4%       -16.9%         -10.1%       -18.3%   -16.9%    -13.0%     -11.7%
% periods positive returns to negative                      193.3%      158.8%        180.9%       158.8%    131.6%    70.3%     135.7%        200.0%           154.0%
% periods of negative returns                               34.1%       38.6%          35.6%        38.6%    43.2%     40.9%      42.4%         33.3%           45.5%
Max # of consecutive negative periods                         5            4              5           5        5         4          6                5            5
Max # of consecutive positive periods                         10           8             11           9        9         9          6                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               114.3        101.3          89.7         83.0     73.7     141.6      120.1          95.2            93.5
14                             25        1991               168.8        137.7         181.8        181.1    150.2     114.5      108.1         131.1           126.9
26                37                     1992               137.9        134.0         130.0        128.6    125.4     110.6       98.1         111.0           107.9
38                49                     1993               109.3        110.4         123.6        101.7     98.0     111.4      107.9         113.0           115.1
50                61                     1994                89.0        105.9          99.5         94.3     96.0      89.9       97.7         103.7           105.5
62                73                     1995               144.7        145.5         151.6        148.5    142.4     104.4      107.7         129.7           121.5
74                85                     1996               145.8        151.0         131.9        145.0    147.4      91.1       97.8         120.3           118.7
86                97                     1997               142.6        130.1         159.4        140.4    125.6     107.8       98.3         140.4           140.7
98                109                    1998               122.8        115.3         101.9         99.7     96.3     125.8      118.5         109.1           108.1
110               121                    1999                99.7        79.6           98.1         82.5     72.9     117.9      110.5         127.8           139.8
122               133                    2000               160.9        125.1         119.2        136.1    131.0     136.4      107.4         113.3           116.3

Average relative performance                                 1.9          2.2            2.0         2.6       3.3

Cumulative return (Indexed to 100)
      Last two years                                        102.2        103.2          98.0         97.0    106.0     100.0      100.0              100.0         100.0
      Last five years                                       120.5        111.2         110.9        107.8    114.8     104.8      104.0                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC 60 F6                        Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   24.0%       29.2%          17.8%        16.7%    18.8%      5.2%       8.8%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  1032        1812           529          465      540       154        247           536             323
STD deviation of returns (annualized)                       22.9%       22.7%          22.6%        23.0%    25.9%     13.6%      11.1%         13.7%           13.9%
Sharpe Ratio                                                 0.84        1.07           0.57         0.51     0.54      0.38       0.80
Average annual excess return                           Rm   7.7%        12.9%           1.5%         0.4%     2.5%
                                                       Rf   19.1%       24.3%          12.9%        11.8%    13.9%
STD deviation of excess return                         Rm   17.6%       16.1%          17.6%        17.1%    20.3%
                                                       Rf   22.9%       22.6%          22.6%        23.0%    25.9%
T-Stat: Average XS Return (Rm) = 0                          1.449        2.656         0.280        0.085    0.403     1.276      2.648
Systematic risk (Beta)                                      1.069        1.178         1.031        1.137    1.186     -0.118     -0.039
Alpha                                                       6.920       10.832         1.130        -1.129   0.341     6.579      9.270
T-Stat: alpha = 0                                           1.262        2.191         0.206        -0.214   0.054     1.303      2.695
Coefficient of determination                                0.403        0.503         0.386        0.453    0.389     0.002      -0.005

Average market cap ($ millions)

% periods > benchmark                                       56.1%       61.4%          56.8%        51.5%    53.0%
% periods > benchmark, up market                            61.4%       67.0%          61.4%        55.7%    59.1%
% periods > benchmark, down market                          45.5%       50.0%          47.7%        43.2%    40.9%
Max # of consec benchmark outperformance                      7            9             12           8        6

Maximum positive excess return                              20.1%       14.4%          11.4%        13.3%    18.7%     12.2%      12.4%
Maximum negative excess return                              -12.6%      -10.9%         -19.1%       -16.0%   -18.3%    -18.9%     -10.0%
% periods positive returns to negative                      200.0%      164.0%        164.0%       169.4%    131.6%    60.2%     144.4%        200.0%           154.0%
% periods of negative returns                               33.3%       37.9%          37.9%        37.1%    43.2%     46.2%      40.9%         33.3%           45.5%
Max # of consecutive negative periods                         4            4              5           5        5         5          5                5            5
Max # of consecutive positive periods                         13          10              7           9        6         4          8                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990                88.5        122.7          90.9         78.4     66.8     121.0      125.6          95.2            93.5
14                             25        1991               161.4        169.2         180.7        168.6    154.8      93.9      107.1         131.1           126.9
26                37                     1992               146.9        120.7         126.2        133.7    140.8     124.0      103.9         111.0           107.9
38                49                     1993               124.6        105.0         104.1        101.5    103.7     109.4      107.2         113.0           115.1
50                61                     1994                94.2        99.4           93.9         91.8    102.2      94.1       97.4         103.7           105.5
62                73                     1995               145.8        185.9         145.6        151.8    131.5     114.7      124.1         129.7           121.5
74                85                     1996               138.9        146.5         151.0        144.3    148.8      95.4       96.8         120.3           118.7
86                97                     1997               150.5        139.0         140.0        126.9    137.9      92.8       97.8         140.4           140.7
98                109                    1998               128.4        117.6          95.7        103.7    118.0     107.5      112.0         109.1           108.1
110               121                    1999                90.9        95.4           71.0         81.8     74.7     120.8      114.2         127.8           139.8
122               133                    2000               117.9        163.3         124.8        119.8    147.3      91.6      115.3         113.3           116.3

Average relative performance                                 2.1          1.8            2.4         2.9       2.6

Cumulative return (Indexed to 100)
      Last two years                                         97.8        99.3          101.7        100.3    116.7     100.0      100.0              100.0         100.0
      Last five years                                       110.9        110.6         109.0        105.1    125.7      85.2       95.1                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                 #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC USC F1                       Maximum Portfolio Size                   0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                   0
Number of observations:                   132 months

                                                                                                                       Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted               Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-     -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   17.8%       16.6%          18.2%        17.9%   17.4%      0.5%      -0.4%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  549          554           642          599     447        69         78           536             323
STD deviation of returns (annualized)                       21.5%       14.1%          15.1%        17.8%   27.0%     22.8%      19.2%         13.7%           13.9%
Sharpe Ratio                                                 0.60        0.83           0.88         0.73    0.46      0.02       -0.02
Average annual excess return                           Rm   1.5%         0.3%           1.9%         1.6%    1.1%
                                                       Rf   12.9%       11.7%          13.3%        13.0%   12.5%
STD deviation of excess return                         Rm   16.8%        6.2%           6.2%        10.5%   18.9%
                                                       Rf   21.5%       14.1%          15.0%        17.8%   27.0%
T-Stat: Average XS Return (Rm) = 0                          0.296        0.185         0.992        0.517   0.185     0.065      -0.073
Systematic risk (Beta)                                      0.981        0.929         1.002        1.052   1.499     -0.518     -0.320
Alpha                                                       1.718        1.152         1.830        1.049   -4.638    6.356      3.229
T-Stat: alpha = 0                                           0.328        0.608         0.948        0.321   -0.846    0.773      0.554
Coefficient of determination                                0.384        0.812         0.829        0.650   0.572     0.060      0.045

