1

Presentation by:Sanjun Chen

Noah Harris

Haley Lai

Nicolas Tollie

Global Asset Allocation

Alpha

2

Agenda

• Introduction

• Methodology

• Industry– Manufacturing– Services– Finance– Transportation/Utilities

• Factors– 1-Year EPS Growth– Forward E/P– Dividend Yield– Inventory Turnover

• Scored Strategy Returns– Subjective Estimates

• Conclusions

AgendaIntroduction

IndustriesFactors

Scoring Results Conclusions

3

Establishing Long-Short Trading Strategy

Introduction

• Objective– Generate positive returns– Limit risk through hedging

• Quantitative stock screen– Industry driven– Find predictive powers on positive and negative returns

• Select factors with strong predictive powers– Go long stocks in top quintile– Go short stocks in bottom quintile

IntroductionIndustries

FactorsScoring Results Conclusions

4

Description of parameters used for screening process

Methodology

• Sample– US equities listed on both NYSE and NASDAQ– Monthly data– In-sample time frame: 1990 – 1999– Out-of-sample time frame: 2000 – 2004

• Selected Industries with at least 100 companies

• Allocated factors into quintiles based on selected criteria

• Rebalanced and resorted each month

• Analyzed output and performance over time

IntroductionIndustries

FactorsScoring Results Conclusions

5

Description of Factors

Factors

• Forward E/P: Expected next twelve months earnings over current price

• Dividend Yield: Dividend Yield from Factset

• EPS Growth: (IBES projection for next twelve months – This year earning)/ This year earning

• Inventory Turnover: Sales/Inventory

IntroductionIndustries

FactorsScoring Results Conclusions

6

Industries Chosen

Industry SIC Code RangeManufacturing 2000 3999Transportation & Public Utilities 4000 4999Finance, Insurance, Real Estate 6000 6799Services 7000 8999

IntroductionIndustries

FactorsScoring Results Conclusions

7

1-Year EPS Growth is a fairly good factor for Equal and Value Weighted

• Quintile 4 Significant• Quintile 1 not consistently enough best performing portfolio, and quintile 5 not

consistently enough worst performing portfolio

1990 99.2 103.9 119.9 124.2 119.5 113.4 108.0 125.5 112.9 108.7

1991 149.5 148.4 143.5 150.7 136.0 149.1 124.1 130.6 121.7 117.1

1992 109.0 118.0 106.6 118.5 121.7 95.0 111.5 100.8 105.1 116.1

1993 124.4 122.4 111.4 127.2 134.6 114.7 121.6 99.0 113.3 144.7

1994 100.0 95.1 102.2 108.0 93.0 99.4 96.6 103.5 113.8 95.9

1995 123.6 125.0 134.7 143.5 147.1 134.2 127.6 143.0 143.7 149.2

1996 122.2 115.3 126.6 141.7 116.9 122.3 129.7 138.6 126.9 125.6

1997 104.6 103.9 122.4 125.0 102.8 107.9 109.4 128.2 129.4 111.6

1998 94.3 107.3 109.2 108.4 109.2 125.4 134.4 125.0 132.5 120.2

1999 152.1 121.4 114.8 142.0 187.8 140.3 112.9 121.4 135.5 196.2

Manufacturing

3.5 1.5

IntroductionIndustries

FactorsScoring Results Conclusions

8

Forward E/P is a good factor for Equal Weighted

• Quintile 5 Significant• Quintile 1 not consistently enough worst performing portfolio

Manufacturing

1990 110.5 107.8 106.5 122.3 123.2 117.0 110.8 102.1 123.9 116.5

1991 160.4 147.7 136.3 136.9 146.4 124.3 120.0 120.5 130.3 140.6

1992 123.7 119.1 117.5 104.0 107.8 97.1 116.0 101.8 96.6 119.2

1993 125.1 120.6 124.6 125.2 119.7 117.3 119.1 110.4 104.5 128.1

1994 105.9 103.0 104.1 100.1 88.6 95.1 107.1 110.7 102.8 98.0

1995 114.1 135.8 134.4 133.8 162.8 128.6 151.8 136.6 142.3 151.7

1996 136.2 129.6 128.2 116.1 116.2 127.3 129.7 144.0 123.5 134.9

1997 130.0 119.0 113.2 102.6 97.5 127.2 115.2 117.8 121.3 120.6

1998 94.2 95.0 106.9 119.3 115.1 122.8 104.4 110.2 131.2 157.7

1999 102.7 108.0 130.6 174.8 204.2 86.5 85.4 126.2 122.7 204.7

4.5

IntroductionIndustries

FactorsScoring Results Conclusions

9

Subjective Scoring of different Factors

ScoringIntroduction

IndustriesFactors

Scoring Results Conclusions

Equal Weighted Value Weighted1 2 3 4 5 1 2 3 4 5

Manufacturing E/P 4.5EPSGwth 3.5 1.5DivYld -1.5 -1.5 2.5 -3 2.5InvTrnover 4 3 -3.5

