118
Point Column1 Rank Percent 1 281.596% 1 100.00% 2 238.671% 2 99.70% 3 213.279% 3 99.40% 4 167.741% 4 99.10% 5 162.094% 5 98.80% 6 155.996% 6 98.50% 7 150.221% 7 98.30% 8 133.778% 8 98.00% 9 119.041% 9 97.70% 10 110.607% 10 97.40% 11 109.132% 11 97.10% 12 108.202% 12 96.90% 13 107.010% 13 96.60% 14 105.980% 14 96.30% 15 104.290% 15 96.00% 16 103.915% 16 95.70% 17 101.553% 17 95.50% 18 98.686% 18 95.20% 19 94.781% 19 94.90% 20 93.472% 20 94.60% 21 93.119% 21 94.30% 22 87.571% 22 94.10% 23 84.107% 23 93.80% 24 83.333% 24 93.50% 25 81.590% 25 93.20% 26 79.485% 26 92.90% 27 77.397% 27 92.60% 28 73.384% 28 92.40% 29 72.903% 29 92.10% 30 71.975% 30 91.80% 31 71.336% 31 91.50% 32 70.832% 32 91.20% 33 67.582% 33 91.00% 34 67.250% 34 90.70% 35 65.079% 35 90.40% 36 62.517% 36 90.10% 37 61.895% 37 89.80% 38 61.287% 38 89.60% 39 57.848% 39 89.30% 40 57.257% 40 89.00% 41 56.921% 41 88.70% 42 56.855% 42 88.20% 43 56.855% 42 88.20% 44 55.190% 44 87.90%

Portfolio - Size Momentum

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Page 1: Portfolio - Size Momentum

Point Column1 Rank Percent1 281.596% 1 100.00%2 238.671% 2 99.70%3 213.279% 3 99.40%4 167.741% 4 99.10%5 162.094% 5 98.80%6 155.996% 6 98.50%7 150.221% 7 98.30%8 133.778% 8 98.00%9 119.041% 9 97.70%

10 110.607% 10 97.40%11 109.132% 11 97.10%12 108.202% 12 96.90%13 107.010% 13 96.60%14 105.980% 14 96.30%15 104.290% 15 96.00%16 103.915% 16 95.70%17 101.553% 17 95.50%18 98.686% 18 95.20%19 94.781% 19 94.90%20 93.472% 20 94.60%21 93.119% 21 94.30%22 87.571% 22 94.10%23 84.107% 23 93.80%24 83.333% 24 93.50%25 81.590% 25 93.20%26 79.485% 26 92.90%27 77.397% 27 92.60%28 73.384% 28 92.40%29 72.903% 29 92.10%30 71.975% 30 91.80%31 71.336% 31 91.50%32 70.832% 32 91.20%33 67.582% 33 91.00%34 67.250% 34 90.70%35 65.079% 35 90.40%36 62.517% 36 90.10%37 61.895% 37 89.80%38 61.287% 38 89.60%39 57.848% 39 89.30%40 57.257% 40 89.00%41 56.921% 41 88.70%42 56.855% 42 88.20%43 56.855% 42 88.20%44 55.190% 44 87.90%45 54.674% 45 87.60%46 53.448% 46 87.30%47 52.589% 47 87.00%

Page 2: Portfolio - Size Momentum

48 51.831% 48 86.70%49 51.447% 49 86.50%50 51.368% 50 86.20%51 51.072% 51 85.90%52 50.669% 52 85.60%53 50.213% 53 85.30%54 50.168% 54 85.10%55 46.130% 55 84.80%56 46.074% 56 84.50%57 45.174% 57 84.20%58 44.780% 58 83.90%59 43.873% 59 83.70%60 41.766% 60 83.40%61 41.720% 61 83.10%62 41.299% 62 82.80%63 40.991% 63 82.50%64 40.893% 64 82.30%65 40.308% 65 82.00%66 39.759% 66 81.70%67 39.639% 67 81.40%68 39.333% 68 81.10%69 38.286% 69 80.80%70 37.906% 70 80.60%71 37.174% 71 80.30%72 36.581% 72 80.00%73 36.401% 73 79.70%74 35.436% 74 79.40%75 35.292% 75 79.20%76 34.579% 76 78.90%77 33.285% 77 78.60%78 33.175% 78 78.30%79 33.136% 79 78.00%80 33.013% 80 77.80%81 32.717% 81 77.50%82 32.672% 82 77.20%83 32.224% 83 76.90%84 31.236% 84 76.60%85 30.477% 85 76.40%86 30.389% 86 76.10%87 30.340% 87 75.80%88 29.979% 88 75.50%89 29.508% 89 75.20%90 29.408% 90 75.00%91 29.272% 91 74.70%92 29.114% 92 74.40%93 28.971% 93 74.10%94 28.881% 94 73.80%95 28.813% 95 73.50%

Page 3: Portfolio - Size Momentum

96 28.773% 96 73.30%97 28.333% 97 73.00%98 28.136% 98 72.70%99 28.072% 99 72.40%

100 28.059% 100 72.10%101 27.835% 101 71.90%102 27.821% 102 71.60%103 27.486% 103 71.30%104 27.132% 104 71.00%105 26.335% 105 70.70%106 25.674% 106 70.50%107 23.935% 107 70.20%108 23.870% 108 69.90%109 23.830% 109 69.60%110 23.772% 110 69.30%111 23.712% 111 69.10%112 23.665% 112 68.80%113 23.435% 113 68.50%114 23.202% 114 68.20%115 22.962% 115 67.90%116 22.900% 116 67.60%117 22.827% 117 67.40%118 22.732% 118 67.10%119 21.981% 119 66.80%120 21.239% 120 66.50%121 21.122% 121 66.20%122 21.093% 122 66.00%123 20.960% 123 65.70%124 20.666% 124 65.40%125 20.396% 125 65.10%126 20.176% 126 64.80%127 20.062% 127 64.60%128 19.656% 128 64.30%129 19.637% 129 64.00%130 19.273% 130 63.70%131 19.229% 131 63.40%132 19.120% 132 63.20%133 19.013% 133 62.90%134 18.308% 134 62.60%135 17.979% 135 62.30%136 17.808% 136 62.00%137 16.800% 137 61.70%138 16.619% 138 61.50%139 16.174% 139 61.20%140 16.024% 140 60.90%141 15.833% 141 60.60%142 15.051% 142 60.30%143 15.028% 143 60.10%

Page 4: Portfolio - Size Momentum

144 14.958% 144 59.80%145 14.837% 145 59.50%146 14.832% 146 59.20%147 14.620% 147 58.90%148 14.106% 148 58.70%149 13.470% 149 58.40%150 13.125% 150 58.10%151 13.021% 151 57.80%152 12.785% 152 57.50%153 12.637% 153 57.30%154 12.216% 154 57.00%155 12.090% 155 56.70%156 11.950% 156 56.40%157 11.787% 157 56.10%158 10.055% 158 55.80%159 9.668% 159 55.60%160 8.727% 160 55.30%161 8.647% 161 55.00%162 8.458% 162 54.70%163 7.926% 163 54.40%164 7.920% 164 54.20%165 7.909% 165 53.90%166 7.691% 166 53.60%167 7.371% 167 53.30%168 7.306% 168 53.00%169 7.153% 169 52.80%170 6.526% 170 52.50%171 6.516% 171 52.20%172 6.090% 172 51.90%173 5.635% 173 51.60%174 5.617% 174 51.40%175 5.424% 175 51.10%176 5.199% 176 50.80%177 4.879% 177 50.50%178 4.794% 178 50.20%179 4.538% 179 50.00%180 4.017% 180 49.70%181 3.518% 181 49.40%182 3.339% 182 49.10%183 3.290% 183 48.80%184 3.132% 184 48.50%185 3.024% 185 48.30%186 2.969% 186 48.00%187 2.845% 187 47.70%188 2.453% 188 47.40%189 2.365% 189 47.10%190 2.159% 190 46.90%191 1.701% 191 46.60%

Page 5: Portfolio - Size Momentum

192 1.654% 192 46.30%193 0.636% 193 46.00%194 0.391% 194 45.70%195 0.000% 195 45.50%196 -0.214% 196 45.20%197 -0.225% 197 44.90%198 -0.321% 198 44.60%199 -0.464% 199 44.30%200 -0.520% 200 44.10%201 -0.681% 201 43.80%202 -1.425% 202 43.50%203 -1.600% 203 43.20%204 -1.640% 204 42.90%205 -1.905% 205 42.60%206 -1.920% 206 42.40%207 -1.946% 207 42.10%208 -1.973% 208 41.80%209 -2.228% 209 41.50%210 -2.384% 210 41.20%211 -2.498% 211 41.00%212 -2.706% 212 40.70%213 -2.717% 213 40.40%214 -3.078% 214 40.10%215 -3.098% 215 39.80%216 -3.308% 216 39.60%217 -3.815% 217 39.30%218 -3.865% 218 39.00%219 -3.880% 219 38.70%220 -4.157% 220 38.40%221 -4.268% 221 38.20%222 -4.761% 222 37.90%223 -5.102% 223 37.60%224 -5.447% 224 37.30%225 -6.306% 225 37.00%226 -6.496% 226 36.70%227 -6.561% 227 36.50%228 -6.763% 228 36.20%229 -6.787% 229 35.90%230 -6.845% 230 35.60%231 -6.851% 231 35.30%232 -6.853% 232 35.10%233 -7.853% 233 34.80%234 -7.893% 234 34.50%235 -7.920% 235 34.20%236 -8.722% 236 33.90%237 -9.147% 237 33.70%238 -9.407% 238 33.40%239 -9.462% 239 33.10%

Page 6: Portfolio - Size Momentum

240 -10.011% 240 32.80%241 -10.416% 241 32.50%242 -10.612% 242 32.30%243 -10.776% 243 32.00%244 -11.187% 244 31.70%245 -11.555% 245 31.40%246 -11.890% 246 31.10%247 -12.528% 247 30.80%248 -12.780% 248 30.60%249 -12.976% 249 30.30%250 -13.244% 250 30.00%251 -13.500% 251 29.70%252 -13.606% 252 29.40%253 -13.607% 253 29.20%254 -13.667% 254 28.90%255 -13.754% 255 28.60%256 -14.267% 256 28.30%257 -14.425% 257 28.00%258 -14.536% 258 27.80%259 -14.800% 259 27.50%260 -15.676% 260 27.20%261 -15.919% 261 26.90%262 -16.641% 262 26.60%263 -16.821% 263 26.40%264 -16.885% 264 26.10%265 -17.052% 265 25.80%266 -17.264% 266 25.50%267 -17.440% 267 25.20%268 -17.469% 268 25.00%269 -17.894% 269 24.70%270 -18.252% 270 24.40%271 -18.393% 271 24.10%272 -18.658% 272 23.80%273 -20.527% 273 23.50%274 -20.569% 274 23.30%275 -20.814% 275 23.00%276 -21.821% 276 22.70%277 -22.163% 277 22.40%278 -22.216% 278 22.10%279 -22.416% 279 21.90%280 -22.507% 280 21.60%281 -22.566% 281 21.30%282 -22.964% 282 21.00%283 -23.005% 283 20.70%284 -23.360% 284 20.50%285 -23.555% 285 20.20%286 -23.902% 286 19.90%287 -24.105% 287 19.60%

Page 7: Portfolio - Size Momentum

288 -24.187% 288 19.30%289 -24.217% 289 19.10%290 -24.465% 290 18.80%291 -24.537% 291 18.50%292 -24.594% 292 18.20%293 -24.597% 293 17.90%294 -24.696% 294 17.60%295 -25.625% 295 17.40%296 -25.860% 296 17.10%297 -26.667% 297 16.80%298 -27.466% 298 16.50%299 -27.686% 299 16.20%300 -28.236% 300 16.00%301 -29.343% 301 15.70%302 -29.403% 302 15.40%303 -30.898% 303 15.10%304 -31.106% 304 14.80%305 -32.585% 305 14.60%306 -33.014% 306 14.30%307 -33.260% 307 14.00%308 -33.555% 308 13.70%309 -33.604% 309 13.40%310 -34.029% 310 13.20%311 -34.832% 311 12.90%312 -35.028% 312 12.60%313 -35.072% 313 12.30%314 -35.088% 314 12.00%315 -35.465% 315 11.70%316 -35.868% 316 11.50%317 -36.842% 317 11.20%318 -36.907% 318 10.90%319 -36.964% 319 10.60%320 -37.004% 320 10.30%321 -37.173% 321 10.10%322 -37.227% 322 9.80%323 -37.380% 323 9.50%324 -37.704% 324 9.20%325 -37.761% 325 8.90%326 -37.900% 326 8.70%327 -37.910% 327 8.40%328 -38.189% 328 8.10%329 -38.357% 329 7.80%330 -38.627% 330 7.50%331 -39.677% 331 7.30%332 -40.872% 332 7.00%333 -40.979% 333 6.70%334 -41.182% 334 6.40%335 -42.076% 335 6.10%

Page 8: Portfolio - Size Momentum

336 -43.394% 336 5.80%337 -44.775% 337 5.60%338 -44.891% 338 5.30%339 -45.223% 339 5.00%340 -45.746% 340 4.70%341 -46.774% 341 4.40%342 -47.118% 342 4.20%343 -47.246% 343 3.90%344 -48.131% 344 3.60%345 -49.823% 345 3.30%346 -50.665% 346 3.00%347 -51.220% 347 2.80%348 -51.787% 348 2.50%349 -51.950% 349 2.20%350 -52.036% 350 1.90%351 -52.872% 351 1.60%352 -53.443% 352 1.40%353 -53.893% 353 1.10%354 -57.040% 354 0.80%355 -62.629% 355 0.50%356 -63.529% 356 0.20%357 -74.166% 357 0.00%

Page 9: Portfolio - Size Momentum

3548.59Company Name return mcap Mar-11 Apr-11Gujarat Fluorochemicals Ltd. 155.996% 3939.77 358.65 369.40United Breweries Ltd. 150.221% 12230.00 480.55 462.00Wockhardt Ltd. 133.778% 3548.59 324.25 342.50Mahindra & Mahindra Financial Services Ltd. 109.132% 7988.76 155.95 145.57Titan Company Ltd. 107.010% 16916.10 190.54 201.75Dish TV India Ltd. 83.333% 7132.73 67.10 68.10Coromandel International Ltd. 81.590% 8060.89 286.05 327.55Motherson Sumi Systems Ltd. 72.903% 8318.72 95.29 101.98Tata Motors Ltd. 65.079% 79166.35 249.50 245.82Allahabad Bank 61.895% 10986.40 230.70 204.90The Federal Bank Ltd. 56.921% 7165.16 83.78 84.23Bajaj Finserv Ltd. 56.855% 7589.91 515.47 518.96Info Edge (India) Ltd. 53.448% 3643.95 333.75 357.15Canara Bank 52.589% 27738.45 626.15 631.10Shriram Transport Finance Company Ltd. 51.831% 18000.13 795.90 774.65Tata Consultancy Services Ltd. 51.447% 231438.90 1182.50 1163.60Bank Of Baroda 50.669% 37711.76 192.63 182.43Bajaj Auto Ltd. 45.174% 42242.23 1459.80 1462.80Cadila Healthcare Ltd. 43.873% 16205.82 791.30 864.55Syndicate Bank 41.720% 6991.22 121.95 116.90Adani Enterprises Ltd. 40.893% 72696.78 661.00 625.90Bank Of India 40.308% 26127.23 478.10 456.95Godrej Consumer Products Ltd. 39.759% 11824.34 365.40 376.30Andhra Bank 39.639% 8446.87 150.95 139.00ITC Ltd. 37.906% 140407.82 181.45 191.95Bharat Forge Ltd. 36.581% 8061.69 346.30 347.35Gujarat Gas Company Ltd. 35.292% 5107.56 384.50 364.60Cummins India Ltd. 33.285% 4699.53 488.96 503.07HCL Technologies Ltd. 33.175% 33983.90 476.50 520.40State Bank Of India 33.136% 175761.37 276.79 280.56Corporation Bank 32.672% 9452.95 127.63 116.68Indian Bank 32.224% 9990.00 232.45 241.00Pidilite Industries Ltd. 30.477% 7551.46 149.20 157.15Bajaj Holdings & Investment Ltd. 30.389% 8814.72 792.05 784.05Bhushan Steel Ltd. 30.340% 9298.12 431.36 490.48Religare Enterprises Ltd. 29.979% 6761.88 484.95 465.00Godrej Industries Ltd. 29.508% 5770.79 181.55 189.30LIC Housing Finance Ltd. 29.272% 10701.28 225.45 219.15Apollo Hospitals Enterprise Ltd. 29.114% 5876.34 471.20 472.30Godrej Properties Ltd. 28.971% 4622.32 307.50 319.28Emami Ltd. 28.881% 6051.72 266.63 275.77Housing Development Finance Corporation Ltd. 28.813% 102518.15 698.90 705.45The Jammu & Kashmir Bank Ltd. 28.773% 4239.38 87.45 80.96Dr. Reddys Laboratories Ltd. 28.333% 27724.27 1638.55 1662.35Mahindra & Mahindra Ltd. 28.136% 41024.59 698.60 753.80Essar Ports Ltd. 28.059% 3887.01 94.70 98.90

Page 10: Portfolio - Size Momentum

Lupin Ltd. 27.835% 18532.92 415.35 439.00Marico Ltd. 27.821% 8524.80 138.75 139.70Opto Circuits (India) Ltd. 27.132% 5139.97 212.12 230.88E.I.D. Parry (India) Ltd. 25.674% 3713.41 214.40 235.30IDBI Bank Ltd. 23.870% 14025.17 142.45 143.55Havells India Ltd. 23.830% 4631.21 74.23 79.39Infosys Ltd. 23.772% 185142.10 1618.38 1452.98Asian Paints Ltd. 23.712% 24238.50 252.70 277.38Sun Pharmaceutical Industries Ltd. 23.435% 45752.81 220.90 232.55Ambuja Cements Ltd. 22.900% 21884.50 147.05 155.40Kotak Mahindra Bank Ltd. 21.981% 33663.98 456.85 430.20HDFC Bank Ltd. 21.239% 109000.06 468.59 458.50Dabur India Ltd. 21.122% 16719.42 96.05 101.20Biocon Ltd. 20.960% 6879.00 343.95 368.35Colgate-Palmolive (India) Ltd. 20.666% 4520.40 814.80 900.30Punjab National Bank 20.396% 38655.57 244.03 237.17CRISIL Ltd. 20.176% 4221.74 629.09 656.69Axis Bank Ltd. 20.062% 57626.26 280.73 257.20Hindustan Unilever Ltd. 19.229% 61459.37 284.60 285.20Siemens Ltd. 19.013% 13424.03 881.35 864.30Bharat Petroleum Corporation Ltd. 18.308% 22100.94 305.65 313.58Glaxosmithkline Pharmaceuticals Ltd. 17.808% 19842.52 2094.45 2256.15ICICI Bank Ltd. 16.800% 128160.20 222.55 222.85Britannia Industries Ltd. 15.833% 4426.22 370.55 369.55Cairn India Ltd. 15.051% 66804.84 351.25 349.25Exide Industries Ltd. 15.028% 12133.75 142.75 152.90ING Vysya Bank Ltd. 14.958% 3886.70 321.25 345.80Hindalco Industries Ltd. 14.832% 39943.96 208.65 215.55Bharti Airtel Ltd. 14.620% 135764.20 357.50 378.80Oil India Ltd. 14.106% 31567.48 525.14 554.18GAIL (India) Ltd. 13.470% 58984.32 465.00 475.70ACC Ltd. 13.125% 20194.39 1075.20 1108.25Central Bank Of India 13.021% 5694.35 140.90 134.70Wipro Ltd. 12.785% 117326.99 478.30 450.25Indian Oil Corporation Ltd. 12.637% 81154.23 334.25 340.00Pipavav Defence and Offshore Engineering Comp 12.216% 5259.81 79.00 86.45Hindustan Petroleum Corporation Ltd. 12.090% 12087.40 356.95 372.00Ipca Laboratories Ltd. 11.787% 3791.11 301.60 303.90Coal India Ltd. 9.668% 219240.86 347.10 380.10Glenmark Pharmaceuticals Ltd. 6.516% 7664.86 283.60 298.45Torrent Pharmaceuticals Ltd. 6.090% 4893.50 289.18 300.15Oil & Natural Gas Corporation Ltd. 5.635% 248194.76 290.10 308.90IFCI Ltd. 5.617% 3884.73 52.65 51.95Sun TV Network Ltd. 4.879% 17704.04 449.25 425.40Crompton Greaves Ltd. 4.538% 17509.74 272.95 252.35Tata Chemicals Ltd. 3.518% 8619.80 338.35 375.70Idea Cellular Ltd. 3.132% 22297.09 67.50 68.65Sintex Industries Ltd. 3.024% 4109.88 151.60 173.15

Page 11: Portfolio - Size Momentum

DB Corp Ltd. 2.969% 4513.35 246.25 251.10Voltas Ltd. 2.453% 6007.95 181.65 165.05Aurobindo Pharma Ltd. 2.159% 5702.65 195.90 194.50Rural Electrification Corporation Ltd. 1.701% 25096.30 254.15 238.75Larsen & Toubro Ltd. 1.654% 100658.13 1102.17 1065.27UPL Ltd. 0.636% 6945.47 150.40 151.90Rashtriya Chemicals & Fertilizers Ltd. 0.000% 4385.94 79.50 86.25Tata Global Beverages Ltd. -0.214% 6044.85 97.75 100.80Divis Laboratories Ltd. -0.464% 8962.10 675.90 706.35Jindal Steel & Power Ltd. -0.520% 65270.20 698.60 653.20Piramal Enterprises Ltd. -1.640% 6999.75 416.90 457.85Tata Steel Ltd. -1.920% 59477.41 620.50 614.75Ultratech Cement Ltd. -1.946% 31070.66 1133.80 1086.80Shree Renuka Sugars Ltd. -2.384% 5895.99 69.60 70.35Reliance Industries Ltd. -2.498% 312349.18 1047.80 981.95Adani Power Ltd. -2.717% 24590.85 112.80 112.45Tata Power Company Ltd. -3.078% 31559.89 128.38 125.75Power Finance Corporation Ltd. -3.098% 28722.94 250.25 230.90Jindal Saw Ltd. -3.815% 5640.56 204.20 200.20IDFC Ltd. -3.880% 22622.81 154.85 145.25Gujarat Mineral Development Corporation Ltd. -4.268% 4315.26 135.70 139.65Cipla Ltd. -4.761% 25777.10 321.05 308.85Alstom India Ltd. -5.447% 3932.40 586.75 615.50Ranbaxy Laboratories Ltd. -6.496% 25205.56 444.05 456.20NTPC Ltd. -6.763% 159137.38 193.00 181.95Container Corporation Of India Ltd. -6.787% 15753.58 808.00 761.17Jain Irrigation Systems Ltd. -6.845% 6887.12 170.05 174.14Jet Airways (India) Ltd. -6.853% 3860.25 447.15 478.15Zee Entertainment Enterprises Ltd. -7.893% 12097.86 123.70 134.40MRF Ltd. -7.920% 3710.76 6275.05 7116.60BF Utilities Ltd. -8.722% 4022.71 782.85 828.20Oberoi Realty Ltd. -9.147% 8264.91 251.80 253.05Essar Oil Ltd. -10.011% 23950.57 124.50 132.35Aditya Birla Nuvo Ltd. -10.416% 9240.28 814.05 866.65The Great Eastern Shipping Company Ltd. -10.612% 4002.18 262.80 284.55Maruti Suzuki India Ltd. -10.776% 36516.60 1263.55 1319.75Thermax Ltd. -11.555% 7177.60 602.40 647.00Grasim Industries Ltd. -12.528% 22569.66 2461.25 2452.75Reliance Power Ltd. -13.244% 36382.54 129.70 130.25DLF Ltd. -13.500% 45359.12 267.20 222.90Torrent Power Ltd. -13.606% 11789.99 249.55 247.00Bharat Heavy Electricals Ltd. -13.607% 100882.73 412.17 400.15Adani Ports and Special Economic Zone Ltd. -13.667% 27336.31 136.45 144.35Oracle Financial Services Software Ltd. -13.754% 16645.41 1984.10 2018.05Tata Communications Ltd. -14.800% 6808.65 238.90 236.95IL&FS Transportation Networks Ltd. -15.676% 4561.41 224.20 200.86Videocon Industries Ltd. -15.919% 5770.73 191.20 197.60NHPC Ltd. -16.885% 31182.38 25.35 25.85

Page 12: Portfolio - Size Momentum

Engineers India Ltd. -17.264% 10220.97 303.35 288.80Fortis Healthcare Ltd. -17.440% 6127.19 151.25 154.90IRB Infrastructure Developers Ltd. -17.469% 7034.49 211.65 175.70The Indian Hotels Company Ltd. -17.894% 6394.99 84.20 82.55Indiabulls Real Estate Ltd. -18.393% 5005.90 124.45 125.00CESC Ltd. -18.658% 3886.26 311.05 308.10United Spirits Ltd. -20.527% 13740.67 1050.55 1034.85Tech Mahindra Ltd. -20.814% 8515.71 675.85 686.05Amtek Auto Ltd. -22.216% 3790.24 150.90 163.90Reliance Capital Ltd. -22.964% 14243.08 581.35 562.75Max India Ltd. -23.005% 3711.62 159.65 167.45Bharat Electronics Ltd. -23.360% 13430.00 1678.75 1833.30Lanco Infratech Ltd. -24.187% 9546.95 39.65 40.00HMT Ltd. -24.217% 4508.88 59.30 61.80Welspun Corp Ltd. -24.465% 4224.35 206.40 191.75EIH Ltd. -24.597% 4618.29 80.80 85.90JSW Steel Ltd. -25.860% 20444.49 916.30 948.60RattanIndia Power Ltd. -26.667% 4561.71 22.55 22.20Neyveli Lignite Corporation Ltd. -28.236% 17439.80 103.95 112.30Reliance Infrastructure Ltd. -31.106% 18393.15 687.80 657.10Steel Authority Of India Ltd. -32.585% 70113.54 169.75 160.00Mphasis Ltd. -33.014% 7209.49 415.55 469.15Future Retail Ltd. -33.555% 8540.79 257.25 272.79GMR Infrastructure Ltd. -35.088% 15842.07 40.70 37.70JSW Energy Ltd. -35.868% 11759.16 71.70 74.60Reliance Communications Ltd. -36.907% 22229.28 107.70 99.80Prestige Estate Projects Ltd. -36.964% 4100.88 125.00 145.60Jaiprakash Power Ventures Ltd. -37.380% 8864.73 42.30 48.05Suzlon Energy Ltd. -37.900% 7935.87 44.65 53.15Jaiprakash Associates Ltd. -38.189% 19669.66 92.50 92.70Sesa Sterlite Ltd. -38.357% 25238.66 290.40 313.60Housing Development & Infrastructure Ltd. -38.627% 7289.55 175.65 161.05MMTC Ltd. -40.979% 92650.00 926.50 990.90GVK Power & Infrastructure Ltd. -42.076% 4098.02 25.95 24.15Financial Technologies (India) Ltd. -44.775% 7233.18 866.90 861.90Unitech Ltd. -44.891% 10582.94 40.45 37.00KSK Energy Ventures Ltd. -45.223% 3759.84 100.90 113.55Symphony Ltd. 281.596% 759.73 254.41 305.55Vakrangee Ltd. 238.671% 827.53 17.45 18.89Rasoya Proteins Ltd. 213.279% 393.33 47.78 80.13Tata Coffee Ltd. 167.741% 1798.97 96.32 89.51VIP Industries Ltd. 162.094% 1870.95 132.41 136.09Delta Corp Ltd. 119.041% 1520.62 75.35 87.70Gitanjali Gems Ltd. 110.607% 2106.52 248.20 266.60PI Industries Ltd. 108.202% 654.13 58.47 73.17Eicher Motors Ltd. 105.980% 3319.55 1333.10 1241.80Arvind Ltd. 104.290% 1756.63 69.05 73.55Natco Pharma Ltd. 103.915% 769.71 273.45 275.20

Page 13: Portfolio - Size Momentum

Atul Ltd. 101.553% 519.79 175.25 184.65Elgi Equipments Ltd. 98.686% 1437.14 90.70 86.70Orchid Chemicals & Pharmaceuticals Ltd. 94.781% 1086.57 300.45 302.70eClerx Services Ltd. 93.472% 1860.07 644.65 699.95Hexaware Technologies Ltd. 93.119% 1688.68 65.95 69.20JB Chemicals & Pharmaceuticals Ltd. 87.571% 1122.39 132.80 159.25Cholamandalam Investment & Finance Company 84.107% 2058.84 172.60 163.10Tube Investments Of India Ltd. 79.485% 2525.77 136.05 141.00Manappuram Finance Ltd. 77.397% 47.30 66.20 66.48Shoppers Stop Ltd. 73.384% 2836.81 345.25 349.60Jubilant FoodWorks Ltd. 71.975% 3480.87 539.40 734.80HSIL Ltd. 71.336% 876.44 132.70 155.55Bata India Ltd. 70.832% 2329.88 390.35 428.10Vijaya Bank 67.582% 283.49 79.35 83.05BASF India Ltd. 67.250% 538.57 592.90 618.50Greaves Cotton Ltd. 62.517% 2327.23 95.30 93.70SRF Ltd. 61.287% 1925.83 318.30 334.35Rallis India Ltd. 57.848% 2567.96 132.05 148.35Supreme Industries Ltd. 57.257% 2299.19 145.95 155.50Bajaj Hindusthan Ltd. 56.855% 2539.88 515.47 518.96CMC Ltd. 55.190% 3150.52 1039.78 1019.20Gujarat State Fertilizers & Chemicals Ltd. 54.674% 478.17 68.66 74.42Uflex Ltd. 51.368% 1037.96 143.80 202.60Omaxe Ltd. 51.072% 2384.81 109.36 104.31Berger Paints India Ltd. 50.213% 3048.26 44.05 46.68Asahi India Glass Ltd. 50.168% 1426.31 82.16 95.88KPIT Technologies Ltd. 46.130% 1476.54 84.03 81.78TVS Motor Company Ltd. 46.074% 2850.60 60.00 56.35ABG Shipyard Ltd. 44.780% 1843.05 361.95 374.80Blue Dart Express Ltd. 41.766% 2762.18 1008.10 1460.00Astral Poly Technik Ltd. 41.299% 305.68 27.20 33.22Bayer CropScience Ltd. 40.991% 1149.02 916.65 943.40Deepak Fertilisers & Petrochemicals Corporation 39.333% 1399.81 158.70 169.70Ballarpur Industries Ltd. 38.286% 2156.60 36.30 34.45Akzo Nobel India Ltd. 37.174% 1584.53 826.20 843.70Kansai Nerolac Paints Ltd. 36.401% 1971.77 889.95 851.80Solar Industries (India) Ltd. 35.436% 1011.71 584.00 589.95Carborundum Universal Ltd. 34.579% 2137.19 114.33 124.13Raymond Ltd. 33.013% 1956.21 318.70 352.45Grindwell Norton Ltd. 32.717% 1211.55 218.85 230.15Dewan Housing Finance Corporation Ltd. 31.236% 327.73 268.05 250.30Jyothy Laboratories Ltd. 29.408% 1772.29 109.90 103.55Chambal Fertilisers & Chemicals Ltd. 28.072% 3275.56 78.70 85.40Pfizer Ltd. 27.486% 2684.83 1224.95 1365.05FDC Ltd. 26.335% 1877.08 101.70 103.45Entertainment Network (India) Ltd. 23.935% 1199.63 251.65 242.05Lakshmi Machine Works Ltd. 23.665% 2525.10 2241.25 2441.15ICRA Ltd. 23.202% 1084.05 1084.05 1112.05

Page 14: Portfolio - Size Momentum

Clariant Chemicals (India) Ltd. 22.962% 410.71 664.55 725.20Kajaria Ceramics Ltd. 22.827% 556.30 75.60 88.30VST Industries Ltd. 22.732% 509.27 639.80 853.80Trent Ltd. 21.093% 1949.13 971.65 999.35Century Plyboards (India) Ltd. 19.656% 1467.45 66.05 74.25Bank Of Maharashtra 19.637% 2861.37 59.40 60.30Vaibhav Global Ltd. 19.273% 103.97 32.80 33.50Network 18 Media & Investment Ltd. 19.120% 1592.61 133.57 158.80Cressanda Solutions Ltd. 17.979% 20.16 0.79 0.83Amtek India Ltd. 16.619% 452.00 40.70 45.75Shriram City Union Finance Ltd. 16.174% 2568.98 518.60 616.05Zensar Technologies Ltd. 16.024% 683.55 157.85 173.85Polaris Consulting & Services Ltd. 14.837% 1873.31 188.85 196.75KRBL Ltd. 11.950% 649.11 26.70 31.15Ajanta Pharma Ltd. 10.055% 234.52 66.77 83.75Ruchi Soya Industries Ltd. 8.727% 3521.46 105.90 103.05Strides Arcolab Ltd. 8.647% 2592.46 367.50 385.25NIIT Technologies Ltd. 8.458% 1094.07 184.65 187.65Navneet Education Ltd. 7.926% 1313.67 55.15 61.60Accelya Kale Solutions Ltd. 7.920% 130.77 94.70 93.65Puravankara Projects Ltd. 7.909% 2329.53 109.15 100.05Unichem Laboratories Ltd. 7.691% 1708.23 189.30 192.45Magma Fincorp Ltd. 7.371% 784.48 60.45 65.95Sobha Ltd. 7.306% 2887.98 294.50 286.10Nitin Fire Protection Industries Ltd. 7.153% 466.32 15.86 19.64HT Media Ltd. 6.526% 3491.24 148.55 146.70Graphite India Ltd. 5.424% 1822.85 93.30 94.25Redington (India) Ltd. 5.199% 3095.34 78.10 87.85SREI Infrastructure Finance Ltd. 4.794% 2236.24 44.45 51.60Balkrishna Industries Ltd. 4.017% 1291.36 133.60 145.10GATI Ltd. 3.339% 530.65 57.25 66.80Ess Dee Aluminium Ltd. 3.290% 1338.00 417.50 463.85Aarti Industries Ltd. 2.845% 374.39 48.80 55.45Shasun Pharmaceuticals Ltd. 2.365% 252.19 51.95 81.75Mahindra Lifespace Developers Ltd. 0.391% 1573.79 385.40 373.15Alok Industries Ltd. -0.225% 1748.89 22.07 26.60TV18 Broadcast Ltd. -0.321% 2216.43 80.32 81.23Sundram Fasteners Ltd. -0.681% 1072.70 51.05 59.95Godfrey Phillips India Ltd. -1.425% 1996.57 384.00 409.42Granules India Ltd. -1.600% 185.03 92.25 93.00Sadbhav Engineering Ltd. -1.905% 1854.72 123.75 135.40Apollo Tyres Ltd. -1.973% 3505.46 69.55 69.35Phoenix Mills Ltd. -2.228% 2637.64 182.10 202.05Vardhman Textiles Ltd. -2.706% 1618.59 258.90 281.75Gateway Distriparks Ltd. -3.308% 1310.04 121.30 121.95Himachal Futuristic Communications Ltd. -3.865% 1184.92 11.94 19.71Geometric Ltd. -4.157% 381.42 61.10 63.80Escorts Ltd. -5.102% 1986.35 141.35 136.85

Page 15: Portfolio - Size Momentum

Prism Cement Ltd. -6.306% 2655.22 52.75 55.80Allcargo Logistics Ltd. -6.561% 1921.21 173.75 173.35Mcleod Russel India Ltd. -6.851% 2760.48 252.20 263.65Persistent Systems Ltd. -7.853% 1466.80 366.70 383.30Balmer Lawrie & Company Ltd. -9.407% 881.40 309.26 339.09Edelweiss Financial Services Ltd. -9.462% 3000.60 39.90 37.00BGR Energy Systems Ltd. -11.187% 3443.11 477.15 549.95Cyient Ltd. -11.890% 1789.32 160.80 161.00AIA Engineering Ltd. -12.780% 3282.83 348.05 365.00Cox & Kings (India) Ltd. -12.976% 2861.12 209.58 209.68Gujarat Narmada Valley Fertilizers & Chemicals L -14.267% 407.20 95.85 107.80Thomas Cook (India) Ltd. -14.425% 1302.62 52.80 54.70Birla Corporation Ltd. -14.536% 2614.71 339.55 352.50CCL Products (India) Ltd. -16.641% 252.89 19.01 26.03Praj Industries Ltd. -16.821% 1324.87 71.70 80.65Astra Microwave Products Ltd. -17.052% 362.76 37.05 37.45Hinduja Global Solutions Ltd. -18.252% 746.05 362.35 376.35Tata Elxsi Ltd. -20.569% 791.22 254.10 259.85JK Cement Ltd. -21.821% 975.83 139.55 127.20Kolte Patil Developers Ltd. -22.163% 330.00 43.55 45.00Motilal Oswal Financial Services Ltd. -22.416% 1859.41 128.75 145.10VA Tech Wabag Ltd. -22.507% 1329.45 503.58 503.28Rolta India Ltd. -22.566% 2078.74 138.80 138.50Eros International Media Ltd. -23.555% 1269.68 138.90 150.50Balrampur Chini Mills Ltd. -23.902% 1799.05 70.20 74.30DCM Shriram Ltd. -24.105% 668.58 40.30 43.95Sonata Software Ltd. -24.537% 449.56 42.75 41.50HCL Infosystems Ltd. -24.594% 1978.24 102.10 110.75Capital First Ltd. -24.696% 901.79 139.20 149.60PTC India Ltd. -25.625% 2457.13 83.30 89.25The India Cements Ltd. -27.466% 2936.61 95.60 99.25Rain Industries Ltd. -27.686% 1302.65 30.09 35.55JK Lakshmi Cement Ltd. -29.343% 624.65 51.05 51.05KEC International Ltd. -29.403% 2119.69 82.45 85.15Ceat Ltd. -30.898% 353.05 103.10 106.60Mindtree Ltd. -33.260% 1572.00 196.50 183.75Swan Energy Ltd. -33.604% 80.75 49.10 45.23Sterlite Technologies Ltd. -34.029% 2083.16 58.45 61.35BEML Ltd. -34.832% 2855.15 685.60 695.15Mahindra Holidays & Resorts India Ltd. -35.028% 2954.21 353.35 380.20IIFL Holdings Ltd. -35.072% 2120.87 74.05 72.15Kalpataru Power Transmission Ltd. -35.465% 2062.51 134.40 127.70JM Financial Ltd. -36.842% 1799.28 24.00 28.60Nava Bharat Ventures Ltd. -37.004% 1926.68 252.30 245.35Firstsource Solutions Ltd. -37.173% 775.15 18.00 19.30Anant Raj Ltd. -37.227% 2458.15 83.30 88.20Jai Corp Ltd. -37.704% 2890.87 162.00 174.40NCC Ltd. -37.761% 2596.64 67.97 68.78

Page 16: Portfolio - Size Momentum

Mahanagar Telephone Nigam Ltd. -37.910% 2863.35 45.45 48.30PVR Ltd. -39.677% 288.73 106.35 104.55Siti Cable Network Ltd. -40.872% 429.71 9.49 9.32Mahindra CIE Automotive Ltd. -41.182% 581.70 66.20 76.75Usha Martin Ltd. -43.394% 1742.88 57.20 65.00Hindustan Construction Company Ltd. -45.746% 2204.63 36.35 35.35State Trading Corporation Of India Ltd. -46.774% 1470.00 245.00 244.85Aban Offshore Ltd. -47.118% 2681.18 616.15 633.45TV Today Network Ltd. -47.246% 350.20 58.90 63.30Suven Life Sciences Ltd. -48.131% 234.75 16.65 21.50Sunteck Realty Ltd. -49.823% 1742.62 290.60 336.80IVRCL Ltd. -50.665% 2178.80 81.60 79.15Jubilant Life Sciences Ltd. -51.220% 2626.53 164.90 180.35Advanta Ltd. -51.787% 653.94 59.23 52.14JK Tyre & Industries Ltd. -51.950% 384.53 18.73 19.02Dishman Pharmaceuticals & Chemicals Ltd. -52.036% 822.30 101.90 95.90Hathway Cable & Datacom Ltd. -52.872% 1395.00 19.53 24.27Welspun India Ltd. -53.443% 379.04 42.60 58.65Marksans Pharma Ltd. -53.893% 82.76 2.25 2.50Den Networks Ltd. -57.040% 1094.81 83.90 98.80Lycos Internet Ltd. -62.629% 92.16 36.25 43.20Punj Lloyd Ltd. -63.529% 2148.69 64.70 66.70DB Realty Ltd. -74.166% 2881.40 118.45 97.05

Page 17: Portfolio - Size Momentum

May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12363.50 391.45 488.10 494.30 537.40 534.50 425.65 345.00 486.60560.35 527.70 497.80 421.80 374.50 417.75 394.05 384.30 410.85351.30 366.65 448.90 385.90 383.20 443.30 411.15 276.05 379.10128.79 125.20 127.55 123.21 131.92 134.80 136.50 121.20 141.35219.60 215.00 228.40 205.55 208.75 217.20 177.95 170.80 202.30

78.35 87.75 84.75 78.70 76.90 75.90 64.15 58.85 62.55316.75 350.15 327.45 308.40 304.25 332.20 285.70 276.35 265.95101.91 100.36 102.20 84.29 78.62 83.04 67.76 60.00 72.76218.50 198.70 189.48 148.34 156.10 198.45 172.45 178.40 243.60197.40 196.80 202.05 178.70 157.75 150.25 151.85 115.10 161.50

88.76 90.36 85.06 74.09 73.41 82.99 71.35 67.56 79.90506.73 504.07 525.40 532.13 515.82 532.72 417.51 423.40 441.92347.00 361.13 371.58 347.28 341.65 341.15 325.00 281.28 313.48544.60 524.30 460.60 426.60 443.75 469.25 430.10 363.60 470.85699.90 615.85 640.80 630.80 612.35 611.00 500.60 419.40 584.20