Average market cap ($ millions)

% periods > benchmark                                       52.3%       50.8%          54.5%        49.2%   48.5%
% periods > benchmark, up market                            56.8%       46.6%          55.7%        52.3%   59.1%
% periods > benchmark, down market                          43.2%       59.1%          52.3%        43.2%   27.3%
Max # of consec benchmark outperformance                      6            9              7           6       7

Maximum positive excess return                              36.1%       12.8%           5.7%        19.3%   26.9%     43.0%      30.3%
Maximum negative excess return                              -24.4%       -4.7%         -7.4%        -8.1%   -22.2%    -30.6%     -26.2%
% periods positive returns to negative                      175.0%      200.0%        238.5%       200.0%   131.6%    57.5%     109.5%        200.0%           154.0%
% periods of negative returns                               36.4%       33.3%          29.5%        33.3%   43.2%     47.7%      47.7%         33.3%           45.5%
Max # of consecutive negative periods                         5            4              4           5       5         5          4                5            5
Max # of consecutive positive periods                         10           8             19           12      10        8          8                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               117.9        107.6         112.4        100.1    97.4     124.9      115.4          95.2            93.5
14                             25        1991               132.4        132.9         134.3        131.1   135.9      93.5       98.4         131.1           126.9
26                37                     1992               118.4        115.3         112.0        110.0   104.4      96.3       98.4         111.0           107.9
38                49                     1993               116.9        108.0         116.6        109.8   115.0     124.8      114.9         113.0           115.1
50                61                     1994                98.9        98.5          101.6         99.9   101.3      84.3       89.5         103.7           105.5
62                73                     1995               137.4        135.4         144.2        135.9   128.2     103.2       98.4         129.7           121.5
74                85                     1996               120.6        125.3         126.8        125.2   144.5      86.9       92.7         120.3           118.7
86                97                     1997               107.8        122.7         132.3        138.9   127.6      87.7       93.9         140.4           140.7
98                109                    1998               142.4        133.6         111.6        118.8   129.2     115.1      108.9         109.1           108.1
110               121                    1999               129.8        106.6         112.2        117.0   110.4      75.2       86.1         127.8           139.8
122               133                    2000                77.8        106.5         105.8        115.1    82.4      91.7       90.2         113.3           116.3

Average relative performance                                 2.2          2.7            1.9         2.5      2.6

Cumulative return (Indexed to 100)
      Last two years                                         95.4        100.5         109.2        122.9   125.6     100.0      100.0              100.0         100.0
      Last five years                                        93.1        99.9           96.4        101.2    84.0      93.7       93.3                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC USC F3                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   21.5%       14.0%          19.6%        17.9%    20.3%      1.2%      -1.3%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  941          417           621          505      647        80         69           536             323
STD deviation of returns (annualized)                       14.1%       13.9%          24.2%        24.8%    25.5%     20.6%      19.8%         13.7%           13.9%
Sharpe Ratio                                                 1.18        0.66           0.61         0.52     0.60      0.06       -0.07
Average annual excess return                           Rm   5.2%         -2.3%          3.3%         1.6%     4.0%
                                                       Rf   16.6%        9.1%          14.7%        13.0%    15.4%
STD deviation of excess return                         Rm   8.5%         2.9%          16.7%        17.5%    18.5%
                                                       Rf   14.1%       13.9%          24.2%        24.8%    25.5%
T-Stat: Average XS Return (Rm) = 0                          2.051       -2.624         0.661        0.304    0.720     0.196      -0.224
Systematic risk (Beta)                                      0.838        0.991         1.325        1.326    1.325     -0.487     -0.411
Alpha                                                       7.078       -2.175         -0.375       -2.111   0.315     6.764      3.350
T-Stat: alpha = 0                                           2.785       -2.433         -0.075       -0.400   0.056     0.913      0.568
Coefficient of determination                                0.661        0.957         0.556        0.530    0.501     0.065      0.074

Average market cap ($ millions)

% periods > benchmark                                       61.4%       40.2%          44.7%        53.8%    55.3%
% periods > benchmark, up market                            53.4%       37.5%          52.3%        65.9%    64.8%
% periods > benchmark, down market                          77.3%       45.5%          29.5%        29.5%    36.4%
Max # of consec benchmark outperformance                      16           4              5           5        7

Maximum positive excess return                              9.5%         2.1%          22.3%        24.3%    22.9%     25.1%      19.7%
Maximum negative excess return                              -8.9%        -2.4%         -18.5%       -14.1%   -17.6%    -30.7%     -25.9%
% periods positive returns to negative                      222.0%      180.9%        164.0%       149.1%    175.0%    52.4%      83.3%        200.0%           154.0%
% periods of negative returns                               31.1%       35.6%          37.9%        40.2%    36.4%     50.8%      54.5%         33.3%           45.5%
Max # of consecutive negative periods                         4            5              5           5        5         8          10               5            5
Max # of consecutive positive periods                         16           8             10           8        10        6          5                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               121.5        107.9         100.5        106.0    104.6     110.5      110.4          95.2            93.5
14                             25        1991               142.3        124.3         118.9        153.4    157.1     100.4       85.8         131.1           126.9
26                37                     1992               113.6        110.4         115.9        100.1    108.0     106.4      108.9         111.0           107.9
38                49                     1993               113.5        110.5         114.3        117.8    114.0      87.5       87.7         113.0           115.1
50                61                     1994               104.5        97.2           93.5         92.6     99.7     101.9       99.8         103.7           105.5
62                73                     1995               146.0        134.3         130.3        141.1    132.7      97.2       92.6         129.7           121.5
74                85                     1996               129.7        127.6         118.3        115.1    115.2     111.3      112.4         120.3           118.7
86                97                     1997               135.2        122.2         121.8        115.9    110.7     111.4      106.3         140.4           140.7
98                109                    1998               120.0        126.2         184.0        131.4    139.6     129.7      119.9         109.1           108.1
110               121                    1999               100.3        106.1         164.1        143.4    167.8      66.6       74.1         127.8           139.8
122               133                    2000               131.0        93.7           74.0         80.0     80.9      54.0       61.5         113.3           116.3

Average relative performance                                 1.9          2.4            2.6         2.6       2.4

Cumulative return (Indexed to 100)
      Last two years                                        100.9        102.3         115.0        107.0    112.2     100.0      100.0              100.0         100.0
      Last five years                                       108.7        95.8           81.6         86.7     85.3     117.8      112.4                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC USC F4                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   20.6%       15.9%          12.6%        13.5%    12.4%      8.2%       5.3%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  817          506           365          360      230       181        150           536             323
STD deviation of returns (annualized)                       16.5%       14.3%          12.4%        18.6%    30.0%     20.0%      18.1%         13.7%           13.9%
Sharpe Ratio                                                 0.95        0.77           0.62         0.46     0.25      0.41       0.29
Average annual excess return                           Rm   4.3%         -0.4%         -3.7%        -2.8%    -3.9%
                                                       Rf   15.7%       11.0%           7.7%         8.6%     7.5%
STD deviation of excess return                         Rm   5.9%         4.4%           6.0%        13.3%    24.5%
                                                       Rf   16.5%       14.3%          12.5%        18.6%    30.1%
T-Stat: Average XS Return (Rm) = 0                          2.419       -0.334         -2.042       -0.699   -0.534    1.368      0.969
Systematic risk (Beta)                                      1.132        0.994         0.818        0.954    1.312     -0.179     -0.070
Alpha                                                       2.789       -0.375         -1.623       -2.279   -7.491    10.280     6.092
T-Stat: alpha = 0                                           1.597       -0.273         -0.953       -0.551   -0.998    1.390      1.081
Coefficient of determination                                0.883        0.904         0.806        0.487    0.351     0.003      -0.005