Services E/P -2 -2 -1.5 1.5EPSGwth -1 3 -2.5 2DivYld -2.5InvTrnover

Finance E/P -1.5 1.5EPSGwth -1DivYld 2 -1 1 1InvTrnover -1.5 2

Trans/Utilities E/PEPSGwthDivYld -4 4.5InvTrnover -3 -2.5

10

Manufacturing

Out-of-Sample ResultsIntroduction

IndustriesFactors

Scoring Results Conclusions

Equal Weighted2000 138.1 133.4 117.0 116.3 114.1 2000 100.9 104.6 98.6 95.0 100.22001 383.3 113.4 100.5 99.9 101.6 2001 124.0 92.2 84.5 78.8 80.32002 146.5 113.4 82.7 84.5 81.9 2002 40.9 83.1 81.8 80.5 77.42003 169.4 253.9 219.5 225.9 223.9 2003 117.0 152.6 138.8 139.6 144.02004 159.5 129.0 110.2 108.2 111.3 2004 48.2 113.7 107.0 103.0 105.6

1 2 3 4 5 NA

0

1

2

3

4

5

Avg. Returns

Av g. Returns for Fractile s of Factor 1

1 2 3 4 5 NA

0

1

2

3

4

5

6

Alpha

Alpha for Fractile s of Factor 1

1 2 3 4 5 NA

0.0

0.2

0.4

0.6

0.8

1.0

1.2

Beta

Beta for Fractiles of Factor 1

1 2 3 4 5 NA

-2.0

-1.5

-1.0

-0.5

0.0

0.5

Weighted Returns

Weighted Returns for Fractiles of Factor 1

1 2 3 4 5 NA

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

Weighted Alpha

Weighte d Alpha for Fractiles of Factor 1

1 2 3 4 5 NA

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

1.1

Weighted Beta

Weighted Beta for Fractiles of Factor 1

11

Services

Out-of-Sample ResultsIntroduction

IndustriesFactors

Scoring Results Conclusions

Equal Weighted

2000 65.3 69.9 84.5 80.2 77.0 2000 82.2 109.1 85.3 119.2 123.12001 40.1 123.3 99.7 88.7 97.8 2001 80.1 99.3 78.8 90.8 85.52002 72.6 132.9 85.2 83.0 84.9 2002 67.5 94.5 85.6 87.8 86.62003 617.8 240.4 253.5 265.1 258.0 2003 121.6 140.7 145.5 140.8 146.02004 137.0 118.7 114.1 118.5 112.0 2004 95.4 115.3 109.1 108.5 109.3

1 2 3 4 5 NA

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

1.8

2.0

Avg. Returns

Avg. Returns for Fractile s of Factor 1

1 2 3 4 5 NA

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Alpha

Alpha for Fractile s of Factor 1

1 2 3 4 5 NA

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

Beta

Be ta for Fractiles of Factor 1

1 2 3 4 5 NA

-4

-3

-2

-1

0

Weighted Returns

Weighted Returns for Fractiles of Factor 1

1 2 3 4 5 NA

-2.5

-2.0

-1.5

-1.0

-0.5

0.0

Weighted Alpha

Weighted Alpha for Fractiles of Factor 1

1 2 3 4 5 NA

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

Weighted Beta

Weighted Beta for Fractiles of Factor 1

12

Finance

Out-of-Sample ResultsIntroduction

IndustriesFactors

Scoring Results Conclusions

Equal Weighted

2000 149.4 104.9 116.8 116.9 117.1 2000 82.2 109.1 85.3 119.2 123.12001 120.2 104.2 114.3 110.8 114.9 2001 80.1 99.3 78.8 90.8 85.52002 63.0 137.1 111.8 106.2 105.4 2002 67.5 94.5 85.6 87.8 86.62003 106.2 184.9 147.0 150.7 152.4 2003 121.6 140.7 145.5 140.8 146.02004 49.7 115.9 115.3 112.6 111.4 2004 95.4 115.3 109.1 108.5 109.3

