The Mathematics of Financial Modelingand Investment Management

19-EquityPort Page 585 Friday, March 12, 2004 12:40 PM

Equity Portfolio Management 585

EXHIBIT 19.12 Analysis of Portfolio ABC’s Exposures

a. Analysis of Risk Exposures to S&P 500

Factor Exposures

Risk Index Exposures (Std. Dev.)

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

Volatility 0.220 −0.171 0.391 Value −0.169 −0.034 −0.136

Momentum 0.665 −0.163 0.828 Earnings variation 0.058 −0.146 0.204

Size −0.086 0.399 −0.485 Leverage 0.178 −0.149 0.327

Size nonlinearity 0.031 0.097 −0.067 Currency sensitivity 0.028 −0.049 0.077

Trading Activity 0.552 −0.083 0.635 Yield −0.279 0.059 −0.338

Growth 0.227 −0.167 0.395 Non-EST universe 0.032 0.000 0.032

Earnings yield −0.051 0.081 −0.132

Industry Weights (Percent)

Mining and Metals

Gold

Forestry and Paper

Chemicals

Energy Reserves

Oil Refining

Oil Services

Food & Beverages

Alcohol

Tobacco

Home Products

Grocery Stores

Consumer Durables

Motor Vehicles and Parts

Apparel and Textiles

Clothing Stores

Specialty Retail

Department Stores

Constructn. and Real Prop.

Publishing

Media

Hotels

Restaurants

Entertainment

Leisure

Environmental Services

Heavy Electrical Eqp.

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

0.013

0.000

0.198

0.439

2.212

0.582

2.996

2.475

0.000

0.000

0.000

0.000

0.165

0.000

0.000

0.177

0.445

0.000

0.569

0.014

1.460

0.090

0.146

1.179

0.000

0.000

1.438

0.375

0.119

0.647

2.386

4.589

0.808

0.592

3.073

0.467

0.403

1.821

0.407

0.125

0.714

0.191

0.308

2.127

2.346

0.204

0.508

2.077

0.112

0.465

1.277

0.247

0.117

1.922

−0.362

−0.119

−0.449

−1.947

−2.377

−0.226

2.404

−0.597

−0.467

−0.403

−1.821

−0.407

0.039

−0.714

−0.191

−0.131

−1.681

−2.346

0.364

−0.494

−0.617

−0.022

−0.319

−0.098

−0.247

−0.117

−0.483

Heavy Machinery

Industrial Parts

Electric Utility

Gas Utilities

Railroads

Airlines

Truck/Sea/Air Freight

Medical Services

Medical Products

Drugs

Electronic Equipment

Semiconductors

Computer Hardware

Computer Software

Defense and Aerospace

Telephone

Wireless Telecom.

Information Services

Industrial Services

Life/Health Insurance

Property/Casualty Ins.

Banks

Thrifts

Securities and Asst. Mgmt.

Financial Services

Internet

Equity REIT

0.000 0.062 −0.062

0.234 1.086 −0.852

1.852 1.967 −0.115

0.370 0.272 0.098

0.000 0.211 −0.211

0.143 0.194 −0.051

0.000 0.130 −0.130

1.294 0.354 0.940

0.469 2.840 −2.370

6.547 8.039 −1.492

11.052 5.192 5.860

17.622 6.058 11.564

12.057 9.417 2.640

9.374 6.766 2.608

0.014 0.923 −0.909

0.907 4.635 −3.728

0.000 1.277 −1.277

0.372 1.970 −1.598

0.000 0.511 −0.511

0.062 1.105 −1.044

1.069 2.187 −1.118

5.633 6.262 −0.630

1.804 0.237 1.567

6.132 2.243 3.888

5.050 5.907 −0.857

3.348 1.729 1.618

0.000 0.000 0.000

Note: Mgd. = Managed; Bmk. = S&P 500 (the benchmark); Act. = Active = Managed

− Benchmark