Average market cap ($ millions)

% periods > benchmark                                       54.5%       47.7%          44.7%        45.5%    47.0%
% periods > benchmark, up market                            62.5%       47.7%          37.5%        39.8%    54.5%
% periods > benchmark, down market                          38.6%       47.7%          59.1%        56.8%    31.8%
Max # of consec benchmark outperformance                      7            6              6           7        7

Maximum positive excess return                              4.3%         6.3%           4.7%        15.8%    28.1%     29.5%      23.6%
Maximum negative excess return                              -4.8%        -4.0%         -4.7%        -17.5%   -29.8%    -24.2%     -19.9%
% periods positive returns to negative                      187.0%      214.3%        193.3%       222.0%    164.0%    73.4%     135.7%        200.0%           154.0%
% periods of negative returns                               34.8%       31.8%          34.1%        31.1%    37.9%     39.4%      42.4%         33.3%           45.5%
Max # of consecutive negative periods                         4            5              4           3        4         7          7                5            5
Max # of consecutive positive periods                         8           10             10           10       9         8          10               10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               122.5        105.0          99.9        114.0     91.3     118.6      103.6          95.2            93.5
14                             25        1991               143.8        123.1         120.9        124.2    137.6     118.5      108.6         131.1           126.9
26                37                     1992               107.9        116.7         115.9        111.1    106.9     104.7      103.8         111.0           107.9
38                49                     1993               101.7        115.7         117.3        118.9    122.6      83.6       92.2         113.0           115.1
50                61                     1994               102.8        98.6           98.6         99.2     83.1     100.5      101.1         103.7           105.5
62                73                     1995               140.8        140.4         134.8        126.9    153.9     110.2      106.8         129.7           121.5
74                85                     1996               138.9        124.2         118.4        116.0    106.4     100.9      105.7         120.3           118.7
86                97                     1997               125.6        133.0         120.4        116.8    113.4     118.0      114.3         140.4           140.7
98                109                    1998               144.5        118.7         111.1        122.2    113.3     134.0      121.2         109.1           108.1
110               121                    1999               114.4        104.5         107.5        132.3    201.7      78.6       84.8         127.8           139.8
122               133                    2000               101.2        102.2          98.3         69.9     39.5      83.2       82.7         113.3           116.3

Average relative performance                                 1.8          2.2            2.8         2.4       2.8

Cumulative return (Indexed to 100)
      Last two years                                        102.6        101.8         104.7        111.0    121.2     100.0      100.0              100.0         100.0
      Last five years                                        94.1        100.3         100.9         84.9     72.0     110.3      111.1                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC USC F5                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   21.8%       16.8%          16.4%        14.5%    11.9%      9.9%       6.1%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  934          545           530          439      319       277        189           536             323
STD deviation of returns (annualized)                       16.5%       15.8%          15.2%        14.0%    15.9%      9.6%       7.7%         13.7%           13.9%
Sharpe Ratio                                                 1.03        0.75           0.76         0.69     0.44      1.04       0.79
Average annual excess return                           Rm   5.5%         0.5%           0.1%        -1.8%    -4.4%
                                                       Rf   16.9%       11.9%          11.5%         9.6%     7.0%
STD deviation of excess return                         Rm   6.7%         5.8%           8.0%         5.1%     8.0%
                                                       Rf   16.5%       15.8%          15.1%        14.0%    16.0%
T-Stat: Average XS Return (Rm) = 0                          2.724        0.272         0.038        -1.162   -1.842    3.434      2.621
Systematic risk (Beta)                                      1.103        1.078         0.941        0.953    1.011     0.092      0.108
Alpha                                                       4.343       -0.410         0.759        -1.262   -4.553    8.896      4.874
T-Stat: alpha = 0                                           2.122       -0.230         0.305        -0.796   -1.836    2.522      2.063
Coefficient of determination                                0.839        0.868         0.720        0.866    0.749     0.005      0.029

Average market cap ($ millions)

% periods > benchmark                                       60.6%       48.5%          53.0%        49.2%    42.4%
% periods > benchmark, up market                            68.2%       47.7%          52.3%        52.3%    44.3%
% periods > benchmark, down market                          45.5%       50.0%          54.5%        43.2%    38.6%
Max # of consec benchmark outperformance                      12           5              9           7        5

Maximum positive excess return                              8.7%         7.7%          11.4%         5.2%     8.9%     10.3%       6.1%
Maximum negative excess return                              -4.6%        -5.3%         -8.2%        -6.4%    -7.6%     -13.2%     -6.0%
% periods positive returns to negative                      222.0%      175.0%        180.9%       169.4%    158.8%    73.4%     127.6%        200.0%           154.0%
% periods of negative returns                               31.1%       36.4%          35.6%        37.1%    38.6%     39.4%      43.9%         33.3%           45.5%
Max # of consecutive negative periods                         3            3              3           5        5         5          5                5            5
Max # of consecutive positive periods                         15           8              8           9        10        10         10               10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               121.8        115.9         106.8        105.4     91.7     129.1      118.0          95.2            93.5
14                             25        1991               139.4        128.5         149.9        125.7    120.5     108.6      106.9         131.1           126.9
26                37                     1992               113.5        115.4         111.4        110.0    112.7     101.0      101.8         111.0           107.9
38                49                     1993               119.1        106.7         113.8        110.0    113.1     120.0      112.0         113.0           115.1
50                61                     1994                97.8        101.4          97.8        101.5     96.7      94.4       93.8         103.7           105.5
62                73                     1995               148.2        139.1         139.8        133.1    125.7     110.7      105.3         129.7           121.5
74                85                     1996               126.4        125.8         127.3        130.8    119.8     102.9      101.0         120.3           118.7
86                97                     1997               124.2        128.2         123.3        129.2    121.0     105.2      105.7         140.4           140.7
98                109                    1998               160.5        120.0         120.9        120.6    113.8     124.1      104.1         109.1           108.1
110               121                    1999               125.7        113.9         109.2        106.1    116.9     118.7      120.9         127.8           139.8
122               133                    2000                88.8        95.6           92.2         93.6     96.9     122.9      116.3         113.3           116.3

Average relative performance                                 1.8          2.3            2.3         2.5       3.1