1158.80 1180.35 1134.45 1040.60 1037.50 1114.20 1113.10 1161.25 1130.50172.68 174.38 175.66 147.32 152.77 154.30 140.12 132.17 150.69

1344.35 1405.90 1464.85 1573.00 1534.35 1733.15 1672.85 1592.80 1600.95919.55 919.30 883.75 841.60 756.20 764.00 708.35 704.65 661.45116.95 117.45 119.75 101.25 104.00 108.25 99.65 68.50 96.25636.55 712.55 586.10 529.05 526.35 478.00 302.05 293.65 417.10445.05 414.30 386.45 309.70 315.60 331.75 327.45 266.30 344.25417.50 430.25 435.70 425.20 400.70 438.40 400.75 385.20 445.70142.90 134.15 135.50 129.90 123.85 118.70 99.35 79.95 102.15193.35 202.45 208.30 200.00 197.85 213.15 200.70 201.30 203.35319.50 309.70 329.10 276.85 268.00 299.55 258.80 251.45 292.20389.35 390.50 418.55 455.15 432.75 427.95 370.45 355.85 389.80491.54 482.96 456.68 420.89 413.15 398.35 356.00 348.95 419.45514.80 493.45 487.35 411.20 408.30 443.55 386.45 388.25 436.95229.78 240.60 234.20 197.45 191.11 190.67 176.29 161.95 206.11109.02 105.11 100.37 87.77 84.31 85.35 70.25 69.70 82.75222.25 212.65 225.50 206.40 212.80 217.25 189.05 184.20 221.30151.50 165.15 172.45 162.95 163.40 162.25 153.30 143.65 134.95766.90 726.65 772.15 749.35 718.65 740.75 700.35 677.40 670.70449.20 432.01 387.33 339.10 328.22 336.98 312.30 306.20 348.86475.00 459.05 465.70 415.85 418.95 440.00 418.00 395.00 403.30192.80 206.19 211.58 198.09 194.44 202.49 187.80 170.81 202.34230.85 241.95 212.35 210.75 210.90 233.50 223.40 221.60 250.45495.30 478.15 528.60 532.20 518.60 516.90 610.00 562.90 601.45315.95 343.44 361.12 319.88 308.03 321.27 309.17 283.17 306.27294.53 316.83 329.13 306.17 282.03 268.17 260.53 227.13 235.43682.55 703.85 688.50 662.90 639.25 687.30 641.00 649.45 696.75

79.79 84.01 87.18 78.70 80.06 84.13 75.01 67.65 83.031616.25 1533.40 1587.50 1493.85 1480.80 1671.40 1574.70 1577.95 1687.85

672.15 701.30 718.25 737.55 802.55 863.20 723.85 683.05 672.85121.35 98.70 92.15 70.25 58.85 80.30 67.10 50.95 60.35

Page 18: Portfolio - Size Momentum

469.85 448.55 454.60 449.95 472.95 470.00 472.75 447.20 473.75149.40 155.75 167.30 148.60 143.40 154.35 145.55 145.10 151.80229.08 228.92 220.62 205.23 170.04 192.12 155.81 153.38 182.65211.40 251.35 268.95 247.00 225.70 222.95 196.00 189.15 207.05134.25 136.05 128.65 110.30 102.75 116.80 92.70 77.80 101.30

81.88 76.87 72.60 67.00 72.62 71.27 82.35 76.75 96.001395.93 1453.70 1383.40 1171.40 1266.90 1437.60 1303.78 1382.53 1371.68

313.92 318.06 312.58 328.72 314.94 315.12 288.10 259.50 298.73238.50 248.40 258.40 245.15 230.85 251.65 261.70 248.43 273.83138.70 133.10 129.30 133.10 148.60 155.40 148.40 155.40 160.70440.55 480.20 446.85 441.75 459.65 510.85 464.45 432.25 497.70477.66 500.52 487.40 472.20 467.25 489.05 441.45 427.05 490.90116.85 114.05 104.25 110.50 102.70 101.00 95.50 99.75 94.10352.90 354.70 362.80 331.00 336.95 351.30 318.60 273.75 265.15894.30 981.35 971.90 954.20 980.05 1002.70 999.30 991.80 1000.15219.94 217.92 224.85 186.10 190.35 195.30 176.58 156.80 188.06679.70 694.19 825.06 790.97 841.35 884.35 888.10 887.70 901.15255.72 257.80 267.63 215.00 204.29 231.94 189.50 161.35 214.84304.85 342.75 323.95 320.90 340.25 375.25 396.10 407.80 379.35871.05 889.40 922.15 883.95 837.90 855.65 688.55 642.30 731.20316.48 324.65 328.60 337.03 323.43 311.63 267.83 239.58 285.73

2322.50 2353.85 2346.40 2120.30 2089.10 2060.45 1923.30 1936.50 1933.35217.20 218.62 207.55 174.65 175.07 186.10 142.83 136.92 180.40417.30 477.50 482.05 485.40 469.55 470.55 468.80 448.15 451.50339.35 310.75 308.35 278.55 272.80 298.75 301.15 313.45 339.70159.85 161.65 155.00 149.10 129.05 121.15 116.15 105.05 132.35338.85 343.50 350.65 292.70 298.55 336.70 300.75 292.50 334.85197.10 181.00 168.40 150.35 131.30 136.35 122.65 115.75 146.65374.15 395.25 437.00 404.20 378.10 391.40 385.30 342.90 364.90514.54 520.66 526.84 520.04 538.02 518.16 453.30 476.94 486.58445.45 441.25 461.75 410.60 410.95 422.35 392.30 384.10 372.85

1026.60 949.25 1012.05 1002.55 1098.15 1195.25 1145.05 1136.35 1189.90120.20 124.10 116.35 99.30 102.40 108.45 90.20 65.95 84.75446.65 417.60 389.95 335.05 340.70 366.45 378.15 398.80 413.25327.00 337.65 315.05 306.55 310.55 291.05 262.00 253.75 288.50

83.60 76.45 71.65 72.70 78.70 86.25 59.55 66.15 71.90379.95 397.80 382.75 373.15 365.40 333.30 277.00 251.70 294.65333.35 341.90 328.15 313.95 257.20 253.90 257.85 274.70 298.50408.45 392.40 387.95 374.95 332.75 332.40 326.40 300.85 325.65306.45 320.50 330.15 325.45 321.80 310.15 314.65 290.80 295.80309.58 317.65 327.33 299.73 268.55 287.50 279.40 267.83 276.25281.60 273.95 268.65 263.15 265.70 278.20 265.80 256.95 275.85

48.30 45.75 45.05 37.70 30.70 32.95 23.10 21.85 28.65390.00 347.75 321.60 300.90 232.20 260.55 263.90 274.30 305.05263.90 259.20 169.20 150.55 152.00 139.95 126.65 125.60 133.20380.05 371.95 356.60 335.25 315.55 332.50 345.55 311.35 340.55

68.45 79.75 94.35 99.95 98.80 94.20 97.70 82.00 94.85192.65 180.65 176.00 144.55 127.45 118.05 93.95 62.90 80.55

Page 19: Portfolio - Size Momentum

238.40 232.40 248.05 245.50 203.40 218.80 219.75 188.15 191.10168.85 159.30 137.80 115.90 111.40 99.90 91.65 73.50 96.05176.65 172.50 171.40 125.70 124.25 128.00 90.80 85.15 114.80212.75 195.80 209.45 174.35 173.10 180.00 183.85 153.50 190.30

1096.00 1215.10 1150.63 1073.20 905.47 942.17 845.87 663.40 873.73162.10 152.85 166.10 145.40 137.55 146.70 136.90 126.85 147.45

81.30 79.20 74.60 79.05 72.80 73.85 56.60 46.25 66.1087.50 96.55 106.20 93.50 85.55 92.55 83.85 90.20 107.75

776.25 785.05 824.75 722.45 732.20 770.65 747.15 775.35 786.70649.55 651.15 586.35 519.80 505.15 562.60 502.65 453.10 542.30369.45 396.70 381.75 360.70 356.20 361.40 363.90 379.55 409.20589.10 608.70 565.10 468.55 415.25 482.95 384.90 335.25 451.00

1026.20 933.50 1028.80 1070.40 1137.60 1152.45 1143.90 1160.45 1211.2562.20 66.60 70.10 57.80 55.20 57.35 30.25 25.05 38.05

951.75 897.60 827.70 781.50 808.30 877.75 778.80 692.90 815.45115.50 110.00 99.25 91.65 85.60 88.15 71.15 62.30 80.30118.95 125.80 124.05 100.68 96.21 96.65 88.44 84.20 100.22202.20 184.05 184.15 145.25 150.10 150.05 161.50 137.55 169.70159.00 158.05 152.65 118.75 136.10 151.90 121.90 130.60 142.10141.80 131.05 126.05 113.75 110.60 132.15 108.65 91.75 133.20144.20 150.00 159.55 178.10 169.35 176.20 177.30 161.65 179.40326.10 330.35 307.85 280.00 282.70 294.55 327.95 319.55 349.15563.75 513.00 571.95 519.30 519.45 534.35 383.25 295.50 336.90548.90 540.35 539.00 473.15 513.90 501.10 434.80 405.25 450.35168.95 186.85 176.30 169.55 167.25 179.35 162.05 160.60 171.85732.43 692.73 736.47 621.80 646.00 642.37 604.80 552.77 650.47159.43 162.52 165.43 164.05 145.33 119.14 116.65 86.80 95.50447.55 479.65 446.30 274.00 235.00 256.70 256.60 170.05 249.70137.10 135.15 131.50 115.60 117.25 121.70 123.55 118.05 127.70

6796.05 6723.60 7209.35 6616.95 6590.40 6823.50 6967.20 6991.35 7908.10773.70 702.45 728.70 439.80 458.95 497.30 361.10 278.80 375.70225.00 240.20 235.90 225.00 229.45 233.40 220.10 208.50 250.60130.90 124.45 116.55 88.15 80.55 86.85 69.15 50.10 61.40896.95 901.35 952.85 915.60 911.95 906.60 895.15 737.45 815.20288.90 287.40 270.10 237.90 250.30 234.65 216.30 188.70 233.45

1227.50 1158.45 1207.90 1092.35 1081.40 1125.65 968.65 920.05 1187.55602.75 593.85 570.90 489.50 441.35 465.35 454.85 395.30 491.60

2300.20 2093.50 2193.45 2184.35 2343.60 2477.80 2337.85 2508.55 2613.65117.95 115.55 111.70 84.80 76.80 95.20 85.40 71.00 101.45238.55 210.55 230.90 196.35 218.65 242.05 207.10 183.05 215.90247.70 238.95 240.40 223.90 223.30 234.25 200.10 195.65 207.00388.82 409.31 367.67 353.54 327.43 317.85 282.20 239.00 250.55160.85 161.40 143.80 152.15 164.25 163.65 125.70 120.55 146.00

2224.05 2288.55 2118.25 1815.45 1894.60 2111.40 2032.80 1854.75 1987.10214.60 197.10 222.50 202.90 186.20 189.30 191.20 212.35 226.00199.38 200.04 201.10 174.79 189.68 198.71 163.33 138.93 195.84184.95 215.75 187.95 178.90 168.00 175.20 167.65 173.90 174.45

24.90 24.00 24.60 24.30 23.45 25.10 22.55 18.05 20.60

Page 20: Portfolio - Size Momentum

262.20 274.10 286.15 253.40 247.05 241.55 211.85 205.65 230.85162.45 162.55 166.75 152.50 125.80 124.50 113.70 83.85 104.60160.20 172.70 174.00 146.80 163.25 164.35 146.80 129.95 174.70

80.55 77.40 75.80 72.05 71.15 69.95 59.55 54.20 65.65117.35 112.25 99.60 84.50 73.10 74.90 61.10 46.75 71.05279.15 298.30 337.65 302.40 276.65 275.80 259.80 203.40 251.70

1062.35 979.30 1020.50 895.45 797.25 876.90 699.70 491.15 667.60679.05 721.45 774.75 648.05 573.60 585.00 565.85 572.80 651.70171.90 162.55 159.00 133.65 127.00 127.60 117.85 94.60 108.75501.15 576.75 575.45 384.45 315.20 370.10 281.60 234.65 359.65168.20 183.30 182.95 194.45 188.20 189.60 165.00 148.25 162.35

1666.55 1601.80 1756.60 1541.85 1532.70 1564.95 1500.45 1347.55 1406.1534.00 23.45 17.95 17.10 15.75 16.45 12.40 9.50 15.1659.55 59.80 56.90 43.30 40.40 42.35 33.35 30.65 43.95

176.70 172.95 149.70 122.65 111.85 108.05 69.20 84.15 115.4582.30 86.20 96.05 87.80 88.15 94.00 84.00 83.75 88.30

975.80 882.45 774.20 678.10 591.30 652.55 593.00 507.10 698.4520.80 18.00 17.10 14.50 12.68 11.58 9.92 8.52 11.30

104.90 97.35 99.85 82.90 78.45 81.40 75.70 72.70 89.80569.30 536.00 540.95 437.30 373.55 464.30 404.20 340.45 535.90141.10 137.50 126.35 107.90 105.20 112.35 80.60 81.10 101.70467.60 434.90 447.35 353.45 342.05 343.25 324.75 300.10 377.20261.37 304.35 332.78 291.55 196.02 192.64 194.43 127.83 167.43

35.65 32.65 30.65 27.00 27.00 27.70 20.45 21.00 29.3070.30 66.85 67.55 54.25 54.50 52.20 42.85 37.65 53.9589.40 95.70 101.55 79.45 71.75 79.85 74.10 69.85 99.00

148.80 120.45 131.25 98.50 91.65 99.15 80.95 70.75 75.9549.25 47.75 43.00 33.20 34.10 38.55 34.00 35.20 44.0553.90 47.95 52.40 36.85 36.55 38.60 23.20 18.00 28.0086.50 80.85 66.70 61.20 72.80 77.15 62.10 52.40 69.85

290.00 282.15 275.00 234.10 199.50 207.40 182.75 162.60 217.65167.95 159.70 142.50 102.35 98.00 99.80 60.60 53.30 79.55928.60 912.35 884.65 697.55 655.95 673.10 556.00 537.90 893.25

22.80 19.30 18.05 16.85 15.80 14.25 10.35 11.52 15.94832.95 874.30 808.50 734.80 812.30 731.60 607.95 528.95 721.95

35.35 31.95 30.70 27.65 26.20 29.95 23.00 19.30 26.05110.25 110.00 106.90 99.05 102.50 102.45 53.40 36.95 59.75262.97 217.20 244.38 239.51 257.02 282.94 268.72 249.01 246.00

17.95 18.67 19.76 18.98 17.50 17.69 17.63 16.25 18.7774.05 80.00 86.10 72.65 70.15 65.55 23.60 35.45 31.4584.80 84.31 85.23 74.48 80.69 91.18 81.61 75.93 85.76

153.08 153.00 162.18 162.12 180.33 173.20 119.15 77.35 112.7589.05 100.00 105.85 89.90 99.15 99.25 70.05 55.80 77.05

283.80 302.95 308.70 313.30 346.95 345.00 336.35 302.00 310.3570.71 71.43 109.00 115.10 117.62 116.00 103.04 99.88 91.18

1337.75 1298.00 1320.30 1349.20 1600.25 1692.75 1605.30 1475.90 1671.0081.55 78.00 87.60 78.35 98.30 109.65 83.00 66.70 96.55

281.10 264.95 279.95 255.25 231.30 236.05 214.95 232.50 278.05

Page 21: Portfolio - Size Momentum

180.65 177.60 205.70 200.40 209.15 195.25 170.00 135.15 175.5081.10 80.90 80.10 70.40 70.35 70.00 69.65 65.55 70.25

291.95 270.80 206.35 192.20 158.35 166.05 152.75 126.85 168.70765.60 839.90 808.05 718.70 724.65 748.65 728.45 690.50 720.55

67.55 69.60 87.10 75.95 83.20 89.40 84.80 74.85 84.85124.05 133.05 141.85 93.95 69.40 74.45 70.10 63.85 68.25155.50 160.80 169.30 152.70 146.10 161.00 131.50 114.40 152.55133.55 136.85 159.10 138.80 135.15 139.80 127.05 107.05 118.35

56.05 56.15 55.05 50.40 52.40 59.75 57.45 46.25 56.95386.90 452.00 394.15 398.40 348.00 351.85 361.30 261.20 292.65839.80 949.30 852.50 944.35 793.45 815.25 769.85 753.90 940.05165.75 185.70 234.55 202.50 184.60 180.25 147.20 123.30 129.00484.80 610.90 658.65 694.65 647.55 724.45 618.30 530.45 687.55

70.35 69.50 63.40 57.20 54.65 61.15 50.45 45.30 55.90580.10 600.10 661.70 594.70 603.00 600.00 534.10 446.30 504.40

86.15 87.15 91.00 90.25 88.30 89.00 78.20 79.30 85.30312.85 285.25 317.75 300.60 309.90 305.75 295.05 239.25 271.30142.04 153.07 162.60 168.15 172.30 161.20 150.50 120.65 130.65173.10 181.00 210.90 210.35 189.25 190.70 175.50 176.00 175.95506.73 504.07 525.40 532.13 515.82 532.72 417.51 423.40 441.92

1238.00 1124.25 1123.75 943.50 824.95 808.35 902.20 797.80 905.2570.00 71.17 80.15 78.20 88.10 94.89 90.01 66.41 75.30

189.10 205.45 209.25 176.30 141.10 176.40 125.05 102.85 132.60102.47 102.71 108.96 104.78 111.07 116.96 112.98 108.32 117.84

52.20 49.95 54.25 50.05 49.45 50.08 51.50 43.10 48.7577.41 74.61 75.62 62.36 61.80 58.21 51.81 50.15 54.4385.98 86.45 94.55 74.50 75.38 80.60 78.33 73.08 73.7354.15 53.65 49.35 55.30 61.00 68.80 59.25 51.90 52.40

381.70 352.55 388.40 371.10 393.50 431.15 402.90 391.95 386.301339.75 1427.95 1596.15 1628.55 1614.20 1603.40 1389.15 1594.15 1667.50

35.10 39.01 40.12 37.57 37.23 38.29 27.76 25.84 30.47874.75 852.85 880.60 811.50 820.20 841.75 773.70 714.95 805.15177.30 166.60 162.25 164.40 164.60 168.65 149.10 121.10 139.20

32.35 32.90 34.50 27.25 26.30 29.55 23.25 18.60 23.20856.45 895.05 973.70 927.80 930.50 828.90 809.75 785.05 799.75876.35 901.35 892.20 811.90 838.75 849.00 879.75 853.95 856.20626.85 625.00 679.50 753.00 759.90 813.50 722.50 763.45 794.80131.10 143.63 153.75 146.93 147.93 157.30 152.65 137.85 148.80360.85 365.85 379.65 349.25 334.50 389.30 388.05 311.05 341.60237.15 238.80 257.10 236.30 235.00 255.45 241.20 215.90 235.65251.20 221.45 208.40 222.10 235.10 227.65 185.00 180.00 234.75102.98 108.20 118.08 85.68 77.13 72.00 73.30 80.88 81.95

80.90 80.30 86.05 106.25 93.45 90.25 87.85 75.90 84.751260.40 1487.10 1535.55 1375.30 1342.15 1333.20 1165.75 1106.90 1187.50

100.55 92.20 92.55 87.60 90.05 91.95 78.90 84.10 81.95242.95 257.50 262.75 260.90 261.05 256.05 247.65 220.90 229.95

2168.55 2090.45 2170.60 1961.45 1941.30 1929.00 1646.90 1477.95 1594.101077.05 1130.60 1263.20 993.05 943.85 896.50 946.40 805.05 944.55

Page 22: Portfolio - Size Momentum

708.45 753.85 752.95 735.30 717.30 665.30 617.95 566.00 620.3589.10 94.20 112.10 105.10 115.85 118.05 99.05 100.55 113.80

873.75 1001.20 1217.40 1221.60 1317.90 1281.40 1097.55 1079.70 1206.501022.65 1143.00 1209.35 1117.50 1099.55 1085.35 998.30 847.20 867.75

65.95 65.00 71.00 64.85 59.60 59.50 48.40 46.75 53.2057.45 56.55 55.80 50.85 46.20 51.25 45.00 38.50 47.6545.15 41.95 43.45 36.75 34.05 31.00 28.50 29.00 34.30

155.11 133.67 120.45 96.07 78.72 63.52 43.28 36.79 40.830.52 0.76 0.65 0.80 0.94 0.52 0.85 0.80 0.52

43.23 42.73 57.83 56.13 68.78 72.48 96.85 95.55 99.25553.00 540.50 557.45 540.95 529.95 519.90 512.45 474.05 535.00174.25 161.85 145.40 124.75 119.10 131.60 125.75 143.30 173.05190.30 179.75 173.00 129.55 132.30 146.55 125.60 123.80 143.00

27.65 28.40 27.55 25.65 24.40 25.60 17.35 14.10 17.4592.45 100.90 115.70 105.00 98.95 112.17 113.05 99.22 115.77

100.90 98.30 97.80 101.35 111.35 109.65 99.15 93.40 95.10384.95 335.95 373.70 291.35 353.35 395.65 411.80 401.00 525.45185.00 179.35 223.20 192.70 197.25 230.05 206.40 182.75 208.45

62.05 63.15 67.20 62.45 63.85 66.95 54.00 51.70 53.7579.90 82.35 80.80 71.05 77.80 86.80 122.80 99.35 143.8096.85 87.95 76.85 68.10 65.30 80.20 66.50 56.05 64.55

162.00 151.60 144.15 141.95 136.15 129.75 105.15 117.90 142.0073.90 73.00 73.50 76.55 69.45 63.15 56.50 54.00 57.40

270.50 258.75 259.75 223.00 216.90 253.55 235.15 191.70 261.6520.86 21.00 25.08 26.00 28.28 28.50 22.99 20.40 30.71

161.00 170.00 159.20 149.15 148.45 142.85 121.65 127.00 138.4593.95 90.70 88.10 78.20 73.70 73.95 70.05 69.55 74.9584.00 86.30 96.95 95.50 91.35 94.95 77.45 81.75 78.5540.40 43.00 46.65 41.85 33.90 35.55 22.70 24.35 32.70

147.85 155.90 170.00 169.80 173.60 177.75 174.70 158.65 193.1562.50 61.70 68.20 57.25 54.20 54.95 30.35 28.50 31.90

442.65 353.60 365.15 218.55 194.35 185.20 137.90 130.05 173.7052.85 48.25 51.25 45.70 47.50 48.45 49.00 47.20 55.6578.65 76.30 75.35 68.30 65.40 63.55 52.70 47.00 59.40

370.70 359.85 353.05 314.15 295.10 309.05 263.00 236.35 288.3526.11 25.11 25.01 17.64 18.23 21.02 18.53 17.89 19.9877.05 66.79 59.21 35.25 35.85 39.17 32.23 23.23 27.0261.20 58.80 58.90 61.00 60.50 58.30 59.05 49.45 50.30

422.73 566.43 600.99 648.31 679.37 691.72 570.71 507.00 579.0989.60 82.50 86.20 71.70 65.45 66.30 62.00 61.05 71.85

143.55 133.90 142.55 131.40 132.00 132.75 115.15 99.85 132.7068.85 78.25 73.15 59.00 55.30 57.50 66.00 58.90 72.25

187.10 189.70 211.55 212.05 214.40 201.55 188.55 165.30 180.80243.30 217.40 215.30 191.20 191.20 205.95 173.50 174.75 196.15122.05 126.70 136.45 134.40 140.50 148.55 134.40 131.35 129.90

18.25 16.40 15.55 12.10 11.20 13.14 11.09 10.60 13.5159.55 50.80 48.65 38.95 43.60 46.20 45.20 46.20 59.30

133.55 113.00 98.55 69.05 70.80 85.20 79.90 66.10 81.50

Page 23: Portfolio - Size Momentum

50.05 46.15 46.00 39.90 42.40 43.90 43.45 37.55 42.65165.30 169.35 160.00 149.00 142.00 151.75 134.25 128.35 138.50269.20 269.15 271.65 241.20 237.70 256.90 220.95 188.70 187.75398.85 365.35 353.60 321.20 303.60 318.65 316.75 328.60 325.20324.89 346.77 380.66 363.77 341.17 337.14 308.54 270.31 300.77

34.25 33.05 33.30 28.85 27.85 26.60 25.95 25.80 33.15489.25 449.05 397.45 324.30 321.55 330.85 260.25 178.70 231.40140.45 144.50 136.05 119.45 113.95 117.95 128.40 109.25 136.10366.75 371.95 378.20 327.50 308.30 311.30 276.10 270.90 293.50185.80 182.50 208.40 200.15 212.75 217.00 178.70 153.55 174.45102.30 99.25 100.60 93.75 89.10 93.20 83.65 74.60 83.95

50.05 48.40 48.60 43.95 46.05 49.20 38.70 33.55 40.60374.30 330.40 322.00 316.75 336.50 321.40 261.70 269.65 269.00

21.59 20.38 21.14 15.30 16.09 16.87 13.87 11.76 14.2673.35 76.60 83.10 70.35 70.60 85.20 76.65 75.05 88.0531.05 27.10 29.30 24.00 28.95 36.25 36.85 34.60 38.00

396.00 394.55 359.90 341.50 325.10 311.00 320.50 287.85 323.20245.15 243.75 235.80 195.80 200.30 226.45 192.00 174.95 202.65113.85 108.45 106.40 107.75 114.00 108.95 102.95 100.05 112.95

47.30 46.00 45.15 38.25 35.25 37.10 31.70 30.40 34.45110.55 94.05 100.00 85.80 82.45 84.40 83.50 78.05 108.55512.48 514.92 516.20 370.10 365.50 352.15 341.70 338.65 361.50138.25 128.85 116.05 99.35 82.70 83.20 59.65 56.35 79.10148.15 179.50 221.20 215.10 240.25 254.65 224.95 202.80 200.10

61.95 62.90 59.30 54.30 46.05 53.55 43.90 33.75 48.6044.00 45.15 55.70 44.60 46.00 47.15 42.10 39.75 42.5540.00 40.55 35.95 31.25 27.50 28.50 25.05 21.15 23.40

104.65 88.75 85.05 67.80 62.10 65.50 51.65 39.20 46.70145.00 137.35 186.10 158.85 136.70 142.25 132.20 124.00 131.60

83.60 79.40 77.40 70.75 68.10 70.55 47.60 38.80 48.8584.30 71.00 69.75 67.05 72.60 80.70 72.15 65.95 80.6535.93 33.40 36.10 29.65 27.00 30.10 29.40 29.30 33.4547.45 44.00 44.25 39.35 41.90 43.25 41.05 37.10 47.2581.80 79.25 78.90 62.35 59.70 57.55 40.85 35.35 53.4098.80 106.45 104.65 85.55 77.30 72.85 73.25 73.55 85.60

175.73 196.33 207.10 170.90 174.70 200.48 203.13 198.65 215.0042.80 41.25 39.43 39.85 37.93 35.93 31.58 30.80 30.2054.95 51.90 50.05 39.25 36.20 39.60 33.55 28.40 39.45

656.05 580.50 550.45 464.10 458.50 528.70 504.40 455.15 530.60358.50 346.45 380.00 350.35 337.90 342.25 305.10 301.75 298.80

78.55 88.05 83.55 73.90 69.75 74.25 59.50 43.55 53.55119.75 124.70 129.10 115.65 109.20 109.90 102.45 93.70 103.00

25.10 22.80 21.70 18.00 16.70 19.00 15.25 11.90 14.87231.65 209.95 229.45 165.50 185.95 173.50 183.10 184.60 183.55

17.50 17.80 17.45 12.15 11.26 11.09 7.93 6.11 8.4368.50 63.50 81.65 65.10 57.85 53.95 45.10 39.75 60.85

141.60 121.80 100.35 78.45 78.95 84.05 71.45 51.10 79.0057.86 54.61 49.03 36.27 40.50 36.07 24.99 22.40 38.22

Page 24: Portfolio - Size Momentum

45.40 43.05 47.15 35.35 31.50 31.40 26.40 22.70 30.75110.10 101.55 125.60 111.55 121.90 132.90 135.70 129.20 138.10

8.80 8.58 8.52 6.81 6.69 8.82 6.87 5.99 7.0976.70 64.05 71.55 60.35 60.45 64.25 57.80 47.30 58.6054.05 53.45 44.70 36.75 32.90 33.05 24.00 23.55 31.4532.30 31.95 30.45 28.25 28.70 29.20 21.65 16.85 23.60

227.55 209.30 197.30 162.30 156.80 159.55 129.55 140.25 266.40584.20 524.25 490.15 377.50 351.40 430.75 350.90 342.20 445.45

61.60 65.10 63.40 51.00 51.70 60.15 48.00 44.90 62.7021.80 20.30 19.05 16.55 16.40 16.80 14.85 11.77 15.79

316.35 303.75 291.50 251.95 309.75 361.10 374.05 302.55 304.6073.00 69.80 62.20 35.05 35.15 41.40 34.70 28.20 50.50

161.10 193.00 213.45 187.85 199.10 196.35 170.60 180.20 173.6543.49 51.00 61.03 71.05 71.14 79.89 61.41 46.61 59.5719.57 19.21 20.73 17.30 14.90 14.49 13.39 12.14 15.1598.90 89.85 89.60 68.75 57.20 52.55 42.70 37.05 51.7022.38 24.50 22.33 17.58 17.41 23.79 20.67 21.98 27.5447.55 41.80 41.50 25.85 27.35 32.50 26.60 24.60 42.15

2.18 2.56 2.79 2.48 2.20 2.19 1.99 1.73 2.15102.95 86.80 80.35 41.40 70.05 78.15 61.15 48.25 76.85

48.00 52.05 50.55 46.65 69.20 80.35 113.00 130.80 116.8568.15 75.85 70.35 58.25 54.00 59.35 47.20 39.55 52.8077.05 70.10 78.20 60.00 49.60 72.15 72.05 49.45 62.00

Page 25: Portfolio - Size Momentum

returns Feb-12 Mar-12 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11509.75 511.45 2.997% -1.597% 7.689% 24.690% 1.270% 8.719% -0.540%459.00 541.15 -3.860% 21.288% -5.827% -5.666% -15.267% -11.214% 11.549%484.20 599.00 5.628% 2.569% 4.369% 22.433% -14.034% -0.700% 15.684%150.54 133.76 -6.656% -11.527% -2.787% 1.877% -3.403% 7.069% 2.183%228.75 228.60 5.883% 8.845% -2.094% 6.233% -10.004% 1.557% 4.048%

54.35 63.85 1.490% 15.051% 11.997% -3.419% -7.139% -2.287% -1.300%276.65 285.10 14.508% -3.297% 10.545% -6.483% -5.818% -1.346% 9.187%

84.73 82.67 7.020% -0.065% -1.526% 1.838% -17.526% -6.723% 5.625%270.80 275.70 -1.475% -11.114% -9.062% -4.640% -21.712% 5.231% 27.130%195.70 186.25 -11.183% -3.660% -0.304% 2.668% -11.557% -11.724% -4.754%

81.25 85.20 0.537% 5.378% 1.803% -5.865% -12.897% -0.918% 13.050%633.83 600.71 0.677% -2.357% -0.524% 4.230% 1.281% -3.065% 3.277%322.95 363.43 7.011% -2.842% 4.071% 2.894% -6.540% -1.620% -0.146%510.15 473.65 0.791% -13.706% -3.728% -12.150% -7.382% 4.020% 5.746%549.80 598.50 -2.670% -9.650% -12.009% 4.051% -1.561% -2.925% -0.220%

1221.05 1167.85 -1.598% -0.413% 1.860% -3.889% -8.273% -0.298% 7.393%160.76 158.73 -5.295% -5.345% 0.984% 0.734% -16.133% 3.699% 1.002%

1798.95 1677.90 0.206% -8.097% 4.578% 4.193% 7.383% -2.457% 12.957%723.25 760.10 9.257% 6.362% -0.027% -3.867% -4.769% -10.147% 1.031%109.80 111.05 -4.141% 0.043% 0.428% 1.958% -15.449% 2.716% 4.087%374.15 304.20 -5.310% 1.702% 11.939% -17.746% -9.734% -0.510% -9.186%371.05 361.00 -4.424% -2.604% -6.909% -6.722% -19.860% 1.905% 5.117%447.95 479.65 2.983% 10.949% 3.054% 1.267% -2.410% -5.762% 9.409%130.80 119.30 -7.917% 2.806% -6.123% 1.006% -4.133% -4.657% -4.158%207.75 226.85 5.787% 0.729% 4.706% 2.890% -3.985% -1.075% 7.733%308.70 321.00 0.303% -8.018% -3.067% 6.264% -15.877% -3.197% 11.772%426.40 389.65 -5.176% 6.788% 0.295% 7.183% 8.744% -4.921% -1.109%465.00 496.85 2.885% -2.293% -1.744% -5.443% -7.836% -1.840% -3.582%484.35 482.35 9.213% -1.076% -4.147% -1.236% -15.625% -0.705% 8.633%224.34 209.50 1.362% -18.100% 4.707% -2.658% -15.692% -3.211% -0.230%

93.93 84.96 -8.579% -6.565% -3.586% -4.510% -12.554% -3.942% 1.234%240.15 239.70 3.678% -7.780% -4.319% 6.043% -8.470% 3.101% 2.091%151.35 177.55 5.328% -3.595% 9.010% 4.420% -5.509% 0.276% -0.704%806.50 813.35 -1.010% -2.187% -5.248% 6.262% -2.953% -4.097% 3.075%389.99 409.44 13.703% -8.416% -3.827% -10.342% -12.451% -3.210% 2.671%395.55 384.00 -4.114% 2.151% -3.358% 1.449% -10.704% 0.745% 5.024%253.00 258.34 4.265% 1.847% 6.945% 2.617% -6.375% -1.841% 4.137%259.75 263.05 -2.794% 5.339% 4.808% -12.234% -0.753% 0.071% 10.716%579.60 638.75 0.233% 4.870% -3.463% 10.551% 0.681% -2.555% -0.328%306.71 287.42 3.831% -1.041% 8.699% 5.148% -11.420% -3.704% 4.299%252.50 268.80 3.425% 6.805% 7.571% 3.882% -6.978% -7.882% -4.917%663.15 673.60 0.937% -3.246% 3.121% -2.181% -3.718% -3.568% 7.517%

86.51 91.74 -7.427% -1.445% 5.295% 3.773% -9.727% 1.722% 5.084%1638.65 1758.65 1.453% -2.773% -5.126% 3.528% -5.899% -0.874% 12.871%

707.65 696.90 7.902% -10.832% 4.337% 2.417% 2.687% 8.813% 7.557%63.25 82.55 4.435% 22.700% -18.665% -6.636% -23.766% -16.228% 36.449%

Page 26: Portfolio - Size Momentum

480.40 529.65 5.694% 7.027% -4.533% 1.349% -1.023% 5.112% -0.624%157.65 174.50 0.685% 6.943% 4.250% 7.416% -11.178% -3.499% 7.636%209.62 203.45 8.849% -0.783% -0.067% -3.629% -6.974% -17.148% 12.983%194.50 189.70 9.748% -10.157% 18.898% 7.002% -8.161% -8.623% -1.218%108.10 104.70 0.772% -6.479% 1.341% -5.439% -14.264% -6.845% 13.674%108.25 114.37 6.951% 3.136% -6.119% -5.555% -7.713% 8.388% -1.859%

1437.70 1432.48 -10.220% -3.926% 4.139% -4.836% -15.325% 8.153% 13.474%316.99 323.78 9.767% 13.175% 1.317% -1.721% 5.162% -4.191% 0.056%274.98 284.75 5.274% 2.559% 4.151% 4.026% -5.128% -5.833% 9.010%160.05 171.25 5.678% -10.746% -4.037% -2.855% 2.939% 11.645% 4.576%547.90 542.45 -5.833% 2.406% 9.000% -6.945% -1.141% 4.052% 11.139%517.80 520.05 -2.153% 4.179% 4.786% -2.621% -3.119% -1.048% 4.666%103.85 106.40 5.362% 15.464% -2.396% -8.593% 5.995% -7.059% -1.655%274.95 238.05 7.094% -4.194% 0.510% 2.284% -8.765% 1.798% 4.259%

1049.00 1116.00 10.493% -0.666% 9.734% -0.963% -1.821% 2.709% 2.311%191.27 185.21 -2.811% -7.265% -0.918% 3.180% -17.234% 2.284% 2.600%930.25 976.55 4.387% 3.505% 2.132% 18.851% -4.131% 6.369% 5.111%235.61 229.18 -8.382% -0.575% 0.813% 3.813% -19.665% -4.981% 13.535%380.20 409.90 0.211% 6.890% 12.432% -5.485% -0.942% 6.030% 10.287%797.65 757.70 -1.935% 0.781% 2.107% 3.682% -4.142% -5.210% 2.118%331.35 349.65 2.593% 0.925% 2.583% 1.217% 2.564% -4.035% -3.648%

2075.00 2290.80 7.720% 2.941% 1.350% -0.317% -9.636% -1.471% -1.371%181.30 177.45 0.135% -2.535% 0.654% -5.064% -15.852% 0.240% 6.300%515.35 592.50 -0.270% 12.921% 14.426% 0.953% 0.695% -3.265% 0.213%369.15 333.55 -0.569% -2.835% -8.428% -0.772% -9.664% -2.064% 9.512%135.40 148.90 7.110% 4.545% 1.126% -4.114% -3.806% -13.447% -6.122%343.95 355.90 7.642% -2.010% 1.372% 2.082% -16.526% 1.999% 12.778%148.65 129.45 3.307% -8.559% -8.168% -6.961% -10.719% -12.670% 3.846%349.25 336.75 5.958% -1.228% 5.639% 10.563% -7.506% -6.457% 3.518%513.26 514.95 5.530% -7.153% 1.189% 1.187% -1.291% 3.457% -3.691%374.15 374.95 2.301% -6.359% -0.943% 4.646% -11.077% 0.085% 2.774%

1304.90 1356.35 3.074% -7.367% -7.535% 6.616% -0.939% 9.536% 8.842%102.15 100.20 -4.400% -10.765% 3.245% -6.245% -14.654% 3.122% 5.908%431.75 439.00 -5.865% -0.800% -6.504% -6.621% -14.079% 1.686% 7.558%283.40 262.60 1.720% -3.824% 3.257% -6.693% -2.698% 1.305% -6.279%

75.55 79.85 9.430% -3.297% -8.553% -6.279% 1.465% 8.253% 9.593%312.65 303.20 4.216% 2.137% 4.698% -3.783% -2.508% -2.077% -8.785%343.70 335.00 0.763% 9.691% 2.565% -4.022% -4.327% -18.076% -1.283%333.15 343.10 9.507% 7.459% -3.929% -1.134% -3.351% -11.255% -0.105%308.20 307.65 5.236% 2.681% 4.585% 3.011% -1.424% -1.122% -3.620%275.73 314.33 3.795% 3.140% 2.608% 3.046% -8.432% -10.401% 7.056%293.35 267.30 6.481% -8.838% -2.717% -1.935% -2.047% 0.969% 4.705%

43.80 41.85 -1.330% -7.026% -5.280% -1.530% -16.315% -18.568% 7.329%310.80 313.10 -5.309% -8.322% -10.833% -7.520% -6.437% -22.832% 12.209%142.95 138.15 -7.547% 4.577% -1.781% -34.722% -11.022% 0.963% -7.928%362.05 345.55 11.039% 1.158% -2.131% -4.127% -5.987% -5.876% 5.372%

94.30 98.85 1.704% -0.291% 16.508% 18.307% 5.935% -1.151% -4.656%85.50 86.25 14.215% 11.262% -6.229% -2.574% -17.869% -11.830% -7.375%

Page 27: Portfolio - Size Momentum

205.25 219.45 1.970% -5.058% -2.517% 6.734% -1.028% -17.149% 7.571%109.80 112.05 -9.138% 2.302% -5.656% -13.497% -15.893% -3.883% -10.323%112.30 118.90 -0.715% -9.177% -2.349% -0.638% -26.663% -1.154% 3.018%215.85 205.55 -6.059% -10.890% -7.967% 6.971% -16.758% -0.717% 3.986%872.07 871.23 -3.348% 2.885% 10.867% -5.305% -6.730% -15.629% 4.053%155.35 130.00 0.997% 6.715% -5.706% 8.669% -12.462% -5.399% 6.652%

66.25 56.65 8.491% -5.739% -2.583% -5.808% 5.965% -7.906% 1.442%125.55 112.05 3.120% -13.194% 10.343% 9.995% -11.959% -8.503% 8.182%728.70 766.65 4.505% 9.896% 1.134% 5.057% -12.404% 1.350% 5.251%584.15 545.00 -6.499% -0.559% 0.246% -9.952% -11.350% -2.818% 11.373%450.45 469.00 9.822% -19.308% 7.376% -3.769% -5.514% -1.248% 1.460%471.75 470.40 -0.927% -4.172% 3.327% -7.163% -17.085% -11.376% 16.303%

1404.10 1506.95 -4.145% -5.576% -9.033% 10.209% 4.044% 6.278% 1.305%37.75 31.60 1.078% -11.585% 7.074% 5.255% -17.546% -4.498% 3.895%

818.65 748.25 -6.285% -3.076% -5.690% -7.787% -5.582% 3.429% 8.592%75.90 68.30 -0.310% 2.712% -4.762% -9.773% -7.657% -6.601% 2.979%

