VFINX AIVSX AMECX AWSHX FCNTX FGRIX FMAGX FPURX JANSX TWCUX TBILL

1992 7.40% 6.99% 13.12% 9.12% 15.89% 11.53% 7.03% 15.43% 6.86% 1.27% 8.20%
1993 9.91% 11.60% 14.05% 13.08% 21.43% 19.54% 24.66% 21.44% 10.91% 21.82% 8.20%
1994 1.19% 0.15% -2.50% 0.48% -1.11% 2.26% -1.81% 1.79% -1.11% -3.61% 8.20%
1995 37.43% 30.63% 29.07% 41.24% 36.27% 35.39% 36.82% 21.45% 29.43% 37.68% 8.20%
1996 22.87% 19.35% 15.23% 20.16% 21.93% 20.05% 11.68% 15.16% 19.61% 13.85% 8.20%

Holding Period Return 101.72% 86.43% 87.10% 110.40% 131.21% 121.59% 100.18% 99.56% 81.43% 86.37% 48.30%
Holding Period Yield 15.07% 13.27% 13.35% 16.04% 18.25% 17.25% 14.89% 14.82% 12.65% 13.26% 8.20%
Std. Deviation (pop.) 12.93% 10.50% 10.01% 13.77% 12.06% 10.94% 13.60% 7.18% 10.53% 14.79% 0.00%
Covar with VFINX 0.01673 0.01345 0.01165 0.01754 0.01400 0.01331 0.01409 0.00584 0.01344 0.01659 0.00000
Correlation with VFINX 1.000 0.991 0.900 0.985 0.898 0.941 0.801 0.629 0.987 0.867 0.000
Beta vs VFINX 1.000 0.804 0.697 1.049 0.837 0.796 0.842 0.349 0.804 0.992 0.000

Treynor Index 0.069 0.063 0.074 0.075 0.120 0.114 0.079 0.190 0.055 0.051
Sharpe Ratio 0.531 0.482 0.514 0.569 0.834 0.827 0.492 0.922 0.423 0.342
M2 15.07% 14.44% 14.85% 15.57% 18.98% 18.90% 14.56% 20.12% 13.67% 12.62%
Jensen's Alpha 0.00% -0.54% 0.33% 0.68% 4.35% 3.53% 1.11% 4.21% -1.14% -1.50%

Fama's Decomposition of Risk

Total risk premium 6.87% 5.0669% 5.15% 7.84% 10.05% 9.05% 6.69% 6.62% 4.45% 5.06%
Risk premium due to risk 6.87% 5.5233% 4.78% 7.20% 5.75% 5.46% 5.78% 2.40% 5.52% 6.81%
Risk premium due to selectivity 0.00% -0.4564% 0.36% 0.64% 4.30% 3.58% 0.91% 4.22% -1.07% -1.75%
Diversification 0.00% 0.0528% 0.53% 0.11% 0.66% 0.34% 1.44% 1.42% 0.07% 1.04%
Net Selectivity 0.00% -0.5092% -0.17% 0.53% 3.65% 3.24% -0.53% 2.81% -1.14% -2.79%

Prepared by Timothy R. Mayes, Ph.D. 12/08/2021

 VFINX AIVSX AMECX AWSHX FCNTX FGRIX FMAGX
1990 -3.32% 0.68% -3.28% -3.80% 3.95% -6.79% -4.53%
1991 30.23% 26.53% 23.88% 23.51% 54.89% 41.86% 41.01%
1992 7.40% 6.99% 13.12% 9.12% 15.89% 11.53% 7.03%
1993 9.91% 11.60% 14.05% 13.08% 21.43% 19.54% 24.66%
1994 1.19% 0.15% -2.50% 0.48% -1.11% 2.26% -1.81%
1995 37.43% 30.63% 29.07% 41.24% 36.27% 35.39% 36.82%
1996 22.87% 19.35% 15.23% 20.16% 21.93% 20.05% 11.68%

Avg. Annual Return 14.24% 13.15% 12.22% 13.98% 20.66% 16.60% 15.21%
Std. Deviation 14.18% 11.25% 11.26% 14.09% 17.66% 15.95% 16.78%
Beta 1.00 0.79 0.75 0.97 1.08 1.05 1.04

Treynor Index 0.142 0.167 0.164 0.145 0.191 0.158 0.147

Sharpe Ratio 1.005 1.169 1.085 0.992 1.170 1.040 0.907
M2 14.24% 16.58% 15.39% 14.07% 16.58% 14.75% 12.85%
Information Ratio -0.325 -0.383 -0.076 0.723 0.417 0.120
Jensen's Alpha 0.00% 1.82% 1.53% 0.24% 5.58% 1.77% 0.74%
Sig. Level for Alpha 0.89 0.43 0.08 0.62 0.35 0.11

Fama's Decomposition of Risk

Total risk premium 14.24% 13.1532% 12.22% 13.98% 20.66% 16.60% 15.21%
Risk premium due to risk 14.24% 11.2056% 10.63% 13.75% 15.38% 15.01% 14.78%
Risk premium due to selectivity 0.00% 1.9476% 1.59% 0.23% 5.27% 1.59% 0.43%
Diversification 0.00% 0.0951% 0.69% 0.41% 2.36% 1.02% 2.08%
Net Selectivity 0.00% 1.8525% 0.91% -0.17% 2.91% 0.57% -1.64%
 FPURX JANSX TWCUX
-6.35% -0.75% 9.38%
24.45% 42.81% 86.44%
15.43% 6.86% 1.27%
21.44% 10.91% 21.82%
1.79% -1.11% -3.61%
21.45% 29.43% 37.68%
15.16% 19.61% 13.85%

12.82% 14.45% 21.01%

10.58% 15.08% 28.50%
0.59 0.98 1.43

0.218 0.148 0.147

1.211 0.958 0.737
17.17% 13.58% 10.45%
-0.163 0.034 0.323
4.44% 0.61% 2.24%
0.66 0.12 0.13

Risk
12.82% 14.45% 21.01%
8.39% 13.94% 20.36%
4.43% 0.51% 0.66%
2.24% 1.21% 8.28%
2.19% -0.71% -7.62%