Cumulative return (Indexed to 100)
      Last two years                                         99.3        102.0          98.9        100.8    112.5     100.0      100.0              100.0         100.0
      Last five years                                        87.4        92.5           92.8         97.3    103.5      82.9       89.2                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC USC F6                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   21.5%       18.2%          17.3%        14.7%    10.8%     10.6%       7.1%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  835          652           601          447      277       278        203           536             323
STD deviation of returns (annualized)                       20.2%       14.7%          13.1%        14.3%    17.6%     13.6%      11.3%         13.7%           13.9%
Sharpe Ratio                                                 0.82        0.91           0.94         0.68     0.34      0.78       0.62
Average annual excess return                           Rm   5.2%         1.9%           1.0%        -1.6%    -5.5%
                                                       Rf   16.6%       13.3%          12.4%         9.8%     5.9%
STD deviation of excess return                         Rm   11.4%        4.9%           5.6%         6.9%    11.1%
                                                       Rf   20.2%       14.6%          13.1%        14.3%    17.6%
T-Stat: Average XS Return (Rm) = 0                          1.508        1.312         0.576        -0.768   -1.636    2.594      2.071
Systematic risk (Beta)                                      1.245        1.009         0.876        0.920    1.005     0.240      0.165
Alpha                                                       2.369        1.837         2.394        -0.684   -5.519    7.888      5.205
T-Stat: alpha = 0                                           0.701        1.203         1.436        -0.322   -1.601    1.599      1.504
Coefficient of determination                                0.709        0.887         0.832        0.771    0.604     0.034      0.032

Average market cap ($ millions)

% periods > benchmark                                       55.3%       56.1%          53.8%        47.7%    40.9%
% periods > benchmark, up market                            67.0%       53.4%          48.9%        44.3%    44.3%
% periods > benchmark, down market                          31.8%       61.4%          63.6%        54.5%    34.1%
Max # of consec benchmark outperformance                      5            7              7           7        5

Maximum positive excess return                              15.8%        4.5%           4.8%         6.5%    14.4%     16.7%      12.4%
Maximum negative excess return                              -10.8%       -4.0%         -6.5%        -6.6%    -8.0%     -16.0%     -11.0%
% periods positive returns to negative                      180.9%      207.0%        193.3%       187.0%    153.8%    67.3%     127.6%        200.0%           154.0%
% periods of negative returns                               35.6%       32.6%          34.1%        34.8%    39.4%     42.4%      43.9%         33.3%           45.5%
Max # of consecutive negative periods                         4            3              4           5        5         5          5                5            5
Max # of consecutive positive periods                         7           15             19           8        8         10         8                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               111.3        124.9         110.4        102.5     93.1     117.9      121.9          95.2            93.5
14                             25        1991               132.5        139.8         123.5        131.2    120.2      98.5       99.2         131.1           126.9
26                37                     1992               111.3        108.5         115.2        113.6    109.1     102.0      100.0         111.0           107.9
38                49                     1993               126.1        108.5         104.3        113.5    119.8     124.0      111.9         113.0           115.1
50                61                     1994                95.1        98.3          106.7         98.2    102.0      86.7       90.6         103.7           105.5
62                73                     1995               134.3        141.7         146.2        128.1    116.8     111.4      107.3         129.7           121.5
74                85                     1996               136.3        124.9         129.3        121.2    126.7     101.8      103.8         120.3           118.7
86                97                     1997               121.8        128.1         132.9        127.5    107.6     118.0      109.8         140.4           140.7
98                109                    1998               167.8        129.6         125.3        116.6     97.4     139.8      126.0         109.1           108.1
110               121                    1999               130.2        103.8         112.0        103.4    105.6     116.9      109.8         127.8           139.8
122               133                    2000                87.0        105.7          97.6        110.0    113.4     148.0      123.8         113.3           116.3

Average relative performance                                 2.1          2.3            2.0         2.8       2.8

Cumulative return (Indexed to 100)
      Last two years                                        101.9        101.0          97.1        107.1    117.9     100.0      100.0              100.0         100.0
      Last five years                                        81.8        96.4           95.1        105.5    111.1      72.2       81.3                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                             United States                    Average Portfolio Size                  #DIV/0!                         Date:              2/25/2004
Screen name:                        SIC USC F6                       Maximum Portfolio Size                    0
Sample period:                      1990_1 - 2000_12                 Minimum Portfolio Size                    0
Number of observations:                   132 months

                                                                                                                        Long-Short - VW        Market/
Performance measure/                                                        Portfolios - value weighted                Long 1    Long 1,2     Benchmk            S&P
Summary Statistic                                            -1-          -2-            -3-          -4-      -5-     Short 5   Short 4,5    Portfolio          500

Annualized Average Return                                   21.5%       18.2%          17.3%        14.7%    10.8%     10.6%       7.1%         16.3%           15.4%
Cumulative return (indexed at 100 to start)                  835          652           601          447      277       278        203           536             323
STD deviation of returns (annualized)                       20.2%       14.7%          13.1%        14.3%    17.6%     13.6%      11.3%         13.7%           13.9%
Sharpe Ratio                                                 0.82        0.91           0.94         0.68     0.34      0.78       0.62
Average annual excess return                           Rm   5.2%         1.9%           1.0%        -1.6%    -5.5%
                                                       Rf   16.6%       13.3%          12.4%         9.8%     5.9%
STD deviation of excess return                         Rm   11.4%        4.9%           5.6%         6.9%    11.1%
                                                       Rf   20.2%       14.6%          13.1%        14.3%    17.6%
T-Stat: Average XS Return (Rm) = 0                          1.508        1.312         0.576        -0.768   -1.636    2.594      2.071
Systematic risk (Beta)                                      1.245        1.009         0.876        0.920    1.005     0.240      0.165
Alpha                                                       2.369        1.837         2.394        -0.684   -5.519    7.888      5.205
T-Stat: alpha = 0                                           0.701        1.203         1.436        -0.322   -1.601    1.599      1.504
Coefficient of determination                                0.709        0.887         0.832        0.771    0.604     0.034      0.032

Average market cap ($ millions)

% periods > benchmark                                       55.3%       56.1%          53.8%        47.7%    40.9%
% periods > benchmark, up market                            67.0%       53.4%          48.9%        44.3%    44.3%
% periods > benchmark, down market                          31.8%       61.4%          63.6%        54.5%    34.1%
Max # of consec benchmark outperformance                      5            7              7           7        5

Maximum positive excess return                              15.8%        4.5%           4.8%         6.5%    14.4%     16.7%      12.4%
Maximum negative excess return                              -10.8%       -4.0%         -6.5%        -6.6%    -8.0%     -16.0%     -11.0%
% periods positive returns to negative                      180.9%      207.0%        193.3%       187.0%    153.8%    67.3%     127.6%        200.0%           154.0%
% periods of negative returns                               35.6%       32.6%          34.1%        34.8%    39.4%     42.4%      43.9%         33.3%           45.5%
Max # of consecutive negative periods                         4            3              4           5        5         5          5                5            5
Max # of consecutive positive periods                         7           15             19           8        8         10         8                10           10