1 2 3 4 5 NA

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

Avg. Returns

Av g. Returns for Fractile s of Factor 1

1 2 3 4 5 NA

0.0

0.5

1.0

1.5

2.0

Alpha

Alpha for Fractile s of Factor 1

1 2 3 4 5 NA

0.0

0.1

0.2

0.3

0.4

0.5

Beta

Beta for Fractiles of Factor 1

1 2 3 4 5 NA

-1.2

-1.0

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

Weighted Returns

Weighted Returns for Fractiles of Factor 1

1 2 3 4 5 NA

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

Weighted Alpha

Weighted Alpha for Fractiles of Factor 1

1 2 3 4 5 NA

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

Weighted Beta

Weighte d Beta for Fractiles of Factor 1

13

Trans/Utilities

Out-of-Sample ResultsIntroduction

IndustriesFactors

Scoring Results Conclusions

Equal Weighted2000 107.9 94.0 97.9 99.5 99.0 2000 103.6 56.4 81.3 78.1 74.32001 32.4 64.2 86.4 91.6 85.3 2001 105.3 62.4 82.8 73.9 61.32002 91.9 86.3 81.4 87.5 83.3 2002 118.9 76.4 84.9 81.3 84.32003 289.9 243.0 186.6 201.0 209.3 2003 118.0 152.4 126.4 141.6 133.32004 68.0 108.0 108.6 113.6 117.3 2004 116.8 121.8 113.5 115.7 109.1

1 2 3 4 5 NA

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

Avg. Returns

Avg. Returns for Fractiles of Factor 1

1 2 3 4 5 NA

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

Alpha

Alpha for Fractiles of Factor 1

1 2 3 4 5 NA

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4Beta

Be ta for Fractiles of Factor 1

1 2 3 4 5 NA

-1.2

-1.0

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

Weighted Returns

Weighte d Returns for Fractiles of Factor 1

1 2 3 4 5 NA

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

Weighted Alpha

Weighted Alpha for Fractiles of Factor 1

1 2 3 4 5 NA

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

1.1

Weighted Beta

Weighted Beta for Fractiles of Factor 1

14

Conclusions?

• Scoring Screens– Mixed to poor results out of sample– Conflicting performance of equal and value weighted screens– Good performances (Manufacturing equal weighted, Utility weighted).

Luck?

• Possible Improvements– More conservative scoring – only score factors that perform consistently

across equal & value weighted– Industry groups too broad - test sub-groups– Bad in-sample/ out-of-sample time periods selections 90-99 Boom, 2000-

2004 Bust– Test more factors– Use optimizer to modify scores– Benchmark performances vs. industry indices

IntroductionIndustries

FactorsScoring Results Conclusions

15

Dividend is a good factor for Equal and Value Weighted

• Quintile 5 Significant• Quintile 1 and 2 give fairly poor performing portfolios

Manufacturing

1990 112.0 95.2 153.7 108.5 100.5 117.0 90.7 136.8 115.9 115.2

1991 151.3 134.3 180.5 235.6 226.5 129.8 110.4 147.5 172.6 159.9

1992 121.4 108.2 180.1 117.8 123.9 102.5 96.9 103.3 93.2 112.0

1993 133.0 119.0 106.1 121.1 152.8 117.4 127.8 116.6 115.8 131.7

1994 105.5 93.4 82.4 92.2 92.2 104.9 95.7 109.6 93.7 95.2

1995 131.4 119.9 157.9 184.9 174.9 138.3 118.7 97.1 149.8 150.3

1996 131.7 128.1 153.3 149.4 191.5 132.2 110.5 306.3 114.3 128.2

1997 126.5 120.0 470.7 159.9 131.5 123.7 109.7 190.2 99.2 108.1

1998 104.8 107.0 426.1 184.8 118.8 113.9 122.2 301.9 131.4 157.1

1999 111.0 175.2 3353.5 534.9 225.5 100.7 147.5 157.3 203.3 176.8

-1.5 -1.5 2.5 -3 2.5

16

Inventory Turnover is a good factor for Equal and Value Weighted

• Quintile 5 Great performance for Equal, Worst for Value Weighted

Manufacturing

1990 107.9 104.5 100.3 104.8 102.1 108.1 113.7 105.9 100.6 100.0

1991 178.6 164.6 176.1 176.1 194.8 120.3 132.1 126.7 111.9 137.9

1992 114.4 115.1 118.4 174.2 120.7 111.1 95.2 101.9 99.3 95.1

1993 119.9 130.5 120.7 158.8 131.2 119.4 118.8 113.8 136.1 121.8

1994 97.7 103.8 102.4 92.8 90.2 99.5 106.7 101.9 100.6 93.5

1995 156.2 145.5 151.6 133.7 179.0 133.6 139.2 138.4 123.2 127.5

1996 136.0 127.2 181.8 140.9 148.0 137.2 126.7 121.0 119.0 113.2

1997 132.3 118.2 130.0 130.5 145.4 117.9 123.0 124.4 112.0 104.9

1998 117.6 105.8 105.7 103.3 165.7 128.9 120.4 118.6 108.6 107.5

1999 154.3 147.3 162.0 159.7 367.6 134.7 114.5 128.6 115.1 124.4

4 3 -3.5

17

1-Year EPS Growth is a fairly good factor for Equal and Value Weighted

• Quintile 1 generally poor performing portfolio• Quintile 4 consistently great performing portfolio