110.83 97.32 -2.052% -5.407% 5.760% -1.388% -18.841% -4.438% 0.451%198.95 184.00 -7.732% -12.430% -8.976% 0.054% -21.124% 3.339% -0.033%161.50 174.10 -1.959% -20.579% -0.597% -3.417% -22.208% 14.611% 11.609%141.30 135.10 -6.200% -2.375% -7.581% -3.815% -9.758% -2.769% 19.485%204.50 182.15 2.911% 3.258% 4.022% 6.367% 11.626% -4.913% 4.045%316.80 304.55 -3.800% 5.585% 1.303% -6.811% -9.047% 0.964% 4.192%377.60 355.60 4.900% -8.408% -9.002% 11.491% -9.205% 0.029% 2.868%428.40 469.00 2.736% 20.320% -1.558% -0.250% -12.217% 8.612% -2.491%180.85 162.70 -5.725% -7.145% 10.595% -5.646% -3.829% -1.357% 7.235%648.30 629.00 -5.796% -3.775% -5.420% 6.313% -15.570% 3.892% -0.562%107.55 98.80 2.408% -8.450% 1.941% 1.787% -0.835% -11.408% -18.021%307.35 326.45 6.933% -6.400% 7.172% -6.953% -38.606% -14.234% 9.234%127.05 126.55 8.650% 2.009% -1.422% -2.701% -12.091% 1.427% 3.795%

9834.80 9936.80 13.411% -4.504% -1.066% 7.225% -8.217% -0.401% 3.537%397.50 386.60 5.793% -6.581% -9.209% 3.737% -39.646% 4.354% 8.356%283.90 268.55 0.496% -11.085% 6.756% -1.790% -4.621% 1.978% 1.722%

61.30 53.55 6.305% -1.096% -4.927% -6.348% -24.367% -8.622% 7.821%879.70 934.05 6.462% 3.496% 0.491% 5.714% -3.909% -0.399% -0.587%239.85 243.80 8.276% 1.529% -0.519% -6.019% -11.922% 5.212% -6.252%

1256.25 1349.10 4.448% -6.990% -5.625% 4.269% -9.566% -1.002% 4.092%536.50 464.35 7.404% -6.839% -1.477% -3.865% -14.258% -9.837% 5.438%

2770.55 2629.35 -0.345% -6.220% -8.986% 4.774% -0.415% 7.290% 5.726%119.30 116.90 0.424% -9.443% -2.035% -3.332% -24.082% -9.434% 23.958%226.35 201.50 -16.579% 7.021% -11.738% 9.665% -14.963% 11.357% 10.702%220.85 201.75 -1.022% 0.283% -3.532% 0.607% -6.864% -0.268% 4.904%308.20 256.95 -2.916% -2.831% 5.270% -10.173% -3.843% -7.385% -2.926%148.35 129.05 5.790% 11.431% 0.342% -10.905% 5.807% 7.953% -0.365%

2641.40 2620.20 1.711% 10.208% 2.900% -7.441% -14.295% 4.360% 11.443%232.75 225.05 -0.816% -9.432% -8.155% 12.887% -8.809% -8.231% 1.665%183.96 184.34 -10.413% -0.737% 0.335% 0.525% -13.082% 8.522% 4.757%185.70 171.50 3.347% -6.402% 16.653% -12.885% -4.815% -6.093% 4.286%

21.20 19.65 1.972% -3.675% -3.614% 2.500% -1.220% -3.498% 7.036%

Page 28: Portfolio - Size Momentum

272.80 254.00 -4.796% -9.211% 4.539% 4.396% -11.445% -2.506% -2.226%108.35 100.25 2.413% 4.874% 0.062% 2.584% -8.546% -17.508% -1.033%184.40 186.25 -16.986% -8.822% 7.803% 0.753% -15.632% 11.206% 0.674%

69.30 63.85 -1.960% -2.423% -3.911% -2.067% -4.947% -1.249% -1.687%74.45 63.80 0.442% -6.120% -4.346% -11.269% -15.161% -13.491% 2.462%

270.15 272.15 -0.948% -9.396% 6.860% 13.191% -10.440% -8.515% -0.307%572.05 606.05 -1.494% 2.657% -7.818% 4.207% -12.254% -10.967% 9.991%600.20 719.65 1.509% -1.020% 6.244% 7.388% -16.354% -11.488% 1.987%142.00 132.25 8.615% 4.881% -5.439% -2.184% -15.943% -4.976% 0.472%404.05 391.85 -3.199% -10.946% 15.085% -0.225% -33.191% -18.013% 17.418%163.05 168.60 4.886% 0.448% 8.977% -0.191% 6.286% -3.214% 0.744%

1619.20 1523.20 9.206% -9.096% -3.885% 9.664% -12.225% -0.593% 2.104%20.95 18.20 0.883% -15.000% -31.029% -23.454% -4.735% -7.895% 4.444%45.80 40.95 4.216% -3.641% 0.420% -4.849% -23.902% -6.697% 4.827%

146.50 134.90 -7.098% -7.849% -2.122% -13.443% -18.069% -8.806% -3.397%84.80 85.60 6.312% -4.191% 4.739% 11.427% -8.589% 0.399% 6.636%

808.00 721.60 3.525% 2.867% -9.567% -12.267% -12.413% -12.800% 10.359%16.79 15.75 -1.552% -6.306% -13.462% -5.000% -15.205% -12.552% -8.675%90.25 85.75 8.033% -6.589% -7.197% 2.568% -16.975% -5.368% 3.760%

594.35 586.90 -4.464% -13.362% -5.849% 0.924% -19.161% -14.578% 24.294%103.15 94.05 -5.744% -11.813% -2.551% -8.109% -14.602% -2.502% 6.797%433.55 404.30 12.899% -0.330% -6.993% 2.863% -20.990% -3.225% 0.351%187.28 152.00 6.038% -4.184% 16.442% 9.343% -12.392% -32.766% -1.722%

28.55 31.00 -7.371% -5.438% -8.415% -6.126% -11.909% 0.000% 2.593%64.65 61.25 4.045% -5.764% -4.908% 1.047% -19.689% 0.461% -4.220%94.40 84.05 -7.335% -10.421% 7.047% 6.113% -21.763% -9.692% 11.289%

104.00 99.85 16.480% 2.198% -19.052% 8.966% -24.952% -6.954% 8.183%43.95 40.65 13.593% 2.497% -3.046% -9.948% -22.791% 2.711% 13.050%26.60 25.30 19.037% 1.411% -11.039% 9.281% -29.676% -0.814% 5.609%76.00 81.60 0.216% -6.688% -6.532% -17.502% -8.246% 18.954% 5.975%

214.40 194.25 7.989% -7.526% -2.707% -2.534% -14.873% -14.780% 3.960%114.35 85.45 -8.312% 4.284% -4.912% -10.770% -28.175% -4.250% 1.837%847.05 783.45 6.951% -6.287% -1.750% -3.036% -21.150% -5.964% 2.615%

18.00 17.40 -6.936% -5.590% -15.351% -6.477% -6.648% -6.231% -9.810%826.45 684.55 -0.577% -3.359% 4.964% -7.526% -9.116% 10.547% -9.935%

32.35 28.75 -8.529% -4.459% -9.618% -3.912% -9.935% -5.244% 14.313%71.80 55.30 12.537% -2.906% -0.227% -2.818% -7.343% 3.483% -0.049%

273.90 228.00 20.101% -13.936% -17.405% 12.514% -1.993% 7.311% 10.085%23.64 27.65 8.238% -4.977% 4.012% 5.826% -3.923% -7.798% 1.086%31.65 21.40 67.713% -7.582% 8.035% 7.625% -15.621% -3.441% -6.557%83.93 83.52 -7.070% -5.262% -0.584% 1.097% -12.613% 8.331% 13.001%

108.30 99.90 2.779% 12.484% -0.052% 6.000% -0.037% 11.232% -3.954%75.75 68.95 16.390% 1.539% 12.296% 5.850% -15.068% 10.289% 0.101%

384.00 325.00 7.413% 6.452% 6.748% 1.898% 1.490% 10.741% -0.562%102.69 106.44 25.141% -3.362% 1.011% 52.601% 5.601% 2.189% -1.377%

1730.40 1983.25 -6.849% 7.727% -2.971% 1.718% 2.189% 18.607% 5.780%86.25 82.45 6.517% 10.877% -4.353% 12.308% -10.559% 25.463% 11.546%

280.35 353.75 0.640% 2.144% -5.745% 5.661% -8.823% -9.383% 2.054%

Page 29: Portfolio - Size Momentum

181.00 191.40 5.364% -2.166% -1.688% 15.822% -2.577% 4.366% -6.646%74.05 75.05 -4.410% -6.459% -0.247% -0.989% -12.110% -0.071% -0.498%

189.00 184.85 0.749% -3.551% -7.244% -23.800% -6.857% -17.612% 4.863%758.15 736.95 8.578% 9.379% 9.705% -3.792% -11.057% 0.828% 3.312%122.10 117.00 4.928% -2.384% 3.035% 25.144% -12.801% 9.546% 7.452%

68.90 61.10 19.917% -22.104% 7.255% 6.614% -33.768% -26.131% 7.277%167.85 185.05 -5.504% -4.660% 3.408% 5.286% -9.805% -4.322% 10.198%139.45 140.60 3.638% -5.284% 2.471% 16.259% -12.759% -2.630% 3.441%

41.65 30.40 0.415% -15.683% 0.178% -1.959% -8.447% 3.968% 14.027%341.80 389.15 1.260% 10.669% 16.826% -12.799% 1.078% -12.651% 1.106%

1040.75 1168.15 36.225% 14.290% 13.039% -10.197% 10.774% -15.979% 2.747%143.05 143.20 17.219% 6.557% 12.036% 26.306% -13.664% -8.840% -2.356%701.10 769.20 9.671% 13.245% 26.011% 7.816% 5.466% -6.780% 11.876%

61.20 58.40 4.663% -15.292% -1.208% -8.777% -9.779% -4.458% 11.894%503.40 501.55 4.318% -6.209% 3.448% 10.265% -10.125% 1.396% -0.498%

80.95 86.55 -1.679% -8.058% 1.161% 4.418% -0.824% -2.161% 0.793%267.95 248.70 5.042% -6.430% -8.822% 11.394% -5.397% 3.094% -1.339%122.75 121.45 12.344% -4.257% 7.769% 6.226% 3.413% 2.468% -6.442%194.00 208.15 6.543% 11.318% 4.564% 16.519% -0.261% -10.031% 0.766%633.83 600.71 0.677% -2.357% -0.524% 4.230% 1.281% -3.065% 3.277%

1016.70 994.80 -1.979% 21.468% -9.188% -0.044% -16.040% -12.565% -2.012%77.57 84.33 8.389% -5.939% 1.671% 12.618% -2.433% 12.660% 7.707%

125.65 114.75 40.890% -6.663% 8.646% 1.850% -15.747% -19.966% 25.018%123.49 121.70 -4.622% -1.755% 0.233% 6.083% -3.835% 6.001% 5.303%

51.55 53.18 5.959% 11.837% -4.310% 8.609% -7.742% -1.199% 1.264%55.26 52.64 16.704% -19.260% -3.629% 1.358% -17.540% -0.886% -5.812%83.18 80.00 -2.678% 5.136% 0.552% 9.370% -21.206% 1.174% 6.932%47.20 41.00 -6.083% -3.904% -0.923% -8.015% 12.057% 10.307% 12.787%

408.85 381.10 3.550% 1.841% -7.637% 10.169% -4.454% 6.036% 9.568%1902.45 1983.05 44.827% -8.236% 6.583% 11.779% 2.030% -0.881% -0.669%

37.28 38.79 22.132% 5.659% 11.140% 2.845% -6.356% -0.905% 2.847%800.00 802.45 2.918% -7.277% -2.504% 3.254% -7.847% 1.072% 2.627%156.30 151.00 6.931% 4.478% -6.035% -2.611% 1.325% 0.122% 2.461%

24.50 25.90 -5.096% -6.096% 1.700% 4.863% -21.014% -3.486% 12.357%815.40 813.65 2.118% 1.511% 4.507% 8.787% -4.714% 0.291% -10.919%889.80 907.15 -4.287% 2.882% 2.853% -1.015% -9.000% 3.307% 1.222%853.60 835.35 1.019% 6.255% -0.295% 8.720% 10.817% 0.916% 7.054%162.75 156.05 8.572% 5.619% 9.554% 7.050% -4.439% 0.681% 6.338%356.80 424.40 10.590% 2.383% 1.386% 3.772% -8.007% -4.223% 16.383%250.05 277.75 5.163% 3.041% 0.696% 7.663% -8.090% -0.550% 8.702%250.00 238.45 -6.622% 0.360% -11.843% -5.893% 6.574% 5.853% -3.169%

98.00 80.53 -5.778% -0.555% 5.074% 9.127% -27.440% -9.980% -6.645%87.90 77.25 8.513% -5.269% -0.742% 7.161% 23.475% -12.047% -3.424%

1229.45 1201.60 11.437% -7.666% 17.986% 3.258% -10.436% -2.410% -0.667%80.85 78.25 1.721% -2.803% -8.304% 0.380% -5.348% 2.797% 2.110%

236.50 217.50 -3.815% 0.372% 5.989% 2.039% -0.704% 0.057% -1.915%1727.50 1587.85 8.919% -11.167% -3.601% 3.834% -9.636% -1.027% -0.634%1101.25 1120.70 2.583% -3.147% 4.972% 11.728% -21.386% -4.954% -5.017%

Page 30: Portfolio - Size Momentum

631.45 649.45 9.126% -2.310% 6.408% -0.119% -2.344% -2.448% -7.249%149.85 170.25 16.799% 0.906% 5.724% 19.002% -6.244% 10.228% 1.899%

1275.90 1456.85 33.448% 2.337% 14.587% 21.594% 0.345% 7.883% -2.770%946.85 949.20 2.851% 2.332% 11.768% 5.805% -7.595% -1.606% -1.291%

57.50 59.10 12.415% -11.178% -1.440% 9.231% -8.662% -8.096% -0.168%52.85 54.55 1.515% -4.726% -1.567% -1.326% -8.871% -9.145% 10.931%45.45 41.25 2.134% 34.776% -7.087% 3.576% -15.420% -7.347% -8.957%41.18 36.65 18.888% -2.323% -13.822% -9.884% -20.240% -18.059% -19.316%

0.49 0.63 4.030% -36.804% 46.169% -14.548% 22.546% 17.146% -44.979%99.45 107.00 12.408% -5.519% -1.157% 35.342% -2.940% 22.539% 5.380%

580.40 635.10 18.791% -10.235% -2.260% 3.136% -2.960% -2.033% -1.896%179.60 180.00 10.136% 0.230% -7.116% -10.164% -14.202% -4.529% 10.495%160.80 163.90 4.183% -3.278% -5.544% -3.755% -25.116% 2.123% 10.771%

20.45 17.70 16.667% -11.236% 2.712% -2.993% -6.897% -4.873% 4.918%142.45 152.05 25.437% 10.388% 9.140% 14.668% -9.248% -5.762% 13.357%

92.55 90.85 -2.691% -2.086% -2.577% -0.509% 3.630% 9.867% -1.527%538.60 590.95 4.830% -0.078% -12.729% 11.237% -22.036% 21.280% 11.971%246.15 270.90 1.625% -1.412% -3.054% 24.449% -13.665% 2.361% 16.629%

57.25 57.95 11.695% 0.731% 1.773% 6.413% -7.068% 2.242% 4.855%137.05 137.80 -1.109% -14.682% 3.066% -1.882% -12.067% 9.500% 11.568%

77.90 68.90 -8.337% -3.198% -9.189% -12.621% -11.386% -4.112% 22.818%132.50 132.10 1.664% -15.822% -6.420% -4.914% -1.526% -4.086% -4.701%

69.95 75.15 9.098% 12.055% -1.218% 0.685% 4.150% -9.275% -9.071%283.75 330.50 -2.852% -5.453% -4.344% 0.386% -14.148% -2.735% 16.897%

32.25 33.83 23.851% 6.219% 0.668% 19.439% 3.674% 8.735% 0.796%143.50 138.35 -1.245% 9.748% 5.590% -6.353% -6.313% -0.469% -3.772%

84.35 83.50 1.018% -0.318% -3.459% -2.867% -11.237% -5.754% 0.339%87.10 88.00 12.484% -4.382% 2.738% 12.341% -1.496% -4.346% 3.941%31.80 25.95 16.085% -21.705% 6.436% 8.488% -10.289% -18.996% 4.867%

240.25 259.00 8.608% 1.895% 5.445% 9.044% -0.118% 2.238% 2.391%36.15 31.50 16.681% -6.437% -1.280% 10.535% -16.056% -5.328% 1.384%

154.10 161.10 11.102% -4.570% -20.117% 3.266% -40.148% -11.073% -4.708%59.00 60.45 13.627% -4.689% -8.704% 6.218% -10.829% 3.939% 2.000%81.50 83.50 57.363% -3.792% -2.988% -1.245% -9.356% -4.246% -2.829%

323.15 318.05 -3.179% -0.657% -2.927% -1.890% -11.018% -6.064% 4.727%20.58 19.53 20.542% -1.873% -3.817% -0.397% -29.482% 3.390% 15.301%26.20 23.83 1.127% -5.146% -13.311% -11.355% -40.466% 1.711% 9.255%53.95 55.35 17.434% 2.085% -3.922% 0.170% 3.565% -0.820% -3.636%

558.86 627.09 6.620% 3.251% 33.993% 6.101% 7.874% 4.791% 1.818%81.55 81.10 0.813% -3.656% -7.924% 4.485% -16.821% -8.717% 1.299%

137.00 154.80 9.414% 6.019% -6.722% 6.460% -7.822% 0.457% 0.568%85.25 79.35 -0.288% -0.721% 13.653% -6.518% -19.344% -6.271% 3.978%

197.95 209.75 10.956% -7.399% 1.390% 11.518% 0.236% 1.108% -5.993%197.15 199.75 8.826% -13.647% -10.645% -0.966% -11.194% 0.000% 7.714%152.05 154.10 0.536% 0.082% 3.810% 7.695% -1.502% 4.539% 5.730%

13.92 11.81 65.075% -7.407% -10.137% -5.183% -22.186% -7.438% 17.321%64.05 66.70 4.419% -6.661% -14.694% -4.232% -19.938% 11.938% 5.963%78.40 68.65 -3.184% -2.411% -15.387% -12.788% -29.934% 2.534% 20.339%

Page 31: Portfolio - Size Momentum

47.20 50.75 5.782% -10.305% -7.792% -0.325% -13.261% 6.266% 3.538%138.10 135.15 -0.230% -4.644% 2.450% -5.521% -6.875% -4.698% 6.866%232.25 273.10 4.540% 2.105% -0.019% 0.929% -11.209% -1.451% 8.077%309.55 320.30 4.527% 4.057% -8.399% -3.216% -9.163% -5.479% 4.957%316.06 304.80 9.645% -4.188% 6.736% 9.772% -4.436% -6.213% -1.181%

33.15 27.45 -7.268% -7.432% -3.504% 0.756% -13.363% -3.466% -4.488%368.35 326.75 15.257% -11.037% -8.217% -11.491% -18.405% -0.848% 2.892%147.80 149.40 0.124% -12.764% 2.884% -5.848% -12.201% -4.604% 3.510%347.95 364.45 4.870% 0.479% 1.418% 1.680% -13.406% -5.863% 0.973%172.75 164.15 0.048% -11.387% -1.776% 14.192% -3.959% 6.295% 1.998%

86.80 81.55 12.467% -5.102% -2.981% 1.360% -6.809% -4.960% 4.602%59.00 61.40 3.598% -8.501% -3.297% 0.413% -9.568% 4.778% 6.840%

275.15 282.60 3.814% 6.184% -11.729% -2.542% -1.630% 6.235% -4.487%15.56 13.51 36.928% -17.076% -5.583% 3.729% -27.625% 5.131% 4.880%80.75 80.20 12.483% -9.051% 4.431% 8.486% -15.343% 0.355% 20.680%36.45 34.90 1.080% -17.089% -12.721% 8.118% -18.089% 20.625% 25.216%

318.90 325.75 3.864% 5.221% -0.366% -8.782% -5.113% -4.802% -4.337%210.95 195.90 2.263% -5.657% -0.571% -3.262% -16.964% 2.298% 13.055%139.20 160.90 -8.850% -10.495% -4.743% -1.890% 1.269% 5.800% -4.430%

43.10 38.90 3.330% 5.111% -2.748% -1.848% -15.282% -7.843% 5.248%122.75 102.90 12.699% -23.811% -14.925% 6.326% -14.200% -3.904% 2.365%427.05 428.40 -0.060% 1.828% 0.476% 0.249% -28.303% -1.243% -3.653%105.15 93.60 -0.216% -0.181% -6.799% -9.934% -14.390% -16.759% 0.605%185.75 181.15 8.351% -1.561% 21.161% 23.231% -2.758% 11.692% 5.994%

51.65 57.05 5.840% -16.622% 1.533% -5.723% -8.432% -15.193% 16.287%41.00 45.85 9.057% 0.114% 2.614% 23.367% -19.928% 3.139% 2.500%22.45 17.95 -2.924% -3.614% 1.375% -11.344% -13.074% -12.000% 3.636%43.95 45.45 8.472% -5.508% -15.194% -4.169% -20.282% -8.407% 5.475%

130.15 120.70 7.471% -3.075% -5.276% 35.493% -14.643% -13.944% 4.060%59.80 61.15 7.143% -6.331% -5.024% -2.519% -8.592% -3.746% 3.598%

100.25 111.30 3.818% -15.063% -15.777% -1.761% -3.871% 8.277% 11.157%38.60 38.00 18.146% 1.069% -7.041% 8.084% -17.867% -8.938% 11.481%60.05 65.20 0.000% -7.052% -7.271% 0.568% -11.073% 6.480% 3.222%61.80 65.25 3.275% -3.934% -3.117% -0.442% -20.976% -4.250% -3.601%87.65 88.45 3.395% -7.317% 7.743% -1.691% -18.251% -9.643% -5.757%

232.28 243.75 -6.489% -4.367% 11.723% 5.488% -17.479% 2.224% 14.754%45.13 57.83 -7.892% -5.362% -3.621% -4.424% 1.078% -4.831% -5.274%42.20 39.30 4.962% -10.432% -5.551% -3.565% -21.578% -7.771% 9.392%

663.45 651.50 1.393% -5.625% -11.516% -5.177% -15.687% -1.207% 15.311%297.05 301.60 7.599% -5.708% -3.361% 9.684% -7.803% -3.554% 1.287%

69.75 66.85 -2.566% 8.870% 12.094% -5.111% -11.550% -5.616% 6.452%110.05 107.70 -4.985% -6.226% 4.134% 3.528% -10.418% -5.577% 0.641%

18.35 15.65 19.167% -12.238% -9.163% -4.825% -17.051% -7.222% 13.772%199.90 217.80 -2.755% -5.584% -9.368% 9.288% -27.871% 12.356% -6.695%

12.61 9.57 7.222% -9.326% 1.714% -1.966% -30.372% -7.325% -1.510%65.75 58.50 5.882% -22.336% -7.299% 28.583% -20.269% -11.137% -6.742%

100.95 87.05 7.654% -18.807% -13.983% -17.611% -21.824% 0.637% 6.460%39.96 37.75 1.186% -15.869% -5.630% -10.209% -26.027% 11.667% -10.945%

Page 32: Portfolio - Size Momentum

32.25 27.35 6.271% -6.004% -5.176% 9.524% -25.027% -10.891% -0.317%142.30 148.30 -1.693% 5.308% -7.766% 23.683% -11.186% 9.278% 9.024%

8.75 8.33 -1.791% -5.579% -2.500% -0.699% -20.070% -1.762% 31.839%66.25 64.35 15.937% -0.065% -16.493% 11.710% -15.653% 0.166% 6.286%35.60 30.70 13.636% -16.846% -1.110% -16.370% -17.785% -10.476% 0.456%28.65 25.70 -2.751% -8.628% -1.084% -4.695% -7.225% 1.593% 1.742%

260.45 255.15 -0.061% -7.066% -8.020% -5.733% -17.739% -3.389% 1.754%494.65 433.00 2.808% -7.775% -10.262% -6.505% -22.983% -6.914% 22.581%

56.50 51.70 7.470% -2.686% 5.682% -2.611% -19.558% 1.373% 16.344%14.95 13.81 29.129% 1.395% -6.881% -6.158% -13.123% -0.906% 2.439%

384.90 381.15 15.898% -6.072% -3.983% -4.033% -13.568% 22.941% 16.578%56.80 66.25 -3.002% -7.770% -4.384% -10.888% -43.650% 0.285% 17.781%

189.75 199.70 9.369% -10.674% 19.801% 10.596% -11.993% 5.989% -1.381%65.25 87.80 -11.970% -16.590% 17.268% 19.667% 16.418% 0.127% 12.300%15.90 16.99 1.548% 2.892% -1.840% 7.913% -16.546% -13.873% -2.752%51.90 45.85 -5.888% 3.128% -9.151% -0.278% -23.270% -16.800% -8.129%33.23 32.94 24.270% -7.787% 9.473% -8.857% -21.272% -0.967% 36.646%37.05 45.15 37.676% -18.926% -12.093% -0.718% -37.711% 5.803% 18.830%

1.93 1.65 11.111% -12.800% 17.431% 8.984% -11.111% -11.290% -0.455%104.70 105.00 17.759% 4.200% -15.687% -7.431% -48.475% 69.203% 11.563%102.60 98.65 19.172% 11.111% 8.437% -2.882% -7.715% 48.339% 16.113%

57.10 55.25 3.091% 2.174% 11.299% -7.251% -17.200% -7.296% 9.907%81.35 85.20 -18.067% -20.608% -9.020% 11.555% -23.274% -17.333% 45.464%

Page 33: Portfolio - Size Momentum

portfolio returns - size momentumNov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-11 May-11 Jun-11

-20.365% -18.947% 41.043% 4.758% 0.333% WB 1.381% -0.488% 0.678%-5.673% -2.474% 6.909% 11.720% 17.898% NB 1.865% -1.774% -0.030%-7.252% -32.859% 37.330% 27.724% 23.709% LB 0.937% -3.536% -2.385%1.261% -11.209% 16.625% 6.502% -11.147% WS 7.569% -0.630% 2.023%

-18.071% -4.018% 18.443% 13.075% -0.066% NS 9.171% -3.370% -0.756%-15.481% -8.262% 6.287% -13.110% 17.479% LS 5.832% -6.331% -2.487%-13.998% -3.273% -3.763% 4.023% 3.054%-18.410% -11.446% 21.259% 16.463% -2.439% rf 0.610% 0.671% 0.684%-13.102% 3.450% 36.547% 11.166% 1.809% excess returns

1.065% -24.202% 40.313% 21.176% -4.829% Apr-11 May-11 Jun-11-14.026% -5.312% 18.265% 1.690% 4.862% WB 0.771% -1.159% -0.006%-21.627% 1.412% 4.375% 43.424% -5.224% NB 1.255% -2.444% -0.714%

-4.734% -13.454% 11.448% 3.023% 12.533% LB 0.327% -4.207% -3.070%-8.343% -15.462% 29.497% 8.347% -7.155% WS 6.959% -1.301% 1.339%

-18.069% -16.221% 39.294% -5.888% 8.858% NS 8.560% -4.041% -1.440%-0.099% 4.326% -2.648% 8.010% -4.357% LS 5.222% -7.002% -3.171%-9.190% -5.674% 14.012% 6.683% -1.263%-3.479% -4.785% 0.512% 12.368% -6.729%-7.284% -0.522% -6.131% 9.343% 5.095%-7.945% -31.259% 40.511% 14.078% 1.138%

-36.810% -2.781% 42.040% -10.297% -18.696%-1.296% -18.675% 29.271% 7.785% -2.709%-8.588% -3.880% 15.706% 0.505% 7.077%

-16.302% -19.527% 27.767% 28.047% -8.792%-5.841% 0.299% 1.018% 2.164% 9.194%

-13.604% -2.840% 16.206% 5.647% 3.984%-13.436% -3.941% 9.541% 9.389% -8.619%-10.631% -1.980% 20.203% 10.859% 6.849%-12.873% 0.466% 12.543% 10.848% -0.413%

-7.544% -8.132% 27.265% 8.847% -6.615%-17.692% -0.783% 18.723% 13.511% -9.550%-12.980% -2.565% 20.141% 8.518% -0.187%

-5.516% -6.295% -6.056% 12.153% 17.311%-5.454% -3.277% -0.989% 20.248% 0.849%-7.323% -1.956% 13.932% 11.790% 4.989%-5.000% -5.502% 2.101% -1.922% -2.920%-7.254% -9.045% 18.456% 25.037% 2.113%-4.325% -0.806% 13.019% 3.713% 1.270%18.011% -7.721% 6.848% -3.633% 10.205%-3.768% -8.409% 8.156% 0.144% -6.287%-2.846% -12.820% 3.654% 7.249% 6.455%-6.737% 1.318% 7.283% -4.822% 1.576%

-10.841% -9.806% 22.727% 4.198% 6.040%-5.786% 0.206% 6.965% -2.915% 7.323%

-16.143% -5.637% -1.493% 5.172% -1.519%-16.438% -24.069% 18.449% 4.805% 30.514%

Page 34: Portfolio - Size Momentum

0.585% -5.405% 5.937% 1.404% 10.252%-5.701% -0.309% 4.618% 3.854% 10.688%

-18.899% -1.555% 19.082% 14.761% -2.941%-12.088% -3.495% 9.463% -6.061% -2.468%-20.634% -16.073% 30.206% 6.713% -3.145%15.547% -6.800% 25.081% 12.760% 5.654%-9.309% 6.040% -0.785% 4.813% -0.363%-8.573% -9.929% 15.118% 6.114% 2.140%3.994% -5.073% 10.224% 0.420% 3.555%

-4.505% 4.717% 3.411% -0.404% 6.998%-9.083% -6.933% 15.142% 10.086% -0.995%-9.733% -3.262% 14.951% 5.480% 0.435%-5.446% 4.450% -5.664% 10.361% 2.455%-9.308% -14.077% -3.142% 3.696% -13.421%-0.339% -0.751% 0.842% 4.884% 6.387%-9.585% -11.202% 19.936% 1.707% -3.168%0.424% -0.045% 1.515% 3.229% 4.977%

-18.298% -14.855% 33.152% 9.668% -2.729%5.556% 2.954% -6.976% 0.224% 7.812%

-19.529% -6.717% 13.841% 9.088% -5.008%-14.055% -10.548% 19.263% 15.968% 5.523%

-6.656% 0.686% -0.163% 7.327% 10.400%-23.251% -4.138% 31.756% 0.499% -2.124%

-0.372% -4.405% 0.748% 14.142% 14.970%0.803% 4.084% 8.375% 8.669% -9.644%

-4.127% -9.557% 25.988% 2.304% 9.970%-10.677% -2.743% 14.479% 2.718% 3.474%-10.048% -5.626% 26.695% 1.364% -12.916%

-1.559% -11.004% 6.416% -4.289% -3.579%-12.517% 5.215% 2.021% 5.483% 0.329%

-7.115% -2.090% -2.929% 0.349% 0.214%-4.200% -0.760% 4.712% 9.665% 3.943%

-16.828% -26.885% 28.506% 20.531% -1.909%3.193% 5.461% 3.623% 4.477% 1.679%

-9.981% -3.149% 13.695% -1.768% -7.339%-30.957% 11.083% 8.692% 5.076% 5.692%-16.892% -9.134% 17.064% 6.109% -3.023%

1.556% 6.535% 8.664% 15.142% -2.531%-1.805% -7.828% 8.243% 2.303% 2.987%1.451% -7.580% 1.719% 4.192% -0.178%

-2.817% -4.143% 3.146% -0.190% 13.999%-4.457% -3.330% 7.356% 6.344% -8.880%

-29.894% -5.411% 31.121% 52.880% -4.452%1.286% 3.941% 11.210% 1.885% 0.740%

-9.503% -0.829% 6.051% 7.320% -3.358%3.925% -9.897% 9.379% 6.313% -4.557%3.715% -16.070% 15.671% -0.580% 4.825%

-20.415% -33.049% 28.060% 6.145% 0.877%

Page 35: Portfolio - Size Momentum

0.434% -14.380% 1.568% 7.405% 6.918%-8.258% -19.804% 30.680% 14.315% 2.049%

-29.063% -6.222% 34.821% -2.178% 5.877%2.139% -16.508% 23.974% 13.426% -4.772%

-10.221% -21.572% 31.705% -0.191% -0.096%-6.680% -7.341% 16.240% 5.358% -16.318%

-23.358% -18.286% 42.919% 0.227% -14.491%-9.400% 7.573% 19.457% 16.520% -10.753%-3.049% 3.774% 1.464% -7.373% 5.208%

-10.656% -9.858% 19.687% 7.717% -6.702%0.692% 4.301% 7.812% 10.081% 4.118%

-20.302% -12.899% 34.526% 4.601% -0.286%-0.742% 1.447% 4.378% 15.922% 7.325%

-47.254% -17.190% 51.896% -0.788% -16.291%-11.273% -11.030% 17.687% 0.392% -8.600%-19.285% -12.439% 28.892% -5.479% -10.013%

-8.487% -4.801% 19.026% 10.592% -12.190%7.631% -14.830% 23.373% 17.236% -7.514%

-19.750% 7.137% 8.806% 13.652% 7.802%-17.783% -15.555% 45.177% 6.081% -4.388%

0.624% -8.827% 10.981% 13.991% -10.929%11.339% -2.561% 9.263% -9.265% -3.867%

-28.277% -22.896% 14.010% 12.081% -5.826%-13.231% -6.796% 11.129% -4.874% 9.477%

-9.646% -0.895% 7.005% 5.237% -10.036%-5.848% -8.603% 17.675% -0.333% -2.977%-2.092% -25.589% 10.023% 12.618% -8.136%-0.039% -33.730% 46.839% 23.088% 6.214%1.520% -4.452% 8.175% -0.509% -0.394%2.106% 0.347% 13.113% 24.364% 1.037%

-27.388% -22.791% 34.756% 5.803% -2.742%-5.698% -5.270% 20.192% 13.288% -5.407%

-20.380% -27.549% 22.555% -0.163% -12.643%-1.263% -17.617% 10.543% 7.912% 6.178%-7.820% -12.760% 23.715% 2.741% 1.647%

-13.947% -5.017% 29.075% 5.785% 7.391%-2.256% -13.092% 24.361% 9.133% -13.448%-5.648% 7.302% 4.190% 6.003% -5.096%

-10.294% -16.862% 42.887% 17.595% -2.012%-14.439% -11.613% 17.946% 4.840% -10.979%-14.578% -2.224% 5.801% 6.691% -8.648%-11.216% -15.308% 4.833% 23.009% -16.629%-23.190% -4.097% 21.112% 1.610% -13.010%

-3.723% -8.759% 7.136% 32.927% -0.803%1.004% 11.062% 6.428% 2.987% -3.308%

-17.804% -14.937% 40.962% -6.070% 0.208%-4.309% 3.728% 0.316% 6.449% -7.647%

-10.159% -19.956% 14.127% 2.913% -7.311%

Page 36: Portfolio - Size Momentum

-12.296% -2.927% 12.254% 18.172% -6.891%-8.675% -26.253% 24.747% 3.585% -7.476%

-10.678% -11.478% 34.436% 5.552% 1.003%-14.868% -8.984% 21.125% 5.560% -7.864%-18.425% -23.486% 51.979% 4.785% -14.305%

-5.801% -21.709% 23.746% 7.330% 0.740%-20.208% -29.806% 35.926% -14.312% 5.944%

-3.274% 1.228% 13.774% -7.902% 19.902%-7.641% -19.728% 14.958% 30.575% -6.866%

-23.912% -16.673% 53.271% 12.345% -3.019%-12.975% -10.152% 9.511% 0.431% 3.404%

-4.122% -10.190% 4.349% 15.151% -5.929%-24.620% -23.387% 59.579% 38.193% -13.126%-21.251% -8.096% 43.393% 4.209% -10.590%-35.956% 21.604% 37.195% 26.895% -7.918%-10.638% -0.298% 5.433% -3.964% 0.943%

-9.126% -14.486% 37.734% 15.685% -10.693%-14.335% -14.113% 32.629% 48.584% -6.194%

-7.002% -3.963% 23.521% 0.501% -4.986%-12.944% -15.772% 57.409% 10.907% -1.253%-28.260% 0.620% 25.401% 1.426% -8.822%

-5.390% -7.590% 25.691% 14.939% -6.747%0.927% -34.252% 30.978% 11.855% -18.839%

-26.173% 2.689% 39.524% -2.560% 8.581%-17.912% -12.135% 43.293% 19.833% -5.259%

-7.201% -5.735% 41.732% -4.646% -10.964%-18.356% -12.600% 7.350% 36.932% -3.990%-11.803% 3.529% 25.142% -0.227% -7.509%-39.896% -22.414% 55.556% -5.000% -4.887%-19.507% -15.620% 33.302% 8.805% 7.368%-11.885% -11.026% 33.856% -1.493% -9.398%-39.279% -12.046% 49.250% 43.746% -25.273%-17.397% -3.255% 66.062% -5.172% -7.508%-27.368% 11.304% 38.368% 12.923% -3.333%-16.901% -12.994% 36.487% 14.475% -17.170%-23.205% -16.087% 34.974% 24.184% -11.128%-47.877% -30.805% 61.705% 20.167% -22.981%

-5.026% -7.335% -1.209% 11.341% -16.758%-0.325% -7.841% 15.508% 25.946% 16.973%

-63.997% 50.212% -11.283% 0.636% -32.385%-10.491% -6.960% 12.946% -2.134% -0.494%-31.207% -35.082% 45.766% -3.947% -7.756%-29.421% -20.343% 38.082% -1.687% -8.977%

-2.507% -10.213% 2.765% 23.731% -15.365%-11.172% -3.067% -8.710% 12.623% 3.652%

-5.166% -8.061% 13.219% 3.555% 14.612%-24.305% -19.639% 44.753% -10.668% -4.406%

-8.939% 8.165% 19.591% 0.827% 26.182%

Page 37: Portfolio - Size Momentum

-12.932% -20.500% 29.856% 3.134% 5.746%-0.500% -5.887% 7.170% 5.409% 1.350%-8.010% -16.956% 32.992% 12.033% -2.196%-2.698% -5.210% 4.352% 5.218% -2.796%-5.145% -11.733% 13.360% 43.901% -4.177%-5.843% -8.916% 6.891% 0.952% -11.321%

-18.323% -13.004% 33.348% 10.029% 10.247%-9.120% -15.742% 10.556% 17.828% 0.825%-3.849% -19.495% 23.135% -26.866% -27.011%2.686% -27.706% 12.041% 16.795% 13.853%

-5.569% -2.072% 24.692% 10.712% 12.241%-18.336% -16.236% 4.623% 10.891% 0.105%-14.652% -14.208% 29.616% 1.971% 9.713%-17.498% -10.208% 23.400% 9.481% -4.575%-10.983% -16.439% 13.018% -0.198% -0.368%-12.135% 1.407% 7.566% -5.100% 6.918%

-3.500% -18.912% 13.396% -1.235% -7.184%-6.638% -19.834% 8.288% -6.047% -1.059%-7.971% 0.285% -0.028% 10.259% 7.294%

-21.627% 1.412% 4.375% 43.424% -5.224%11.610% -11.572% 13.468% 12.312% -2.154%-5.143% -26.219% 13.387% 3.015% 8.715%

-29.110% -17.753% 28.926% -5.241% -8.675%-3.403% -4.121% 8.780% 4.796% -1.450%2.846% -16.311% 13.109% 5.744% 3.152%

-10.997% -3.200% 8.540% 1.523% -4.750%-2.823% -6.703% 0.889% 12.818% -3.817%

-13.881% -12.405% 0.963% -9.924% -13.136%-6.552% -2.718% -1.442% 5.837% -6.787%

-13.362% 14.757% 4.601% 14.090% 4.237%-27.501% -6.916% 17.918% 22.350% 4.050%

-8.084% -7.593% 12.616% -0.640% 0.306%-11.592% -18.779% 14.946% 12.284% -3.391%-21.320% -20.000% 24.731% 5.603% 5.714%

-2.310% -3.050% 1.872% 1.957% -0.215%3.622% -2.933% 0.263% 3.924% 1.950%

-11.186% 5.668% 4.106% 7.398% -2.138%-2.956% -9.695% 7.943% 9.375% -4.117%-0.321% -19.843% 9.822% 4.450% 18.946%-5.578% -10.489% 9.148% 6.111% 11.078%

-18.735% -2.703% 30.417% 6.496% -4.620%1.806% 10.334% 1.329% 19.585% -17.832%

-2.659% -13.603% 11.660% 3.717% -12.116%-12.560% -5.048% 7.282% 3.533% -2.265%-14.192% 6.591% -2.556% -1.342% -3.216%

-3.281% -10.802% 4.097% 2.848% -8.034%-14.624% -10.259% 7.859% 8.368% -8.084%

5.566% -14.936% 17.328% 16.590% 1.766%

Page 38: Portfolio - Size Momentum

-7.117% -8.407% 9.602% 1.789% 2.851%-16.095% 1.514% 13.178% 31.678% 13.614%-14.348% -1.626% 11.744% 5.752% 14.182%

-8.020% -15.136% 2.426% 9.116% 0.248%-18.655% -3.409% 13.797% 8.083% 2.783%-12.195% -14.444% 23.766% 10.913% 3.217%

-8.065% 1.754% 18.276% 32.507% -9.241%-31.868% -14.977% 10.976% 0.855% -11.017%65.049% -6.000% -34.919% -5.192% 27.181%33.632% -1.342% 3.872% 0.202% 7.592%-1.433% -7.493% 12.857% 8.486% 9.425%-4.445% 13.956% 20.761% 3.785% 0.223%

-14.295% -1.433% 15.509% 12.448% 1.928%-32.227% -18.732% 23.759% 17.192% -13.447%

0.788% -12.236% 16.681% 23.049% 6.739%-9.576% -5.799% 1.820% -2.681% -1.837%4.082% -2.623% 31.035% 2.503% 9.720%

-10.280% -11.458% 14.063% 18.086% 10.055%-19.343% -4.259% 3.965% 6.512% 1.223%41.475% -19.096% 44.741% -4.694% 0.547%