Cumulative annual returns - (index = 100 each year)
                               13        1990               111.3        124.9         110.4        102.5     93.1     117.9      121.9          95.2            93.5
14                             25        1991               132.5        139.8         123.5        131.2    120.2      98.5       99.2         131.1           126.9
26                37                     1992               111.3        108.5         115.2        113.6    109.1     102.0      100.0         111.0           107.9
38                49                     1993               126.1        108.5         104.3        113.5    119.8     124.0      111.9         113.0           115.1
50                61                     1994                95.1        98.3          106.7         98.2    102.0      86.7       90.6         103.7           105.5
62                73                     1995               134.3        141.7         146.2        128.1    116.8     111.4      107.3         129.7           121.5
74                85                     1996               136.3        124.9         129.3        121.2    126.7     101.8      103.8         120.3           118.7
86                97                     1997               121.8        128.1         132.9        127.5    107.6     118.0      109.8         140.4           140.7
98                109                    1998               167.8        129.6         125.3        116.6     97.4     139.8      126.0         109.1           108.1
110               121                    1999               130.2        103.8         112.0        103.4    105.6     116.9      109.8         127.8           139.8
122               133                    2000                87.0        105.7          97.6        110.0    113.4     148.0      123.8         113.3           116.3

Average relative performance                                 2.1          2.3            2.0         2.8       2.8

Cumulative return (Indexed to 100)
      Last two years                                        101.9        101.0          97.1        107.1    117.9     100.0      100.0              100.0         100.0
      Last five years                                        81.8        96.4           95.1        105.5    111.1      72.2       81.3                  95.9          61.6

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
                           F
            Fractile Summary actor1xFactor2 - All Periods - Factor(1)

            Model:         GTC_SIC13_0104                        Return Type:                      Weighted
            Start Date:    1/31/1990                             Universe[FRM]:                    GTC_SIC13
            End Date:      12/31/2000                            Benchmark:                        SP50
                           1 - Month
            Rebalance Frequency:                                 Bench Val:                        1.28
                           1
            Return Frequency:- Month                             RFRate:                           0.40

 Fractile                -1-              -2-              -3-               -4-             -5-               -NA-
Summary                1.17             1.31             0.64              0.20           -0.30                2.20

      -1-     -0.553606024     -1.064618013     -1.097078391        0.658034001    -1.876912899      -1.461969149
      -2-      1.073811458      0.325045423     -0.536877849       -1.349840512    -2.175920446       3.841617041
      -3-      3.193115314      0.048035097      0.776653914        0.822549801     2.469608731       2.398673472
      -4-      2.110843177      2.850411101      1.387442906       -0.992516982     -2.59976596       0.268310036
      -5-      1.644997785      3.390182922      2.191111265        1.853951104     0.468551264       6.549916885
    -NA-       3.201809983      0.310932239      1.599034637        2.383649404    -4.474721226       10.49022277
        Custom Ret Formula:
        Model Run Date:Wed Feb 25 22:22:24 2004
                        Exclude Research Companies, Exclude Non-Company Identifiers
        Screening Options:
        Factor1:        G_PRICE_1MCHG(NR 0 L45D)
        Factor2:        G_REINV_RATE(NR 0 L45D)
Number       Weighted       Univ. Med.       StdDev.        Residual       Sharpe        %>
 of Cos          Return         Return         Return           Risk          Ratio    Bench
  30228            0.86            0.64          7.80            7.01           0.06    45.45

   4036           -0.13          -0.82           9.53           8.98           -0.06    46.21
   4084            0.31          -0.72           7.84           7.58           -0.01    47.73
   4143             0.8          -0.75          12.51          11.62            0.03    43.18
   4120            1.35           0.89           9.12           8.12             0.1    50.76
   4058            2.09           1.34          10.88           9.84            0.15    56.82
   9787            2.57           0.41          11.32          11.08            0.19    54.55
%> Up    %> Down     % New     % Old      % Tot      % Wtd       Avg
Bench       Bench       Cos      Cos    Turnover   Turnover     Mcap
 45.45       45.45      0.00     0.00       0.00       0.00    730.49

 47.73       43.18    78.07     77.98     156.42     364.27    436.88
 45.45       52.27    76.26     76.15     152.79    1231.13   1048.87
 43.18       43.18    72.14        72     144.47    1101.26    972.88
 52.27       47.73    76.85     76.74     153.96      880.1    827.74
 57.95       54.55    74.35     74.22     148.93     399.91    244.96
 54.55       54.55     0.07      1.02       1.09       5.82    299.99
   Xs    Std Xs         Xs     Std Xs      Tot     T-Stat    Tot
vsUniv   vsUniv    vsBench    vsBench    Alpha    (Alpha)    Beta
  0.00      0.00      -0.45       7.03    -0.03      -0.04   0.87

 -0.95     4.77       -1.45       9.01    -0.78     -0.99    0.81
 -0.62     3.83       -1.06       7.83    -0.08     -0.12    0.51
 -0.03        9       -0.48      11.64    -0.18     -0.18    1.18
   0.5     4.54        0.08       8.12     0.33      0.46    1.05
  1.29     6.52        0.83       9.86     1.07      1.24    1.18
  1.61     9.35        1.23       11.2     2.38      2.45    0.59
T-Stat   R-Squared      IC     T-Stat     IC(2)   T-Stat(2)    Factor1
(Beta)       (Beta)    Calc   Corrl.-IC    Calc    Corrl.-IC       Avg
  5.57         0.19   -0.05      -0.60     0.06        0.69        9.56

  4.06         0.11   -0.09      -0.53     0.04        0.18        71.4
     3         0.06   -0.03      -0.16     0.09        0.45        6.26
  4.56         0.14   -0.02      -0.13     0.06        0.32       -0.17
  5.83         0.21    0.04       0.21     0.08        0.44       -5.72
  5.38         0.18   -0.03      -0.18     0.04         0.2      -22.03
  2.38         0.04     NA         NA      0.12        0.02           0
Factor1     Factor1   Factor1    Factor1   Factor2       Factor2   Factor2
    Low        High      Med         Std       Avg          Low       High
  -99.60   49900.00       0.00     39.27    -121.76   -148684.00    948.21

   -4.39     49900       19.45    196.02     -43.92    -16330.25    948.21
   -17.5         40       4.89      6.41     -20.52    -14216.07    709.16
  -27.66       19.9          0      4.58     -64.55      -148684       450
  -37.56       7.32      -3.67      5.54     -26.01    -16330.25    709.16
   -99.6          0     -16.67      6.41    -147.36      -148684    709.16
     NA         NA         NA        NA           0           NA        NA
Factor2    Factor2   Factor    T-Stat
   Med         Std    Corrl.     F.C.
    0.81    258.34     0.09      0.98

    0.82    114.34     -0.15    -0.77
    2.53        62      0.01     0.07
    1.84    364.87      0.01      0.1
    1.54     60.65     -0.02    -0.12
   -3.13    606.24      0.18     0.89
     NA        NA        NA       NA
                           F
            Fractile Summary actor1xFactor2 - All Periods - Factor(1)

            Model:         GTC_SIC60_0102                        Return Type:                     Weighted
            Start Date:    1/31/1990                             Universe[FRM]:                   GTC_SIC60
            End Date:      12/31/2000                            Benchmark:                       SP50
                           1 - Month
            Rebalance Frequency:                                 Bench Val:                       1.28
                           1
            Return Frequency:- Month                             RFRate:                          0.40

 Fractile                -1-              -2-              -3-               -4-            -5-               -NA-
Summary                0.33             1.27             1.50              1.54           2.53                1.81

