The Mathematics of Financial Modelingand Investment Management

19-EquityPort Page 586 Friday, March 12, 2004 12:40 PM

586 The Mathematics of Financial Modeling and Investment Management

EXHIBIT 19.12 (Continued)

b. Analysis of Sector Exposures Relative to S&P 500

Sector Weights (Percent)

Mgd. Bmk. Act. Mgd. Bmk. Act.

Basic Materials 0.65 3.53 −2.88 Utility 2.22 2.24 −0.02

Mining 0.01 0.38 −0.36 Electric Utility 1.85 1.97 −0.12

Gold 0.00 0.12 −0.12 Gas Utility 0.37 0.27 0.10

Forest 0.20 0.65 −0.45 Transport 0.14 0.54 −0.39

Chemical 0.44 2.39 −1.95 Railroad 0.00 0.21 −0.21

Energy 5.79 5.99 −0.20 Airlines 0.14 0.19 −0.05

Energy Reserves 2.21 4.59 −2.38 Truck Freight 0.00 0.13 −0.13

Oil Refining 0.58 0.81 −0.23 Health Care 8.31 11.23 −2.92

Oil Services 3.00 0.59 2.40 Medical Provider 1.29 0.35 0.94

Cnsmr (non-cyc.) 2.48 6.17 −3.70 Medical Products 0.47 2.84 −2.37

Food/Beverage 2.48 3.07 −0.60 Drugs 6.55 8.04 −1.49

Alcohol 0.00 0.47 −0.47 Technology 53.47 30.09 23.38

Tobacco 0.00 0.40 −0.40 Electronic Equipment 11.05 5.19 5.86

Home Prod. 0.00 1.82 −1.82 Semiconductors 17.62 6.06 11.56

Grocery 0.00 0.41 −0.41 Computer Hardware 12.06 9.42 2.64

Cnsmr. (cyclical) 1.36 6.01 −4.66 Computer Software 9.37 6.77 2.61

Cons. Durables 0.17 0.13 0.04 Defense and Aerospace 0.01 0.92 −0.91

Motor Vehicles 0.00 0.71 −0.71 Internet 3.35 1.73 1.62

Apparel 0.00 0.19 −0.19 Telecommunications 0.91 5.91 −5.00

Clothing 0.18 0.31 −0.13 Telephone 0.91 4.63 −3.73

Specialty Retail 0.45 2.13 −1.68 Wireless 0.00 1.28 −1.28

Dept. Store 0.00 2.35 −2.35 Commercial Services 0.37 2.48 −2.11

Construction 0.57 0.20 0.36 Information Services 0.37 1.97 −1.60

Cnsmr Services 2.89 4.69 −1.80 Industrial Services 0.00 0.51 −0.51

Publishing 0.01 0.51 −0.49 Financial 19.75 17.94 1.81

Media 1.46 2.08 −0.62 Life Insurance 0.06 1.11 −1.04

Hotels 0.09 0.11 −0.02 Property Insurance 1.07 2.19 −1.12

Restaurants 0.15 0.47 −0.32 Banks 5.63 6.26 −0.63

Entertainment 1.18 1.28 −0.10 Thrifts 1.80 0.24 1.57

Leisure 0.00 0.25 −0.25 Securities/Asst. Mgmt. 6.13 2.24 3.89

Industrials 1.67 3.19 −1.51 Financial Services 5.05 5.91 −0.86

Env. Services 0.00 0.12 −0.12 Equity REIT 0.00 0.00 0.00

Heavy Electrical 1.44 1.92 −0.48

Heavy Mach. 0.00 0.06 −0.06

Industrial Parts 0.23 1.09 −0.85

Note: Mgd = Managed; Bmk = Benchmark; Act = Active = Managed − Benchmark

Source: Exhibit 13.9 in Frank J. Fabozzi, Frank J. Jones, and Raman Vardharaj,

“Multi-Factor Risk Models,” Chapter 13 in Frank J. Fabozzi and Harry M.

Markowitz (eds.), The Theory and Practice of Investment Management (Hobo-

ken, NJ: John Wiley & Sons, 2002).