-17.082% -15.714% 15.165% 20.682% -11.553%-18.960% 12.126% 20.441% -6.690% -0.302%-10.530% -4.425% 6.296% 21.864% 7.434%

-7.257% -18.478% 36.489% 8.446% 16.476%-19.342% -11.256% 50.551% 5.006% 4.884%-14.841% 4.398% 9.016% 3.648% -3.589%

-5.274% -0.714% 7.764% 12.542% -1.008%-18.431% 5.552% -3.914% 10.885% 1.033%-36.146% 7.269% 34.292% -2.752% -18.396%

-1.716% -9.187% 21.746% 24.385% 7.804%-44.768% -6.096% 11.930% 13.323% -12.863%-25.540% -5.693% 33.564% -11.284% 4.543%

1.135% -3.673% 17.903% 6.020% 2.458%-17.073% -10.816% 26.383% 37.205% 2.454%-14.901% -10.133% 22.001% 12.069% -1.578%-11.848% -3.495% 11.699% 2.993% -5.085%-17.712% -27.941% 16.327% -3.030% -9.046%

1.286% -16.257% 1.719% 7.256% 2.595%-17.494% -11.163% 14.219% -3.493% 12.209%

-6.486% -1.532% 17.690% 13.500% -0.552%-13.258% -13.287% 32.899% 3.240% 12.993%14.783% -10.758% 22.666% 17.993% -6.921%-6.450% -12.331% 9.377% 9.486% 5.961%

-15.756% 0.720% 12.246% 0.510% 1.319%-9.525% -2.269% -1.104% 17.052% 1.348%

-15.601% -4.418% 27.453% 3.035% -15.158%-2.165% 2.212% 28.355% 8.010% 4.137%-6.221% -17.272% 23.298% -3.804% -12.436%

Page 39: Portfolio - Size Momentum

-1.025% -13.579% 13.582% 10.668% 7.521%-11.532% -4.395% 7.908% -0.289% -2.136%-13.994% -14.596% -0.503% 23.702% 17.589%

-0.596% 3.741% -1.035% -4.812% 3.473%-8.483% -12.390% 11.267% 5.082% -3.562%-2.444% -0.578% 28.488% 0.000% -17.195%

-21.339% -31.335% 29.491% 59.183% -11.294%8.860% -14.914% 24.577% 8.597% 1.083%

-11.307% -1.883% 8.343% 18.552% 4.742%-17.650% -14.074% 13.611% -0.974% -4.978%-10.247% -10.819% 12.534% 3.395% -6.048%-21.341% -13.307% 21.013% 45.320% 4.068%-18.575% 3.038% -0.241% 2.286% 2.708%-17.783% -15.249% 21.268% 9.155% -13.175%-10.035% -2.087% 17.322% -8.291% -0.681%

1.655% -6.106% 9.827% -4.079% -4.252%3.055% -10.187% 12.281% -1.330% 2.148%

-15.213% -8.880% 15.833% 4.096% -7.134%-5.507% -2.817% 12.894% 23.240% 15.589%

-14.555% -4.101% 13.322% 25.109% -9.745%-1.066% -6.527% 39.078% 13.082% -16.171%-2.967% -0.893% 6.747% 18.133% 0.316%

-28.305% -5.532% 40.373% 32.933% -10.984%-11.663% -9.847% -1.331% -7.171% -2.476%-18.021% -23.121% 44.000% 6.276% 10.455%-10.710% -5.582% 7.044% -3.643% 11.829%-12.105% -15.569% 10.638% -4.060% -20.045%-21.145% -24.105% 19.133% -5.889% 3.413%

-7.065% -6.203% 6.129% -1.102% -7.261%-32.530% -18.487% 25.902% 22.416% 2.258%-10.595% -8.593% 22.290% 24.303% 11.022%

-2.326% -0.340% 14.164% 15.396% -1.554%-5.087% -9.622% 27.358% 27.090% 8.576%

-29.018% -13.464% 51.061% 15.730% 5.583%0.549% 0.410% 16.383% 2.395% 0.913%1.322% -2.203% 8.231% 8.035% 4.940%

-12.109% -2.454% -1.948% 49.421% 28.144%-15.278% -15.350% 38.908% 6.971% -6.872%

-4.596% -9.764% 16.577% 25.038% -1.801%-10.855% -1.098% -0.978% -0.586% 1.532%-19.865% -26.807% 22.962% 30.252% -4.158%

-6.779% -8.541% 9.925% 6.845% -2.135%-19.737% -21.967% 24.958% 23.403% -14.714%

5.533% 0.819% -0.569% 8.908% 8.954%-28.494% -22.951% 37.971% 49.585% -24.108%-16.404% -11.863% 53.082% 8.053% -11.027%-14.991% -28.481% 54.599% 27.785% -13.769%-30.726% -10.349% 70.615% 4.569% -5.546%

Page 40: Portfolio - Size Momentum

-15.924% -14.015% 35.463% 4.878% -15.194%2.107% -4.790% 6.889% 3.041% 4.216%

-22.109% -12.809% 18.364% 23.413% -4.800%-10.039% -18.166% 23.890% 13.055% -2.868%-27.383% -1.875% 33.546% 13.196% -13.764%-25.856% -22.171% 40.059% 21.398% -10.297%-18.803% 8.259% 89.947% -2.233% -2.035%-18.537% -2.479% 30.172% 11.045% -12.463%-20.200% -6.458% 39.644% -9.888% -8.496%-11.607% -20.741% 34.155% -5.320% -7.625%

3.586% -19.115% 0.678% 26.362% -0.974%-16.184% -18.732% 79.078% 12.475% 16.637%-13.114% 5.627% -3.635% 9.272% 5.244%-23.132% -24.100% 27.805% 9.535% 34.559%

-7.591% -9.335% 24.794% 4.950% 6.855%-18.744% -13.232% 39.541% 0.387% -11.657%-13.115% 6.338% 25.296% 20.661% -0.873%-18.154% -7.519% 71.341% -12.100% 21.862%

-9.132% -13.065% 24.277% -10.233% -14.508%-21.753% -21.096% 59.275% 36.239% 0.287%40.635% 15.752% -10.665% -12.195% -3.850%

-20.472% -16.208% 33.502% 8.144% -3.240%-0.139% -31.367% 25.379% 31.210% 4.733%

Page 41: Portfolio - Size Momentum

portfolio returns - size momentumJul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12

0.859% -8.024% -2.074% 5.139% -9.559% -7.382% 15.254% 7.911% 2.371%-0.854% -8.708% -2.222% 3.577% -8.337% -7.415% 15.709% 6.630% -1.170%-1.650% -13.602% -4.438% 4.024% -15.850% -10.554% 29.940% 10.754% -6.238%5.619% -5.854% -0.585% 3.367% -10.226% -8.688% 12.647% 6.587% -1.104%2.688% -10.324% -0.652% 2.514% -8.478% -7.418% 15.755% 9.219% 0.901%1.405% -16.203% -0.082% 6.986% -12.447% -10.169% 25.379% 11.481% -1.303%

0.684% 0.697% 0.701% 0.713% 0.734% 0.707% 0.718% 0.746% 0.751%excess returns

Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-120.175% -8.720% -2.776% 4.426% -10.293% -8.090% 14.536% 7.166% 1.620%

-1.538% -9.405% -2.923% 2.865% -9.071% -8.122% 14.991% 5.884% -1.921%-2.334% -14.299% -5.139% 3.312% -16.584% -11.262% 29.222% 10.008% -6.989%4.935% -6.551% -1.286% 2.654% -10.960% -9.395% 11.929% 5.841% -1.855%2.004% -11.021% -1.353% 1.802% -9.212% -8.125% 15.037% 8.474% 0.150%0.721% -16.899% -0.783% 6.273% -13.181% -10.876% 24.662% 10.736% -2.054%

Page 42: Portfolio - Size Momentum

Point Column1 Rank Percent1 172.138% 1 100.00%2 162.899% 2 99.70%3 127.733% 3 99.40%4 127.704% 4 99.10%5 125.198% 5 98.80%6 116.565% 6 98.50%7 113.311% 7 98.30%8 97.054% 8 98.00%9 96.712% 9 97.70%

10 93.862% 10 97.40%11 84.734% 11 97.10%12 82.042% 12 96.90%13 77.407% 13 96.60%14 68.664% 14 96.30%15 63.305% 15 96.00%16 60.803% 16 95.70%17 60.731% 17 95.50%18 59.897% 18 95.20%19 58.467% 19 94.90%20 58.354% 20 94.60%21 55.233% 21 94.30%22 54.075% 22 94.10%23 48.770% 23 93.80%24 48.236% 24 93.50%25 46.710% 25 93.20%26 46.444% 26 92.90%27 45.512% 27 92.60%28 44.027% 28 92.40%29 43.039% 29 92.10%30 42.617% 30 91.80%31 42.610% 31 91.50%32 42.604% 32 91.20%33 42.295% 33 91.00%34 39.445% 34 90.70%35 36.966% 35 90.40%36 36.497% 36 90.10%37 35.558% 37 89.80%38 34.230% 38 89.60%39 33.166% 39 89.30%40 32.911% 40 89.00%41 32.060% 41 88.70%42 31.267% 42 88.40%43 31.160% 43 88.20%44 30.943% 44 87.90%45 30.418% 45 87.60%46 29.366% 46 87.30%47 28.904% 47 87.00%

Page 43: Portfolio - Size Momentum

48 28.129% 48 86.70%49 27.718% 49 86.50%50 27.519% 50 86.20%51 27.040% 51 85.90%52 26.913% 52 85.60%53 26.288% 53 85.30%54 26.149% 54 85.10%55 25.766% 55 84.80%56 25.762% 56 84.50%57 25.149% 57 84.20%58 25.091% 58 83.90%59 25.021% 59 83.70%60 24.318% 60 83.40%61 24.046% 61 83.10%62 23.873% 62 82.80%63 22.823% 63 82.50%64 22.464% 64 82.30%65 21.104% 65 82.00%66 20.715% 66 81.70%67 19.973% 67 81.40%68 19.406% 68 81.10%69 19.001% 69 80.80%70 18.737% 70 80.60%71 17.770% 71 80.30%72 16.678% 72 80.00%73 16.536% 73 79.40%74 16.536% 73 79.40%75 16.457% 75 79.20%76 16.423% 76 78.90%77 16.288% 77 78.60%78 15.299% 78 78.30%79 15.184% 79 78.00%80 14.940% 80 77.80%81 14.741% 81 77.50%82 14.629% 82 77.20%83 14.396% 83 76.90%84 14.318% 84 76.60%85 14.091% 85 76.40%86 14.032% 86 76.10%87 13.772% 87 75.80%88 13.427% 88 75.50%89 12.715% 89 75.20%90 12.676% 90 75.00%91 12.611% 91 74.70%92 12.497% 92 74.40%93 12.224% 93 74.10%94 11.855% 94 73.80%95 11.281% 95 73.50%

Page 44: Portfolio - Size Momentum

96 11.074% 96 73.30%97 10.982% 97 73.00%98 10.786% 98 72.70%99 10.776% 99 72.40%

100 10.501% 100 72.10%101 9.375% 101 71.90%102 9.215% 102 71.60%103 9.165% 103 71.30%104 8.891% 104 71.00%105 8.697% 105 70.70%106 8.480% 106 70.50%107 8.423% 107 70.20%108 8.287% 108 69.90%109 7.913% 109 69.60%110 7.330% 110 69.30%111 7.213% 111 69.10%112 6.830% 112 68.80%113 6.771% 113 68.50%114 6.652% 114 68.20%115 6.481% 115 67.90%116 5.986% 116 67.60%117 5.941% 117 67.40%118 5.619% 118 67.10%119 5.606% 119 66.80%120 5.291% 120 66.50%121 5.077% 121 66.20%122 4.900% 122 66.00%123 4.712% 123 65.70%124 4.308% 124 65.40%125 4.143% 125 65.10%126 3.381% 126 64.80%127 3.344% 127 64.60%128 3.119% 128 64.30%129 2.689% 129 64.00%130 2.304% 130 63.70%131 2.128% 131 63.40%132 1.933% 132 63.20%133 1.695% 133 62.90%134 1.613% 134 62.60%135 1.339% 135 62.30%136 1.228% 136 62.00%137 1.076% 137 61.70%138 0.813% 138 61.50%139 -0.243% 139 61.20%140 -0.332% 140 60.90%141 -1.089% 141 60.60%142 -1.152% 142 60.30%143 -1.239% 143 60.10%

Page 45: Portfolio - Size Momentum

144 -1.441% 144 59.80%145 -1.519% 145 59.50%146 -1.842% 146 59.20%147 -1.906% 147 58.90%148 -1.940% 148 58.70%149 -2.272% 149 58.40%150 -2.311% 150 58.10%151 -2.707% 151 57.80%152 -2.795% 152 57.50%153 -3.620% 153 57.30%154 -3.791% 154 57.00%155 -3.901% 155 56.70%156 -3.943% 156 56.40%157 -4.085% 157 56.10%158 -4.325% 158 55.80%159 -4.790% 159 55.60%160 -4.844% 160 55.30%161 -4.852% 161 55.00%162 -4.974% 162 54.70%163 -5.039% 163 54.40%164 -5.082% 164 54.20%165 -5.139% 165 53.90%166 -5.423% 166 53.60%167 -5.797% 167 53.30%168 -5.803% 168 53.00%169 -5.804% 169 52.80%170 -6.528% 170 52.50%171 -6.866% 171 52.20%172 -7.090% 172 51.90%173 -7.230% 173 51.60%174 -7.306% 174 51.40%175 -7.859% 175 51.10%176 -8.027% 176 50.80%177 -8.165% 177 50.50%178 -8.217% 178 50.20%179 -8.494% 179 50.00%180 -8.938% 180 49.70%181 -9.182% 181 49.40%182 -9.266% 182 49.10%183 -9.290% 183 48.80%184 -9.723% 184 48.50%185 -9.869% 185 48.30%186 -10.101% 186 48.00%187 -10.303% 187 47.70%188 -10.381% 188 47.40%189 -10.504% 189 47.10%190 -10.522% 190 46.90%191 -10.677% 191 46.60%

Page 46: Portfolio - Size Momentum

192 -10.883% 192 46.30%193 -11.043% 193 46.00%194 -11.487% 194 45.70%195 -11.512% 195 45.50%196 -11.521% 196 45.20%197 -11.784% 197 44.90%198 -12.001% 198 44.60%199 -12.087% 199 44.30%200 -12.223% 200 44.10%201 -12.224% 201 43.80%202 -12.359% 202 43.50%203 -12.458% 203 43.20%204 -12.506% 204 42.90%205 -12.653% 205 42.60%206 -12.754% 206 42.40%207 -12.830% 207 42.10%208 -13.212% 208 41.80%209 -13.246% 209 41.50%210 -13.290% 210 41.20%211 -13.294% 211 41.00%212 -13.564% 212 40.70%213 -13.570% 213 40.40%214 -13.674% 214 40.10%215 -14.030% 215 39.80%216 -14.210% 216 39.60%217 -14.212% 217 39.30%218 -14.229% 218 39.00%219 -14.575% 219 38.70%220 -14.606% 220 38.40%221 -14.646% 221 38.20%222 -14.670% 222 37.90%223 -14.740% 223 37.60%224 -14.919% 224 37.30%225 -14.929% 225 37.00%226 -15.058% 226 36.70%227 -15.407% 227 36.50%228 -15.440% 228 36.20%229 -15.699% 229 35.90%230 -16.268% 230 35.60%231 -16.772% 231 35.30%232 -17.057% 232 35.10%233 -17.255% 233 34.80%234 -17.475% 234 34.50%235 -17.508% 235 34.20%236 -17.599% 236 33.90%237 -17.781% 237 33.70%238 -18.363% 238 33.40%239 -18.732% 239 33.10%

Page 47: Portfolio - Size Momentum

240 -18.811% 240 32.80%241 -19.123% 241 32.50%242 -19.154% 242 32.30%243 -19.267% 243 32.00%244 -19.366% 244 31.70%245 -19.866% 245 31.40%246 -20.078% 246 31.10%247 -20.120% 247 30.80%248 -20.202% 248 30.60%249 -20.265% 249 30.30%250 -20.513% 250 30.00%251 -20.817% 251 29.70%252 -20.861% 252 29.40%253 -20.953% 253 29.20%254 -20.967% 254 28.90%255 -21.033% 255 28.60%256 -21.035% 256 28.30%257 -21.248% 257 28.00%258 -21.436% 258 27.80%259 -21.675% 259 27.50%260 -21.866% 260 27.20%261 -21.959% 261 26.90%262 -21.987% 262 26.60%263 -22.153% 263 26.40%264 -22.216% 264 26.10%265 -22.485% 265 25.80%266 -22.847% 266 25.50%267 -22.904% 267 25.20%268 -22.917% 268 25.00%269 -23.058% 269 24.70%270 -23.833% 270 24.40%271 -24.104% 271 24.10%272 -24.169% 272 23.80%273 -24.190% 273 23.50%274 -24.193% 274 23.30%275 -24.311% 275 23.00%276 -24.355% 276 22.70%277 -24.493% 277 22.40%278 -24.553% 278 22.10%279 -24.588% 279 21.90%280 -24.802% 280 21.60%281 -26.402% 281 21.30%282 -26.474% 282 21.00%283 -26.501% 283 20.70%284 -26.591% 284 20.50%285 -26.667% 285 20.20%286 -26.729% 286 19.90%287 -26.993% 287 19.60%

Page 48: Portfolio - Size Momentum

288 -28.071% 288 19.30%289 -28.588% 289 19.10%290 -28.650% 290 18.80%291 -28.742% 291 18.50%292 -28.886% 292 18.20%293 -28.925% 293 17.90%294 -28.932% 294 17.60%295 -29.153% 295 17.40%296 -29.298% 296 17.10%297 -29.725% 297 16.80%298 -29.772% 298 16.50%299 -30.155% 299 16.20%300 -30.217% 300 16.00%301 -30.306% 301 15.70%302 -30.789% 302 15.40%303 -30.944% 303 15.10%304 -31.203% 304 14.80%305 -31.520% 305 14.60%306 -31.667% 306 14.30%307 -32.565% 307 14.00%308 -32.597% 308 13.70%309 -32.763% 309 13.40%310 -32.948% 310 13.20%311 -33.110% 311 12.90%312 -33.433% 312 12.60%313 -33.708% 313 12.30%314 -33.719% 314 12.00%315 -34.641% 315 11.70%316 -34.792% 316 11.50%317 -35.930% 317 11.20%318 -36.876% 318 10.90%319 -37.659% 319 10.60%320 -37.958% 320 10.30%321 -38.315% 321 10.10%322 -38.476% 322 9.80%323 -39.306% 323 9.50%324 -39.395% 324 9.20%325 -39.450% 325 8.90%326 -39.824% 326 8.70%327 -40.914% 327 8.40%328 -41.620% 328 8.10%329 -41.899% 329 7.80%330 -42.311% 330 7.50%331 -43.107% 331 7.30%332 -43.337% 332 7.00%333 -44.466% 333 6.70%334 -44.595% 334 6.40%335 -44.978% 335 6.10%

Page 49: Portfolio - Size Momentum

336 -45.193% 336 5.80%337 -46.265% 337 5.60%338 -46.329% 338 5.30%339 -46.833% 339 5.00%340 -48.734% 340 4.70%341 -49.386% 341 4.40%342 -50.616% 342 4.20%343 -51.352% 343 3.90%344 -51.433% 344 3.60%345 -53.979% 345 3.30%346 -53.991% 346 3.00%347 -54.079% 347 2.80%348 -54.098% 348 2.50%349 -54.598% 349 2.20%350 -55.005% 350 1.90%351 -55.207% 351 1.60%352 -55.485% 352 1.40%353 -56.988% 353 1.10%354 -58.012% 354 0.80%355 -61.413% 355 0.50%356 -70.333% 356 0.20%357 -72.564% 357 0.00%

Page 50: Portfolio - Size Momentum

3251.52Company Name return mcap Mar-12 Apr-12 May-12Lycos Internet Ltd. 172.138% 4698.22 98.65 93.00 85.55Jubilant FoodWorks Ltd. 116.565% 7602.07 1168.15 1182.95 1277.65Bata India Ltd. 97.054% 3408.88 769.20 875.90 878.10Blue Dart Express Ltd. 96.712% 3782.92 1983.05 1985.70 1966.45Wockhardt Ltd. 84.734% 6555.46 599.00 729.10 796.25Godfrey Phillips India Ltd. 63.305% 3260.49 627.09 740.54 630.48Britannia Industries Ltd. 59.897% 7077.41 592.50 560.35 533.45Vakrangee Ltd. 58.467% 13839.52 27.65 33.45 30.95CRISIL Ltd. 55.233% 6219.09 976.55 1045.50 1064.10Havells India Ltd. 54.075% 7135.54 114.37 110.95 111.59Eicher Motors Ltd. 48.770% 3983.45 1983.25 2278.50 2293.50Idea Cellular Ltd. 46.444% 32707.93 98.85 78.50 76.25Hindustan Unilever Ltd. 44.027% 88599.89 409.90 416.35 426.70Gujarat Fluorochemicals Ltd. 42.604% 5618.28 511.45 458.00 404.75Godrej Industries Ltd. 42.295% 8211.55 258.34 266.14 258.39Colgate-Palmolive (India) Ltd. 36.966% 5199.69 1116.00 1112.30 1200.50Apollo Hospitals Enterprise Ltd. 35.558% 8589.02 638.75 628.15 666.85Gujarat Mineral Development Corporati 34.230% 5792.37 182.15 185.90 178.10Ultratech Cement Ltd. 32.911% 41300.98 1506.95 1423.10 1416.50Oracle Financial Services Software Ltd. 32.060% 22002.87 2620.20 2619.65 2502.55Godrej Consumer Products Ltd. 31.267% 16322.49 479.65 539.75 574.75Sun Pharmaceutical Industries Ltd. 28.904% 58977.42 284.75 301.18 283.75Asian Paints Ltd. 28.129% 31056.50 323.78 352.31 403.47Lupin Ltd. 27.519% 23656.82 529.65 551.80 539.40ACC Ltd. 26.149% 21334.97 1356.35 1234.65 1140.20Marico Ltd. 25.766% 10730.01 174.50 176.90 175.05ITC Ltd. 25.021% 177360.40 226.85 245.55 230.25Shriram City Union Finance Ltd. 22.464% 3325.84 635.10 655.00 622.45Berger Paints India Ltd. 20.715% 3681.31 53.18 60.03 69.73Titan Company Ltd. 19.973% 20294.79 228.60 232.95 222.85Pidilite Industries Ltd. 19.001% 9013.33 177.55 180.90 163.45Kotak Mahindra Bank Ltd. 18.737% 40178.71 542.45 583.05 562.15LIC Housing Finance Ltd. 16.678% 13275.16 263.05 259.65 237.40Bajaj Finserv Ltd. 16.536% 8845.01 600.71 719.51 644.29Ambuja Cements Ltd. 16.457% 23843.80 171.25 150.90 151.05The India Cements Ltd. 16.423% 3418.89 111.30 84.00 75.40Bajaj Auto Ltd. 14.940% 48553.39 1677.90 1623.10 1513.00Aditya Birla Nuvo Ltd. 14.741% 10603.34 934.05 927.20 749.50Tata Global Beverages Ltd. 14.629% 6929.16 112.05 117.00 107.80Bharat Petroleum Corporation Ltd. 14.396% 25282.49 349.65 335.70 348.25Apollo Tyres Ltd. 14.091% 3999.40 79.35 90.35 86.50Divis Laboratories Ltd. 13.427% 10176.09 766.65 856.15 935.25Redington (India) Ltd. 12.676% 3507.49 88.00 87.60 81.75United Breweries Ltd. 12.611% 14308.01 541.15 535.90 474.20Piramal Enterprises Ltd. 12.497% 8092.60 469.00 436.40 431.60Ipca Laboratories Ltd. 11.074% 4215.98 335.00 359.70 340.95

Page 51: Portfolio - Size Momentum

HDFC Bank Ltd. 10.982% 122039.54 520.05 542.20 505.95ING Vysya Bank Ltd. 10.786% 5342.91 355.90 365.80 330.20Dabur India Ltd. 10.776% 18535.94 106.40 111.60 104.35Tata Motors Ltd. 10.501% 87493.40 275.70 316.75 233.20Glaxosmithkline Pharmaceuticals Ltd. 9.375% 16402.74 2290.80 2152.35 2010.75Info Edge (India) Ltd. 8.891% 3967.95 363.43 382.03 357.40Torrent Pharmaceuticals Ltd. 8.697% 5319.64 314.33 332.48 305.53Glenmark Pharmaceuticals Ltd. 8.480% 8322.86 307.65 324.15 356.70Dr. Reddys Laboratories Ltd. 7.330% 29826.70 1758.65 1760.00 1690.75Grasim Industries Ltd. 6.830% 24113.77 2629.35 2567.80 2312.10Maruti Suzuki India Ltd. 6.771% 38988.99 1349.10 1369.90 1106.45Oberoi Realty Ltd. 6.652% 8814.71 268.55 270.15 257.25Tech Mahindra Ltd. 6.481% 9175.54 719.65 700.20 670.65EIH Ltd. 5.941% 4892.64 85.60 83.75 77.10Ranbaxy Laboratories Ltd. 5.619% 17101.55 469.00 504.10 517.15Max India Ltd. 5.606% 4460.63 168.60 197.95 185.05The Jammu & Kashmir Bank Ltd. 4.900% 4447.11 91.74 93.74 92.87AIA Engineering Ltd. 4.712% 3437.51 364.45 359.45 362.00Exide Industries Ltd. 4.308% 12656.50 148.90 129.05 118.60Indian Bank 3.119% 10301.59 239.70 219.75 169.00Bajaj Holdings & Investment Ltd. 2.689% 9051.77 813.35 837.05 786.70Zee Entertainment Enterprises Ltd. 2.304% 12136.15 126.55 126.20 131.65Tata Chemicals Ltd. 2.128% 8803.23 345.55 335.50 308.70The Federal Bank Ltd. 1.695% 7286.61 85.20 83.96 83.74Cummins India Ltd. 1.613% 5245.02 496.85 482.30 429.00Gujarat Gas Company Ltd. 1.339% 4563.78 389.65 323.75 291.00HCL Technologies Ltd. 1.228% 33014.95 482.35 512.00 504.15Pipavav Defence and Offshore Engineer 1.076% 5519.22 79.85 83.40 81.90Emami Ltd. 0.813% 6100.90 268.80 304.47 328.13Mahindra & Mahindra Ltd. -0.243% 41050.20 696.90 710.15 651.70Coromandel International Ltd. -0.332% 8056.93 285.10 256.45 257.20Coal India Ltd. -1.152% 216714.31 343.10 352.55 321.70Tata Consultancy Services Ltd. -1.239% 228571.60 1167.85 1244.90 1245.80Oil India Ltd. -1.940% 12381.97 514.95 456.60 435.95Mphasis Ltd. -2.707% 8120.64 404.30 367.90 374.80Housing Development Finance Corporati -3.620% 99487.35 673.60 673.85 655.25Jaiprakash Power Ventures Ltd. -3.901% 10669.65 40.65 40.35 35.75Cadila Healthcare Ltd. -3.943% 15566.85 760.10 728.30 730.50Opto Circuits (India) Ltd. -4.085% 4929.99 203.45 185.75 161.45Dish TV India Ltd. -4.844% 6791.09 63.85 59.85 57.75Cairn India Ltd. -5.039% 63621.33 333.55 344.50 332.30Bhushan Steel Ltd. -5.082% 8825.62 409.44 425.36 434.42Cipla Ltd. -5.139% 24452.32 304.55 311.85 309.65Adani Ports and Special Economic Zone L -5.423% 25853.88 129.05 127.45 123.00Tata Communications Ltd. -5.797% 6413.93 225.05 237.35 217.85Bharti Airtel Ltd. -5.804% 127884.18 336.75 310.30 302.10Godrej Properties Ltd. -6.528% 4826.97 287.42 277.22 269.42HT Media Ltd. -6.866% 3251.52 138.35 129.00 110.40

Page 52: Portfolio - Size Momentum

The Great Eastern Shipping Company Ltd -7.230% 3712.83 243.80 254.30 246.65Bharat Forge Ltd. -7.306% 7472.72 321.00 320.40 312.20Oil & Natural Gas Corporation Ltd. -7.859% 228688.25 267.30 269.70 253.70Wipro Ltd. -8.217% 107884.25 439.00 405.10 409.55Syndicate Bank -8.938% 6684.65 111.05 103.15 92.50Bharat Electronics Ltd. -9.266% 12185.60 1523.20 1464.05 1242.50Reliance Power Ltd. -9.869% 32791.97 116.90 106.85 93.65Videocon Industries Ltd. -10.303% 6546.23 171.50 171.35 168.95DB Corp Ltd. -10.883% 4022.70 219.45 205.05 195.50Infosys Ltd. -11.487% 163875.14 1432.48 1231.30 1219.93E.I.D. Parry (India) Ltd. -11.521% 3295.09 189.70 180.35 181.50Jaiprakash Associates Ltd. -11.784% 17351.83 81.60 74.65 62.05IRB Infrastructure Developers Ltd. -12.001% 6190.28 186.25 171.60 112.65CESC Ltd. -12.506% 3400.24 272.15 254.95 268.30IDFC Ltd. -12.754% 20431.98 135.10 120.60 124.85Essar Ports Ltd. -12.830% 3388.31 82.55 90.50 88.85Motherson Sumi Systems Ltd. -13.246% 7216.80 82.67 79.49 72.60UPL Ltd. -13.564% 6003.40 130.00 116.05 110.75Siemens Ltd. -14.030% 18781.50 757.70 774.75 678.30Mahindra & Mahindra Financial Services -14.229% 6867.74 133.76 138.34 126.43JSW Energy Ltd. -14.575% 10045.31 61.25 49.15 45.00Reliance Infrastructure Ltd. -14.670% 15434.88 586.90 527.20 450.25Jindal Saw Ltd. -14.740% 4809.11 174.10 157.30 124.30Hindustan Petroleum Corporation Ltd. -15.058% 10267.26 303.20 300.90 290.55MMTC Ltd. -15.440% 78345.00 783.45 776.95 721.00NTPC Ltd. -15.699% 134153.63 162.70 162.40 146.90Engineers India Ltd. -16.268% 8558.19 254.00 251.95 221.30Neyveli Lignite Corporation Ltd. -17.508% 14386.36 85.75 82.95 74.25Bank Of Baroda -17.599% 32628.81 158.73 153.39 137.40IL&FS Transportation Networks Ltd. -17.781% 3750.34 184.34 179.85 173.59Axis Bank Ltd. -18.363% 47349.03 229.18 221.32 194.31Rural Electrification Corporation Ltd. -19.123% 20297.24 205.55 208.75 164.75Torrent Power Ltd. -19.154% 9531.68 201.75 203.25 198.55Allahabad Bank -19.267% 9313.06 186.25 166.15 131.30GAIL (India) Ltd. -19.366% 47561.66 374.95 330.40 322.45Prestige Estate Projects Ltd. -20.120% 3275.78 99.85 110.20 115.35ICICI Bank Ltd. -20.265% 102272.54 177.45 176.29 156.86Religare Enterprises Ltd. -20.817% 5733.22 384.00 355.00 330.55Larsen & Toubro Ltd. -20.953% 80031.49 871.23 817.53 781.53Andhra Bank -20.967% 6675.79 119.30 116.55 108.45Financial Technologies (India) Ltd. -21.035% 3994.55 684.55 685.35 599.75JSW Steel Ltd. -21.248% 16100.34 721.60 691.95 629.00Indian Oil Corporation Ltd. -21.436% 63757.97 262.60 264.65 255.90Reliance Communications Ltd. -21.959% 17347.92 84.05 75.15 64.60Jindal Steel & Power Ltd. -21.987% 50946.60 545.00 502.70 441.45Container Corporation Of India Ltd. -22.153% 12263.61 629.00 596.87 583.93NHPC Ltd. -22.485% 24170.95 19.65 18.90 18.35Thermax Ltd. -22.917% 5532.73 464.35 445.90 446.70

Page 53: Portfolio - Size Momentum

GMR Infrastructure Ltd. -23.833% 12066.44 31.00 26.75 20.60Punjab National Bank -24.104% 31409.76 185.21 170.33 151.12The Indian Hotels Company Ltd. -24.169% 4827.70 63.85 61.80 55.95Tata Steel Ltd. -24.190% 45685.72 470.40 463.65 402.85Tata Power Company Ltd. -24.193% 23924.65 97.32 101.81 90.28State Bank Of India -24.311% 140583.89 209.50 213.80 205.56Canara Bank -24.355% 20982.70 473.65 436.85 403.40Bank Of India -24.493% 20713.47 361.00 352.85 340.45DLF Ltd. -24.588% 34222.47 201.50 186.90 184.80Shriram Transport Finance Company Ltd -24.802% 13544.09 598.50 573.65 527.50Power Finance Corporation Ltd. -26.474% 24286.71 184.00 170.05 148.95IDBI Bank Ltd. -26.501% 13384.66 104.70 101.80 85.45Reliance Industries Ltd. -28.588% 222903.68 748.25 745.20 706.00Central Bank Of India -28.886% 7375.88 100.20 97.50 76.45Unitech Ltd. -28.925% 7521.87 28.75 26.55 21.40RattanIndia Power Ltd. -30.155% 3508.03 15.75 13.85 12.97Sun TV Network Ltd. -30.306% 12338.64 313.10 286.35 238.95Biocon Ltd. -30.789% 4761.00 238.05 237.90 220.65Reliance Capital Ltd. -32.597% 9600.33 391.85 329.20 308.80Sesa Sterlite Ltd. -33.110% 16882.27 194.25 188.55 186.95Corporation Bank -33.433% 6292.53 84.96 81.56 83.32Fortis Healthcare Ltd. -33.719% 4061.93 100.25 107.00 98.40Bharat Heavy Electricals Ltd. -37.659% 62891.08 256.95 224.90 211.95Hindalco Industries Ltd. -37.958% 24784.50 129.45 120.60 116.70Voltas Ltd. -38.315% 3705.99 112.05 109.30 100.15Aurobindo Pharma Ltd. -39.306% 3461.18 118.90 130.95 109.15Adani Power Ltd. -39.450% 14889.67 68.30 64.15 47.50Future Retail Ltd. -40.914% 6657.37 152.00 186.34 149.47Jain Irrigation Systems Ltd. -41.899% 4003.18 98.80 87.90 71.55United Spirits Ltd. -42.311% 7926.83 606.05 781.15 563.60Suzlon Energy Ltd. -43.337% 4496.70 25.30 22.80 18.05Steel Authority Of India Ltd. -44.595% 38847.63 94.05 94.85 94.90Crompton Greaves Ltd. -49.386% 8862.32 138.15 131.55 111.95Housing Development & Infrastructure L -51.352% 3580.39 85.45 80.60 67.40Adani Enterprises Ltd. -53.979% 33455.92 304.20 280.45 261.30Lanco Infratech Ltd. -54.098% 4382.21 18.20 13.95 12.42Essar Oil Ltd. -56.988% 8717.10 53.55 54.40 50.35Amtek India Ltd. 162.899% 814.31 107.00 105.30 101.80Ajanta Pharma Ltd. 127.733% 534.15 152.05 187.65 209.88VST Industries Ltd. 127.704% 477.31 1456.85 1957.45 1871.95Kajaria Ceramics Ltd. 125.198% 1252.78 170.25 187.10 161.75Nitin Fire Protection Industries Ltd. 113.311% 994.69 33.83 38.06 36.53Balkrishna Industries Ltd. 93.862% 2503.46 259.00 294.90 268.35PI Industries Ltd. 82.042% 1333.08 106.44 107.98 96.00Hexaware Technologies Ltd. 77.407% 2195.80 117.00 129.55 119.35Hathway Cable & Datacom Ltd. 68.664% 2352.86 32.94 31.10 32.79Strides Arcolab Ltd. 60.803% 2341.04 590.95 673.90 681.40Shasun Pharmaceuticals Ltd. 60.731% 460.29 83.50 115.25 115.30

Page 54: Portfolio - Size Momentum

MRF Ltd. 58.354% 2794.33 9936.80 11459.50 10929.30Advanta Ltd. 48.236% 392.79 87.80 89.27 94.60NIIT Technologies Ltd. 46.710% 1615.44 270.90 259.90 308.85Accelya Kale Solutions Ltd. 45.512% 180.76 137.80 130.60 122.70Solar Industries (India) Ltd. 43.039% 1447.14 835.35 849.25 849.65Supreme Industries Ltd. 42.617% 2827.62 208.15 207.20 209.10Astral Poly Technik Ltd. 42.610% 435.93 38.79 40.00 42.35PVR Ltd. 39.445% 384.14 148.30 149.00 152.60Carborundum Universal Ltd. 36.497% 2924.38 156.05 166.50 147.90Raymond Ltd. 33.166% 2605.00 424.40 402.35 362.55Sunteck Realty Ltd. 31.160% 2285.61 381.15 379.95 374.50Gitanjali Gems Ltd. 30.943% 2961.47 325.00 325.45 302.85Eros International Media Ltd. 30.418% 1661.87 181.15 185.70 165.65Natco Pharma Ltd. 29.366% 1101.86 353.75 428.65 390.90JK Lakshmi Cement Ltd. 27.718% 797.79 65.20 65.30 61.15Gateway Distriparks Ltd. 27.040% 1668.57 154.10 150.60 142.00Grindwell Norton Ltd. 26.913% 1537.62 277.75 262.90 244.90Rain Industries Ltd. 26.288% 1023.99 38.00 39.70 37.05Vaibhav Global Ltd. 25.762% 130.76 41.25 43.30 44.85Den Networks Ltd. 25.149% 1370.15 105.00 108.50 95.15Sadbhav Engineering Ltd. 25.091% 2327.70 154.80 141.50 125.65Magma Fincorp Ltd. 24.318% 1425.84 75.15 70.40 58.85Mindtree Ltd. 24.046% 1974.38 243.75 294.15 315.00Aarti Industries Ltd. 23.873% 478.28 60.45 71.80 66.90Gujarat State Fertilizers & Chemicals Ltd 22.823% 894.58 84.33 88.23 86.94Jubilant Life Sciences Ltd. 21.104% 3180.82 199.70 180.95 175.35Arvind Ltd. 19.406% 2099.42 82.45 86.95 77.40Swan Energy Ltd. 17.770% 1098.68 57.83 67.60 70.25Bajaj Hindusthan Ltd. 16.536% 880.48 600.71 719.51 644.29Thomas Cook (India) Ltd. 16.288% 711.28 61.40 65.05 63.35JK Cement Ltd. 15.299% 1125.13 160.90 137.55 146.50Phoenix Mills Ltd. 15.184% 3038.13 209.75 208.10 190.75eClerx Services Ltd. 14.318% 2141.36 736.95 735.75 620.60Zensar Technologies Ltd. 14.032% 781.38 180.00 217.75 220.35DCM Shriram Ltd. 13.772% 760.65 45.85 44.95 46.05Shoppers Stop Ltd. 12.715% 3212.91 389.15 355.80 320.20Sobha Ltd. 12.224% 3241.02 330.50 329.80 299.00Praj Industries Ltd. 11.855% 1439.99 80.20 70.20 56.50Omaxe Ltd. 11.281% 2653.84 121.70 120.30 115.29Atul Ltd. 9.215% 567.69 191.40 197.85 199.00Geometric Ltd. 9.165% 418.01 66.70 67.65 68.35Sundram Fasteners Ltd. 8.423% 1163.06 55.35 55.65 49.70Mcleod Russel India Ltd. 8.287% 2989.24 273.10 280.15 279.85HSIL Ltd. 7.913% 945.79 143.20 166.85 143.75Cholamandalam Investment & Finance C 7.213% 2452.92 185.05 179.75 168.15Welspun India Ltd. 5.986% 401.89 45.15 45.60 52.65ABG Shipyard Ltd. 5.291% 1940.56 381.10 381.60 378.70Navneet Education Ltd. 5.077% 1380.37 57.95 55.20 54.95