      -1-     -0.327153578       0.30996988      0.651613747        1.002657009    0.461547613      4.889407797
      -2-      1.064502206      1.146437154         1.3256007       1.878423413    1.328419118      0.264899178
      -3-      0.458624246      1.601893089      1.626566564        1.311930305    1.227512846         1.8848942
      -4-      1.608763275      1.953757727      1.833366081        1.694847139    2.264877202      1.015323374
      -5-      1.393079211      2.756723809      1.780659604        2.377396159     2.99749243      0.932142445
    -NA-                NA               NA                NA                NA             NA      0.879235829
        Custom Ret Formula:
        Model Run Date:Wed Feb 25 22:50:52 2004
                        Exclude Research Companies, Exclude Non-Company Identifiers
        Screening Options:
        Factor1:        G_PRICE_1MCHG(NR 0 L45D)
        Factor2:        G_PRICE_3MCHG(NR 0 L45D)
Number       Weighted       Univ. Med.       StdDev.        Residual       Sharpe        %>
 of Cos          Return         Return         Return           Risk          Ratio    Bench
 127776            1.49            1.34          6.20            4.28           0.17    56.06

  13417            0.25           0.02            5.9           4.48           -0.03    43.94
  13478            1.71           1.41           5.87           4.26            0.22    52.27
  13524             1.4           0.64           6.22           5.07            0.16    48.48
  13505            2.33           2.01           6.64           5.48            0.29    56.06
  13447            2.95           2.48           6.54           4.95            0.39    67.42
  60405            0.73          -2.59          19.14          18.94            0.02    45.45
%> Up    %> Down     % New     % Old      % Tot      % Wtd       Avg
Bench       Bench       Cos      Cos    Turnover   Turnover     Mcap
 62.50       43.18      0.00     0.00       0.00       0.01    918.89

 46.59       38.64    77.34     77.15     155.16     315.65   1152.17
 57.95       40.91    77.31     77.12      155.1     242.06    988.43
 51.14       43.18    74.29     74.08     149.01     246.42    720.19
 59.09          50    74.07     73.86     148.57     328.23       693
 72.73       56.82    77.57     77.38     155.63     396.11    850.31
 44.32       47.73      0.1      1.41       1.51      71.22    146.42
   Xs    Std Xs         Xs     Std Xs      Tot    T-Stat   Tot
vsUniv   vsUniv    vsBench    vsBench    Alpha   (Alpha)   Beta
  0.00      0.00       0.23       4.31    0.14      0.36   1.14

 -1.27     2.29       -1.03       4.48   -0.89     -2.27   0.97
  0.17     2.64        0.44       4.26     0.5      1.34   1.02
 -0.17     3.93        0.11       5.09    0.35      0.79   0.91
  0.79     3.85        1.04       5.48    1.25       2.6   0.95
  1.43     3.08        1.68       4.96    1.69      3.88   1.08
 -0.83    18.49       -0.56      18.97    1.23      0.74   0.71
T-Stat   R-Squared      IC     T-Stat     IC(2)    T-Stat(2)    Factor1
(Beta)       (Beta)    Calc   Corrl.-IC     Calc    Corrl.-IC       Avg
 11.95         0.52   -0.05      -1.28     -0.03       -0.69        1.66

  9.79         0.42   -0.09      -0.86        0        -0.05      15.77
 10.78         0.47   -0.01      -0.13     0.03         0.26       3.52
  8.08         0.33    0.01       0.07     0.02         0.24       0.34
  7.79         0.32   -0.01       -0.1        0        -0.01      -2.32
  9.84         0.43   -0.05      -0.53    -0.04         -0.4       -9.1
  1.69         0.02     NA         NA       NA           NA           0
Factor1     Factor1   Factor1    Factor1    Factor2    Factor2    Factor2
    Low        High      Med          Std       Avg        Low       High
  -99.00   15900.00       0.00       3.69       3.68     -99.00   5000.00

   -2.44     15900        9.93     12.12      14.74         -92      4300
   -9.26      19.13       3.25       2.7       5.46       -97.5    313.33
  -15.38       9.38          0      2.16       2.76         -99      5000
  -22.03       4.05      -1.17      2.83      -0.79      -88.85    132.71
     -99          0      -6.51      4.67      -5.83         -99       500
     NA         NA         NA        NA           0         NA         NA
Factor2    Factor2    Factor    T-Stat
   Med          Std    Corrl.     F.C.
    1.77       7.45     0.51     13.58

  11.21      10.93      0.35      3.75
   4.39       6.69      0.13      1.26
   0.13      10.05      0.14      1.31
      0       6.29      0.11      1.13
  -4.06       9.65      0.33      3.44
    NA         NA        NA        NA
                         Effective Total Bucket Returns
         Date              SIC_13_F1_B1   SIC_13_F1_B5     SIC_13_F4_B1


                         Covariance Matrix
                           SIC_13_F1_B1   SIC_13_F1_B5     SIC_13_F4_B1


                         Correlation Matrix
                           SIC_13_F1_B1   SIC_13_F1_B5     SIC_13_F4_B1


                         Unconditional Asset Allocation

        Series                  Code        Weights             E
SIC   13 Factor   1       SIC_13_F1_B1
                      Bucket 1                   -0.1725             0.0032
SIC   13 Factor   1       SIC_13_F1_B5
                      Bucket 5                    0.3738             0.0226
SIC   13 Factor   4       SIC_13_F4_B1
                      Bucket 1                    0.8408             0.0177
SIC   13 Factor   4       SIC_13_F4_B5
                      Bucket 5                   -0.0421            -0.0008

                         Portfolio                1.0000            0.0228

                                            Weights             E
                         Target                   1.0000            0.1000
SIC_13_F4_B5




SIC_13_F4_B5




SIC_13_F4_B5




     σ             σ2
         0.0925         0.0086
         0.1125         0.0127
         0.0952         0.0091
         0.1105         0.0122

         0.1000         0.0100

  σUS-equity
          0.1000
                         Effective Total Bucket Returns
         Date              SIC_60_F1_B1   SIC_60_F1_B5     SIC_60_F2_B1


                         Covariance Matrix
                           SIC_60_F1_B1   SIC_60_F1_B5     SIC_60_F2_B1


                         Correlation Matrix
                           SIC_60_F1_B1   SIC_60_F1_B5     SIC_60_F2_B1


                         Unconditional Asset Allocation

        Series                  Code        Weights             E
SIC   60 Factor   1       SIC_60_F1_B1
                      Bucket 1                   -0.0923            0.0037
SIC   60 Factor   1       SIC_60_F1_B5
                      Bucket 5                    0.9038            0.0293
SIC   60 Factor   2       SIC_60_F2_B1
                      Bucket 1                    0.2438            0.0053
SIC   60 Factor   2       SIC_60_F2_B5
                      Bucket 5                   -0.0554            0.0253

                         Portfolio                1.0000            0.0260

                                            Weights             E
                         Target                   1.0000            0.1000
SIC_60_F2_B5




SIC_60_F2_B5




SIC_60_F2_B5




     σ             σ2
         0.0580         0.0034
         0.0627         0.0039
         0.0572         0.0033
         0.0726         0.0053

         0.0600         0.0036

  σUS-equity
          0.0600
Market:                        United States                 Average Portfolio Size             #DIV/0!                         Date:        2/25/2004
Screen name:                   SIC 13 F 1, Out of Sample     Maximum Portfolio Size               0
Sample period:                 2000_1 - 2002_12              Minimum Portfolio Size               0
Number of observations:              24 months

