Long-Term BETA

Government Consumer CAPM FOR

Month Altria Bonds Nondurables MRP HML SMB MOM ERDS CAPM MFM BETA MFM
MRP HML SMB MOM ERDS
1/31/2000 -9.2% 2.28% -4.81% -7.09% 0.22% 4.39% 1.82% -11.4800% -6.78% -8.49% 1.2781435 MRP 1.427247
2/29/2000 -3.3% 2.64% -6.22% -8.86% 12.66% -21.87% 18.40% -5.9400% -8.68% -0.23% HML 0.086823
3/31/2000 7.1% 3.67% 7.78% 4.11% 7.94% -16.58% -6.78% 3.4300% 8.92% 12.78% SMB -0.23341
4/28/2000 3.6% -0.76% -1.83% -1.07% 9.07% -7.62% -8.48% 4.3600% -2.13% -1.37% MOM 0.193856
5/31/2000 19.4% -0.54% 7.24% 7.78% 3.74% -4.78% -9.13% 19.9400% 9.40% 10.23%
6/30/2000 3.6% 2.44% 2.36% -0.08% -9.82% 13.46% 16.41% 1.1600% 2.34% 1.51%
7/31/2000 -4.9% 1.73% 0.83% -0.90% 8.39% -2.86% -0.06% -6.6300% 0.58% 1.83%
8/31/2000 17.3% 2.40% -1.81% -4.21% -1.34% -1.11% 5.74% 14.9000% -2.98% -2.35%
9/29/2000 1.2% -1.57% 3.42% 4.99% 6.86% -1.79% 2.16% 2.7700% 4.81% 6.98%
10/31/2000 24.4% 1.87% 7.37% 5.50% 4.86% -3.60% -4.75% 22.5300% 8.90% 10.06%
11/30/2000 4.3% 3.19% 2.79% -0.40% 12.49% -3.14% -2.49% 1.1100% 2.68% 3.95%
12/29/2000 16.7% 2.43% 5.27% 2.84% 6.07% 1.58% 6.85% 14.2700% 6.06% 7.97%
1/31/2001 0.0% 0.05% -1.90% -1.95% -5.62% 6.89% 25.05% -0.0500% -2.44% 0.03%
2/28/2001 9.5% 1.91% 0.19% -1.72% 13.71% -1.16% 12.66% 7.5900% -0.29% 3.37%
3/30/2001 -0.5% -0.74% -4.62% -3.88% 6.23% 0.58% 8.40% 0.2400% -5.70% -4.24%
4/30/2001 5.6% -3.13% 0.91% 4.04% -4.47% 0.24% -8.10% 8.7300% 2.03% 0.62%
5/31/2001 2.6% 0.37% 3.36% 2.99% 2.81% 2.96% 2.15% 2.2300% 4.19% 4.61%
6/29/2001 -0.2% 0.85% -1.60% -2.45% -2.08% 6.49% 0.28% -1.0500% -2.28% -4.29%
7/31/2001 -10.3% 3.76% -0.14% -3.90% 5.54% -4.23% 5.59% -14.0600% -1.22% 0.75%
8/31/2001 4.2% 2.06% 2.46% 0.40% 3.34% 2.15% 5.45% 2.1400% 2.57% 3.48%
9/28/2001 3.1% 0.81% -2.56% -3.37% 1.68% -6.48% 11.53% 2.2900% -3.50% -0.11%
10/31/2001 -3.1% 4.64% 1.07% -3.57% -7.00% 6.82% -8.42% -7.7400% 0.08% -4.29%
11/30/2001 0.8% -4.71% 2.08% 6.79% 0.76% 0.39% -8.60% 5.5100% 3.97% 3.29%
12/31/2001 -1.6% -1.83% 1.98% 3.81% 0.38% 5.10% -0.01% 0.2300% 3.04% 2.45%
1/31/2002 9.3% 1.38% 1.92% 0.54% 3.50% 1.05% 3.74% 7.9200% 2.07% 2.93%
2/28/2002 5.1% 1.15% 4.36% 3.21% 3.96% -1.69% 6.85% 3.9500% 5.25% 7.80%
3/29/2002 1.1% -4.36% 3.73% 8.09% 1.13% 4.29% -1.70% 5.4600% 5.98% 5.95%
4/30/2002 3.3% 4.10% 2.66% -1.44% 4.21% 5.80% 7.88% -0.8000% 2.26% 2.58%
5/31/2002 5.2% 0.15% 1.45% 1.30% 2.53% -3.72% 3.22% 5.0500% 1.81% 3.72%