Page 55: Portfolio - Size Momentum

State Trading Corporation Of India Ltd. 4.143% 1530.90 255.15 274.85 250.20ICRA Ltd. 3.381% 1120.70 1120.70 1120.40 1236.95Tube Investments Of India Ltd. 3.344% 2619.38 140.60 139.95 140.40Kansai Nerolac Paints Ltd. 1.933% 1203.68 907.15 936.10 907.15Himachal Futuristic Communications Ltd -1.089% 1463.70 11.81 11.07 11.35Balmer Lawrie & Company Ltd. -1.441% 868.70 304.80 314.94 331.20Akzo Nobel India Ltd. -1.519% 1892.89 813.65 865.50 875.75Chambal Fertilisers & Chemicals Ltd. -1.842% 3215.21 77.25 75.95 71.90Pfizer Ltd. -1.906% 2310.77 1201.60 1308.35 1105.40Clariant Chemicals (India) Ltd. -2.272% 1247.45 649.45 613.85 605.80Trent Ltd. -2.311% 2586.57 949.20 917.40 917.45Mahindra CIE Automotive Ltd. -2.795% 593.11 64.35 63.30 53.90Prism Cement Ltd. -3.791% 2554.55 50.75 48.15 48.00CMC Ltd. -4.325% 3014.24 994.80 896.25 851.65KPIT Technologies Ltd. -4.790% 1423.54 80.00 85.30 118.50Deepak Fertilisers & Petrochemicals Cor -4.852% 1331.89 151.00 137.65 132.35BEML Ltd. -4.974% 2713.14 651.50 534.00 429.60Astra Microwave Products Ltd. -5.803% 303.16 34.90 40.20 39.25Cyient Ltd. -7.090% 1664.54 149.40 162.10 171.80Rallis India Ltd. -8.027% 2361.83 121.45 113.80 124.40Bank Of Maharashtra -8.165% 3216.22 54.55 53.75 50.70Delta Corp Ltd. -8.494% 1555.46 68.95 60.95 59.25Greaves Cotton Ltd. -9.182% 2113.55 86.55 81.25 68.80JK Tyre & Industries Ltd. -9.290% 348.80 16.99 17.32 15.67IIFL Holdings Ltd. -9.723% 1932.13 66.85 54.60 49.95Hinduja Global Solutions Ltd. -10.101% 670.69 325.75 316.95 330.45Symphony Ltd. -10.381% 687.85 228.00 229.80 188.65Graphite India Ltd. -10.504% 1631.39 83.50 90.40 89.40Century Plyboards (India) Ltd. -10.522% 1313.04 59.10 61.40 55.00Kolte Patil Developers Ltd. -10.677% 294.76 38.90 38.60 36.15Dewan Housing Finance Corporation Ltd -11.043% 1675.39 238.45 219.45 186.25Alok Industries Ltd. -11.512% 1744.93 19.53 19.43 18.63Granules India Ltd. -12.087% 162.70 81.10 95.70 95.60Siti Cable Network Ltd. -12.223% 376.69 8.33 9.72 9.18TV Today Network Ltd. -12.224% 307.39 51.70 59.00 57.10Amtek Auto Ltd. -12.359% 2338.91 132.25 126.85 100.15Bayer CropScience Ltd. -12.458% 1027.36 802.45 768.60 818.20Persistent Systems Ltd. -12.653% 1281.20 320.30 359.55 342.75Polaris Consulting & Services Ltd. -13.212% 1629.85 163.90 131.15 112.60Capital First Ltd. -13.290% 778.50 120.70 141.70 142.75Tata Coffee Ltd. -13.294% 1559.81 83.52 85.43 85.26Entertainment Network (India) Ltd. -13.570% 1036.83 217.50 207.75 214.70Nava Bharat Ventures Ltd. -13.674% 1944.68 217.80 206.90 176.70Ceat Ltd. -14.210% 302.88 88.45 107.80 92.70Ruchi Soya Industries Ltd. -14.212% 3028.56 90.85 88.75 94.35Punj Lloyd Ltd. -14.606% 1834.85 55.25 53.80 44.75Mahindra Holidays & Resorts India Ltd. -14.646% 2528.78 301.60 293.55 264.00Gujarat Narmada Valley Fertilizers & Che -14.919% 749.96 81.55 81.50 79.70

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VA Tech Wabag Ltd. -14.929% 1135.26 428.40 431.30 457.70BASF India Ltd. -15.407% 548.72 501.55 617.80 573.40Birla Corporation Ltd. -16.772% 2176.17 282.60 255.70 242.90Suven Life Sciences Ltd. -17.057% 204.75 13.81 15.77 14.90Elgi Equipments Ltd. -17.255% 1189.17 75.05 78.60 77.80Mahindra Lifespace Developers Ltd. -17.475% 1298.76 318.05 321.45 313.95Balrampur Chini Mills Ltd. -18.732% 1393.81 57.05 55.00 49.65IVRCL Ltd. -18.811% 1409.81 66.25 61.60 40.70Kalpataru Power Transmission Ltd. -19.866% 1652.77 107.70 99.80 82.40Motilal Oswal Financial Services Ltd. -20.078% 1493.28 102.90 106.90 94.85Uflex Ltd. -20.202% 828.63 114.75 115.65 102.20IFCI Ltd. -20.513% 3087.86 41.85 41.15 34.50KEC International Ltd. -20.861% 1677.50 65.25 57.10 50.65Cressanda Solutions Ltd. -21.033% 10.89 0.63 0.63 0.67Cox & Kings (India) Ltd. -21.675% 2240.98 164.15 150.40 147.40SRF Ltd. -21.866% 1428.05 248.70 239.20 210.35Allcargo Logistics Ltd. -22.216% 1759.65 135.15 118.55 115.65Vardhman Textiles Ltd. -22.847% 1248.80 199.75 214.00 231.35Tata Elxsi Ltd. -22.904% 610.00 195.90 205.40 206.30FDC Ltd. -23.058% 1431.35 78.25 79.50 77.95VIP Industries Ltd. -24.553% 1411.59 99.90 97.30 80.70Vijaya Bank -26.402% 498.61 58.40 58.70 55.20PTC India Ltd. -26.591% 1803.77 61.15 60.05 55.45Marksans Pharma Ltd. -26.667% 60.69 1.65 1.56 1.46Jyothy Laboratories Ltd. -26.729% 1298.58 80.53 86.88 109.68Jet Airways (India) Ltd. -26.993% 2818.24 326.45 335.95 314.95DB Realty Ltd. -28.071% 2072.56 85.20 73.70 87.80Ballarpur Industries Ltd. -28.650% 1360.16 25.90 24.75 22.75Rashtriya Chemicals & Fertilizers Ltd. -28.742% 3125.32 56.65 60.45 56.65CCL Products (India) Ltd. -28.932% 179.72 13.51 18.28 19.52Lakshmi Machine Works Ltd. -29.153% 1788.95 1587.85 1626.60 1549.15Hindustan Construction Company Ltd. -29.298% 1558.71 25.70 21.10 17.65Aban Offshore Ltd. -29.725% 1884.20 433.00 414.00 358.45Anant Raj Ltd. -29.772% 1726.31 58.50 58.00 46.05Unichem Laboratories Ltd. -30.217% 1193.15 132.10 143.30 129.15HMT Ltd. -30.944% 3113.63 40.95 41.80 35.05Edelweiss Financial Services Ltd. -31.203% 2077.42 27.45 30.10 33.05BGR Energy Systems Ltd. -31.520% 2357.83 326.75 328.90 286.15TVS Motor Company Ltd. -31.667% 1947.91 41.00 41.00 34.00Rolta India Ltd. -32.565% 1293.06 93.60 88.50 73.30Sterlite Technologies Ltd. -32.763% 1545.47 39.30 36.45 28.70GVK Power & Infrastructure Ltd. -32.948% 2747.81 17.40 16.05 12.05KRBL Ltd. -33.708% 430.31 17.70 19.95 19.75Welspun Corp Ltd. -34.641% 3072.78 134.90 125.60 118.25JM Financial Ltd. -34.792% 1173.59 15.65 13.85 11.98Asahi India Glass Ltd. -35.930% 913.83 52.64 66.41 55.03Puravankara Projects Ltd. -36.876% 1470.49 68.90 66.00 56.55Orchid Chemicals & Pharmaceuticals Ltd -38.476% 2116.43 184.85 179.65 120.90

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Alstom India Ltd. -39.395% 2390.70 355.60 392.10 344.00Mahanagar Telephone Nigam Ltd. -39.824% 1723.05 27.35 24.95 23.25SREI Infrastructure Finance Ltd. -41.620% 1305.52 25.95 25.75 19.55Sintex Industries Ltd. -43.107% 2338.24 86.25 73.90 53.95NCC Ltd. -44.466% 1442.01 37.75 33.78 20.55GATI Ltd. -44.978% 351.95 31.50 35.05 38.10KSK Energy Ventures Ltd. -45.193% 2060.64 55.30 63.65 52.35Jai Corp Ltd. -46.265% 1553.40 87.05 68.20 56.25Usha Martin Ltd. -46.329% 935.43 30.70 29.45 25.15Firstsource Solutions Ltd. -46.833% 412.25 9.57 9.01 8.67Indiabulls Real Estate Ltd. -48.734% 3024.83 63.80 63.10 53.20BF Utilities Ltd. -50.616% 1728.76 386.60 424.60 372.80Escorts Ltd. -51.433% 652.35 68.65 73.60 63.60JB Chemicals & Pharmaceuticals Ltd. -53.991% 517.56 61.10 68.30 62.20Manappuram Finance Ltd. -54.079% 175.18 30.40 30.00 20.35Shree Renuka Sugars Ltd. -54.598% 2121.37 31.60 31.75 26.40Dishman Pharmaceuticals & Chemicals L -55.005% 370.00 45.85 45.55 50.85Rasoya Proteins Ltd. -55.207% 230.11 21.40 26.75 19.20HCL Infosystems Ltd. -55.485% 925.04 45.45 44.60 43.85Sonata Software Ltd. -58.012% 188.76 17.95 18.70 18.60Ess Dee Aluminium Ltd. -61.413% 516.29 161.10 152.70 136.90TV18 Broadcast Ltd. -70.333% 1001.16 23.83 23.10 15.73Network 18 Media & Investment Ltd. -72.564% 525.08 36.65 37.89 30.56

Page 58: Portfolio - Size Momentum

Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-1388.20 89.40 85.35 77.20 76.90 72.15 66.80 54.70 50.40

1165.85 1124.00 1172.50 1372.60 1262.80 1256.10 1288.10 1200.05 1045.55862.75 888.45 886.55 979.55 855.15 920.20 866.95 788.50 747.30

1990.35 1977.50 1979.00 1747.05 1752.85 1954.85 2049.00 2023.95 2296.75932.60 975.35 1223.10 1292.75 1500.25 1601.20 1572.10 1746.40 1936.10703.00 638.18 638.78 698.05 666.60 634.32 695.92 671.04 606.20524.80 464.90 502.15 475.95 483.45 496.35 499.25 483.55 480.30

37.15 39.30 42.35 59.85 57.80 54.50 59.60 67.00 65.401070.55 905.50 917.60 965.10 949.25 960.95 1083.65 1001.55 962.10

116.25 107.69 109.17 124.96 115.36 114.69 127.52 131.42 126.811999.35 1950.90 2111.65 2299.75 2315.55 2730.15 2903.05 2810.05 2756.00

75.85 80.00 74.75 85.35 85.25 97.15 103.70 112.60 117.30454.35 466.95 518.25 544.55 547.45 538.35 524.70 472.95 443.90398.50 347.25 343.15 384.10 329.55 331.95 332.95 291.20 278.35241.21 237.66 236.91 286.42 300.86 306.25 309.85 304.01 270.63

1193.65 1158.55 1217.65 1206.20 1284.05 1441.60 1567.00 1350.80 1275.65617.15 628.85 629.75 728.10 779.70 816.65 788.30 804.55 826.05185.95 187.00 192.20 197.35 210.75 210.20 214.60 192.50 185.15

1511.25 1635.95 1693.40 1967.55 1994.75 1954.50 1982.15 1902.15 1870.152551.60 2555.35 2951.65 3011.00 2902.00 2905.20 3297.90 3195.65 2823.75

572.60 627.60 690.60 667.75 723.70 735.45 721.90 708.45 723.20317.78 325.88 334.28 346.65 346.88 354.88 367.75 359.13 401.25388.19 363.71 365.34 393.65 386.89 432.76 442.03 450.21 429.05539.00 601.10 593.35 596.30 566.60 590.70 613.30 604.45 585.20

1267.55 1319.60 1312.45 1469.20 1379.30 1383.95 1429.40 1322.55 1271.10183.65 195.50 199.75 199.45 209.25 222.30 218.20 227.35 213.55258.95 257.70 267.55 271.90 282.80 298.25 286.80 307.40 295.10630.00 707.85 759.65 767.25 785.00 933.15 980.65 1103.40 1074.90

68.50 69.28 69.25 73.45 70.30 74.48 79.80 86.95 95.00222.30 222.25 221.60 261.55 259.40 311.75 283.85 279.55 260.35165.30 167.05 191.35 206.40 192.20 214.15 216.85 232.00 240.95592.25 535.55 579.85 647.90 604.10 668.70 649.60 677.95 657.70269.15 261.10 240.10 281.80 242.95 265.70 291.35 281.55 231.95670.82 728.40 786.62 870.75 851.80 881.80 901.85 849.40 813.05173.95 180.25 185.45 201.95 202.70 207.70 200.95 202.30 191.85

86.75 83.45 84.80 94.95 95.40 85.75 90.75 86.25 84.351572.00 1601.35 1615.40 1832.50 1813.95 1930.55 2131.00 2027.80 1971.60

806.75 786.70 754.55 897.35 908.20 1064.70 1094.80 1137.75 1006.90115.95 126.80 130.20 142.80 150.25 165.70 159.85 149.60 125.10372.50 363.50 337.10 346.35 337.65 347.55 356.10 410.50 371.80

79.00 77.70 94.05 92.45 85.75 84.45 88.90 86.30 82.951026.85 1095.30 1154.10 1080.10 1199.90 1174.75 1103.90 1049.95 1013.60

77.10 68.20 75.40 78.35 81.00 82.80 86.85 90.25 85.30545.15 557.55 628.75 653.10 772.00 796.30 931.20 728.95 609.65527.50 515.35 488.35 463.35 494.35 496.35 520.60 564.65 567.10359.20 400.30 435.75 481.80 459.30 456.65 519.10 492.85 497.40

Page 59: Portfolio - Size Momentum

563.50 587.85 595.05 628.70 634.55 703.65 678.80 643.40 625.60367.10 380.75 367.50 407.25 462.10 491.60 526.25 590.85 533.80114.05 119.20 123.50 128.10 124.25 127.80 128.75 131.75 126.45242.05 225.90 233.75 267.45 254.65 274.25 312.40 298.00 287.40

2015.70 2101.15 2117.45 1977.05 1999.45 2045.90 2165.70 2051.10 2110.10367.05 321.95 333.95 349.20 350.85 366.20 346.15 344.85 348.35299.93 334.60 353.70 347.33 338.23 332.75 363.28 351.20 336.35362.55 384.75 441.75 421.90 426.90 436.00 527.80 501.95 502.15

1649.25 1614.45 1685.20 1647.40 1756.90 1822.90 1828.50 1918.25 1760.502647.35 2870.95 2968.30 3315.40 3315.20 3359.65 3162.45 3006.70 2964.351169.75 1133.05 1138.55 1349.90 1436.25 1473.55 1488.95 1582.65 1356.65

242.75 230.55 228.25 265.00 273.20 286.10 290.20 291.70 274.20707.95 711.90 797.95 971.80 947.70 883.40 931.40 999.40 1046.70

79.90 78.80 77.20 80.30 75.65 71.95 69.60 69.70 63.45490.35 497.50 551.30 529.55 525.60 503.25 502.75 447.70 379.65192.15 175.65 180.35 224.10 241.40 239.50 241.90 249.65 242.85

99.16 91.16 91.77 93.19 122.50 137.72 129.72 136.86 126.48340.45 316.95 334.35 358.30 387.30 336.05 331.50 323.70 316.00136.60 128.20 131.10 153.35 141.30 142.10 143.90 122.95 124.85175.20 177.60 156.05 192.15 168.35 183.15 198.15 201.25 177.10782.25 755.60 767.35 793.60 867.15 859.35 981.70 967.20 949.95147.15 167.85 163.80 195.65 189.50 195.15 220.90 230.35 217.95310.75 306.00 304.20 320.45 316.30 327.90 352.95 357.90 326.75

89.67 82.73 81.41 89.15 96.63 96.36 107.66 101.22 98.72455.40 426.85 456.20 507.55 487.60 483.15 516.95 488.55 479.85308.95 307.85 294.90 342.50 298.95 300.65 304.65 312.45 277.20476.20 517.20 544.85 577.30 607.35 654.75 619.25 688.85 724.60

83.80 60.85 68.75 78.30 79.05 84.15 90.90 87.85 73.90331.50 331.60 333.27 331.27 383.27 400.53 399.80 390.43 394.93706.90 700.45 765.15 864.50 884.25 944.85 930.00 890.25 871.05257.55 247.50 294.80 288.30 282.75 273.65 262.05 223.15 202.00347.40 359.30 352.75 359.45 346.25 365.95 355.05 353.55 310.30

1277.55 1240.65 1347.30 1294.00 1313.40 1312.85 1258.55 1342.75 1514.75499.20 495.50 490.20 489.50 481.75 454.20 466.35 539.20 528.10371.60 396.95 382.70 402.25 386.50 388.40 383.25 373.35 373.80654.45 690.65 733.35 772.90 759.60 841.45 828.10 786.65 760.40

34.80 31.70 25.35 35.20 38.40 38.70 37.60 35.05 28.70769.20 877.10 915.90 872.20 860.85 836.80 900.70 864.40 759.10154.40 154.10 123.75 129.65 120.00 108.10 107.15 79.40 49.75

63.50 69.35 65.65 82.50 75.35 78.45 76.00 71.95 65.35307.50 333.30 339.60 330.75 336.60 329.35 319.00 323.80 298.00456.68 465.50 455.70 489.54 485.16 454.12 473.48 450.25 461.50316.40 338.55 378.15 380.60 363.50 414.00 414.10 407.20 360.75121.20 119.95 112.65 127.35 126.60 129.70 135.00 150.00 138.55232.35 246.75 229.85 243.40 242.75 238.55 235.50 233.25 222.95305.00 300.15 245.70 264.85 269.00 337.15 316.80 339.40 323.55245.21 235.98 241.30 278.39 269.65 296.53 296.00 289.24 250.92

96.75 83.60 92.35 93.20 102.10 103.10 107.15 103.75 104.10

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248.90 259.80 252.45 247.10 257.55 253.15 264.25 244.65 238.50299.95 299.95 279.55 305.35 271.20 265.70 252.40 229.60 213.75284.70 285.80 276.15 280.40 268.30 264.90 267.35 339.65 313.35399.30 339.90 367.60 381.30 350.80 392.95 394.35 411.20 416.50106.75 98.90 93.95 108.20 117.60 127.65 128.15 134.50 116.75

1339.65 1160.55 1242.10 1205.70 1226.65 1189.10 1304.10 1273.40 1130.95106.90 91.20 77.05 98.05 92.50 97.05 93.35 92.25 72.20170.90 170.95 175.70 171.65 170.10 212.80 214.90 204.05 192.45204.15 199.50 189.80 202.20 210.15 219.65 229.35 244.90 232.45

1251.28 1113.70 1186.63 1267.00 1181.75 1218.30 1159.25 1394.38 1453.00177.40 210.15 212.95 228.85 230.05 231.00 207.20 178.70 145.05

73.50 73.35 64.85 82.20 87.25 96.15 97.00 86.95 69.65126.80 126.85 122.95 152.00 121.70 135.35 127.75 121.55 114.60289.70 297.30 305.25 331.45 274.60 309.55 318.75 311.30 279.40136.25 134.30 134.40 154.45 162.05 173.05 171.25 169.75 149.25

88.70 98.00 87.35 92.50 102.10 92.15 93.35 87.35 84.1072.80 71.18 82.24 99.13 103.73 116.37 131.83 131.33 130.80

125.50 119.80 118.60 131.25 114.20 119.20 130.25 133.05 115.80734.40 680.60 678.60 708.80 686.55 670.60 667.00 654.50 505.15129.05 141.54 148.11 179.69 173.42 199.41 220.81 210.43 187.95

52.55 49.80 45.75 60.80 63.80 61.75 67.95 71.25 54.50558.35 493.45 449.65 538.70 469.25 485.35 520.65 515.55 419.55132.35 119.85 118.55 118.50 114.00 131.65 128.60 109.00 89.70335.05 344.25 299.70 307.25 298.15 286.55 290.45 328.90 289.80737.80 697.00 755.40 760.65 712.70 677.80 638.45 559.75 430.10159.75 157.10 168.10 167.85 165.20 162.10 156.45 156.60 150.75222.70 238.50 209.80 236.10 233.40 228.95 228.00 220.80 190.40

81.90 80.05 79.05 86.95 81.85 81.30 80.90 83.75 72.15146.50 131.21 126.45 159.71 145.02 152.61 173.39 173.48 140.58175.98 158.79 158.79 184.81 174.88 185.96 190.64 188.87 181.66203.16 208.54 199.98 227.35 236.73 263.27 271.30 301.04 268.66191.35 188.05 186.55 218.15 215.35 230.35 244.90 241.80 228.45182.85 158.70 148.05 175.75 153.40 160.25 193.35 168.20 164.35149.65 133.80 119.20 146.55 136.05 143.40 169.90 163.50 138.00351.65 353.90 351.60 383.05 348.80 352.35 356.10 342.45 332.60117.00 111.85 104.80 135.65 153.80 165.00 179.15 180.60 168.50179.92 192.15 181.86 211.45 210.01 219.72 227.46 238.17 208.06330.10 331.05 313.10 322.05 304.05 303.15 313.90 300.40 271.70931.57 913.10 894.27 1064.50 1083.17 1111.40 1070.57 1028.60 910.53118.40 101.70 91.50 112.55 103.45 110.15 117.85 112.20 91.60737.25 719.15 840.70 974.70 994.65 1136.40 1129.55 1119.70 844.40678.75 667.75 695.25 756.75 739.10 742.50 812.00 882.95 738.20255.95 270.20 244.10 250.55 260.35 263.40 269.75 327.30 292.85

63.45 56.00 48.60 64.75 54.00 71.35 73.80 82.65 61.15469.50 398.75 352.30 427.50 387.40 402.00 447.50 420.35 348.85610.00 626.40 625.27 636.73 671.00 620.40 610.83 619.80 685.20

18.25 18.25 17.75 19.35 21.55 23.25 25.45 28.90 27.00478.10 482.10 485.15 561.20 580.65 590.05 614.30 579.55 581.30

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25.15 23.30 18.25 24.75 20.00 18.65 19.35 18.90 17.90162.02 145.56 135.56 167.94 147.83 157.12 174.27 182.49 157.58

61.60 59.00 59.80 67.25 62.90 62.70 62.85 61.70 54.25441.30 413.60 362.50 400.75 392.25 385.40 428.30 404.80 342.35101.04 94.62 96.12 103.21 102.24 103.79 106.49 97.66 91.29215.92 200.52 184.50 223.79 210.96 217.01 238.38 243.66 208.54412.40 365.75 317.00 431.15 401.75 464.80 495.50 481.10 416.05346.90 297.65 257.30 310.40 276.70 280.80 342.85 352.70 320.10198.40 208.30 195.95 233.80 202.70 210.10 230.50 277.80 276.80528.45 577.40 635.05 618.85 624.95 668.35 757.20 789.90 690.35178.80 173.25 157.95 188.65 185.30 192.40 203.80 210.35 200.80

93.50 87.95 84.25 100.05 92.85 108.10 111.40 107.60 88.70737.45 742.85 771.95 836.70 805.25 793.90 839.10 886.55 814.65

81.90 71.75 65.75 78.20 69.65 76.75 83.70 84.15 71.3522.05 21.65 18.50 24.30 23.10 31.70 33.65 36.70 27.2014.17 12.78 9.97 13.44 11.94 12.66 14.50 12.56 10.08

301.95 264.00 296.70 349.40 329.20 408.20 427.25 470.75 413.05237.60 240.55 259.45 274.55 265.55 286.45 286.30 280.10 273.70358.55 333.85 321.65 431.20 381.75 422.75 479.80 474.80 360.60191.55 189.60 171.45 171.45 170.55 182.15 195.25 186.45 154.50

83.40 81.08 73.79 83.51 79.72 84.46 92.36 91.24 79.74101.45 98.00 91.65 103.05 101.50 112.30 114.80 109.95 97.10232.10 215.70 214.35 246.85 225.10 233.35 228.40 227.70 201.20119.90 119.90 103.75 120.50 116.45 116.35 130.60 115.75 99.35104.65 106.05 110.50 124.60 110.75 108.20 105.85 97.80 79.35109.95 108.60 110.70 141.70 158.30 188.05 189.30 187.65 161.50

49.95 43.65 39.10 52.85 48.15 52.90 61.70 60.85 44.55180.58 163.56 138.85 212.00 178.10 208.87 255.22 246.34 176.56

83.10 81.00 64.65 69.75 65.40 67.75 75.05 74.45 60.20685.80 809.30 975.85 1218.05 1175.80 1992.30 1899.40 1805.00 1840.70

18.55 18.45 14.95 17.76 15.70 19.55 18.55 24.50 16.0590.60 85.60 77.95 85.45 80.35 80.85 90.60 86.80 71.10

121.20 116.05 107.75 126.20 125.00 114.40 115.90 106.90 90.7586.95 79.20 68.30 97.65 95.70 112.90 111.45 76.65 60.45

222.25 180.45 155.35 201.00 215.45 239.80 271.05 249.85 216.0014.94 12.66 11.00 15.10 12.00 13.89 13.52 12.49 10.6455.15 55.60 47.30 50.80 62.80 70.00 70.25 85.60 83.60

103.85 91.55 97.85 96.75 96.35 103.35 105.65 99.35 94.65233.95 248.47 279.90 278.70 260.63 253.00 254.60 411.43 393.57

1762.15 1663.35 1704.75 1769.80 1755.20 1839.20 1950.45 1776.45 1598.30163.65 176.90 168.45 196.45 213.15 256.95 232.45 212.05 199.65

36.08 43.80 41.59 41.81 49.99 51.04 50.74 53.25 49.09253.00 295.05 268.40 284.15 264.05 254.45 300.20 280.10 247.95

99.43 98.03 108.41 108.00 100.00 105.23 110.13 123.73 123.49127.70 114.10 123.40 121.80 111.90 109.05 85.05 79.20 86.05

35.65 37.72 35.93 45.32 46.80 54.11 56.67 50.59 48.51741.55 712.00 829.55 883.10 894.35 1132.90 1096.25 1083.75 917.80116.45 127.05 161.70 160.70 148.40 166.70 137.75 106.50 75.45

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10033.15 9582.55 10067.85 10273.45 10169.40 10915.80 12806.85 13151.00 11491.4099.21 97.63 110.59 147.85 163.65 171.38 191.89 198.30 209.97

285.50 291.75 274.65 298.10 293.95 279.45 242.65 261.35 263.25121.10 131.60 157.85 202.00 220.05 375.75 356.05 369.05 308.60914.95 936.10 981.55 976.45 977.90 966.35 959.20 1067.60 982.85222.60 250.05 278.90 282.30 291.20 286.20 294.50 305.80 315.25

44.43 45.83 52.95 59.52 68.83 69.95 70.61 70.28 79.85153.00 164.65 186.25 192.95 235.25 301.70 282.15 261.95 266.70152.35 150.35 146.30 159.50 153.00 150.25 149.85 149.00 131.00402.45 345.55 342.35 393.15 381.80 440.80 459.30 376.65 313.35352.35 354.85 317.85 318.40 317.90 390.60 469.75 483.95 469.90299.10 327.30 335.70 347.75 402.60 492.50 531.45 568.00 581.30168.40 167.60 170.25 161.95 162.50 214.20 203.35 203.95 176.70340.05 347.40 355.55 367.30 374.10 440.10 461.40 460.90 409.35

67.40 87.95 96.05 114.05 124.05 137.50 161.25 145.80 131.30136.80 141.45 136.35 145.95 143.30 133.05 139.80 133.85 134.70245.65 247.25 256.25 265.95 259.30 271.00 267.70 259.45 248.05

34.65 34.00 36.60 41.10 38.95 36.50 39.65 33.85 35.3045.00 46.00 58.35 65.15 77.80 92.20 126.50 129.10 110.0596.35 122.95 118.75 173.20 178.25 203.55 196.15 226.60 185.50

143.85 131.80 131.45 146.70 145.30 135.15 133.50 122.50 108.1060.30 68.00 62.30 63.00 62.25 72.00 80.25 91.10 81.55

322.70 315.65 329.98 330.75 329.75 359.83 341.20 393.58 428.8073.15 73.65 72.10 78.55 92.75 92.35 100.95 100.70 83.7583.53 69.46 71.64 79.20 74.65 71.60 66.50 66.35 58.95

177.60 164.65 194.20 211.50 222.85 209.50 223.95 216.40 169.8573.75 71.70 63.05 79.85 81.50 89.65 100.05 94.50 74.9569.73 67.60 65.00 68.00 68.10 66.60 66.85 63.20 59.65

670.82 728.40 786.62 870.75 851.80 881.80 901.85 849.40 813.0563.70 61.55 58.25 57.90 57.90 60.00 57.85 55.10 51.35

160.65 213.55 204.35 251.95 252.20 298.00 361.05 320.10 315.85177.10 183.00 175.80 196.40 200.40 206.15 255.75 272.35 251.80607.70 684.55 760.10 777.55 685.65 727.05 685.35 629.60 605.90260.55 268.65 249.55 277.45 230.55 261.50 279.55 254.75 225.05

50.05 51.60 56.75 52.55 71.05 72.00 68.45 66.55 52.35339.20 356.80 349.55 400.60 442.25 428.60 465.15 439.85 417.00339.85 348.75 333.85 364.25 357.70 365.45 380.15 427.80 388.15

58.50 52.30 46.40 47.70 45.15 47.90 48.00 46.00 39.95121.93 122.53 121.02 125.76 124.52 131.96 129.73 130.13 119.51223.45 270.80 297.40 337.65 397.00 424.85 423.85 363.35 320.45

73.60 94.25 106.00 116.90 104.75 105.90 99.55 101.70 96.8050.05 47.95 43.00 44.65 48.20 50.20 51.15 49.05 44.95

298.00 321.20 311.50 323.65 302.65 352.20 349.25 361.90 356.70149.15 129.90 107.75 131.55 119.45 132.80 135.05 125.15 97.95171.50 212.60 208.05 218.00 220.85 247.35 268.35 282.75 303.80

51.60 53.25 52.35 52.00 51.20 65.45 61.75 80.70 71.80374.95 369.60 341.00 374.85 372.25 380.30 360.20 381.70 302.55

56.65 55.85 54.00 57.60 58.00 56.50 65.15 64.45 61.70

Page 63: Portfolio - Size Momentum

263.35 245.65 263.70 255.65 223.85 220.10 220.70 215.45 194.701329.30 1194.05 1159.80 1285.05 1355.60 1318.45 1469.25 1297.20 1197.30

145.10 163.05 155.60 172.90 173.50 167.00 198.10 196.40 154.75948.70 886.40 896.75 932.70 955.40 1081.75 1117.45 1080.30 1154.85

11.32 11.82 10.89 11.26 10.79 10.24 9.86 9.46 8.27330.29 324.91 353.86 346.00 363.86 378.83 381.17 377.29 351.03882.25 878.90 878.65 871.05 968.00 969.90 958.00 960.95 992.25

73.15 71.20 65.05 73.80 67.15 67.40 67.65 66.65 56.001193.90 1210.70 1260.70 1249.95 1138.30 1164.70 1190.90 1152.05 1058.65

627.15 629.35 607.00 628.65 656.80 623.70 639.60 575.20 554.45979.00 1024.75 1031.70 1170.60 1111.95 1212.30 1311.15 1145.00 1104.55

50.90 55.60 53.00 58.55 53.10 52.65 49.55 47.05 43.2548.70 51.15 49.65 56.25 55.25 55.55 50.10 42.95 41.55

847.35 981.20 965.95 1098.35 1111.00 1119.80 1199.30 1364.15 1349.65115.95 117.65 126.30 123.65 123.90 128.40 110.15 112.20 107.30133.00 128.75 125.90 131.60 131.65 125.95 123.25 112.70 104.20378.40 319.00 277.50 309.05 288.40 283.80 279.65 266.05 225.20

40.25 39.60 40.90 43.30 39.10 39.05 40.50 38.95 39.05159.05 177.15 181.85 188.60 188.05 190.40 179.30 170.65 168.80139.05 126.50 132.25 145.40 140.80 159.80 149.65 130.20 113.40

49.55 45.85 43.45 50.00 52.55 55.80 60.05 59.00 52.9066.85 57.60 58.45 70.70 65.80 77.60 73.40 73.70 56.1070.50 64.15 66.45 78.05 77.35 77.55 81.55 82.15 74.5018.69 18.50 21.61 21.64 24.97 23.10 24.19 23.19 20.7661.50 51.40 53.75 57.65 68.80 77.75 85.75 83.70 66.15

340.60 358.15 294.65 317.05 319.40 306.90 300.55 298.70 277.40196.65 258.45 349.70 405.65 323.75 316.40 320.95 370.55 368.30

89.50 83.50 78.95 80.85 83.15 83.45 83.30 84.10 83.7553.05 50.55 51.55 59.45 60.25 58.60 57.00 58.05 54.0039.45 40.45 38.55 44.90 70.30 78.70 113.05 112.50 96.65

165.00 145.00 166.15 200.30 192.00 200.30 180.75 206.70 166.8517.59 15.69 11.86 12.57 11.40 11.25 11.07 10.74 8.56

121.90 126.55 173.95 183.40 174.05 175.60 157.70 124.35 103.9013.36 18.23 17.95 22.75 20.95 23.15 23.95 25.70 21.5565.10 59.75 59.40 72.10 84.05 86.25 84.05 74.90 69.10

106.05 102.40 88.60 88.65 71.65 71.15 88.30 76.70 68.65841.65 888.70 1010.30 1066.80 1109.10 1276.80 1298.85 1201.40 1096.15394.65 385.65 382.75 427.35 478.00 478.90 511.95 549.75 550.45127.40 111.55 117.00 130.45 119.80 125.05 114.10 114.30 118.90154.65 147.70 152.15 157.35 153.00 220.55 189.60 183.40 152.20

93.62 94.30 97.80 100.47 106.47 138.38 140.43 150.26 144.29204.70 210.65 215.95 244.70 241.70 257.35 243.65 235.45 216.60183.10 193.90 158.10 165.90 178.90 185.60 180.25 195.75 172.05

98.15 98.05 111.40 112.65 119.70 104.45 105.25 105.30 91.5589.00 84.90 83.30 74.70 66.20 61.70 64.25 69.90 61.0548.85 51.00 44.45 54.60 50.40 54.35 60.10 53.05 40.65

297.05 280.30 273.55 289.00 275.80 323.60 336.75 305.90 278.5585.30 87.50 77.00 86.25 81.30 81.40 83.20 82.65 76.45

Page 64: Portfolio - Size Momentum

505.10 481.75 482.00 470.25 481.10 530.95 555.15 532.25 513.85572.80 558.70 629.30 655.20 652.45 732.00 726.35 648.40 598.60226.40 218.65 204.90 282.45 261.00 291.55 300.75 289.25 261.65

15.13 14.85 23.83 23.85 25.55 29.15 30.80 26.70 22.3580.00 84.00 81.00 83.00 91.35 87.50 91.85 97.60 81.65

329.45 322.00 345.00 377.75 405.10 414.70 407.35 410.40 403.2551.60 54.05 66.40 67.10 68.10 63.90 49.50 45.75 47.3552.80 44.05 38.70 46.45 39.75 42.25 45.60 34.35 25.7083.15 68.20 64.80 87.50 88.00 83.20 94.05 95.20 73.70

101.25 101.20 95.00 109.70 117.65 129.20 118.45 105.65 89.45110.05 105.25 96.80 93.35 100.65 99.65 97.35 93.25 75.70

40.25 35.40 26.10 30.90 27.80 31.35 33.50 35.35 29.1555.70 57.00 56.20 73.30 63.40 64.80 67.10 60.95 50.65

0.81 0.81 0.81 0.61 0.63 1.06 1.10 1.05 1.37131.60 139.50 130.30 138.60 137.40 136.95 134.55 136.40 128.75206.20 202.95 213.95 224.10 222.45 207.95 200.70 192.90 183.20132.35 135.25 129.30 136.25 132.05 127.50 127.45 124.10 127.60224.05 235.30 219.55 240.00 244.35 249.75 245.55 272.30 279.35220.20 216.70 214.30 225.20 218.10 243.05 230.70 222.70 195.80

77.95 82.15 84.30 89.30 85.55 87.65 95.20 92.15 91.4582.95 72.30 73.70 92.30 82.20 81.30 84.25 81.00 67.1058.15 53.60 46.95 56.20 54.00 58.55 62.30 59.45 49.7564.70 56.45 55.70 70.75 63.90 71.85 73.65 76.50 65.40

1.40 1.52 1.47 1.58 1.47 2.50 3.58 3.52 3.83117.38 124.50 154.60 160.05 176.85 188.85 162.45 151.35 158.00383.20 354.80 354.25 345.55 335.80 528.70 558.20 622.10 540.10

81.00 78.15 75.10 71.20 97.95 132.20 156.90 136.40 70.8520.75 19.15 17.70 19.80 22.00 23.50 23.10 22.70 18.5058.40 52.90 50.90 60.05 53.80 53.15 54.55 53.05 47.3523.29 25.37 25.91 28.50 29.45 33.47 32.55 32.82 27.97

1632.10 1555.90 1974.85 2037.00 2057.55 2072.00 2237.05 2178.55 1988.9520.45 17.50 15.30 18.05 17.05 18.30 18.05 17.80 15.30

389.00 381.60 403.10 437.45 440.75 381.30 377.80 350.80 280.5548.00 47.45 45.00 71.40 81.45 98.90 89.80 81.75 62.20

127.20 148.25 171.00 195.80 189.60 189.65 184.65 188.15 168.5542.70 40.45 39.55 43.55 42.15 41.50 40.75 38.85 35.5031.00 29.70 30.05 33.60 34.05 36.20 35.45 33.35 31.60

302.00 278.70 259.90 275.15 263.65 269.10 262.00 242.75 208.8536.45 37.90 39.15 42.25 38.80 38.95 41.80 43.70 38.6080.15 68.05 64.20 72.55 65.05 62.35 61.70 62.80 65.4031.45 32.70 28.55 31.40 29.80 30.95 30.95 31.60 27.7015.35 12.95 11.20 14.61 12.65 14.00 13.54 12.85 10.7119.80 21.45 21.95 24.75 25.50 26.90 26.45 26.90 24.05

118.40 102.20 93.85 101.40 96.45 105.60 106.70 100.60 58.5012.66 13.10 13.94 15.57 16.25 17.40 22.20 20.45 16.4055.22 55.91 63.51 63.60 59.96 54.76 48.82 46.05 45.6865.70 64.00 60.95 69.50 73.90 86.40 100.50 104.40 96.50

118.10 109.25 109.65 112.10 104.25 101.40 100.65 87.55 61.45

Page 65: Portfolio - Size Momentum

391.15 364.30 375.85 404.70 408.65 418.45 410.55 358.05 310.9523.55 30.35 36.60 32.45 26.25 25.60 26.40 24.60 21.4524.30 21.50 22.60 27.40 27.00 35.25 44.10 36.75 33.1561.50 59.95 54.20 66.70 64.55 63.70 65.25 62.50 54.9530.46 25.19 22.60 31.53 29.22 31.94 38.72 31.40 25.1940.65 37.20 36.55 40.70 35.55 35.00 37.95 34.95 27.4052.50 57.35 59.95 62.90 61.00 56.60 60.55 58.20 49.9056.00 55.75 53.25 62.95 56.40 59.95 67.30 73.35 60.4029.85 26.90 22.70 25.40 28.85 30.60 32.75 29.95 23.65

8.68 9.33 9.52 9.48 11.78 12.00 12.07 10.79 10.3061.15 55.80 43.25 57.65 57.40 68.55 74.80 76.85 59.75

422.40 407.40 398.80 401.55 362.10 341.90 336.25 322.30 226.6068.50 58.15 60.75 63.90 65.75 66.35 73.90 68.05 60.6063.60 68.80 66.55 73.80 69.00 84.75 93.40 84.20 81.7031.35 33.70 34.40 39.75 36.85 36.55 33.80 43.50 34.6031.65 30.85 30.30 36.05 31.45 31.20 31.70 29.25 23.5565.05 69.70 100.50 96.25 95.60 115.15 115.50 108.60 69.0519.50 24.15 24.40 38.00 88.35 90.45 99.65 100.25 100.1041.50 37.50 39.55 43.30 42.45 38.55 37.85 36.75 31.5518.70 17.65 19.40 20.40 22.30 25.85 24.50 25.05 25.40

133.50 137.00 117.80 176.05 276.40 296.40 352.95 326.40 324.4021.85 19.00 18.53 23.90 28.25 35.75 32.55 33.55 24.6536.35 33.45 31.91 30.70 34.75 46.05 41.30 37.95 30.10

Page 66: Portfolio - Size Momentum

RETURNS Mar-13 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12

26.75 -5.727% -8.011% 3.098% 1.361% -4.530% -9.549% -0.389% -6.177%1243.75 1.267% 8.005% -8.750% -3.590% 4.315% 17.066% -7.999% -0.531%

715.80 13.872% 0.251% -1.748% 2.979% -0.214% 10.490% -12.700% 7.607%2346.45 0.134% -0.969% 1.215% -0.646% 0.076% -11.721% 0.332% 11.524%2005.80 21.720% 9.210% 17.124% 4.584% 25.401% 5.695% 16.051% 6.729%

548.72 18.092% -14.862% 11.502% -9.220% 0.094% 9.279% -4.505% -4.842%524.30 -5.426% -4.801% -1.622% -11.414% 8.012% -5.218% 1.576% 2.668%

67.10 20.966% -7.474% 20.032% 5.787% 7.761% 41.322% -3.425% -5.709%886.25 7.061% 1.779% 0.606% -15.417% 1.336% 5.177% -1.642% 1.233%129.54 -2.990% 0.577% 4.176% -7.363% 1.374% 14.464% -7.682% -0.581%

2544.50 14.887% 0.658% -12.825% -2.423% 8.240% 8.908% 0.687% 17.905%113.20 -20.587% -2.866% -0.525% 5.471% -6.563% 14.181% -0.117% 13.959%466.10 1.574% 2.486% 6.480% 2.773% 10.986% 5.075% 0.533% -1.662%299.25 -10.451% -11.627% -1.544% -12.861% -1.181% 11.934% -14.202% 0.728%294.76 3.017% -2.910% -6.651% -1.471% -0.315% 20.898% 5.041% 1.793%

1246.45 -0.332% 7.930% -0.571% -2.941% 5.101% -0.940% 6.454% 12.270%833.60 -1.659% 6.161% -7.453% 1.896% 0.143% 15.617% 7.087% 4.739%165.65 2.059% -4.196% 4.408% 0.565% 2.781% 2.680% 6.790% -0.261%

1868.00 -5.564% -0.464% 6.689% 8.251% 3.512% 16.189% 1.382% -2.018%2554.45 -0.021% -4.470% 1.960% 0.147% 15.509% 2.011% -3.620% 0.110%