                                                                                                          Long-Short - VW        Market/
Performance measure/                                             Portfolios - value weighted              Long 1    Long 1,2    Benchmk       S&P
Summary Statistic                                     -1-        -2-          -3-        -4-      -5-     Short 5   Short 4,5    Portfolio     500

Annualized Average Return                           -24.5%     -16.7%       -5.0%      -12.1%   -22.3%    -2.2%      -3.4%        -19.8%      -9.5%
Cumulative return (indexed at 100 to start)           56         66           83         71       48        85         88           65         61
STD deviation of returns (annualized)               30.3%      26.8%        28.8%      32.7%    49.3%     13.0%      24.3%        19.6%       18.2%
Sharpe Ratio                                        -0.96       -0.80        -0.34      -0.52    -0.55     -0.17      -0.14
Average annual excess return                   Rm   -4.6%       3.1%        14.9%       7.7%    -2.5%
                                               Rf   -29.2%     -21.5%       -9.7%      -16.9%   -27.0%
STD deviation of excess return                 Rm   25.5%      24.7%        26.5%      25.6%    45.5%
                                               Rf   30.4%      26.9%        28.8%      32.7%    49.3%
T-Stat: Average XS Return (Rm) = 0                  -0.257      0.178       0.793       0.427   -0.077    -0.237     -0.197
Systematic risk (Beta)                              0.854       0.646       0.666       1.045   0.976     -0.122     -0.261
Alpha                                               -8.230     -5.599       6.673       8.822   -3.054    -5.176     -9.798
T-Stat: alpha = 0                                   -0.421     -0.306       0.337       0.447   -0.087    -0.182     -0.535
Coefficient of determination                        0.270       0.184       0.168       0.361   0.111     -0.041     0.000

Average market cap ($ millions)

% periods > benchmark                               41.7%      54.2%        58.3%      54.2%    54.2%
% periods > benchmark, up market                    66.7%      55.6%        44.4%      55.6%    77.8%
% periods > benchmark, down market                  26.7%      53.3%        66.7%      53.3%    40.0%
Max # of consec benchmark outperformance               2          3            5          4       3

Maximum positive excess return                      13.7%       9.7%        12.0%      16.3%    16.6%     39.7%      21.4%
Maximum negative excess return                      -15.2%     -19.4%       -14.2%     -13.0%   -44.2%    -18.0%     -11.0%
% periods positive returns to negative              60.0%      60.0%       118.2%      100.0%   100.0%     5.6%      71.4%        60.0%       53.8%
% periods of negative returns                       62.5%      62.5%        45.8%      50.0%    50.0%     58.3%      58.3%        62.5%       95.8%
Max # of consecutive negative periods                  4          4            2          4       4         4          5            4           4
Max # of consecutive positive periods                  2          2            4          3       3         2          3            3           3

Cumulative annual returns - (index = 100 each year)
                         13        2000               62.2      70.5         79.5       74.6     89.4      76.3       84.5         76.9       104.1
14                       25        2001               89.5      94.1        105.0       94.8     53.9     114.9      105.5         79.5        75.6

Average relative performance                          1.4        1.3          1.1        1.2      1.3

Cumulative return (Indexed to 100)
     Last two years                                 102.0       97.6         99.3       92.8    100.4     100.0      100.0          100.0       100.0
     Last five years                                102.0       97.6         99.3       92.8    100.4     100.0      100.0          100.0       100.0

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                        United States                 Average Portfolio Size              #DIV/0!                         Date:        2/25/2004
Screen name:                   SIC 13 F 4, Out of Sample     Maximum Portfolio Size                0
Sample period:                 2000_1 - 2002_12              Minimum Portfolio Size                0
Number of observations:              24 months

                                                                                                           Long-Short - VW        Market/
Performance measure/                                             Portfolios - value weighted               Long 1    Long 1,2    Benchmk       S&P
Summary Statistic                                     -1-        -2-          -3-        -4-       -5-     Short 5   Short 4,5    Portfolio     500

Annualized Average Return                           12.0%      -10.0%       -24.7%     -24.3%    -40.6%    52.6%      33.5%        -19.8%      -9.5%
Cumulative return (indexed at 100 to start)           118        77           53         56        36       237        185           65         61
STD deviation of returns (annualized)               28.9%      25.4%        36.1%      30.0%     43.6%     15.5%      22.3%        19.6%       18.2%
Sharpe Ratio                                          0.25      -0.58        -0.82      -0.97     -1.04     3.39       1.50
Average annual excess return                   Rm   31.9%       9.8%        -4.9%      -4.5%     -20.8%
                                               Rf     7.3%     -14.7%       -29.5%     -29.0%    -45.3%
STD deviation of excess return                 Rm   27.5%      23.3%        27.8%      26.6%     41.9%
                                               Rf   28.9%      25.4%        36.1%      30.0%     43.7%
T-Stat: Average XS Return (Rm) = 0                  1.639       0.597       -0.249     -0.237    -0.700    4.792      2.118
Systematic risk (Beta)                              0.604       0.637       1.203       0.754    0.701     -0.098     -0.108
Alpha                                               22.139      0.900       0.096      -10.497   -28.089   50.228     30.812
T-Stat: alpha = 0                                   1.088       0.053       0.005      -0.521    -0.877    1.553      1.796
Coefficient of determination                        0.128       0.205       0.395       0.206    0.057     -0.043     -0.036

Average market cap ($ millions)

% periods > benchmark                               58.3%      50.0%        58.3%      45.8%     41.7%
% periods > benchmark, up market                    66.7%      44.4%        66.7%      55.6%     44.4%
% periods > benchmark, down market                  53.3%      53.3%        53.3%      40.0%     40.0%
Max # of consec benchmark outperformance               4          3            6          3        3

Maximum positive excess return                      21.1%      11.6%        12.5%      12.2%     29.9%     24.6%      12.9%
Maximum negative excess return                      -13.1%     -12.8%       -16.1%     -16.8%    -25.1%    -26.6%     -13.7%
% periods positive returns to negative              200.0%     100.0%       60.0%      50.0%     60.0%      9.9%     200.0%        60.0%       53.8%
% periods of negative returns                       33.3%      50.0%        62.5%      66.7%     62.5%     29.2%      33.3%        62.5%       95.8%
Max # of consecutive negative periods                  3          4            5          5        5         1          3            4           4
Max # of consecutive positive periods                  6          3            2          2        3         6          6            3           3

Cumulative annual returns - (index = 100 each year)
                         13        2000             102.9       85.2         62.8       61.2      37.0     191.7      155.9         76.9       104.1
14                       25        2001             114.3       90.1         84.7       91.5      98.1     160.0      127.1         79.5        75.6

Average relative performance                          1.0        1.3          1.4        1.3       1.3

Cumulative return (Indexed to 100)
     Last two years                                 100.6       93.5         97.7       94.2     127.3     100.0      100.0          100.0       100.0
     Last five years                                100.6       93.5         97.7       94.2     127.3     100.0      100.0          100.0       100.0