6/28/2002 -22.7% 1.87% -5.77% -7.64% 1.52% 3.54% 6.15% -24.5700% -7.90% -8.54%
7/31/2002 5.4% 3.03% -6.72% -9.75% -3.61% -5.11% 3.38% 2.3700% -9.43% -9.35%
8/30/2002 8.6% 4.64% 2.49% -2.15% 2.12% -2.24% 1.70% 3.9600% 1.89% 2.61%
9/30/2002 -21.3% 4.17% -7.68% -11.85% 1.17% 2.72% 9.16% -25.4700% -10.98% -11.50%
10/31/2002 5.0% -2.94% 5.26% 8.20% -6.57% -3.00% -5.28% 7.9400% 7.54% 7.87%
11/29/2002 -7.4% -1.22% -1.28% -0.06% -1.57% 3.15% 16.27% -6.1800% -1.30% 0.98%
12/31/2002 9.1% 5.07% 0.00% -5.07% 3.83% -0.53% 9.65% 4.0300% -1.41% 0.16%
1/31/2003 -6.6% -1.06% -4.79% -3.73% -0.85% 1.41% 1.53% -5.5400% -5.83% -6.49%
 2/28/2003 2.1% 3.29% -3.08% -6.37% -1.56% -0.32% 1.29% -1.1900% -4.85% -5.61%
3/31/2003 -21.1% -1.35% -2.67% -1.32% -1.75% 0.83% 1.51% -19.7500% -3.04% -3.29%
4/30/2003 2.7% 1.02% 4.69% 3.67% 0.05% 1.16% -9.48% 1.6800% 5.71% 4.15%
5/30/2003 34.3% 5.92% 9.22% 3.30% 0.19% 4.68% 10.81% 28.3800% 10.14% 11.65%
6/30/2003 11.6% -1.54% 1.57% 3.11% 0.56% 1.47% -1.01% 13.1400% 2.44% 2.41%
7/31/2003 -11.9% -9.82% -2.33% 7.49% -2.06% 5.55% -0.35% -2.0800% -0.25% -0.67%
8/29/2003 3.0% 1.66% 0.66% -1.00% 1.77% 2.60% -0.54% 1.3400% 0.38% -0.33%
9/30/2003 8.0% 5.46% 1.11% -4.35% 0.98% 0.57% -0.05% 2.5400% -0.10% -0.81%
10/31/2003 6.2% -2.83% 5.59% 8.42% 1.78% 2.88% 3.71% 9.0300% 7.93% 9.39%
11/28/2003 11.8% 0.27% 3.78% 3.51% 1.39% 2.21% 1.64% 11.5300% 4.76% 5.20%
12/31/2003 6.0% 1.39% 3.31% 1.92% 2.71% -2.87% -5.67% 4.6100% 3.84% 3.94%
1/30/2004 2.1% 1.87% 0.13% -1.74% 1.66% 2.61% 2.56% 0.2300% -0.35% -0.58%
2/27/2004 3.5% 2.30% 4.28% 1.98% 0.42% -1.23% -1.11% 1.2000% 4.83% 5.23%
3/31/2004 -4.2% 1.41% -0.30% -1.71% 0.02% 1.83% 0.20% -5.6100% -0.78% -1.42%
4/30/2004 1.7% -5.88% 1.51% 7.39% -1.79% -2.49% -5.35% 7.5800% 3.57% 4.06%
5/31/2004 -13.4% -0.51% -2.19% -1.68% -0.23% -0.22% 1.64% -12.8900% -2.66% -2.56%
6/30/2004 5.8% 1.21% 1.87% 0.66% 1.79% 2.18% 2.08% 4.5900% 2.05% 2.20%
7/30/2004 -4.9% 1.55% -5.81% -7.36% 4.44% -3.77% -2.32% -6.4500% -7.86% -8.14%
8/31/2004 2.8% 3.95% 0.83% -3.12% 0.95% -1.47% -1.55% -1.1500% -0.04% -0.38%
9/30/2004 -2.5% 0.96% -1.76% -2.72% 0.35% 2.82% 5.29% -3.4600% -2.52% -2.52%
10/29/2004 3.0% 1.54% 2.87% 1.33% -0.98% 0.51% -1.54% 1.4600% 3.24% 2.94%
11/30/2004 18.6% -2.34% 4.52% 6.86% 1.91% 4.10% 3.24% 20.9400% 6.43% 7.29%
12/31/2004 7.6% 2.50% 4.80% 2.30% -0.38% 0.16% -2.80% 5.1000% 5.44% 5.17%
0.86% 0.00% 1.67% 0.09% 2.17% 1.76% 0.86% 1.41%