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Multifactor Models
Harvard Business School Case 9-207-056
Courseware 9-207-710
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1
Exhibit 1 Total Monthly Returns on Benchmark Portfolios (January 2000 to December 2004)
Long-Term
Russell Russell Russell Value-Weighted Government Treasury
Month 2000 2000 Growth 2000 Value Market Bonds Bills
Source: Adapted from Thomson Research Datastream, Ken French's Data Library, and Ibbotson & Associates.
Exhibit 2 Total Monthly Returns for HML, SMB, MOM, and 10 Industry Portfolios (January 2000 to December 2004)
Consumer Consumer
Month HML SMB MOM Nondurables Durables Manufacturing Energy
Source: Adapted from Ken French's Data Library and Ibbotson & Associates.
Exhibit 5 Total Monthly Returns January 2000 to December 2004
Diversified
Goldman Sachs CORE DFA Tax-Managed U.S. Special Equity T Rowe Price
Month Large Cap Growth Small Cap Value Inv Blue Chip Growth
T Rowe Price
Blue Chip Growth rm rf Firm return
market return Rm Rf