779.25 12.530% 6.484% -0.374% 9.605% 10.038% -3.309% 8.379% 1.624%409.18 5.768% -5.786% 11.991% 2.549% 2.578% 3.702% 0.065% 2.306%491.44 8.812% 14.522% -3.787% -6.306% 0.448% 7.750% -1.717% 11.855%629.05 4.182% -2.247% -0.074% 11.521% -1.289% 0.497% -4.981% 4.253%

1161.25 -8.973% -7.650% 11.169% 4.106% -0.542% 11.943% -6.119% 0.337%212.25 1.375% -1.046% 4.913% 6.452% 2.174% -0.150% 4.914% 6.237%309.10 8.243% -6.231% 12.465% -0.483% 3.822% 1.626% 4.009% 5.463%

1070.60 3.133% -4.969% 1.213% 12.357% 7.318% 1.000% 2.313% 18.873%97.75 12.882% 16.160% -1.757% 1.131% -0.036% 6.065% -4.289% 5.939%

256.50 1.903% -4.336% -0.247% -0.022% -0.292% 18.028% -0.822% 20.181%263.10 1.887% -9.646% 1.132% 1.059% 14.547% 7.865% -6.880% 11.420%651.40 7.485% -3.585% 5.354% -9.574% 8.272% 11.736% -6.760% 10.694%224.95 -1.293% -8.569% 13.374% -2.991% -8.043% 17.368% -13.786% 9.364%769.20 19.776% -10.454% 4.118% 8.584% 7.993% 10.695% -2.176% 3.522%173.45 -11.883% 0.099% 15.161% 3.622% 2.885% 8.897% 0.371% 2.467%

83.75 -24.528% -10.238% 15.053% -3.804% 1.618% 11.969% 0.474% -10.115%1794.90 -3.266% -6.783% 3.900% 1.867% 0.877% 13.439% -1.012% 6.428%

978.80 -0.733% -19.165% 7.638% -2.485% -4.087% 18.925% 1.209% 17.232%128.00 4.418% -7.863% 7.560% 9.357% 2.681% 9.677% 5.217% 10.283%378.15 -3.990% 3.738% 6.963% -2.416% -7.263% 2.744% -2.512% 2.932%

83.40 13.863% -4.261% -8.671% -1.646% 21.042% -1.701% -7.247% -1.516%983.70 11.674% 9.239% 9.794% 6.666% 5.368% -6.412% 11.092% -2.096%

80.95 -0.455% -6.678% -5.688% -11.543% 10.557% 3.912% 3.382% 2.222%696.70 -0.970% -11.513% 14.962% 2.275% 12.770% 3.873% 18.205% 3.148%610.40 -6.951% -1.100% 22.220% -2.303% -5.239% -5.119% 6.690% 0.405%526.60 7.373% -5.213% 5.353% 11.442% 8.856% 10.568% -4.670% -0.577%

Page 67: Portfolio - Size Momentum

624.10 4.259% -6.686% 11.375% 4.321% 1.225% 5.655% 0.930% 10.890%557.75 2.782% -9.732% 11.175% 3.718% -3.480% 10.816% 13.468% 6.384%137.05 4.887% -6.496% 9.296% 4.516% 3.607% 3.725% -3.005% 2.857%269.30 14.889% -26.377% 3.795% -6.672% 3.475% 14.417% -4.786% 7.697%

2189.25 -6.044% -6.579% 0.246% 4.239% 0.776% -6.631% 1.133% 2.323%359.35 5.118% -6.446% 2.700% -12.287% 3.727% 4.567% 0.473% 4.375%347.63 5.774% -8.106% -1.833% 11.561% 5.708% -1.802% -2.620% -1.619%462.55 5.363% 10.042% 1.640% 6.123% 14.815% -4.493% 1.185% 2.132%

1766.30 0.077% -3.935% -2.455% -2.110% 4.382% -2.243% 6.647% 3.757%2811.80 -2.341% -9.958% 14.500% 8.446% 3.391% 11.694% -0.006% 1.341%1279.70 1.542% -19.231% 5.721% -3.137% 0.485% 18.563% 6.397% 2.597%

257.05 0.596% -4.775% -5.637% -5.026% -0.998% 16.101% 3.094% 4.722%1059.15 -2.703% -4.220% 5.562% 0.558% 12.087% 21.787% -2.480% -6.785%

55.30 -2.161% -7.940% 3.632% -1.377% -2.030% 4.016% -5.791% -4.891%439.90 7.484% 2.589% -5.182% 1.458% 10.814% -3.945% -0.746% -4.252%223.90 17.408% -6.517% 3.837% -8.587% 2.676% 24.258% 7.720% -0.787%119.09 2.180% -0.928% 6.779% -8.073% 0.675% 1.547% 31.452% 12.420%319.75 -1.372% 0.709% -5.953% -6.903% 5.490% 7.163% 8.094% -13.233%129.20 -13.331% -8.098% 15.177% -6.149% 2.262% 16.972% -7.858% 0.566%173.40 -8.323% -23.094% 3.669% 1.370% -12.134% 23.134% -12.386% 8.791%914.55 2.914% -6.015% -0.566% -3.407% 1.555% 3.421% 9.268% -0.899%210.75 -0.277% 4.319% 11.774% 14.067% -2.413% 19.444% -3.143% 2.982%322.40 -2.908% -7.988% 0.664% -1.529% -0.588% 5.342% -1.295% 3.667%

96.11 -1.455% -0.262% 7.081% -7.739% -1.596% 9.507% 8.390% -0.279%497.10 -2.928% -11.051% 6.154% -6.269% 6.876% 11.256% -3.931% -0.913%239.75 -16.913% -10.116% 6.168% -0.356% -4.207% 16.141% -12.715% 0.569%795.95 6.147% -1.533% -5.544% 8.610% 5.346% 5.956% 5.205% 7.804%

73.45 4.446% -1.799% 2.320% -27.387% 12.983% 13.891% 0.958% 6.452%400.60 13.269% 7.773% 1.026% 0.030% 0.503% -0.600% 15.697% 4.505%861.15 1.901% -8.231% 8.470% -0.912% 9.237% 12.984% 2.285% 6.853%185.00 -10.049% 0.292% 0.136% -3.902% 19.111% -2.205% -1.925% -3.218%309.15 2.754% -8.751% 7.989% 3.425% -1.823% 1.899% -3.672% 5.690%

1571.80 6.598% 0.072% 2.549% -2.888% 8.596% -3.956% 1.499% -0.042%511.25 -11.331% -4.523% 14.509% -0.741% -1.070% -0.143% -1.583% -5.719%392.00 -9.003% 1.876% -0.854% 6.822% -3.590% 5.108% -3.915% 0.492%825.75 0.037% -2.760% -0.122% 5.531% 6.183% 5.393% -1.721% 10.775%

25.90 -0.738% -11.400% -2.657% -8.908% -20.032% 38.856% 9.091% 0.781%741.35 -4.184% 0.302% 5.298% 14.028% 4.424% -4.771% -1.301% -2.794%

60.30 -8.700% -13.082% -4.367% -0.194% -19.695% 4.768% -7.443% -9.917%67.05 -6.265% -3.509% 9.957% 9.213% -5.335% 25.666% -8.667% 4.114%

272.15 3.283% -3.541% -7.463% 8.390% 1.890% -2.606% 1.769% -2.154%458.00 3.886% 2.131% 5.125% 1.931% -2.106% 7.426% -0.896% -6.397%379.75 2.397% -0.705% 2.180% 7.001% 11.697% 0.648% -4.493% 13.893%138.75 -1.240% -3.492% -1.463% -1.031% -6.086% 13.049% -0.589% 2.449%233.90 5.465% -8.216% 6.656% 6.198% -6.849% 5.895% -0.267% -1.730%291.80 -7.854% -2.643% 0.960% -1.590% -18.141% 7.794% 1.567% 25.335%245.95 -3.549% -2.816% -8.986% -3.762% 2.255% 15.367% -3.138% 9.969%102.95 -6.758% -14.419% -12.364% -13.592% 10.467% 0.920% 9.549% 0.979%

Page 68: Portfolio - Size Momentum

229.80 4.307% -3.008% 0.912% 4.379% -2.829% -2.119% 4.229% -1.708%204.80 -0.187% -2.559% -3.924% 0.000% -6.801% 9.229% -11.184% -2.028%311.55 0.898% -5.933% 12.219% 0.386% -3.376% 1.539% -4.315% -1.267%437.15 -7.722% 1.098% -2.503% -14.876% 8.149% 3.727% -7.999% 12.015%109.95 -7.114% -10.325% 15.405% -7.354% -5.005% 15.168% 8.688% 8.546%

1149.15 -3.883% -15.133% 7.819% -13.369% 7.027% -2.931% 1.738% -3.061%61.55 -8.597% -12.354% 14.148% -14.687% -15.515% 27.255% -5.660% 4.919%

202.60 -0.087% -1.401% 1.154% 0.029% 2.779% -2.305% -0.903% 25.103%226.35 -6.562% -4.657% 4.425% -2.278% -4.862% 6.533% 3.932% 4.521%

1444.95 -14.044% -0.924% 2.570% -10.995% 6.548% 6.773% -6.728% 3.093%149.00 -4.929% 0.638% -2.259% 18.461% 1.332% 7.467% 0.524% 0.413%

65.50 -8.517% -16.879% 18.453% -0.204% -11.588% 26.754% 6.144% 10.201%113.50 -7.866% -34.353% 12.561% 0.039% -3.074% 23.627% -19.934% 11.216%264.80 -6.320% 5.236% 7.976% 2.623% 2.674% 8.583% -17.152% 12.728%143.65 -10.733% 3.524% 9.131% -1.431% 0.074% 14.918% 4.921% 6.788%

88.05 9.631% -1.823% -0.169% 10.485% -10.867% 5.896% 10.378% -9.745%128.77 -3.844% -8.666% 0.275% -2.228% 15.548% 20.535% 4.640% 12.179%117.20 -10.731% -4.567% 13.318% -4.542% -1.002% 10.666% -12.990% 4.378%549.05 2.250% -12.449% 8.271% -7.326% -0.294% 4.450% -3.139% -2.323%194.25 3.424% -8.609% 2.072% 9.678% 4.642% 21.322% -3.489% 14.987%

54.65 -19.755% -8.444% 16.778% -5.233% -8.133% 32.896% 4.934% -3.213%324.65 -10.172% -14.596% 24.009% -11.624% -8.876% 19.804% -12.892% 3.431%

82.10 -9.650% -20.979% 6.476% -9.445% -1.085% -0.042% -3.797% 15.482%285.10 -0.759% -3.440% 15.316% 2.746% -12.941% 2.519% -2.962% -3.891%199.25 -0.830% -7.201% 2.330% -5.530% 8.379% 0.695% -6.304% -4.897%142.00 -0.184% -9.544% 8.747% -1.659% 7.002% -0.149% -1.579% -1.877%154.55 -0.807% -12.165% 0.633% 7.095% -12.034% 12.536% -1.144% -1.907%

65.90 -3.265% -10.488% 10.303% -2.259% -1.249% 9.994% -5.865% -0.672%135.56 -3.364% -10.424% 6.623% -10.437% -3.628% 26.303% -9.198% 5.234%169.73 -2.435% -3.478% 1.375% -9.767% 0.000% 16.386% -5.373% 6.334%260.25 -3.430% -12.204% 4.555% 2.648% -4.105% 13.686% 4.126% 11.211%208.15 1.557% -21.078% 16.146% -1.725% -0.798% 16.939% -1.284% 6.965%139.75 0.743% -2.312% -7.907% -13.208% -6.711% 18.710% -12.717% 4.465%126.50 -10.792% -20.975% 13.976% -10.591% -10.912% 22.945% -7.165% 5.402%319.15 -11.882% -2.406% 9.056% 0.640% -0.650% 8.945% -8.941% 1.018%162.70 10.366% 4.673% 1.430% -4.402% -6.303% 29.437% 13.380% 7.282%209.07 -0.654% -11.022% 14.701% 6.797% -5.355% 16.271% -0.681% 4.624%305.55 -7.552% -6.887% -0.136% 0.288% -5.422% 2.859% -5.589% -0.296%909.93 -6.164% -4.403% 19.197% -1.982% -2.063% 19.036% 1.754% 2.607%

94.50 -2.305% -6.950% 9.175% -14.105% -10.029% 23.005% -8.085% 6.477%711.40 0.117% -12.490% 22.926% -2.455% 16.902% 15.939% 2.047% 14.251%670.70 -4.109% -9.097% 7.909% -1.621% 4.118% 8.846% -2.332% 0.460%281.45 0.781% -3.306% 0.020% 5.567% -9.660% 2.642% 3.911% 1.171%

55.20 -10.589% -14.039% -1.780% -11.742% -13.214% 33.230% -16.602% 32.130%348.15 -7.761% -12.184% 6.354% -15.069% -11.649% 21.345% -9.380% 3.769%686.97 -5.109% -2.167% 4.464% 2.689% -0.181% 1.834% 5.382% -7.541%

19.90 -3.817% -2.910% -0.545% 0.000% -2.740% 9.014% 11.370% 7.889%568.70 -3.973% 0.179% 7.029% 0.837% 0.633% 15.676% 3.466% 1.619%

Page 69: Portfolio - Size Momentum

21.55 -13.710% -22.991% 22.087% -7.356% -21.674% 35.616% -19.192% -6.750%143.50 -8.034% -11.278% 7.213% -10.159% -6.870% 23.886% -11.975% 6.284%

53.50 -3.211% -9.466% 10.098% -4.221% 1.356% 12.458% -6.468% -0.318%312.30 -1.435% -13.113% 9.544% -6.277% -12.355% 10.552% -2.121% -1.746%

93.03 4.611% -11.327% 11.919% -6.351% 1.581% 7.380% -0.935% 1.510%207.28 2.050% -3.852% 5.037% -7.130% -7.989% 21.295% -5.733% 2.865%384.45 -7.769% -7.657% 2.231% -11.312% -13.329% 36.009% -6.819% 15.694%302.50 -2.258% -3.514% 1.895% -14.197% -13.556% 20.637% -10.857% 1.482%234.65 -7.246% -1.124% 7.359% 4.990% -5.929% 19.316% -13.302% 3.651%695.80 -4.152% -8.045% 0.180% 9.263% 9.984% -2.551% 0.986% 6.945%181.50 -7.582% -12.408% 20.040% -3.104% -8.831% 19.437% -1.776% 3.832%

80.25 -2.770% -16.061% 9.421% -5.936% -4.207% 18.754% -7.196% 16.424%773.70 -0.408% -5.260% 4.455% 0.732% 3.917% 8.388% -3.759% -1.410%

66.90 -2.695% -21.590% 7.129% -12.393% -8.362% 18.935% -10.934% 10.194%23.50 -7.652% -19.397% 3.037% -1.814% -14.550% 31.351% -4.938% 37.229%

8.31 -12.063% -6.354% 9.252% -9.809% -21.987% 34.804% -11.161% 6.030%391.50 -8.544% -16.553% 26.365% -12.568% 12.386% 17.762% -5.781% 23.998%274.60 -0.063% -7.251% 7.682% 1.242% 7.857% 5.820% -3.278% 7.870%312.70 -15.988% -6.197% 16.111% -6.889% -3.654% 34.059% -11.468% 10.740%155.65 -2.934% -0.849% 2.461% -1.018% -9.573% 0.000% -0.525% 6.802%

76.83 -4.002% 2.158% 0.096% -2.782% -8.991% 13.173% -4.538% 5.946%99.90 6.733% -8.037% 3.100% -3.401% -6.480% 12.439% -1.504% 10.640%

176.95 -12.473% -5.758% 9.507% -7.066% -0.626% 15.162% -8.811% 3.665%91.50 -6.837% -3.234% 2.742% 0.000% -13.470% 16.145% -3.361% -0.086%75.45 -2.454% -8.371% 4.493% 1.338% 4.196% 12.760% -11.116% -2.302%

145.90 10.135% -16.648% 0.733% -1.228% 1.934% 28.004% 11.715% 18.793%40.65 -6.076% -25.955% 5.158% -12.613% -10.424% 35.166% -8.893% 9.865%

148.48 22.592% -19.787% 20.817% -9.426% -15.109% 52.680% -15.988% 17.275%61.60 -11.032% -18.601% 16.143% -2.527% -20.185% 7.889% -6.237% 3.593%

1898.00 28.892% -27.850% 21.682% 18.008% 20.580% 24.819% -3.469% 69.442%13.65 -9.881% -20.833% 2.770% -0.539% -18.970% 18.796% -11.599% 24.522%62.35 0.851% 0.053% -4.531% -5.519% -8.937% 9.622% -5.968% 0.622%93.70 -4.777% -14.899% 8.263% -4.249% -7.152% 17.123% -0.951% -8.480%46.25 -5.676% -16.377% 29.006% -8.913% -13.763% 42.972% -1.997% 17.973%

201.95 -7.807% -6.828% -14.945% -18.808% -13.910% 29.385% 7.189% 11.302%10.39 -23.352% -10.968% 20.290% -15.261% -13.112% 37.273% -20.530% 15.750%77.60 1.587% -7.445% 9.533% 0.816% -14.928% 7.400% 23.622% 11.465%70.50 -1.589% -3.324% 2.014% -11.844% 6.881% -1.124% -0.413% 7.265%

428.93 23.413% 11.848% 11.467% 6.205% 12.651% -0.429% -6.482% -2.929%1504.55 34.362% -4.368% -5.866% -5.607% 2.489% 3.816% -0.825% 4.786%

192.25 9.897% -13.549% 1.175% 8.097% -4.777% 16.622% 8.501% 20.549%44.18 12.528% -4.039% -1.232% 21.414% -5.051% 0.541% 19.552% 2.101%

272.15 13.861% -9.003% -5.720% 16.621% -9.032% 5.868% -7.074% -3.636%129.22 1.447% -11.095% 3.573% -1.408% 10.589% -0.378% -7.407% 5.230%

84.90 10.726% -7.873% 6.996% -10.650% 8.151% -1.297% -8.128% -2.547%53.85 -5.586% 5.434% 8.722% 5.806% -4.745% 26.134% 3.266% 15.620%

871.75 14.037% 1.113% 8.827% -3.985% 16.510% 6.455% 1.274% 26.673%66.90 38.024% 0.043% 0.997% 9.103% 27.273% -0.618% -7.654% 12.332%

Page 70: Portfolio - Size Momentum

11992.60 15.324% -4.627% -8.200% -4.491% 5.064% 2.042% -1.013% 7.340%202.98 1.674% 5.971% 4.873% -1.593% 13.275% 33.692% 10.687% 4.723%281.35 -4.061% 18.834% -7.560% 2.189% -5.861% 8.538% -1.392% -4.933%339.35 -5.225% -6.049% -1.304% 8.671% 19.947% 27.970% 8.936% 70.757%

1030.40 1.664% 0.047% 7.686% 2.312% 4.855% -0.520% 0.148% -1.181%314.30 -0.456% 0.917% 6.456% 12.332% 11.538% 1.219% 3.153% -1.717%

72.02 3.119% 5.875% 4.911% 3.151% 15.536% 12.408% 15.642% 1.627%303.40 0.472% 2.416% 0.262% 7.614% 13.119% 3.597% 21.923% 28.247%118.80 6.697% -11.171% 3.009% -1.313% -2.694% 9.023% -4.075% -1.797%284.50 -5.196% -9.892% 11.005% -14.138% -0.926% 14.839% -2.887% 15.453%403.45 -0.315% -1.434% -5.915% 0.710% -10.427% 0.173% -0.157% 22.869%589.25 0.138% -6.944% -1.238% 9.428% 2.566% 3.590% 15.773% 22.330%173.10 2.512% -10.797% 1.660% -0.475% 1.581% -4.875% 0.340% 31.815%429.05 21.173% -8.807% -13.008% 2.161% 2.346% 3.305% 1.851% 17.642%

97.35 0.153% -6.355% 10.221% 30.490% 9.210% 18.740% 8.768% 10.842%125.00 -2.271% -5.710% -3.662% 3.399% -3.606% 7.041% -1.816% -7.153%233.80 -5.347% -6.847% 0.306% 0.651% 3.640% 3.785% -2.500% 4.512%

47.70 4.474% -6.675% -6.478% -1.876% 7.647% 12.295% -5.231% -6.290%113.35 4.970% 3.580% 0.334% 2.222% 26.848% 11.654% 19.417% 18.509%188.90 3.333% -12.304% 1.261% 27.608% -3.416% 45.853% 2.916% 14.194%119.40 -8.592% -11.201% 14.485% -8.377% -0.266% 11.601% -0.954% -6.986%

82.45 -6.321% -16.406% 2.464% 12.769% -8.382% 1.124% -1.190% 15.663%455.83 20.677% 7.088% 2.444% -2.185% 4.538% 0.235% -0.302% 9.121%

81.45 18.776% -6.825% 9.342% 0.684% -2.105% 8.946% 18.078% -0.431%58.45 4.625% -1.462% -3.922% -16.844% 3.138% 10.553% -5.745% -4.086%

169.75 -9.389% -3.095% 1.283% -7.292% 17.947% 8.908% 5.366% -5.991%77.40 5.458% -10.983% -4.716% -2.780% -12.064% 26.646% 2.066% 10.000%61.85 16.904% 3.920% -0.747% -3.048% -3.846% 4.615% 0.147% -2.203%

769.20 19.776% -10.454% 4.118% 8.584% 7.993% 10.695% -2.176% 3.522%50.35 5.945% -2.613% 0.552% -3.375% -5.361% -0.601% 0.000% 3.627%

264.85 -14.512% 6.507% 9.659% 32.929% -4.308% 23.293% 0.099% 18.160%267.25 -0.787% -8.337% -7.156% 3.331% -3.934% 11.718% 2.037% 2.869%614.60 -0.163% -15.651% -2.079% 12.646% 11.036% 2.296% -11.819% 6.038%244.50 20.972% 1.194% 18.244% 3.109% -7.110% 11.180% -16.904% 13.424%

53.40 -1.963% 2.447% 8.686% 3.097% 9.981% -7.401% 35.205% 1.337%403.55 -8.570% -10.006% 5.934% 5.189% -2.032% 14.604% 10.397% -3.086%349.15 -0.212% -9.339% 13.662% 2.619% -4.272% 9.106% -1.798% 2.167%

36.60 -12.469% -19.516% 3.540% -10.598% -11.281% 2.802% -5.346% 6.091%118.63 -1.145% -4.168% 5.765% 0.490% -1.234% 3.913% -0.981% 5.976%302.85 3.370% 0.581% 12.286% 21.190% 9.823% 13.534% 17.577% 7.015%

99.90 1.424% 1.035% 7.681% 28.057% 12.467% 10.283% -10.393% 1.098%40.50 0.542% -10.692% 0.704% -4.196% -10.323% 3.837% 7.951% 4.149%

349.75 2.581% -0.107% 6.486% 7.785% -3.020% 3.900% -6.488% 16.372%91.15 16.515% -13.845% 3.757% -12.906% -17.052% 22.088% -9.198% 11.176%

271.35 -2.864% -6.453% 1.992% 23.965% -2.140% 4.783% 1.307% 11.999%68.45 0.997% 15.461% -1.994% 3.198% -1.690% -0.669% -1.538% 27.832%

320.50 0.131% -0.760% -0.990% -1.427% -7.738% 9.927% -0.694% 2.163%58.10 -4.745% -0.453% 3.094% -1.412% -3.312% 6.667% 0.694% -2.586%

Page 71: Portfolio - Size Momentum

135.95 7.721% -8.969% 5.256% -6.721% 7.348% -3.053% -12.439% -1.675%1008.85 -0.027% 10.403% 7.466% -10.175% -2.868% 10.799% 5.490% -2.740%

163.95 -0.462% 0.322% 3.348% 12.371% -4.569% 11.118% 0.347% -3.746%1237.70 3.191% -3.093% 4.580% -6.567% 1.168% 4.009% 2.434% 13.225%

8.19 -6.266% 2.529% -0.264% 4.417% -7.868% 3.398% -4.174% -5.097%346.17 3.328% 5.162% -0.276% -1.626% 8.908% -2.220% 5.161% 4.115%

1024.65 6.373% 1.184% 0.742% -0.380% -0.028% -0.865% 11.130% 0.196%49.95 -1.683% -5.332% 1.739% -2.666% -8.638% 13.451% -9.011% 0.372%

1060.10 8.884% -15.512% 8.006% 1.407% 4.130% -0.853% -8.932% 2.319%484.20 -5.482% -1.311% 3.524% 0.351% -3.551% 3.567% 4.478% -5.040%994.55 -3.350% 0.005% 6.709% 4.673% 0.678% 13.463% -5.010% 9.025%

37.30 -1.632% -14.850% -5.566% 9.234% -4.676% 10.472% -9.308% -0.847%42.00 -5.123% -0.312% 1.458% 5.031% -2.933% 13.293% -1.778% 0.543%

1341.75 -9.907% -4.976% -0.505% 15.796% -1.554% 13.707% 1.152% 0.792%96.05 6.625% 38.921% -2.152% 1.466% 7.352% -2.098% 0.202% 3.632%

100.10 -8.841% -3.850% 0.491% -3.195% -2.214% 4.527% 0.038% -4.330%145.75 -18.035% -19.551% -11.918% -15.698% -13.009% 11.369% -6.682% -1.595%

40.00 15.186% -2.363% 2.548% -1.615% 3.283% 5.868% -9.700% -0.128%169.20 8.501% 5.984% -7.421% 11.380% 2.653% 3.712% -0.292% 1.250%115.35 -6.299% 9.315% 11.777% -9.026% 4.545% 9.943% -3.164% 13.494%

50.90 -1.467% -5.674% -2.268% -7.467% -5.234% 15.075% 5.100% 6.185%40.90 -11.603% -2.789% 12.827% -13.837% 1.476% 20.958% -6.931% 17.933%63.65 -6.124% -15.323% 2.471% -9.007% 3.585% 17.457% -0.897% 0.259%20.30 1.942% -9.527% 19.272% -1.017% 16.811% 0.139% 15.388% -7.489%60.30 -18.325% -8.516% 23.123% -16.423% 4.572% 7.256% 19.341% 13.009%

275.25 -2.701% 4.259% 3.072% 5.153% -17.730% 7.602% 0.741% -3.914%360.40 0.789% -17.907% 4.241% 31.426% 35.307% 15.999% -20.190% -2.270%

79.05 8.263% -1.106% 0.112% -6.704% -5.449% 2.407% 2.845% 0.361%54.50 3.892% -10.423% -3.545% -4.713% 1.978% 15.325% 1.346% -2.739%88.65 -0.771% -6.347% 9.129% 2.535% -4.697% 16.472% 56.570% 11.949%

162.65 -7.968% -15.129% -11.409% -12.121% 14.586% 20.554% -4.144% 4.323%8.20 -0.510% -4.103% -5.615% -10.765% -24.444% 6.050% -9.350% -1.311%

94.75 18.002% -0.104% 27.510% 3.815% 37.456% 5.433% -5.098% 0.891%23.25 16.687% -5.556% 45.534% 36.452% -1.536% 26.741% -7.912% 10.501%62.50 14.120% -3.220% 14.011% -8.218% -0.586% 21.380% 16.574% 2.617%63.85 -4.083% -21.048% 5.891% -3.442% -13.477% 0.056% -19.177% -0.698%

1204.95 -4.218% 6.453% 2.866% 5.590% 13.683% 5.592% 3.965% 15.120%541.65 12.254% -4.673% 15.142% -2.281% -0.752% 11.653% 11.852% 0.188%111.40 -19.982% -14.144% 13.144% -12.441% 4.886% 11.496% -8.164% 4.382%162.55 17.399% 0.741% 8.336% -4.494% 3.013% 3.418% -2.765% 44.150%147.76 2.293% -0.199% 9.805% 0.721% 3.717% 2.725% 5.977% 29.966%237.30 -4.483% 3.345% -4.658% 2.907% 2.516% 13.313% -1.226% 6.475%166.35 -5.005% -14.596% 3.622% 5.898% -18.463% 4.934% 7.836% 3.745%

93.70 21.877% -14.007% 5.879% -0.102% 13.616% 1.122% 6.258% -12.740%62.60 -2.312% 6.310% -5.670% -4.607% -1.885% -10.324% -11.379% -6.798%55.15 -2.624% -16.822% 9.162% 4.401% -12.843% 22.835% -7.692% 7.837%

257.00 -2.669% -10.066% 12.519% -5.639% -2.408% 5.648% -4.567% 17.331%75.15 -0.061% -2.209% 7.026% 2.579% -12.000% 12.013% -5.739% 0.123%

Page 72: Portfolio - Size Momentum

499.80 0.677% 6.121% 10.356% -4.623% 0.052% -2.438% 2.307% 10.362%578.10 23.178% -7.187% -0.105% -2.462% 12.636% 4.116% -0.420% 12.193%244.05 -9.519% -5.006% -6.793% -3.423% -6.289% 37.848% -7.594% 11.705%

22.90 14.193% -5.517% 1.544% -1.851% 60.471% 0.084% 7.128% 14.090%75.00 4.730% -1.018% 2.828% 5.000% -3.571% 2.469% 10.060% -4.215%

381.00 1.069% -2.333% 4.937% -2.261% 7.143% 9.493% 7.240% 2.370%43.70 -3.593% -9.727% 3.927% 4.748% 22.849% 1.054% 1.490% -6.167%19.20 -7.019% -33.929% 29.730% -16.572% -12.145% 20.026% -14.424% 6.289%82.60 -7.335% -17.435% 0.910% -17.980% -4.985% 35.031% 0.571% -5.455%76.80 3.887% -11.272% 6.747% -0.049% -6.126% 15.474% 7.247% 9.817%72.30 0.784% -11.630% 7.681% -4.362% -8.029% -3.564% 7.820% -0.994%26.10 -1.673% -16.160% 16.667% -12.050% -26.271% 18.391% -10.032% 12.770%57.80 -12.490% -11.296% 9.970% 2.334% -1.404% 30.427% -13.506% 2.208%40.63 0.957% 6.319% 20.505% -0.247% -0.371% -23.821% 1.954% 68.850%

128.45 -8.376% -1.995% -10.719% 6.003% -6.595% 6.370% -0.866% -0.328%168.95 -3.820% -12.061% -1.973% -1.576% 5.420% 4.744% -0.736% -6.518%115.50 -12.283% -2.446% 14.440% 2.191% -4.399% 5.375% -3.083% -3.446%265.00 7.134% 8.107% -3.155% 5.021% -6.694% 9.315% 1.812% 2.210%191.15 4.849% 0.438% 6.738% -1.589% -1.108% 5.086% -3.153% 11.440%

92.15 1.597% -1.950% 0.000% 5.388% 2.617% 5.931% -4.199% 2.455%60.55 -2.603% -17.061% 2.788% -12.839% 1.936% 25.237% -10.943% -1.095%46.90 0.514% -5.963% 5.344% -7.825% -12.407% 19.702% -3.915% 8.426%59.55 -1.799% -7.660% 16.682% -12.751% -1.329% 27.020% -9.682% 12.441%

3.90 -5.455% -6.410% -4.110% 8.571% -3.289% 7.483% -6.962% 70.068%165.70 7.886% 26.245% 7.021% 6.070% 24.177% 3.525% 10.497% 6.785%516.70 2.910% -6.251% 21.670% -7.411% -0.155% -2.456% -2.822% 57.445%

59.45 -13.498% 19.132% -7.745% -3.519% -3.903% -5.193% 37.570% 34.967%17.40 -4.440% -8.081% -8.791% -7.711% -7.572% 11.864% 11.111% 6.818%36.60 6.708% -6.286% 3.089% -9.418% -3.781% 17.976% -10.408% -1.208%25.96 35.270% 6.785% 19.344% 8.909% 2.129% 10.017% 3.333% 13.633%

1853.95 2.440% -4.761% 5.355% -4.669% 26.927% 3.147% 1.009% 0.702%13.75 -17.899% -16.351% 15.864% -14.425% -12.571% 17.974% -5.540% 7.331%

263.90 -4.388% -13.418% 8.523% -1.902% 5.634% 8.521% 0.754% -13.488%63.05 -0.855% -20.603% 4.235% -1.146% -5.163% 58.667% 14.076% 21.424%

172.85 8.478% -9.874% -1.510% 16.549% 15.346% 14.503% -3.166% 0.026%25.30 2.076% -16.148% 21.826% -5.269% -2.225% 10.114% -3.215% -1.542%30.95 9.654% 9.801% -6.203% -4.194% 1.178% 11.814% 1.339% 6.314%

188.90 0.658% -12.998% 5.539% -7.715% -6.746% 5.868% -4.180% 2.067%32.45 0.000% -17.073% 7.206% 3.978% 3.298% 7.918% -8.166% 0.387%65.90 -5.449% -17.175% 9.345% -15.097% -5.658% 13.006% -10.338% -4.151%23.45 -7.252% -21.262% 9.582% 3.975% -12.691% 9.982% -5.096% 3.859%

9.17 -7.759% -24.922% 27.386% -15.635% -13.514% 30.446% -13.415% 10.672%21.80 12.712% -1.003% 0.253% 8.333% 2.331% 12.756% 3.030% 5.490%50.35 -6.894% -5.852% 0.127% -13.682% -8.170% 8.045% -4.882% 9.487%16.25 -11.502% -13.502% 5.676% 3.476% 6.412% 11.693% 4.367% 7.077%44.21 26.159% -17.129% 0.335% 1.251% 13.591% 0.145% -5.720% -8.679%90.45 -4.209% -14.318% 16.180% -2.588% -4.766% 14.028% 6.331% 16.915%62.85 -2.813% -32.702% -2.316% -7.494% 0.366% 2.234% -7.003% -2.734%

Page 73: Portfolio - Size Momentum

318.25 10.264% -12.267% 13.706% -6.864% 3.170% 7.676% 0.976% 2.398%18.40 -8.775% -6.814% 1.290% 28.875% 20.593% -11.339% -19.106% -2.476%26.75 -0.771% -24.078% 24.297% -11.523% 5.116% 21.239% -1.460% 30.556%46.10 -14.319% -26.996% 13.994% -2.520% -9.591% 23.063% -3.223% -1.317%22.47 -10.498% -39.165% 48.203% -17.310% -10.267% 39.525% -7.348% 9.310%26.75 11.270% 8.702% 6.693% -8.487% -1.747% 11.354% -12.654% -1.547%42.40 15.099% -17.753% 0.287% 9.238% 4.534% 4.921% -3.021% -7.213%50.45 -21.654% -17.522% -0.444% -0.446% -4.484% 18.216% -10.405% 6.294%21.95 -4.072% -14.601% 18.688% -9.883% -15.613% 11.894% 13.583% 6.066%10.22 -5.852% -3.774% 0.115% 7.488% 2.036% -0.420% 24.262% 1.868%54.65 -1.097% -15.689% 14.944% -8.749% -22.491% 33.295% -0.434% 19.425%

192.00 9.829% -12.200% 13.305% -3.551% -2.111% 0.690% -9.824% -5.579%49.55 7.210% -13.587% 7.704% -15.109% 4.471% 5.185% 2.895% 0.913%73.55 11.784% -8.931% 2.251% 8.176% -3.270% 10.894% -6.504% 22.826%21.70 -1.316% -32.167% 54.054% 7.496% 2.077% 15.552% -7.296% -0.814%22.30 0.475% -16.850% 19.886% -2.528% -1.783% 18.977% -12.760% -0.795%69.10 -0.654% 11.636% 27.925% 7.148% 44.189% -4.229% -0.675% 20.450%

9.10 25.000% -28.224% 1.563% 23.846% 1.035% 55.738% 132.500% 2.377%37.55 -1.870% -1.682% -5.359% -9.639% 5.467% 9.482% -1.963% -9.187%23.30 4.178% -0.535% 0.538% -5.615% 9.915% 5.155% 9.314% 15.919%

313.55 -5.214% -10.347% -2.484% 2.622% -14.015% 49.448% 57.001% 7.236%28.15 -3.074% -31.903% 38.904% -13.018% -2.494% 28.987% 18.201% 26.549%29.30 3.401% -19.342% 18.923% -7.956% -4.620% -3.788% 13.192% 32.518%

Page 74: Portfolio - Size Momentum

RETURNS portfolio returns - size momentumDec-12 Jan-13 Feb-13 Mar-13 Apr-12 May-12 Jun-12

-7.415% -18.114% -7.861% -46.925% WB 2.800% -3.205% 4.217%2.548% -6.836% -12.874% 18.957% NB -2.441% -6.425% 4.684%

-5.787% -9.049% -5.225% -4.215% LB -3.665% -10.165% 8.187%4.816% -1.223% 13.479% 2.164% WS 4.685% -4.014% 2.600%

-1.817% 11.087% 10.862% 3.600% NS 0.754% -4.519% 5.003%9.711% -3.575% -9.663% -9.482% LS 0.232% -10.333% 9.236%0.584% -3.145% -0.672% 9.161%9.358% 12.416% -2.388% 2.599% rf 0.714% 0.701% 0.688%

12.769% -7.576% -3.939% -7.884% excess returns 11.187% 3.058% -3.508% 2.153% Apr-12 May-12 Jun-12

6.333% -3.204% -1.923% -7.674% WB 2.085% -3.906% 3.529%6.742% 8.582% 4.174% -3.495% NB -3.155% -7.126% 3.996%

-2.536% -9.863% -6.142% 5.001% LB -4.379% -10.866% 7.499%0.301% -12.539% -4.413% 7.509% WS 3.971% -4.715% 1.912%1.175% -1.886% -10.978% 8.916% NS 0.039% -5.220% 4.314%8.699% -13.797% -5.563% -2.289% LS -0.483% -11.034% 8.548%

-3.471% 2.061% 2.672% 0.914%2.093% -10.298% -3.818% -10.532%1.415% -4.036% -1.682% -0.115%

13.517% -3.100% -11.638% -9.537%-1.842% -1.863% 2.082% 7.750%3.628% -2.345% 11.730% 1.975%2.142% 1.851% -4.700% 14.543%3.826% -1.443% -3.185% 7.493%3.284% -7.475% -3.890% -8.642%

-1.844% 4.193% -6.070% -0.609%-3.839% 7.183% -4.001% 4.744%5.090% 12.517% -2.583% -0.400%7.150% 8.960% 9.258% 2.895%

-8.949% -1.515% -6.868% -1.479%1.261% 6.986% 3.858% 9.193%

-2.856% 4.364% -2.987% -0.958%9.654% -3.364% -17.617% -3.018%2.274% -5.816% -4.279% -5.393%

-3.250% 0.672% -5.166% -9.591%5.831% -4.959% -2.203% -0.711%

10.383% -4.843% -2.771% -8.962%2.827% 3.923% -11.501% -2.791%

-3.530% -6.412% -16.377% 2.318%2.460% 15.277% -9.428% 1.708%5.269% -2.925% -3.882% 0.542%

-6.031% -4.887% -3.462% -2.950%4.891% 3.915% -5.485% -5.100%

16.941% -21.719% -16.366% 14.279%4.886% 8.461% 0.434% 7.635%

13.676% -5.057% 0.923% 5.871%

Page 75: Portfolio - Size Momentum

-3.532% -5.215% -2.767% -0.240%7.048% 12.276% -9.656% 4.487%0.743% 2.330% -4.023% 8.383%

13.911% -4.609% -3.557% -6.298%5.856% -5.292% 2.877% 3.751%

-5.475% -0.376% 1.015% 3.158%9.174% -3.324% -4.228% 3.352%

21.055% -4.898% 0.040% -7.886%0.307% 4.908% -8.224% 0.329%

-5.870% -4.925% -1.409% -5.146%1.045% 6.293% -14.280% -5.672%1.433% 0.517% -5.999% -6.255%5.434% 7.301% 4.733% 1.189%

-3.266% 0.144% -8.967% -12.845%-0.099% -10.950% -15.200% 15.870%1.002% 3.204% -2.724% -7.803%

-5.805% 5.500% -7.581% -5.847%-1.354% -2.353% -2.379% 1.187%1.267% -14.559% 1.545% 3.484%8.190% 1.564% -12.000% -2.089%

14.238% -1.477% -1.783% -3.727%13.195% 4.278% -5.383% -3.304%

7.640% 1.402% -8.704% -1.331%11.727% -5.982% -2.470% -2.644%

6.996% -5.494% -1.781% 3.595%1.330% 2.560% -11.282% -13.510%

-5.422% 11.239% 5.190% 9.847%8.021% -3.355% -15.879% -0.609%

-0.183% -2.343% 1.153% 1.435%-1.572% -4.274% -2.157% -1.137%-4.239% -14.844% -9.478% -8.416%-2.979% -0.422% -12.233% -0.371%-4.136% 6.690% 12.810% 3.766%2.675% 15.621% -2.059% -3.191%

-1.326% -2.583% 0.121% 4.869%-1.587% -5.005% -3.337% 8.594%-2.842% -6.782% -18.117% -9.756%7.636% -4.030% -12.182% -2.338%

-0.879% -25.898% -37.343% 21.206%-3.123% -5.329% -9.173% 2.601%-3.143% 1.505% -7.968% -8.674%4.263% -4.907% 2.499% -0.758%0.024% -1.666% -11.407% 5.267%4.086% 11.111% -7.633% 0.144%

-1.279% -0.955% -4.416% 4.911%-6.036% 7.134% -4.670% -9.813%-0.180% -2.284% -13.246% -1.981%3.928% -3.173% 0.337% -1.105%

Page 76: Portfolio - Size Momentum

4.385% -7.417% -2.514% -3.648%-5.006% -9.033% -6.903% -4.187%0.925% 27.043% -7.743% -0.574%0.356% 4.273% 1.289% 4.958%0.392% 4.955% -13.197% -5.824%9.671% -2.354% -11.187% 1.609%

-3.812% -1.178% -21.734% -14.751%0.987% -5.049% -5.685% 5.274%4.416% 6.780% -5.084% -2.624%

-4.847% 20.283% 4.204% -0.554%-10.303% -13.755% -18.830% 2.723%

0.884% -10.361% -19.896% -5.958%-5.615% -4.853% -5.718% -0.960%2.972% -2.337% -10.247% -5.225%