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                        United States                 Average Portfolio Size             #DIV/0!                         Date:        2/25/2004
Screen name:                   SIC 60 F 1, Out of Sample     Maximum Portfolio Size               0
Sample period:                 2000_1 - 2002_12              Minimum Portfolio Size               0
Number of observations:              24 months

                                                                                                          Long-Short - VW        Market/
Performance measure/                                             Portfolios - value weighted              Long 1    Long 1,2    Benchmk       S&P
Summary Statistic                                     -1-        -2-          -3-        -4-      -5-     Short 5   Short 4,5    Portfolio     500

Annualized Average Return                           -16.3%      -7.0%        2.6%       4.2%    12.3%     -28.5%     -19.9%       -19.8%      -9.5%
Cumulative return (indexed at 100 to start)            70        85          103        107      123        55         67           65         61
STD deviation of returns (annualized)               18.8%      15.1%        14.9%      13.7%    19.7%      5.7%       8.1%        19.6%       18.2%
Sharpe Ratio                                        -1.12       -0.78        -0.15      -0.04    0.38      -5.00      -2.46
Average annual excess return                   Rm     3.5%     12.8%        22.4%      24.0%    32.1%
                                               Rf   -21.0%     -11.8%       -2.2%      -0.6%     7.5%
STD deviation of excess return                 Rm   15.0%      16.2%        19.3%      15.8%    15.1%
                                               Rf   18.7%      15.0%        14.9%      13.6%    19.7%
T-Stat: Average XS Return (Rm) = 0                  0.333       1.118       1.645       2.153   3.005     -7.077     -3.480
Systematic risk (Beta)                              0.664       0.451       0.303       0.416   0.708     -0.044     -0.004
Alpha                                               -4.709     -0.703       5.280       9.666   24.906    -29.614   -19.992
T-Stat: alpha = 0                                   -0.451     -0.075       0.502       1.149   2.310     -2.693     -3.208
Coefficient of determination                        0.455       0.315       0.120       0.327   0.471     -0.042     -0.045

Average market cap ($ millions)

% periods > benchmark                               79.2%      75.0%        75.0%      83.3%    70.8%
% periods > benchmark, up market                    55.6%      44.4%        44.4%      55.6%    66.7%
% periods > benchmark, down market                  93.3%      93.3%        93.3%      100.0%   73.3%
Max # of consec benchmark outperformance               11         9           10         11       4

Maximum positive excess return                        5.3%     10.3%        11.2%      12.5%    13.7%      5.9%       2.5%
Maximum negative excess return                      -12.9%      -8.9%       -10.5%     -9.0%    -3.5%     -10.5%     -6.3%
% periods positive returns to negative              84.6%      84.6%       140.0%      118.2%   100.0%     3.3%      26.3%        60.0%       53.8%
% periods of negative returns                       54.2%      54.2%        41.7%      45.8%    50.0%     75.0%      79.2%        62.5%       95.8%
Max # of consecutive negative periods                  3          3            3          3       3         6          6            4           4
Max # of consecutive positive periods                  3          7            3          4       4         2          2            3           3

Cumulative annual returns - (index = 100 each year)
                         13        2000               80.0      95.3        105.3       100.7   108.4      80.2       86.9         76.9       104.1
14                       25        2001               87.0      89.1         97.8       106.1   113.5      81.8       86.4         79.5        75.6

Average relative performance                          1.5        1.4          1.2        1.2      1.0

Cumulative return (Indexed to 100)
     Last two years                                   98.9      98.9        102.2       100.1    99.6     100.0      100.0          100.0       100.0
     Last five years                                  98.9      98.9        102.2       100.1    99.6     100.0      100.0          100.0       100.0

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation
Market:                        United States                 Average Portfolio Size             #DIV/0!                         Date:        2/25/2004
Screen name:                   SIC 60 F 2, Out of Sample     Maximum Portfolio Size               0
Sample period:                 2000_1 - 2002_12              Minimum Portfolio Size               0
Number of observations:              24 months

                                                                                                          Long-Short - VW        Market/
Performance measure/                                             Portfolios - value weighted              Long 1    Long 1,2    Benchmk       S&P
Summary Statistic                                     -1-        -2-          -3-        -4-      -5-     Short 5   Short 4,5    Portfolio     500

Annualized Average Return                           -11.1%      -0.6%        0.4%       0.5%    -4.6%     -6.5%      -3.8%        -19.8%      -9.5%
Cumulative return (indexed at 100 to start)            78        97           98         99       87        86         92           65         61
STD deviation of returns (annualized)               13.8%      12.3%        15.7%      14.4%    22.3%      5.6%      10.6%        19.6%       18.2%
Sharpe Ratio                                        -1.15       -0.44        -0.28      -0.30    -0.42     -1.17      -0.36
Average annual excess return                   Rm     8.7%     19.2%        20.2%      20.3%    15.2%
                                               Rf   -15.9%      -5.4%       -4.4%      -4.3%    -9.3%
STD deviation of excess return                 Rm   15.1%      15.4%        17.4%      16.2%    14.4%
                                               Rf   13.7%      12.3%        15.7%      14.3%    22.3%
T-Stat: Average XS Return (Rm) = 0                  0.816       1.759       1.643       1.778   1.499     -1.654     -0.514
Systematic risk (Beta)                              0.446       0.385       0.425       0.425   0.884     -0.438     -0.239
Alpha                                               -4.909      4.069       6.082       6.195   12.373    -17.281    -9.704
T-Stat: alpha = 0                                   -0.604      0.545       0.593       0.690   1.131     -1.677     -1.327
Coefficient of determination                        0.379       0.348       0.248       0.307   0.578     0.258      0.158

Average market cap ($ millions)

% periods > benchmark                               66.7%      79.2%        79.2%      75.0%    70.8%
% periods > benchmark, up market                    44.4%      44.4%        55.6%      44.4%    66.7%
% periods > benchmark, down market                  80.0%      100.0%       93.3%      93.3%    73.3%
Max # of consec benchmark outperformance               7         10           10          9       5

Maximum positive excess return                      10.1%      10.3%         8.4%      11.7%     8.5%      9.4%       5.3%
Maximum negative excess return                      -8.3%       -8.3%       -12.0%     -9.1%    -7.4%     -7.8%      -5.1%
% periods positive returns to negative              100.0%     100.0%      100.0%      140.0%   100.0%     5.6%      84.6%        60.0%       53.8%
% periods of negative returns                       50.0%      50.0%        50.0%      41.7%    50.0%     58.3%      54.2%        62.5%       95.8%
Max # of consecutive negative periods                  4          3            3          3       3         3          3            4           4
Max # of consecutive positive periods                  4          3            7          7       4         2          3            3           3

Cumulative annual returns - (index = 100 each year)
                         13        2000               89.3      98.5         93.4       105.7    99.1      98.0       96.5         76.9       104.1
14                       25        2001               87.9      98.8        105.3       93.6     87.7     103.2      104.5         79.5        75.6

Average relative performance                          1.4        1.2          1.2        1.1      1.3

Cumulative return (Indexed to 100)
     Last two years                                 101.0       99.4         98.2       98.8    100.0     100.0      100.0          100.0       100.0
     Last five years                                101.0       99.4         98.2       98.8    100.0     100.0      100.0          100.0       100.0

Average %Annual Turnover

Factor average
Factor median
Factor standard deviation

								
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