-1.040% -0.876% -12.077% -3.752%1.302% -6.427% -3.721% 4.697%

13.291% -0.379% -0.406% -1.555%9.270% 2.150% -12.965% 1.209%

-0.537% -1.874% -22.819% 8.690%10.732% -4.701% -10.683% 3.352%10.040% 4.857% -23.509% 0.275%

7.273% -0.980% -18.621% -22.619%-2.317% -15.241% -17.706% -8.473%1.361% 13.238% -11.888% -1.622%

-5.806% -12.327% -23.162% -53.674%-3.486% 0.096% -3.736% -5.804%-0.415% -3.158% -13.768% -18.829%-0.492% 3.523% -13.851% -8.663%13.616% 0.052% -18.965% -3.571%

2.516% -0.927% -3.817% -6.570%3.050% 10.962% -10.756% -3.130%6.316% -1.266% -5.521% -8.886%

20.655% -13.007% -2.289% -14.968%18.480% -3.767% -15.596% -8.333%

1.064% -3.833% -2.876% -4.044%8.576% 0.809% -6.700% -3.442%3.523% 4.709% -12.642% 0.485%3.546% -4.301% -9.554% 12.459%

-3.674% -3.920% -11.478% -0.066%6.990% -4.794% -18.360% 3.166%

-0.603% -0.872% -24.587% -15.751%9.360% 8.738% -16.394% -9.144%2.411% 21.335% -10.526% -3.893%3.434% 11.992% -26.013% -9.730%

11.318% -6.067% -17.010% -0.201%-1.542% 1.468% 10.552% 0.258%9.462% 13.556% -6.574% -26.296%4.110% -5.657% 0.302% -2.168%

Page 77: Portfolio - Size Momentum

3.753% -2.326% -5.291% 20.391%10.915% 4.717% -13.650% -8.935%

0.239% -1.830% -12.075% -1.382%11.131% -5.487% -15.427% -8.778%

2.603% -8.292% -6.522% 1.903%9.848% 2.217% -14.414% -0.607%6.605% -2.906% -13.521% -7.595%

22.098% 2.873% -9.243% -5.498%9.710% 20.521% -0.360% -15.228%

13.294% 4.319% -12.603% 0.789%5.925% 3.214% -4.540% -9.612%3.053% -3.411% -17.565% -9.526%5.693% 5.655% -8.110% -5.027%9.055% 0.538% -15.211% -6.237%6.151% 9.064% -25.886% -13.603%

14.534% -13.379% -19.745% -17.560%4.667% 10.181% -12.257% -5.217%

-0.052% -2.166% -2.285% 0.329%13.495% -1.042% -24.052% -13.283%

7.192% -4.507% -17.136% 0.744%9.354% -1.213% -12.604% -3.649%2.226% -4.225% -11.687% 2.884%

-2.121% -0.306% -11.638% -12.053%12.248% -11.371% -14.168% -7.901%-2.172% -7.605% -18.865% -4.915%0.665% -0.872% -13.936% -9.659%

16.635% -1.378% -26.787% -8.754%22.191% -3.480% -28.324% -15.908%10.775% -0.799% -19.140% 2.326%-4.663% -4.970% 1.978% 3.113%-5.115% 32.075% -34.490% -14.953%12.059% -4.194% -18.088% -12.307%

1.311% -7.765% -15.108% 3.251%-1.284% -31.225% -21.135% -23.490%13.032% -7.821% -13.548% -6.505%-2.664% -7.618% -14.812% -2.350%0.357% 21.851% -2.336% -7.177%2.225% -5.963% -4.731% -25.515%0.632% 61.600% -4.343% 8.986%6.049% -8.921% -10.028% -5.866%

-9.535% -8.776% -5.848% -3.706%-0.588% 4.952% -7.817% -10.008%17.980% -6.696% -11.478% 9.760%

4.656% 12.349% -0.194% 4.640%-22.008% -6.878% 8.649% -1.336%

4.731% -10.729% -4.111% 11.008%-3.235% -1.140% -15.313% -5.017%

-17.367% -22.686% -29.155% -11.332%

Page 78: Portfolio - Size Momentum

17.324% 2.687% -12.620% 4.362%11.968% 3.340% 5.885% -3.329%

-13.169% 7.707% 0.727% 6.876%-5.243% 3.651% -16.380% 9.964%-0.740% 11.301% -7.938% 4.838%2.900% 3.837% 3.090% -0.301%0.944% -0.467% 13.617% -9.806%

-6.480% -7.159% 1.813% 13.761%-0.266% -0.567% -12.081% -9.313%4.197% -17.995% -16.806% -9.207%

20.264% 3.023% -2.903% -14.141%7.909% 6.877% 2.342% 1.368%

-5.065% 0.295% -13.361% -2.037%4.840% -0.108% -11.185% 4.813%

17.273% -9.581% -9.945% -25.857%5.073% -4.256% 0.635% -7.201%

-1.218% -3.082% -4.394% -5.745%8.630% -14.628% 4.284% 35.127%

37.202% 2.055% -14.756% 2.999%-3.635% 15.524% -18.138% 1.833%-1.221% -8.240% -11.755% 10.453%11.458% 13.520% -10.483% 1.104%-5.176% 15.350% 8.950% 6.302%9.312% -0.248% -16.832% -2.746%

-7.123% -0.226% -11.153% -0.848%6.897% -3.371% -21.511% -0.059%

11.601% -5.547% -20.688% 3.269%0.375% -5.460% -5.617% 3.688%2.274% -5.816% -4.279% -5.393%

-3.583% -4.754% -6.806% -1.947%21.158% -11.342% -1.328% -16.147%24.060% 6.491% -7.545% 6.136%-5.736% -8.135% -3.764% 1.436%6.902% -8.871% -11.658% 8.643%

-4.931% -2.776% -21.337% 2.006%8.528% -5.439% -5.195% -3.225%4.022% 12.535% -9.268% -10.048%0.209% -4.167% -13.152% -8.385%

-1.689% 0.307% -8.165% -0.733%-0.235% -14.274% -11.807% -5.492%-5.996% 2.160% -4.818% 3.202%1.892% -4.106% -8.359% -9.900%

-0.838% 3.622% -1.437% -1.948%1.694% -7.331% -21.734% -6.942%8.490% 5.366% 7.445% -10.681%

-5.653% 30.688% -11.029% -4.666%-5.285% 5.969% -20.736% 5.933%15.310% -1.074% -4.267% -5.835%

Page 79: Portfolio - Size Momentum

0.273% -2.379% -9.631% -30.175%11.438% -11.710% -7.701% -15.740%18.623% -0.858% -21.207% 5.945%

3.300% -3.325% 6.901% 7.174%-3.711% -4.057% -12.579% -0.967%0.618% -1.019% -6.959% -1.384%

-1.227% 0.308% 3.257% 3.265%0.371% -1.478% -15.979% -10.804%2.250% -3.262% -8.107% 0.137%2.549% -10.069% -3.607% -12.670%8.154% -12.672% -3.533% -9.959%

-5.888% -5.045% -8.077% -13.757%-9.811% -14.271% -3.260% 1.083%7.099% 13.746% -1.063% -0.585%

-14.213% 1.861% -4.367% -10.485%-2.144% -8.560% -7.542% -3.935%-1.462% -4.863% -15.354% -35.280%3.713% -3.827% 0.257% 2.433%

-5.830% -4.824% -1.084% 0.237%-6.352% -12.997% -12.903% 1.720%7.616% -1.749% -10.339% -3.781%

-5.412% 0.409% -23.881% -27.094%5.158% 0.736% -9.312% -14.564%4.719% -4.134% -10.479% -2.216%

10.289% -2.391% -20.968% -8.844%-2.069% -0.616% -7.131% -0.775%1.438% 15.454% -0.607% -2.145%

-0.180% 0.960% -0.416% -5.612%-2.730% 1.842% -6.977% 0.926%43.647% -0.487% -14.089% -8.277%-9.760% 14.357% -19.279% -2.517%-1.594% -2.970% -20.309% -4.206%

-10.194% -21.148% -16.446% -8.807%3.456% 7.307% -16.148% 7.889%

-2.551% -10.886% -7.744% -9.551%24.104% -13.137% -10.495% -6.992%

1.727% -7.503% -8.761% 9.926%6.901% 7.384% 0.127% -1.599%

-8.756% 0.175% 4.024% -6.308%-14.033% -3.270% -17.012% 6.800%

1.481% 7.000% -3.970% 2.401%-5.323% -3.365% -8.006% 9.557%-2.883% 8.599% -12.107% -3.313%0.766% 0.048% -13.058% 2.348%4.133% 8.794% -12.661% 2.539%

10.580% -11.730% -23.374% 35.670%4.064% -9.161% -8.941% -7.736%2.211% -0.661% -7.502% -1.700%

Page 80: Portfolio - Size Momentum

4.558% -4.125% -3.457% -2.734%-0.772% -10.732% -7.680% -3.425%3.156% -3.824% -9.542% -6.727%5.660% -13.312% -16.292% 2.461%4.971% 6.260% -16.342% -8.145%

-1.772% 0.749% -1.742% -5.518%-22.535% -7.576% 3.497% -7.709%

7.929% -24.671% -25.182% -25.292%13.041% 1.223% -22.584% 12.076%-8.320% -10.806% -15.334% -14.142%-2.308% -4.212% -18.820% -4.491%6.858% 5.522% -17.539% -10.463%3.549% -9.165% -16.899% 14.116%4.068% -4.182% 29.507% 2876.264%

-1.752% 1.375% -5.609% -0.233%-3.486% -3.886% -5.029% -7.778%-0.039% -2.628% 2.820% -9.483%-1.682% 10.894% 2.589% -5.137%-5.081% -3.468% -12.079% -2.375%8.614% -3.204% -0.760% 0.765%3.629% -3.858% -17.160% -9.762%6.405% -4.575% -16.316% -5.729%2.505% 3.870% -14.510% -8.945%

43.200% -1.676% 8.807% 1.828%-13.979% -6.833% 4.394% 4.873%

5.580% 11.448% -13.181% -4.333%18.684% -13.066% -48.057% -16.090%-1.702% -1.732% -18.502% -5.946%2.634% -2.750% -10.745% -22.703%

-2.734% 0.829% -14.793% -7.188%7.966% -2.615% -8.703% -6.788%

-1.366% -1.385% -14.045% -10.131%-0.918% -7.147% -20.026% -5.935%-9.201% -8.964% -23.914% 1.367%-2.636% 1.895% -10.417% 2.551%-1.807% -4.663% -8.623% -28.732%-2.072% -5.924% -5.247% -2.057%-2.638% -7.347% -13.965% -9.552%7.317% 4.545% -11.670% -15.933%

-1.043% 1.783% 4.140% 0.765%0.000% 2.100% -12.342% -15.343%

-3.286% -5.096% -16.654% -14.379%-1.673% 1.701% -10.595% -9.356%1.042% -5.717% -41.849% -13.932%

27.586% -7.883% -19.804% -0.915%-10.849% -5.660% -0.800% -3.226%16.319% 3.881% -7.567% -6.269%-0.740% -13.015% -29.812% 2.278%

Page 81: Portfolio - Size Momentum

-1.888% -12.788% -13.155% 2.348%3.125% -6.818% -12.805% -14.219%

25.106% -16.667% -9.796% -19.306%2.433% -4.215% -12.080% -16.106%

21.241% -18.907% -19.786% -10.800%8.429% -7.905% -21.602% -2.372%6.979% -3.881% -14.261% -15.030%

12.260% 8.990% -17.655% -16.474%7.026% -8.550% -21.035% -7.188%0.583% -10.605% -4.541% -0.777%9.117% 2.741% -22.251% -8.536%

-1.653% -4.149% -29.693% -15.269%11.379% -7.916% -10.948% -18.234%10.206% -9.850% -2.969% -9.976%-7.524% 28.698% -20.460% -37.283%1.603% -7.729% -19.487% -5.308%0.304% -5.974% -36.418% 0.072%

10.171% 0.602% -0.150% -90.909%-1.816% -2.906% -14.150% 19.017%-5.222% 2.245% 1.397% -8.268%19.079% -7.522% -0.613% -3.345%-8.951% 3.072% -26.528% 14.199%

-10.315% -8.111% -20.685% -2.658%

Page 82: Portfolio - Size Momentum

portfolio returns - size momentumJul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13

0.574% 3.866% 6.767% -0.004% 4.396% 3.562% -1.416% -3.443% -0.039%-1.658% -0.638% 10.525% -0.871% 3.162% 2.097% -0.831% -8.369% -2.844%-4.460% -6.009% 18.920% -4.453% 8.830% 5.991% 0.177% -13.630% -5.695%3.751% 3.237% 8.525% 2.385% 7.938% 3.005% -0.620% -7.529% -0.907%

-0.584% 0.783% 8.819% 0.062% 4.617% 1.414% -2.204% -9.594% -3.992%-1.950% -0.488% 12.823% 2.023% 8.914% 3.482% -3.079% -12.744% 39.661%

0.684% 0.686% 0.678% 0.675% 0.681% 0.681% 0.668% 0.668% 0.675%excess returns

Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13-0.110% 3.179% 6.089% -0.679% 3.715% 2.880% -2.084% -4.111% -0.715%-2.342% -1.325% 9.848% -1.546% 2.480% 1.416% -1.499% -9.037% -3.519%-5.144% -6.695% 18.242% -5.128% 8.149% 5.309% -0.490% -14.298% -6.370%3.067% 2.551% 7.848% 1.710% 7.257% 2.323% -1.287% -8.198% -1.582%

-1.268% 0.097% 8.141% -0.613% 3.936% 0.732% -2.871% -10.263% -4.668%-2.634% -1.175% 12.145% 1.348% 8.233% 2.801% -3.747% -13.412% 38.986%

Page 83: Portfolio - Size Momentum

Point Column1 Rank Percent1 6379.426% 1 100.00%2 234.858% 2 99.70%3 213.175% 3 99.40%4 182.100% 4 99.10%5 179.112% 5 98.80%6 174.788% 6 98.50%7 146.263% 7 98.30%8 142.654% 8 98.00%9 136.364% 9 97.70%

10 131.185% 10 97.40%11 127.892% 11 97.10%12 105.775% 12 96.90%13 104.585% 13 96.60%14 94.631% 14 96.30%15 92.117% 15 96.00%16 87.005% 16 95.70%17 85.666% 17 95.50%18 83.827% 18 95.20%19 81.308% 19 94.90%20 79.905% 20 94.60%21 76.920% 21 94.30%22 69.107% 22 94.10%23 68.572% 23 93.80%24 66.535% 24 93.50%25 65.822% 25 93.20%26 65.015% 26 92.90%27 64.605% 27 92.60%28 63.479% 28 92.40%29 62.944% 29 92.10%30 62.462% 30 91.80%31 58.278% 31 91.50%32 58.229% 32 91.20%33 58.070% 33 91.00%34 57.194% 34 90.70%35 56.715% 35 90.40%36 55.766% 36 90.10%37 51.784% 37 89.80%38 51.606% 38 89.60%39 50.997% 39 89.30%40 50.709% 40 89.00%41 50.349% 41 88.70%42 50.159% 42 88.40%43 49.775% 43 88.20%44 49.310% 44 87.90%45 49.033% 45 87.60%46 48.184% 46 87.30%47 47.517% 47 87.00%

Page 84: Portfolio - Size Momentum

48 47.176% 48 86.70%49 46.636% 49 86.50%50 45.223% 50 86.20%51 44.911% 51 85.90%52 43.696% 52 85.60%53 36.438% 53 85.30%54 36.257% 54 85.10%55 35.833% 55 84.80%56 34.876% 56 84.50%57 34.739% 57 84.20%58 34.673% 58 83.90%59 34.589% 59 83.70%60 32.800% 60 83.40%61 32.666% 61 83.10%62 31.277% 62 82.80%63 30.848% 63 82.50%64 30.599% 64 82.30%65 30.505% 65 82.00%66 30.149% 66 81.70%67 29.814% 67 81.40%68 29.805% 68 81.10%69 28.806% 69 80.80%70 28.744% 70 80.60%71 28.311% 71 80.30%72 28.300% 72 80.00%73 28.067% 73 79.70%74 28.048% 74 79.20%75 28.048% 74 79.20%76 27.414% 76 78.90%77 25.933% 77 78.60%78 25.526% 78 78.30%79 25.040% 79 78.00%80 24.692% 80 77.80%81 23.959% 81 77.50%82 23.569% 82 77.20%83 23.349% 83 76.90%84 23.164% 84 76.60%85 22.708% 85 76.40%86 22.588% 86 76.10%87 22.472% 87 75.80%88 21.633% 88 75.50%89 21.402% 89 75.20%90 21.286% 90 75.00%91 20.890% 91 74.70%92 20.689% 92 74.40%93 20.376% 93 74.10%94 20.085% 94 73.80%95 20.062% 95 73.50%

Page 85: Portfolio - Size Momentum

96 20.008% 96 73.30%97 19.792% 97 73.00%98 19.482% 98 72.70%99 18.767% 99 72.40%

100 18.325% 100 72.10%101 18.134% 101 71.90%102 18.132% 102 71.60%103 17.819% 103 71.30%104 17.764% 104 71.00%105 16.831% 105 70.70%106 16.759% 106 70.50%107 16.667% 107 70.20%108 16.607% 108 69.90%109 16.554% 109 69.60%110 16.467% 110 69.30%111 16.452% 111 69.10%112 16.257% 112 68.80%113 15.354% 113 68.50%114 15.263% 114 68.20%115 14.613% 115 67.90%116 14.517% 116 67.60%117 14.235% 117 67.40%118 14.098% 118 67.10%119 13.711% 119 66.80%120 13.573% 120 66.50%121 13.557% 121 66.20%122 13.264% 122 66.00%123 13.253% 123 65.70%124 12.922% 124 65.40%125 12.805% 125 65.10%126 12.750% 126 64.80%127 12.442% 127 64.60%128 12.205% 128 64.30%129 11.859% 129 64.00%130 11.689% 130 63.70%131 10.594% 131 63.40%132 9.714% 132 63.20%133 9.216% 133 62.90%134 9.103% 134 62.60%135 8.151% 135 62.30%136 7.778% 136 62.00%137 7.516% 137 61.70%138 7.178% 138 61.50%139 6.973% 139 61.20%140 6.961% 140 60.90%141 6.939% 141 60.60%142 6.792% 142 60.30%143 6.663% 143 60.10%

Page 86: Portfolio - Size Momentum

144 6.472% 144 59.80%145 6.329% 145 59.50%146 5.936% 146 59.20%147 5.851% 147 58.90%148 5.643% 148 58.70%149 5.104% 149 58.40%150 5.077% 150 58.10%151 5.012% 151 57.80%152 4.791% 152 57.50%153 4.778% 153 57.30%154 4.442% 154 57.00%155 3.932% 155 56.70%156 3.922% 156 56.40%157 3.858% 157 56.10%158 3.834% 158 55.80%159 3.700% 159 55.60%160 3.401% 160 55.30%161 3.274% 161 55.00%162 3.144% 162 54.70%163 3.083% 163 54.40%164 1.285% 164 54.20%165 1.272% 165 53.90%166 1.265% 166 53.60%167 0.871% 167 53.30%168 0.435% 168 53.00%169 0.259% 169 52.80%170 0.050% 170 52.50%171 -0.067% 171 52.20%172 -0.181% 172 51.90%173 -0.349% 173 51.60%174 -0.421% 174 51.40%175 -0.719% 175 51.10%176 -0.991% 176 50.80%177 -1.062% 177 50.50%178 -1.121% 178 50.20%179 -1.359% 179 50.00%180 -2.318% 180 49.70%181 -2.321% 181 49.40%182 -2.425% 182 49.10%183 -2.467% 183 48.80%184 -2.509% 184 48.50%185 -2.518% 185 48.30%186 -2.617% 186 48.00%187 -2.701% 187 47.70%188 -3.042% 188 47.40%189 -4.282% 189 47.10%190 -4.412% 190 46.90%191 -4.433% 191 46.60%

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192 -4.444% 192 46.30%193 -5.023% 193 46.00%194 -5.144% 194 45.70%195 -5.329% 195 45.50%196 -5.742% 196 45.20%197 -5.970% 197 44.90%198 -6.125% 198 44.60%199 -6.205% 199 44.30%200 -6.691% 200 44.10%201 -6.699% 201 43.80%202 -6.942% 202 43.50%203 -7.054% 203 43.20%204 -7.783% 204 42.90%205 -7.848% 205 42.60%206 -7.925% 206 42.40%207 -8.011% 207 42.10%208 -8.015% 208 41.80%209 -9.058% 209 41.50%210 -9.247% 210 41.20%211 -9.569% 211 41.00%212 -9.798% 212 40.70%213 -9.846% 213 40.40%214 -9.895% 214 40.10%215 -9.980% 215 39.80%216 -10.503% 216 39.60%217 -10.776% 217 39.30%218 -11.418% 218 39.00%219 -11.511% 219 38.70%220 -11.776% 220 38.40%221 -12.265% 221 38.20%222 -12.497% 222 37.90%223 -12.723% 223 37.60%224 -13.230% 224 37.30%225 -13.348% 225 37.00%226 -13.641% 226 36.70%227 -14.342% 227 36.50%228 -14.384% 228 36.20%229 -14.429% 229 35.90%230 -14.484% 230 35.60%231 -14.539% 231 35.30%232 -14.597% 232 35.10%233 -14.788% 233 34.80%234 -14.882% 234 34.50%235 -14.997% 235 34.20%236 -15.079% 236 33.90%237 -15.503% 237 33.70%238 -15.824% 238 33.40%239 -15.901% 239 33.10%

Page 88: Portfolio - Size Momentum

240 -16.010% 240 32.80%241 -16.205% 241 32.50%242 -16.210% 242 32.30%243 -16.602% 243 32.00%244 -17.241% 244 31.70%245 -17.382% 245 31.40%246 -17.997% 246 31.10%247 -18.261% 247 30.80%248 -18.408% 248 30.60%249 -18.832% 249 30.30%250 -18.884% 250 30.00%251 -19.692% 251 29.70%252 -19.730% 252 29.40%253 -19.871% 253 29.20%254 -19.880% 254 28.90%255 -20.044% 255 28.60%256 -20.199% 256 28.30%257 -20.430% 257 28.00%258 -20.788% 258 27.80%259 -20.854% 259 27.50%260 -21.455% 260 27.20%261 -21.748% 261 26.90%262 -22.520% 262 26.60%263 -22.868% 263 26.40%264 -23.149% 264 26.10%265 -23.305% 265 25.80%266 -23.327% 266 25.50%267 -23.352% 267 25.20%268 -23.401% 268 25.00%269 -23.623% 269 24.70%270 -23.871% 270 24.40%271 -24.557% 271 24.10%272 -24.753% 272 23.80%273 -25.364% 273 23.50%274 -25.445% 274 23.30%275 -25.587% 275 23.00%276 -26.459% 276 22.70%277 -26.829% 277 22.40%278 -27.436% 278 22.10%279 -27.537% 279 21.90%280 -27.660% 280 21.60%281 -27.822% 281 21.30%282 -28.502% 282 21.00%283 -28.618% 283 20.70%284 -29.316% 284 20.50%285 -29.430% 285 20.20%286 -29.594% 286 19.90%287 -30.223% 287 19.60%

Page 89: Portfolio - Size Momentum

288 -30.484% 288 19.30%289 -30.652% 289 19.10%290 -30.689% 290 18.80%291 -30.731% 291 18.50%292 -31.095% 292 18.20%293 -31.134% 293 17.90%294 -31.789% 294 17.60%295 -32.032% 295 17.40%296 -32.067% 296 17.10%297 -32.081% 297 16.80%298 -32.175% 298 16.50%299 -32.664% 299 16.20%300 -32.724% 300 16.00%301 -32.819% 301 15.70%302 -32.964% 302 15.40%303 -33.234% 303 15.10%304 -33.610% 304 14.80%305 -33.613% 305 14.60%306 -33.705% 306 14.30%307 -33.709% 307 14.00%308 -34.112% 308 13.70%309 -34.325% 309 13.40%310 -35.110% 310 13.20%311 -35.340% 311 12.90%312 -35.393% 312 12.60%313 -35.397% 313 12.30%314 -36.119% 314 12.00%315 -36.199% 315 11.70%316 -36.285% 316 11.50%317 -36.348% 317 11.20%318 -36.993% 318 10.90%319 -37.634% 319 10.60%320 -37.652% 320 10.30%321 -38.217% 321 10.10%322 -38.470% 322 9.80%323 -39.053% 323 9.50%324 -39.060% 324 9.20%325 -39.154% 325 8.90%326 -39.389% 326 8.70%327 -40.331% 327 8.40%328 -40.480% 328 8.10%329 -40.483% 329 7.80%330 -40.682% 330 7.50%331 -41.490% 331 7.30%332 -42.036% 332 7.00%333 -42.045% 333 6.70%334 -42.188% 334 6.40%335 -42.912% 335 6.10%

Page 90: Portfolio - Size Momentum

336 -44.684% 336 5.80%337 -45.875% 337 5.60%338 -46.047% 338 5.30%339 -46.498% 339 5.00%340 -46.551% 340 4.70%341 -46.718% 341 4.40%342 -47.238% 342 4.20%343 -47.299% 343 3.90%344 -47.348% 344 3.60%345 -50.336% 345 3.30%346 -51.720% 346 3.00%347 -52.843% 347 2.80%348 -54.364% 348 2.50%349 -57.477% 349 2.20%350 -58.013% 350 1.90%351 -62.676% 351 1.60%352 -65.999% 352 1.40%353 -70.361% 353 1.10%354 -71.019% 354 0.80%355 -72.884% 355 0.50%356 -74.568% 356 0.20%357 -77.629% 357 0.00%

Page 91: Portfolio - Size Momentum

3304.89 RETURNSCompany Name return 2012-13 mcap201303 b/m201303 Apr-13Wockhardt Ltd. 234.858% 21979.56 0.1080 -5.14%United Spirits Ltd. 213.175% 24824.89 0.1859 16.56%Vakrangee Ltd. 142.654% 3371.77 0.1492 10.43%Mindtree Ltd. 87.005% 3783.35 0.3460 -12.03%Berger Paints India Ltd. 83.827% 6770.17 0.0701 -1.82%Gitanjali Gems Ltd. 81.308% 5424.96 0.6947 4.62%Shriram City Union Finance Ltd. 68.572% 5932.87 0.3778 -4.73%Zee Entertainment Enterprises Ltd. 66.535% 20105.55 0.1945 11.06%HCL Technologies Ltd. 65.015% 54082.53 0.2316 -9.41%Hathway Cable & Datacom Ltd. 63.479% 3854.85 0.2130 -6.41%Prestige Estate Projects Ltd. 62.944% 5694.50 0.4816 3.23%Godrej Consumer Products Ltd. 62.462% 26517.88 0.1248 7.33%Jet Airways (India) Ltd. 58.278% 4460.67 -0.5528 20.25%Ipca Laboratories Ltd. 57.194% 6645.69 0.2338 -3.41%ING Vysya Bank Ltd. 56.715% 8636.95 0.5245 8.88%Motherson Sumi Systems Ltd. 55.766% 11357.22 0.2007 0.54%Asian Paints Ltd. 51.784% 47138.92 0.0718 -4.73%Supreme Industries Ltd. 50.997% 4288.43 0.2047 3.98%Glenmark Pharmaceuticals Ltd. 50.349% 12528.17 0.2205 5.17%Emami Ltd. 49.033% 9092.34 0.0855 6.53%Pidilite Industries Ltd. 48.184% 13487.56 0.1224 -5.55%Strides Arcolab Ltd. 47.517% 6446.39 0.3136 -1.76%Tech Mahindra Ltd. 47.176% 13567.71 0.3931 -9.88%Cholamandalam Investment & Finance C 46.636% 3883.23 0.5028 -0.88%Mahindra & Mahindra Financial Services L 45.223% 10936.66 0.4180 16.83%Essar Oil Ltd. 44.911% 16623.17 0.2128 -1.61%Sun Pharmaceutical Industries Ltd. 43.696% 84748.33 0.1769 16.25%Kansai Nerolac Paints Ltd. 36.438% 6670.21 0.1929 -3.85%ITC Ltd. 36.257% 244244.64 0.0944 6.41%CMC Ltd. 34.876% 4065.50 0.2328 -0.82%Tata Consultancy Services Ltd. 34.589% 307632.70 0.1253 -12.44%Max India Ltd. 32.800% 5945.00 0.4858 -3.22%Apollo Hospitals Enterprise Ltd. 30.505% 11597.54 0.2368 -0.05%Piramal Enterprises Ltd. 30.149% 10532.45 1.0181 -8.20%The Jammu & Kashmir Bank Ltd. 29.814% 5772.98 0.8426 14.65%Dabur India Ltd. 28.806% 23886.44 0.0848 7.88%United Breweries Ltd. 28.744% 18420.75 0.0780 5.39%Divis Laboratories Ltd. 28.311% 13057.09 0.1915 9.19%Eicher Motors Ltd. 28.300% 7838.24 0.2239 16.17%Mcleod Russel India Ltd. 28.067% 3828.22 0.3637 -10.44%Bajaj Finserv Ltd. 28.048% 12239.51 0.6516 -3.30%Phoenix Mills Ltd. 27.414% 3870.99 0.4542 1.44%Sun TV Network Ltd. 25.040% 15428.23 0.1805 6.36%Cipla Ltd. 24.692% 30490.13 0.2955 6.90%Ultratech Cement Ltd. 23.959% 51216.82 0.2973 1.77%Mahindra & Mahindra Ltd. 23.569% 50835.41 0.3898 7.18%

Page 92: Portfolio - Size Momentum

Aurobindo Pharma Ltd. 22.708% 4248.61 0.6133 30.74%Housing Development Finance Corporatio 22.588% 127689.85 0.2494 2.60%Thermax Ltd. 22.472% 6776.06 0.2758 0.25%Marico Ltd. 21.633% 13685.88 0.1448 6.15%MRF Ltd. 20.689% 4355.94 0.6568 11.57%Kotak Mahindra Bank Ltd. 20.085% 48634.11 0.3136 8.32%HDFC Bank Ltd. 20.008% 148499.54 0.2468 9.30%Lupin Ltd. 18.767% 28153.13 0.1846 11.55%Blue Dart Express Ltd. 18.325% 5568.13 0.1185 7.66%Videocon Industries Ltd. 18.134% 5269.36 1.3755 6.79%TV18 Broadcast Ltd. 18.132% 4818.32 0.6785 -5.86%ICICI Bank Ltd. 17.819% 120587.31 0.5702 11.27%Oil & Natural Gas Corporation Ltd. 16.554% 266546.29 0.5685 4.94%DLF Ltd. 16.452% 39860.44 0.6382 1.45%Shriram Transport Finance Company Ltd. 16.257% 15785.19 0.4648 7.23%Biocon Ltd. 15.354% 5492.00 0.4718 4.37%Idea Cellular Ltd. 14.517% 37518.13 0.3807 17.14%Tata Global Beverages Ltd. 14.235% 7915.51 0.6021 14.77%Godrej Industries Ltd. 14.098% 9888.40 0.3053 5.10%Hindustan Unilever Ltd. 13.711% 100794.13 0.0280 25.21%Axis Bank Ltd. 13.557% 60892.58 0.5445 14.74%Havells India Ltd. 13.264% 8082.00 0.1784 1.55%The Federal Bank Ltd. 12.805% 8220.23 0.7614 -4.93%Bajaj Holdings & Investment Ltd. 12.442% 10178.03 1.0164 -1.60%Titan Company Ltd. 12.205% 22771.71 0.0865 5.56%Bhushan Steel Ltd. 11.859% 10050.21 0.9079 -0.35%Colgate-Palmolive (India) Ltd. 11.689% 6401.87 0.0336 17.91%Torrent Pharmaceuticals Ltd. 10.594% 5883.21 0.2417 -0.65%Container Corporation Of India Ltd. 9.216% 13393.79 0.4644 8.99%Bharat Petroleum Corporation Ltd. 8.151% 27343.27 0.6125 9.64%Adani Ports and Special Economic Zone Lt 7.516% 27797.18 0.2300 4.54%Indian Oil Corporation Ltd. 7.178% 68334.65 0.9225 6.20%Bajaj Auto Ltd. 6.973% 51939.02 0.1553 4.84%Grasim Industries Ltd. 6.939% 25806.70 0.7596 4.25%Essar Ports Ltd. 6.663% 3767.55 0.7234 0.23%Jubilant FoodWorks Ltd. 6.472% 8119.62 0.0529 -10.89%IDFC Ltd. 6.329% 21759.10 0.6275 6.40%Sobha Ltd. 5.643% 3423.90 0.6240 18.16%Apollo Tyres Ltd. 5.104% 4203.53 0.8057 15.89%Dish TV India Ltd. 5.012% 7139.48 -0.0218 0.89%Aditya Birla Nuvo Ltd. 4.791% 11766.15 0.7774 7.09%Trent Ltd. 4.778% 3304.89 0.3726 8.69%Larsen & Toubro Ltd. 4.442% 83995.95 0.3964 10.82%Tata Communications Ltd. 3.932% 6666.15 0.2137 -2.46%Shoppers Stop Ltd. 3.700% 3348.64 0.1496 -7.42%Reliance Industries Ltd. 3.401% 227158.32 0.7940 1.87%DB Corp Ltd. 3.144% 4150.67 0.2467 4.95%Ambuja Cements Ltd. 1.285% 30990.51 0.2831 7.49%

Page 93: Portfolio - Size Momentum

NHPC Ltd. 1.272% 24478.47 1.2172 8.79%Rural Electrification Corporation Ltd. 1.265% 20553.98 0.8525 7.76%Infosys Ltd. 0.871% 165302.28 0.2298 -22.68%Dr. Reddys Laboratories Ltd. 0.435% 29991.77 0.2101 14.58%Cummins India Ltd. 0.050% 6292.44 0.1961 2.53%Fortis Healthcare Ltd. -0.349% 4048.02 0.9156 0.90%Wipro Ltd. -0.421% 107626.33 0.2463 -20.42%Oil India Ltd. -0.719% 30733.28 0.6263 8.19%Syndicate Bank -0.991% 6618.44 1.6456 9.00%State Bank Of India -1.062% 141783.15 0.8819 9.24%Info Edge (India) Ltd. -1.121% 3923.42 0.1535 -2.17%Power Finance Corporation Ltd. -1.359% 23958.36 0.9884 7.49%Future Retail Ltd. -2.318% 5955.59 0.5462 -2.51%Tata Motors Ltd. -2.321% 85909.39 0.4376 11.20%Cadila Healthcare Ltd. -2.467% 15182.85 0.1939 6.78%Oracle Financial Services Software Ltd. -2.509% 21474.24 0.3449 2.68%CESC Ltd. -2.701% 3308.41 1.2316 8.01%Mphasis Ltd. -3.042% 8936.70 0.5512 -5.08%Oberoi Realty Ltd. -4.282% 8437.24 0.4933 -4.42%Tata Power Company Ltd. -4.412% 22868.97 0.5394 -1.66%Glaxosmithkline Pharmaceuticals Ltd. -4.433% 18344.13 0.1094 2.97%Maruti Suzuki India Ltd. -5.144% 38646.94 0.4923 30.41%The Great Eastern Shipping Company Ltd. -5.742% 3500.31 1.8118 -5.44%Hindustan Petroleum Corporation Ltd. -5.970% 9654.34 1.3700 7.73%Ranbaxy Laboratories Ltd. -6.205% 21262.00 0.1908 2.83%Bank Of Maharashtra -6.691% 3366.91 1.4012 13.75%Tata Chemicals Ltd. -6.699% 8213.46 0.7809 0.90%Bata India Ltd. -6.942% 5571.37 0.1203 4.39%JSW Steel Ltd. -7.054% 14964.66 1.1363 4.73%IL&FS Transportation Networks Ltd. -7.925% 3453.11 1.0541 -0.98%Pipavav Defence and Offshore Engineeri -8.015% 5150.30 0.3995 -2.04%Gujarat Mineral Development Corporatio -9.058% 5267.67 0.4812 -6.19%CRISIL Ltd. -9.247% 7611.10 0.0695 0.95%Corporation Bank -9.569% 5874.21 0.3269 -1.55%UPL Ltd. -9.846% 5187.27 0.8955 20.35%Coal India Ltd. -9.895% 195270.27 0.2482 3.09%JSW Energy Ltd. -10.776% 8962.87 0.6918 20.04%Britannia Industries Ltd. -11.511% 6268.01 0.0886 10.29%NTPC Ltd. -12.723% 117085.53 0.6959 10.85%Exide Industries Ltd. -13.230% 10982.00 0.2768 2.52%Bharti Airtel Ltd. -13.348% 110813.97 0.4547 9.24%ACC Ltd. -14.384% 26836.99 0.2747 6.53%Godrej Properties Ltd. -14.429% 4130.98 0.3453 16.97%LIC Housing Finance Ltd. -14.484% 11352.39 0.5755 8.78%Bank Of Baroda -14.597% 28552.75 0.2323 3.08%GAIL (India) Ltd. -14.882% 40483.54 0.7113 10.15%Bank Of India -16.205% 18026.04 1.2919 8.28%The Indian Hotels Company Ltd. -16.210% 4320.13 0.6776 6.92%

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Unitech Ltd. -18.261% 6148.31 1.9664 14.68%Cairn India Ltd. -18.408% 51987.18 0.9172 14.61%Canara Bank -18.832% 17031.14 1.3589 7.83%Jaiprakash Associates Ltd. -19.730% 14535.11 0.8500 14.81%Sesa Sterlite Ltd. -19.871% 13527.54 1.2918 2.22%Reliance Capital Ltd. -20.199% 7661.15 1.5435 12.70%Religare Enterprises Ltd. -20.430% 4564.96 0.6833 3.22%Andhra Bank -20.788% 5288.03 1.5987 -3.49%Punjab National Bank -22.520% 25361.47 1.3025 7.05%Neyveli Lignite Corporation Ltd. -23.149% 11056.11 1.1713 9.79%IDBI Bank Ltd. -23.352% 10695.31 1.8175 10.03%Bharat Electronics Ltd. -24.557% 9193.20 0.7231 2.05%Siemens Ltd. -27.537% 27652.18 0.1186 -0.57%Indian Bank -27.660% 7452.21 1.4169 -1.27%Hindalco Industries Ltd. -29.316% 17518.59 1.9803 6.28%GMR Infrastructure Ltd. -30.484% 8388.12 0.8280 -5.57%Torrent Power Ltd. -30.731% 6602.49 0.9243 1.40%Bharat Heavy Electricals Ltd. -31.134% 43310.28 0.7050 8.79%Allahabad Bank -32.081% 6325.38 1.8304 6.01%Crompton Greaves Ltd. -32.175% 6010.86 0.5874 -1.44%Central Bank Of India -33.234% 6988.22 1.7249 6.05%Tata Steel Ltd. -33.610% 30330.89 1.1036 -3.03%Adani Enterprises Ltd. -33.613% 22210.46 0.9633 7.58%Steel Authority Of India Ltd. -33.705% 25753.85 1.6169 -1.12%Reliance Communications Ltd. -34.325% 11393.28 2.9485 75.72%Coromandel International Ltd. -35.110% 5237.35 0.4194 5.14%Jindal Steel & Power Ltd. -36.119% 32545.06 0.6530 -12.58%Bharat Forge Ltd. -36.199% 4767.64 0.4733 12.82%Jaiprakash Power Ventures Ltd. -36.285% 7609.42 0.8490 -1.93%IFCI Ltd. -37.634% 4337.92 1.3453 14.37%Gujarat Gas Company Ltd. -38.470% 3907.14 0.2463 3.19%IRB Infrastructure Developers Ltd. -39.060% 3772.33 0.8628 2.38%Engineers India Ltd. -39.154% 5207.36 0.4408 12.10%Adani Power Ltd. -40.483% 9728.64 0.4413 20.17%Reliance Infrastructure Ltd. -44.684% 8537.97 2.9493 15.51%Reliance Power Ltd. -47.348% 17265.58 1.0762 15.92%MMTC Ltd. -74.568% 19925.00 0.0749 7.03%Cressanda Solutions Ltd. 6379.426% 8.55 0.2615 4.01%Ajanta Pharma Ltd. 182.100% 1506.84 0.2607 20.77%Siti Cable Network Ltd. 179.112% 1051.39 -0.1454 2.37%Vaibhav Global Ltd. 174.788% 363.45 0.3164 8.69%Accelya Kale Solutions Ltd. 146.263% 677.43 0.1505 14.13%Marksans Pharma Ltd. 136.364% 150.27 0.4857 -1.28%Advanta Ltd. 131.185% 1617.93 0.3466 -21.02%Kolte Patil Developers Ltd. 127.892% 671.70 1.1467 13.31%Jyothy Laboratories Ltd. 105.775% 2672.14 0.2183 6.37%PVR Ltd. 104.585% 1202.07 0.5342 11.70%Ess Dee Aluminium Ltd. 94.631% 1004.86 0.8121 63.28%

Page 95: Portfolio - Size Momentum

CCL Products (India) Ltd. 92.117% 345.27 0.8063 10.31%Astral Poly Technik Ltd. 85.666% 809.37 0.2967 7.19%Den Networks Ltd. 79.905% 2508.04 0.3490 16.89%Tata Coffee Ltd. 76.920% 2759.62 0.2239 7.62%Persistent Systems Ltd. 69.107% 2166.60 0.4686 -3.99%Suven Life Sciences Ltd. 65.822% 110.80 0.9159 13.10%JK Cement Ltd. 64.605% 1852.02 0.7901 -0.79%Atul Ltd. 58.229% 898.25 0.7154 20.79%Symphony Ltd. 58.070% 1101.82 0.1816 3.51%Welspun India Ltd. 51.606% 684.68 1.4462 -7.67%Dishman Pharmaceuticals & Chemicals Lt 50.709% 557.62 1.8390 -0.87%Bayer CropScience Ltd. 50.159% 952.31 0.3040 -4.56%Geometric Ltd. 49.775% 629.73 0.4171 -10.51%JK Lakshmi Cement Ltd. 49.310% 1145.61 1.0675 -0.26%Zensar Technologies Ltd. 35.833% 1065.56 0.6836 0.70%Aarti Industries Ltd. 34.739% 644.43 1.1662 13.20%Capital First Ltd. 34.673% 1144.59 0.7968 3.84%Vardhman Textiles Ltd. 32.666% 1656.72 1.5129 2.43%Puravankara Projects Ltd. 31.277% 1930.42 0.9840 9.89%Unichem Laboratories Ltd. 30.848% 1563.54 0.4644 -1.85%Nitin Fire Protection Industries Ltd. 30.599% 1299.06 0.2439 12.05%Sonata Software Ltd. 29.805% 245.02 1.3947 7.51%Bajaj Hindusthan Ltd. 28.048% 2026.90 1.9612 -3.30%Akzo Nobel India Ltd. 25.933% 2469.37 0.3082 -3.49%Rain Industries Ltd. 25.526% 1354.85 1.8834 -6.39%Solar Industries (India) Ltd. 23.349% 1864.82 0.3068 -0.84%KRBL Ltd. 23.164% 527.44 1.5727 10.09%PI Industries Ltd. 21.402% 1750.40 0.3022 1.88%Natco Pharma Ltd. 21.286% 1346.06 0.3964 2.79%TV Today Network Ltd. 20.890% 371.60 0.8725 11.36%JB Chemicals & Pharmaceuticals Ltd. 20.376% 623.02 1.6208 5.85%KPIT Technologies Ltd. 20.062% 1851.99 0.5593 7.96%Mahindra Lifespace Developers Ltd. 19.792% 1555.99 0.8301 9.45%JK Tyre & Industries Ltd. 19.482% 416.76 2.1220 8.97%FDC Ltd. 17.764% 1666.38 0.4699 -3.36%Granules India Ltd. 16.831% 190.70 1.4140 39.26%Lakshmi Machine Works Ltd. 16.759% 2088.75 0.4579 7.65%VA Tech Wabag Ltd. 16.667% 1326.97 0.5390 -3.79%Tube Investments Of India Ltd. 16.607% 3060.13 0.5422 -2.84%DCM Shriram Ltd. 16.467% 885.91 1.6878 7.12%BASF India Ltd. 15.263% 503.90 0.7207 0.99%Astra Microwave Products Ltd. 14.613% 327.30 0.6138 1.50%Balmer Lawrie & Company Ltd. 13.573% 986.61 0.8747 11.55%Cyient Ltd. 13.253% 1888.32 0.7002 3.66%Kajaria Ceramics Ltd. 12.922% 1414.67 0.2551 8.30%Edelweiss Financial Services Ltd. 12.750% 2364.08 1.0399 -3.23%Magma Fincorp Ltd. 9.714% 1566.20 0.8918 8.07%Entertainment Network (India) Ltd. 9.103% 1131.22 0.4440 0.04%

Page 96: Portfolio - Size Momentum

Anant Raj Ltd. 7.778% 1860.58 2.1056 4.84%Swan Energy Ltd. 6.961% 1175.15 0.1707 -3.52%Firstsource Solutions Ltd. 6.792% 672.14 2.5418 4.21%Ceat Ltd. 5.936% 320.86 2.4086 12.17%Sunteck Realty Ltd. 5.851% 2419.34 0.1655 3.46%Balkrishna Industries Ltd. 5.077% 2630.56 0.5486 -3.66%Financial Technologies (India) Ltd. 3.922% 3154.30 0.5344 13.73%NIIT Technologies Ltd. 3.858% 1694.77 0.6448 -7.94%JM Financial Ltd. 3.834% 1221.35 1.6692 8.00%VST Industries Ltd. 3.274% 347.44 0.6859 2.82%SREI Infrastructure Finance Ltd. 3.083% 1345.77 2.4735 12.15%Navneet Education Ltd. 0.259% 1383.94 0.3026 -2.24%Elgi Equipments Ltd. -0.067% 1188.38 0.3649 2.00%Punj Lloyd Ltd. -0.181% 1831.53 1.5480 -2.45%Tata Elxsi Ltd. -2.425% 595.21 0.3279 6.41%Omaxe Ltd. -2.518% 2587.02 0.9026 6.94%PTC India Ltd. -2.617% 1762.74 1.4931 0.59%Eros International Media Ltd. -4.444% 1591.14 0.6175 2.17%Rallis India Ltd. -5.023% 2243.20 0.2767 16.43%Graphite India Ltd. -5.329% 1544.44 1.1084 -2.34%Arvind Ltd. -6.125% 1997.23 0.9895 1.61%Century Plyboards (India) Ltd. -7.783% 1210.84 0.2099 -5.69%Gujarat Narmada Valley Fertilizers & Chem -7.848% 1022.40 0.9549 4.99%Redington (India) Ltd. -8.011% 3231.14 0.5078 -2.90%IIFL Holdings Ltd. -9.798% 1780.24 1.0934 2.82%ICRA Ltd. -9.980% 1008.85 0.3228 3.63%Alstom India Ltd. -10.503% 2139.59 0.3720 0.13%KEC International Ltd. -11.418% 1485.97 0.7720 -7.44%Pfizer Ltd. -11.776% 1931.63 0.3348 -2.50%AIA Engineering Ltd. -12.265% 3015.90 0.4701 -3.06%Godfrey Phillips India Ltd. -12.497% 2853.01 0.3706 -11.70%Birla Corporation Ltd. -13.641% 1879.31 1.3013 5.27%Indiabulls Real Estate Ltd. -14.342% 2317.22 2.9254 36.14%Allcargo Logistics Ltd. -14.539% 1455.88 1.0888 -1.17%Mahindra Holidays & Resorts India Ltd. -14.788% 2155.74 0.2843 0.66%Jubilant Life Sciences Ltd. -14.997% 2703.78 0.9158 0.09%GATI Ltd. -15.079% 225.54 3.4527 7.10%Hinduja Global Solutions Ltd. -15.503% 566.72 2.1800 -3.83%Grindwell Norton Ltd. -15.824% 1294.32 0.3960 11.01%ABG Shipyard Ltd. -15.901% 1631.99 0.9642 0.44%Asahi India Glass Ltd. -16.010% 767.52 0.0521 -1.46%eClerx Services Ltd. -16.602% 1836.12 0.2382 -0.59%Prism Cement Ltd. -17.241% 2114.11 0.5433 8.69%HCL Infosystems Ltd. -17.382% 742.26 2.4717 3.86%Thomas Cook (India) Ltd. -17.997% 1233.12 0.3541 1.79%Gateway Distriparks Ltd. -18.884% 1356.31 0.5811 -1.76%Vijaya Bank -19.692% 2663.97 0.4838 11.83%Shasun Pharmaceuticals Ltd. -19.880% 378.82 0.7098 10.54%

Page 97: Portfolio - Size Momentum

Network 18 Media & Investment Ltd. -20.044% 3066.05 0.8695 17.75%TVS Motor Company Ltd. -20.854% 1541.70 0.5827 18.49%E.I.D. Parry (India) Ltd. -21.455% 2619.42 0.9268 3.36%Cox & Kings (India) Ltd. -21.748% 1753.60 0.7542 0.23%Sadbhav Engineering Ltd. -22.868% 1802.30 0.6693 -4.52%Kalpataru Power Transmission Ltd. -23.305% 1267.58 1.5349 -2.85%KSK Energy Ventures Ltd. -23.327% 1579.95 1.9632 14.27%Balrampur Chini Mills Ltd. -23.401% 1067.65 1.2315 7.55%Nava Bharat Ventures Ltd. -23.623% 1485.30 1.6567 -1.41%Carborundum Universal Ltd. -23.871% 2227.14 0.4744 1.85%The India Cements Ltd. -24.753% 2572.62 1.3838 -0.48%Motilal Oswal Financial Services Ltd. -25.364% 1115.44 1.0917 11.91%Clariant Chemicals (India) Ltd. -25.445% 1930.63 0.1900 -3.11%HT Media Ltd. -25.587% 2419.54 0.6596 2.82%Greaves Cotton Ltd. -26.459% 1554.33 0.4692 12.73%Sundram Fasteners Ltd. -26.829% 851.02 0.8296 -2.47%Hexaware Technologies Ltd. -27.436% 2522.12 0.4771 -3.47%Escorts Ltd. -27.822% 762.14 2.0972 14.93%Usha Martin Ltd. -28.502% 668.82 2.8683 15.49%Manappuram Finance Ltd. -28.618% 219.24 0.7338 -20.28%Shree Renuka Sugars Ltd. -29.430% 1497.04 0.9738 8.30%Rolta India Ltd. -29.594% 1002.67 0.8749 -7.44%DB Realty Ltd. -30.223% 1446.17 2.3506 7.49%Himachal Futuristic Communications Ltd. -30.652% 1015.07 0.0973 9.40%Gujarat State Fertilizers & Chemicals Ltd. -30.689% 1338.09 0.9558 -5.73%Ruchi Soya Industries Ltd. -31.095% 2090.35 1.1534 10.30%Dewan Housing Finance Corporation Ltd. -31.789% 2799.25 0.5548 7.32%Polaris Consulting & Services Ltd. -32.032% 1108.50 1.2113 -2.87%SRF Ltd. -32.067% 970.12 1.9980 0.62%Voltas Ltd. -32.664% 2495.48 0.6514 13.06%Mahanagar Telephone Nigam Ltd. -32.724% 1159.20 -2.4052 9.24%Ballarpur Industries Ltd. -32.819% 868.54 2.7541 0.29%Raymond Ltd. -32.964% 1746.28 0.7889 1.93%Deepak Fertilisers & Petrochemicals Corp -33.709% 882.93 1.4416 6.69%Amtek India Ltd. -34.112% 1182.53 1.6018 28.58%Chambal Fertilisers & Chemicals Ltd. -35.340% 2078.96 0.8865 6.21%Rashtriya Chemicals & Fertilizers Ltd. -35.393% 2019.19 1.1617 6.15%EIH Ltd. -35.397% 3160.78 0.7495 10.31%HSIL Ltd. -36.348% 602.01 1.7048 16.40%Uflex Ltd. -36.993% 522.09 4.7857 2.42%Jain Irrigation Systems Ltd. -37.652% 2802.28 0.7668 2.52%HMT Ltd. -38.217% 1923.69 -1.8507 30.04%Aban Offshore Ltd. -39.053% 1148.36 2.6148 17.49%VIP Industries Ltd. -39.389% 855.57 0.3010 3.63%Sterlite Technologies Ltd. -40.331% 922.64 1.2538 5.54%NCC Ltd. -40.480% 858.28 3.1419 -7.17%Delta Corp Ltd. -40.682% 927.82 0.8321 52.20%Gujarat Fluorochemicals Ltd. -41.490% 3287.26 0.9431 -0.85%

Page 98: Portfolio - Size Momentum

Mahindra CIE Automotive Ltd. -42.036% 343.81 2.1753 -0.67%Jai Corp Ltd. -42.045% 900.28 2.5047 26.56%BGR Energy Systems Ltd. -42.188% 1363.10 0.8974 3.10%Lanco Infratech Ltd. -42.912% 2501.70 1.4464 7.80%Housing Development & Infrastructure Lt -45.875% 1937.89 5.3577 14.92%Suzlon Energy Ltd. -46.047% 2426.08 0.1263 6.74%Hindustan Construction Company Ltd. -46.498% 833.94 0.6182 1.45%Sintex Industries Ltd. -46.551% 1434.63 2.1380 3.15%State Trading Corporation Of India Ltd. -46.718% 815.70 -1.8473 25.01%RattanIndia Power Ltd. -47.238% 2196.11 2.4627 0.96%GVK Power & Infrastructure Ltd. -47.299% 1448.13 2.1720 3.49%BF Utilities Ltd. -50.336% 1512.54 -0.1190 38.20%Amtek Auto Ltd. -51.720% 1311.74 5.0588 15.19%Jindal Saw Ltd. -52.843% 2267.82 1.6153 -3.65%Praj Industries Ltd. -54.364% 649.52 0.8784 -0.68%Rasoya Proteins Ltd. -57.477% 1555.10 0.2755 8.57%Alok Industries Ltd. -58.013% 1619.49 1.7618 16.46%Welspun Corp Ltd. -62.676% 1323.94 3.7776 5.36%Orchid Chemicals & Pharmaceuticals Ltd. -65.999% 1302.12 0.8696 2.39%Opto Circuits (India) Ltd. -70.361% 1461.19 1.4240 -3.32%IVRCL Ltd. -71.019% 589.22 4.5055 0.52%Lycos Internet Ltd. -72.884% 1273.97 0.8129 -31.59%BEML Ltd. -77.629% 606.97 3.4263 10.26%

Page 99: Portfolio - Size Momentum

May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14-35.74% -18.25% -53.17% -0.06% 11.68% -14.74% -4.54% 6.39% -12.89% 12.19%

9.19% -10.13% 10.17% -8.04% 15.40% 1.25% 1.79% -0.34% -5.09% -3.55%1.21% 6.27% -40.28% 56.30% -3.63% -5.37% 25.50% -2.00% 6.23% 5.13%2.27% 2.07% 14.28% 8.01% 18.27% 12.89% 0.83% 10.03% -6.92% 15.06%

17.19% 1.82% -10.11% -1.04% 6.40% 6.27% 4.84% -6.91% -9.23% 3.63%-5.87% -59.24% -69.11% -1.23% -23.15% 16.95% -17.81% 35.18% -12.70% -1.03%5.36% -6.99% -6.95% -3.20% 16.78% -3.48% 5.69% -1.17% -7.59% 0.38%

-3.20% 4.17% 4.94% -6.52% -1.34% 16.31% -2.41% 6.67% -4.07% 1.19%3.57% 3.92% 20.83% 10.72% 4.82% 0.45% -0.61% 16.25% 15.96% 7.60%

10.77% -0.70% -1.89% -2.68% 7.95% 0.46% -9.76% 8.88% -9.01% -4.97%-1.22% -7.41% -16.63% -10.58% 2.49% 22.37% 1.92% 10.90% -13.96% -5.41%3.37% -5.62% -2.42% 1.49% 3.66% 3.74% 1.73% -3.06% -12.35% 5.08%

-20.90% -8.56% -21.11% -17.68% 23.15% -5.27% -11.07% -3.65% -18.94% -8.35%16.87% 10.61% 0.97% -6.64% 15.07% -4.30% -3.41% 9.36% 14.91% 7.10%

7.03% -7.11% -14.97% -14.24% 21.74% 9.85% -3.12% 7.23% -13.73% 3.32%10.17% -7.43% 3.16% -4.67% 18.33% 17.25% 4.63% -3.14% 11.61% 14.01%

3.90% -4.81% 9.52% -17.42% 9.70% 17.21% -6.51% -2.50% -3.77% 0.15%10.56% -6.56% 1.45% -6.29% 5.36% 15.27% 2.39% 6.58% 0.91% -0.19%21.52% -7.29% 5.22% -10.86% 3.29% 5.83% -8.19% 3.38% 4.80% 2.01%19.26% -5.88% -2.47% -12.98% 19.17% 2.67% -0.02% -4.64% -3.84% 1.55%14.69% -6.32% 0.52% -16.11% 12.21% 14.03% 4.15% -4.58% -2.04% 2.12%

2.54% -0.46% -32.66% 49.00% -1.56% 0.82% 9.71% -62.31% 4.31% -6.51%1.27% 9.56% 17.72% 10.42% -3.24% 16.38% 9.53% 8.24% -2.57% 4.45%2.99% -13.36% -8.33% -3.59% 5.82% 2.21% 9.11% -2.52% 0.96% -7.41%

10.73% 3.40% -10.08% 8.15% 1.92% 10.06% 4.29% 8.61% -24.39% 2.31%0.13% -20.21% -15.49% 11.74% -12.50% 3.47% 1.05% 3.42% -17.43% 11.44%9.90% -3.54% 11.86% -7.85% 14.00% 2.60% -5.89% -0.77% 3.59% 9.27%0.24% -1.88% 0.15% -8.15% 14.66% -6.71% -7.78% 9.69% -9.20% -3.36%3.33% -4.55% 5.32% -9.89% 10.54% -1.78% -4.22% 0.45% 1.09% 0.74%

-6.73% 4.02% -7.15% 3.69% 2.12% 6.53% -1.67% 22.73% -13.94% 6.55%8.96% 1.25% 19.54% 11.46% -4.77% 9.42% -4.92% 8.30% 3.01% 1.64%

-1.75% -6.06% -5.42% -14.54% 18.13% -0.94% 10.94% 2.55% -11.38% 1.13%20.43% 3.50% -9.45% -8.11% 7.68% -2.60% -7.79% 13.18% -1.98% -0.63%-4.45% 5.43% -1.59% 12.27% -4.83% -5.15% -7.71% 6.13% 0.72% -0.51%

-10.57% 0.52% -8.58% -0.97% 2.15% 14.86% -6.64% 17.79% -3.40% -3.60%5.88% -0.54% 3.85% 0.65% 4.33% 5.12% -7.34% 2.90% 1.06% 0.55%3.30% -4.73% -4.93% 4.15% 20.20% 7.51% -14.28% -2.60% 8.01% -4.23%

-9.30% 1.68% -5.72% 6.10% -2.36% 0.52% 18.49% 6.02% 7.72% 8.09%25.78% -11.88% 6.49% -8.82% 11.40% 9.87% 20.36% 6.20% -6.70% 9.99%-5.99% -1.87% -1.31% -11.43% -0.63% 8.59% 3.23% 14.59% -20.11% 9.47%

-10.87% -3.06% -8.80% 0.66% 2.72% 4.99% 16.13% 0.41% -8.30% 5.78%3.08% -8.14% -5.36% -22.02% 20.53% 2.28% -1.86% -1.51% -10.08% 12.27%

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-10.87% -3.06% -8.80% 0.66% 2.72% 4.99% 16.13% 0.41% -8.30% 5.78%14.24% 0.43% -11.51% -24.40% 8.63% 2.01% -0.83% 3.00% -9.25% -0.47%

-13.89% 4.03% -12.75% 3.30% 3.19% -3.76% -2.09% 2.00% 3.50% -0.41%-10.92% 2.12% -11.27% -0.61% 13.55% 6.90% -8.28% -0.32% -1.36% -0.03%

1.87% -11.86% -6.50% 21.59% -1.02% 23.51% 3.01% 10.37% 19.97% 9.67%-5.36% 3.53% -1.16% -0.35% 19.32% 36.74% 11.07% 7.36% -4.41% 7.58%0.09% 0.31% 37.49% -4.39% 5.52% 9.78% 15.31% 3.76% -7.76% 13.47%1.58% -3.96% -16.27% 24.89% 3.38% 14.03% 39.25% -1.12% -14.23% 18.77%6.29% -7.37% 3.98% 3.70% 2.84% 19.29% 15.53% 10.33% -5.61% 7.42%4.19% 12.86% 3.28% 3.65% -0.19% 12.59% -1.81% 19.09% -6.15% 5.43%

-3.43% 4.56% 5.56% -9.64% 1.07% 5.28% -7.79% 0.51% -6.06% -6.29%6.69% -12.46% -8.28% -11.40% 6.25% 38.96% 28.56% 10.01% -17.34% -5.42%

-0.06% 0.84% -1.84% -6.19% 0.73% 5.83% 21.28% 21.10% -5.68% 5.33%-0.61% -19.25% 25.78% -3.45% 8.51% 22.86% -4.05% 18.88% 16.98% 17.33%-2.37% -6.78% -2.77% 0.84% 15.44% 15.11% 5.23% 11.30% -3.17% -2.75%-4.47% 1.07% -12.96% 10.06% 4.53% 16.52% -1.99% 3.95% -2.12% 19.82%-9.13% -5.46% 1.57% -5.47% 2.89% 8.73% 11.33% -4.55% 9.38% 10.18%1.40% 0.09% -4.22% -6.12% 12.84% -6.20% -2.62% 3.62% 0.36% 22.97%3.37% -8.83% -7.02% 0.31% 3.74% 10.46% 7.29% 2.90% -9.40% 17.09%

-0.74% -11.17% -4.75% 0.29% 0.15% 20.73% 17.29% 24.33% -17.74% -4.44%-2.60% 0.48% -12.99% -0.41% -6.78% 1.15% -0.92% 4.53% -5.94% -3.71%-4.87% 5.78% 1.98% 3.31% 14.28% 17.76% 9.37% 24.46% 4.81% 2.49%17.15% -2.32% 0.78% -6.52% 9.42% -1.20% 2.88% 25.14% -1.65% -0.29%

4.51% -3.04% -1.15% -6.00% 4.26% 3.91% -14.08% 8.76% -4.73% 4.04%5.61% -4.99% -7.72% -15.27% -9.44% 19.75% -13.98% 4.83% -2.34% 1.57%2.15% -8.54% -3.13% 11.19% 21.33% 11.13% 1.40% 0.21% 2.89% 12.01%

Page 104: Portfolio - Size Momentum

-2.04% -18.61% -7.59% -10.78% -5.52% 34.23% -12.79% 30.59% -19.20% 1.08%1.09% -3.94% -7.42% -6.15% -0.55% 11.08% -2.97% 21.58% -1.56% -2.79%

-3.10% -8.43% 24.76% 8.48% 41.28% 14.55% 4.11% 2.55% 9.73% 15.88%2.52% -1.81% 20.65% -18.37% 17.32% 50.63% 55.20% 12.19% -6.97% -5.45%

-3.23% -4.12% -4.56% -14.84% -6.72% 17.15% -0.57% -11.67% -11.65% 0.45%1.72% -23.08% 3.73% 4.53% 7.46% 16.04% 2.49% 19.70% -4.20% 20.11%1.87% -5.61% -30.39% -78.94% 23.72% 22.82% -3.81% 11.22% 47.28% 21.94%1.89% 2.27% -11.00% 17.74% -0.09% -0.94% 13.56% 13.42% 11.30% 10.69%

43.30% 8.75% -28.88% -1.54% 9.40% 32.94% 3.59% 0.87% -14.09% 1.60%2.37% 0.91% -0.33% -7.76% 2.99% -3.55% 14.04% 4.08% -7.53% -0.10%

-14.67% -13.67% -11.76% -4.87% -4.31% 15.21% 5.62% 9.72% -10.55% 9.43%5.55% -1.50% -2.46% -9.72% 1.54% 2.56% -0.28% 10.00% -9.34% 0.84%2.68% 1.02% -0.69% 0.76% -3.21% 6.05% 0.86% 3.41% 4.00% -0.45%

-19.89% -19.14% -25.68% -19.50% 10.07% 22.44% -4.98% 7.49% -1.05% -8.98%-8.31% -3.06% 2.93% -7.79% 7.11% 18.61% 37.16% 39.01% -0.16% 41.22%-5.68% -5.42% -2.07% 0.36% -2.93% 3.21% 14.02% -0.67% -2.26% 1.13%-7.26% -11.79% -8.78% -6.04% 10.71% 20.43% 14.20% 3.44% -16.48% 12.31%-6.76% -22.74% -2.24% -8.27% 18.03% 16.98% 7.48% -0.35% -14.06% 10.30%-4.65% 10.50% -2.40% 4.24% 5.21% 4.46% 14.95% -2.20% -8.01% 0.95%-0.65% -4.17% -15.24% 12.36% 7.43% 0.07% 5.12% 0.19% -11.55% 14.27%4.07% -4.64% 1.09% -0.32% -0.95% 36.33% 20.24% 7.05% 8.60% 5.12%2.14% -5.71% -33.64% -27.85% 22.78% -3.09% -7.98% -1.16% -6.24% -6.65%

-1.52% -3.47% -2.00% -17.35% -1.15% 2.50% 5.20% 17.37% -6.12% -1.75%-4.20% -3.45% -22.90% 5.53% -7.95% 13.13% 6.49% 14.41% -13.52% 6.63%0.00% -15.97% -4.70% 6.04% -10.07% 18.37% 7.49% 3.82% 0.48% 12.49%

-8.12% 3.10% 12.66% 2.52% 1.72% 11.72% 20.06% 4.52% -5.77% 21.87%11.16% -4.21% -2.80% -7.23% 10.31% 3.87% 5.29% 1.72% -15.12% 1.91%

-21.96% -22.99% -14.15% -12.86% 13.31% 32.84% 23.62% 27.37% -7.54% 2.28%1.27% 3.08% -1.62% -2.64% 4.23% -0.27% 58.56% -32.40% -8.97% 7.54%1.69% 3.70% -7.89% 6.81% -1.69% 23.01% 7.64% 14.10% 7.34% 10.69%

29.82% -7.75% 2.69% -9.18% -5.41% 2.51% 0.99% -1.58% -1.97% 29.69%-2.69% -13.42% 1.78% -9.83% 2.67% 4.66% 12.42% 5.29% -6.95% -0.15%-6.18% -9.60% 0.71% -10.46% -5.10% 16.20% 10.28% -0.51% -21.86% -11.99%-2.58% -19.06% -24.67% 13.94% 31.07% -8.69% 18.44% 6.89% 8.84% 24.41%-4.72% -0.12% 1.50% -14.21% 0.16% 2.44% 13.64% 3.84% -10.98% 3.27%-8.36% -16.25% -31.13% -19.71% 10.47% 25.74% 38.94% -2.77% -0.41% -7.57%-9.77% 0.77% -10.56% 6.01% -4.66% 17.20% 4.17% 61.74% 34.19% -7.69%7.50% -3.06% 0.42% -18.88% 35.85% 22.67% 8.24% 21.72% 10.73% 7.26%

-2.75% -4.14% -7.21% 0.49% 3.10% 6.90% 7.70% -0.71% -8.61% 0.04%-15.94% 9.96% -8.57% 5.02% 19.95% -14.71% -8.38% 2.65% 8.18% -12.36%-13.85% 3.56% -8.41% -10.67% 19.18% 14.78% -2.18% 6.35% -6.85% 14.35%14.87% 1.94% 1.94% 13.94% 1.68% 18.25% 8.40% -1.36% 14.20% 8.95%-8.76% -17.17% -25.07% -9.28% 15.57% -1.11% -3.36% 5.60% -12.25% 9.38%

-13.72% -1.04% -10.51% -27.35% 20.32% -9.40% -10.17% -0.94% 14.05% 15.87%10.05% 1.33% -3.50% -2.36% 4.09% 33.90% 4.66% 7.51% -5.86% -6.92%-2.16% -9.11% -3.66% 2.23% -3.72% 10.67% 13.13% 6.36% -9.21% 10.82%-2.48% -11.93% -10.65% -13.66% 3.31% 14.90% -4.61% -0.38% -5.23% -6.19%-5.68% -23.58% 6.75% 8.88% 16.30% 4.72% 5.90% 12.33% -14.37% -5.66%

Page 105: Portfolio - Size Momentum

3.62% -7.41% -12.69% -7.61% 1.12% 16.67% -1.59% 11.61% -12.86% 1.99%-6.50% -8.76% -5.49% -1.61% 20.66% 37.77% 8.28% 38.34% 2.04% 10.84%-8.44% -5.57% -8.75% -5.68% 13.09% 11.03% -3.93% 1.66% -10.32% 1.31%-5.51% 1.97% -19.35% -10.29% -1.62% 3.79% 8.84% 14.74% 22.15% 0.14%-4.17% -13.18% -26.30% -21.32% 8.82% 5.93% 35.17% 3.09% -3.51% 6.39%

-10.03% -4.92% -11.73% -5.20% 0.96% 33.97% 0.90% 14.16% -14.47% 6.99%6.40% 12.03% -2.94% -4.55% -5.51% 19.09% 0.50% 11.57% -12.74% -7.72%1.60% -18.43% -7.19% -0.97% 19.97% -3.96% 14.42% -2.86% -19.74% 26.63%5.49% -0.72% 4.80% -8.17% -0.48% -5.47% 3.79% 5.48% -8.19% -1.79%4.50% -14.00% -3.59% -3.39% 2.27% 9.56% 24.36% 4.07% -6.09% -6.09%

-19.92% -14.83% -9.06% -10.64% 9.85% -2.46% 21.62% -0.17% -10.57% 2.98%2.27% -7.22% -5.46% -6.61% -1.39% -1.48% 6.86% 22.81% -8.66% 1.37%

-3.76% -15.99% 33.22% -8.76% 8.78% 16.10% 1.38% 4.75% -2.17% 0.28%-6.33% -2.12% 1.75% -8.86% -1.67% -6.72% -1.15% -4.35% -4.87% 4.38%-3.07% -9.71% -7.09% 0.51% -5.54% 8.30% 6.17% 5.34% -8.72% -3.67%

-13.29% -4.38% 1.83% 0.45% 4.48% 3.43% 9.81% 19.62% -5.68% 9.48%-1.77% 7.70% 33.91% 10.38% 0.23% 3.54% -8.05% 7.73% 2.31% 18.73%23.18% 4.85% 4.83% 6.55% 2.62% 15.01% 20.73% 17.64% -9.91% -7.21%-9.47% 2.40% -3.19% -7.03% 0.00% 18.20% 6.20% 12.62% 1.67% -1.15%1.16% -39.14% 19.62% 45.05% -21.27% 9.90% 2.56% -4.88% 25.96% 14.76%

-11.80% -24.65% 5.30% -9.47% 24.51% 18.90% -9.27% -2.19% -7.96% 14.86%-3.11% 5.16% -9.81% 10.97% -10.69% 13.05% 1.35% 5.34% -4.25% 17.91%11.50% -26.04% 1.14% 2.25% 4.50% 7.64% -2.12% -0.83% -10.92% -8.21%

-15.29% -1.45% 4.14% -7.83% 2.09% 15.69% -5.66% 3.50% 6.52% -9.30%3.09% 7.66% -10.71% -10.07% 7.23% 13.58% -4.77% -5.27% -13.25% -5.13%

-3.19% -9.12% -13.42% -27.47% -6.68% -1.83% -13.02% 25.16% -18.00% -2.88%-6.62% -1.78% -19.46% -8.30% -12.05% 46.49% 11.68% 25.04% 0.12% 5.42%5.31% 0.18% -12.48% 18.47% 9.00% 10.78% -5.60% 0.59% 0.22% 13.97%

-6.44% -9.31% -7.42% 0.52% 22.91% -0.39% 25.59% 7.34% -7.02% 4.61%-1.88% -3.29% -4.01% -13.71% 10.29% 20.35% 24.44% 4.56% -8.38% 25.82%-8.46% -5.98% -19.36% -28.75% 49.80% -2.35% 1.03% -0.82% 7.76% -10.19%-7.74% -17.70% -19.62% -4.13% 4.60% 21.82% -4.38% 5.87% -9.95% -3.54%-5.53% -9.60% -25.12% 2.72% 19.66% 17.72% 3.63% 1.38% -3.97% 1.53%

-13.48% 1.08% -9.26% 0.24% 27.31% -2.64% -0.19% -1.19% 5.06% 8.07%4.03% -29.00% -23.15% 40.52% -16.74% 6.64% 4.98% -4.15% -12.85% 13.85%

-18.85% -16.03% -2.77% -7.11% 9.65% -3.49% 12.59% 3.08% -3.62% -1.55%-0.64% -14.38% -15.73% 12.21% -1.28% 4.21% 3.73% 6.45% -12.68% 3.87%-7.13% -8.83% -9.49% 6.84% 7.91% 2.13% -3.36% 17.58% -9.59% 14.59%-3.35% -16.28% -9.84% 3.04% -2.70% 5.80% 27.71% -0.33% -13.78% 9.88%

-12.15% -8.15% -13.97% 17.61% -8.02% 20.59% 18.12% 3.54% -13.66% -6.92%9.66% -24.69% -3.45% 0.30% 14.65% 15.20% 6.45% 2.25% -12.95% -6.33%

-11.85% -1.90% -14.41% -10.68% 13.56% 20.04% -4.38% 3.00% -10.62% 8.05%-4.48% -14.92% 1.33% -16.43% 0.52% 18.07% 49.05% 2.81% 15.73% 13.47%-9.00% -10.33% -7.32% -2.95% 8.58% 14.60% 3.49% 8.52% -5.67% 19.03%

-14.75% -6.87% -4.58% -2.93% 4.95% 9.16% 7.43% 9.82% -13.41% -7.98%0.81% -22.20% -5.54% -24.13% 2.87% 44.29% -2.51% 31.68% -25.56% 4.24%

-2.17% -13.63% -3.71% 18.16% 1.92% 43.77% 2.34% 16.10% -1.49% 0.58%-6.74% 3.22% -11.52% -0.79% -4.37% 5.36% -5.80% -0.57% -0.57% 0.81%

Page 106: Portfolio - Size Momentum

17.41% 36.67% 5.89% 1.67% 4.69% -27.69% -5.06% 6.20% 3.48% 60.53%-13.47% -16.56% -11.28% -2.20% 1.25% 23.70% 25.25% 18.25% -14.49% -2.05%

-1.23% -32.47% -34.64% 17.37% 9.73% 5.85% 0.13% 8.50% -16.46% -1.24%-16.70% -26.69% -23.83% -1.92% 5.48% 13.73% -4.08% 30.27% -6.40% -9.76%-21.07% -11.08% -10.86% 0.60% 7.77% 18.17% 18.08% 6.46% -21.10% -1.07%-19.35% -22.47% -23.60% -14.66% 9.26% 49.46% 1.75% 4.56% 4.17% -6.33%

-4.52% -20.65% -25.07% 23.11% 1.85% 45.82% -13.60% 19.98% -14.06% 1.78%-0.32% -14.87% -34.70% -33.40% 17.38% 60.19% -8.48% 12.58% 1.62% -1.01%-2.68% -45.71% -17.04% 73.29% 7.13% 23.64% -2.60% 2.91% -11.06% 0.10%-6.20% -12.45% -15.53% 0.00% 10.31% 23.21% 7.33% -3.42% -12.32% -7.23%

-14.33% -9.84% -19.24% 15.54% -8.33% 16.75% 0.55% 28.94% -3.79% -1.31%-11.83% -16.78% -22.21% -12.88% 0.45% 141.91% -1.98% 67.36% 0.46% 4.98%11.49% -14.63% -9.43% 1.50% -6.76% 7.83% 9.27% 5.52% -12.73% 53.46%-9.29% -20.14% -26.53% 17.22% -10.13% 7.89% -3.66% 6.40% 5.40% -8.80%4.40% 1.45% -13.25% 0.30% 7.31% 7.51% 5.82% 10.39% -2.77% -0.80%1.32% 30.67% 4.51% -2.63% 10.67% 8.55% 6.94% 0.88% -6.38% -2.17%

-18.01% -11.24% -5.61% -3.20% 25.51% 0.63% -3.37% 9.03% -17.16% -8.43%-13.95% -4.16% -17.71% -5.69% -12.08% 42.55% -9.28% 64.64% -8.89% 9.76%-17.72% -8.31% -22.86% 7.21% 11.33% 9.73% 5.10% 28.32% -29.55% -0.11%-45.97% -35.87% 18.07% 1.05% -14.73% 11.92% -6.52% 30.70% 15.12% -19.32%

-8.81% -14.49% -22.26% -11.28% 10.69% 13.84% 7.03% 16.86% -32.15% -3.96%-34.70% -32.55% -33.62% -31.59% -12.30% -11.21% 81.40% 48.36% 55.67% 14.24%

9.46% -11.63% -7.30% -3.44% 1.04% 33.39% -2.48% 28.73% -19.54% 9.29%

Page 107: Portfolio - Size Momentum

portfolio returns - size momentumMar-14 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13

3.38% WB 3.546% 2.960% -4.260% -5.232% -2.044% 7.195% 6.074%10.67% NB 5.488% -1.478% -6.180% -4.672% -6.277% 6.482% 8.324%

7.03% LB 7.391% -2.929% -10.797% -13.907% -0.836% 9.551% 12.491%-19.56% WS 6.223% 1.646% -2.135% -5.641% 1.890% 8.107% 12.284%

8.53% NS 2.851% -0.709% -5.205% -6.229% -5.649% 6.748% 12.017%-5.30% LS 6.563% -5.550% -10.469% -8.956% -0.746% 4.497% 15.339%12.03%

1.19% rf 0.643% 0.612% 0.620% 0.776% 0.946% 0.876% 0.745%-11.77%

-0.27% Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-1330.39% WB 2.903% 2.348% -4.880% -6.009% -2.990% 6.319% 5.329%

7.91% NB 4.845% -2.090% -6.799% -5.448% -7.223% 5.606% 7.579%14.65% LB 6.748% -3.541% -11.416% -14.683% -1.783% 8.674% 11.746%-4.79% WS 5.580% 1.034% -2.754% -6.417% 0.944% 7.230% 11.539%15.20% NS 2.208% -1.321% -5.824% -7.006% -6.595% 5.871% 11.272%10.16% LS 5.920% -6.162% -11.089% -9.733% -1.692% 3.620% 14.594%15.55%16.67%-0.75%-6.05%6.63%

10.33%-4.07%26.30%

1.43%1.60%

-10.79%14.37%

7.77%-7.41%-6.36%7.80%

-0.60%-1.38%15.13%

3.82%2.87%

-3.77%16.61%

8.28%9.80%8.36%8.45%

-0.17%18.97%

0.74%

Page 108: Portfolio - Size Momentum

-2.52%8.00%7.42%

-0.78%13.96%13.88%12.19%-5.79%11.65%-0.86%14.64%19.33%

9.31%25.46%28.98%-7.52%6.88%7.30%

13.90%9.99%

15.37%21.09%24.59%

7.65%8.36%0.10%4.62%

-5.51%27.85%21.89%12.11%12.45%

6.98%13.74%

2.19%3.44%

30.07%27.66%20.86%

5.57%0.84%2.50%

14.83%10.59%

0.91%16.30%

2.55%20.20%

Page 109: Portfolio - Size Momentum

6.70%18.24%

-14.17%-11.74%17.83%

3.82%-9.07%6.46%

19.65%25.24%-2.07%17.57%

1.61%-4.48%-1.02%-0.71%3.52%3.89%

14.20%11.44%

-15.51%24.28%

9.53%17.13%

0.03%32.26%

7.19%7.66%

18.48%12.54%

5.04%23.69%

9.30%22.46%

0.77%17.99%17.68%-4.94%6.53%9.31%

10.92%26.11%27.71%14.22%31.00%

1.66%33.59%

4.63%

Page 110: Portfolio - Size Momentum

22.43%2.81%

22.30%28.16%

5.83%12.32%

3.78%13.89%34.75%

9.88%16.67%23.49%24.93%30.91%34.82%

5.78%12.70%17.70%20.81%24.33%14.42%14.47%45.01%27.96%14.99%

7.87%22.14%10.19%

-14.60%15.43%13.17%30.88%50.10%35.52%20.18%13.65%14.69%

0.00%-3.69%8.38%

-8.30%10.11%42.99%15.20%28.74%

7.00%-11.82%-15.78%

Page 111: Portfolio - Size Momentum

13.00%23.64%42.92%

4.83%-7.35%-4.45%43.40%

2.30%31.68%-1.70%-4.40%2.04%

-1.11%38.62%-5.38%13.52%19.39%

2.17%28.05%

5.14%-1.93%

-14.15%9.80%

15.61%-0.54%-1.79%10.16%

9.44%-5.61%0.64%

-2.06%-5.33%5.02%

30.50%-2.02%-4.73%16.84%21.98%-4.20%34.23%24.07%

7.17%5.18%

-10.64%13.78%

1.24%5.53%

-1.82%

Page 112: Portfolio - Size Momentum

11.22%-0.88%

-10.32%56.27%

0.99%22.12%12.13%-9.58%-1.77%3.03%

17.89%4.70%

17.67%9.86%

-7.11%1.68%9.02%5.03%4.63%

11.42%11.25%24.50%10.84%13.66%10.96%

0.09%29.14%25.60%12.15%-1.93%-3.50%23.41%15.21%-4.26%-2.64%27.58%40.62%-6.72%15.80%-1.82%22.20%

-20.35%45.33%36.22%21.08%20.50%14.06%-2.41%

Page 113: Portfolio - Size Momentum

10.24%13.39%

5.21%14.39%

7.99%16.73%26.13%19.64%

3.52%12.85%10.03%

9.35%5.48%

20.06%37.03%27.70%-5.94%0.04%

16.97%-4.43%1.18%

-3.17%23.74%

2.37%26.80%-3.80%-2.23%24.00%67.12%20.56%

8.01%14.77%

9.62%1.95%

31.51%4.99%2.80%

12.42%32.78%

8.12%9.97%2.48%4.50%

44.64%18.11%37.21%-4.07%34.75%

Page 114: Portfolio - Size Momentum

-7.95%12.07%27.66%10.20%37.80%10.23%29.17%27.05%18.77%13.64%22.53%20.30%59.36%20.04%20.55%-0.95%1.40%7.87%

10.53%4.21%

23.92%11.36%40.84%

Page 115: Portfolio - Size Momentum

portfolio returns - size momentumNov-13 Dec-13 Jan-14 Feb-14 Mar-140.777% 3.933% -3.999% 3.143% 5.702%1.164% 5.822% -7.140% 2.325% 10.917%5.741% 3.280% -12.136% -0.087% 19.318%7.480% 10.059% -2.306% 4.976% 8.182%7.915% 7.988% -2.238% 6.054% 10.490%5.695% 11.108% -5.957% 3.739% 15.274%

0.738% 0.724% 0.730% 0.757% 0.761%

Nov-13 Dec-13 Jan-14 Feb-14 Mar-140.039% 3.210% -4.728% 2.386% 4.941%0.426% 5.098% -7.869% 1.567% 10.156%5.003% 2.556% -12.865% -0.845% 18.557%6.742% 9.335% -3.036% 4.219% 7.422%7.177% 7.264% -2.968% 5.297% 9.730%4.957% 10.384% -6.687% 2.982% 14.514%