Services

1990 72.2 197.5 130.4 111.6 119.0 56.5 195.0 142.4 148.0 123.4

1991 168.9 170.7 135.8 167.2 197.7 141.0 201.6 110.6 124.0 121.7

1992 87.5 107.3 111.6 138.9 107.9 95.0 100.8 105.4 133.7 83.8

1993 95.9 104.1 131.3 141.9 139.0 117.0 106.8 102.4 129.4 121.3

1994 83.4 105.3 112.0 107.5 96.4 72.4 112.4 103.8 117.3 108.3

1995 134.2 131.0 148.9 155.7 149.8 126.7 132.6 143.8 147.1 164.1

1996 112.9 142.4 146.2 125.9 87.3 99.1 105.4 163.7 138.5 103.8

1997 107.8 126.4 135.1 125.3 96.4 122.2 102.1 134.8 138.1 112.5

1998 112.6 109.5 118.8 141.7 117.1 163.0 118.1 169.9 143.4 293.5

1999 150.8 110.5 124.2 214.0 189.6 152.0 121.7 135.7 177.6 263.8

-1 3 -2.5 2

18

Forward E/P is a fairly good factor for Equal and Value Weighted

• Quintile 1 poor performing portfolio most of the time

Services

1990 95.1 118.0 153.5 152.5 109.0 136.1 96.3 167.5 151.8 125.9

1991 172.9 136.1 161.5 184.4 168.1 107.8 124.4 116.2 146.7 159.1

1992 107.6 127.1 115.2 103.9 110.8 100.8 94.1 120.3 106.6 107.8

1993 131.3 124.7 113.4 107.9 138.3 133.9 133.7 104.0 86.8 145.5

1994 105.9 112.8 106.4 102.5 85.2 98.7 105.0 106.7 117.4 98.8

1995 122.4 129.1 135.8 184.8 149.7 148.6 127.6 131.5 155.1 135.7

1996 127.5 127.4 133.8 116.1 103.1 131.1 122.8 127.9 131.4 104.0

1997 122.6 121.8 131.7 117.1 106.7 125.8 109.8 131.5 143.1 107.0

1998 90.5 118.7 109.2 132.8 155.8 121.0 111.6 136.9 213.1 225.4

1999 102.3 120.7 132.2 191.1 226.8 89.0 123.5 105.7 176.7 208.0

-2 -2 -1.5 1.5

19

Dividend is a good factor for Equal Weighted

• Quintile 1 Significant poor performance

Services

1990 124.3 110.9 91.0 99.3 83.8 123.9 110.3 132.2 133.3 56.6

1991 198.3 172.9 207.9 234.1 360.1 120.2 139.5 162.9 84.5 131.7

1992 114.3 113.0 143.6 116.2 125.0 114.2 105.0 110.9 118.7 57.7

1993 121.7 125.1 124.5 131.7 121.2 111.7 116.2 103.8 128.0 110.7

1994 86.7 106.2 104.8 87.8 79.8 97.7 101.1 122.3 87.9 124.9

1995 159.9 153.6 143.8 162.6 157.1 113.8 132.7 152.2 146.9 106.6

1996 119.6 121.5 140.3 136.9 430.8 89.5 140.7 126.2 132.5 141.2

1997 113.1 107.9 118.4 109.9 107.0 120.6 120.8 101.4 124.1 132.1

1998 115.2 114.1 136.3 122.1 147.8 189.7 109.9 101.8 155.9 198.5

1999 241.4 143.6 174.6 201.9 232.1 154.1 98.5 139.5 136.9 131.1

-2.5

20

1-Year EPS Growth is a fairly good factor for Equal Weighted

• Quintile 2 generally poor performing portfolio

Finance

1990 71.3 92.4 104.9 98.6 76.7 85.2 90.9 112.0 105.0 75.6

1991 180.1 158.7 165.6 163.0 114.6 180.5 142.0 150.4 150.1 112.3

1992 136.4 108.7 134.0 119.4 128.8 130.6 109.1 126.0 108.7 104.1

1993 110.2 108.9 115.2 111.4 111.8 129.0 104.5 114.2 109.7 98.2

1994 87.8 101.4 107.7 95.5 85.4 93.8 92.9 99.4 101.1 91.6

1995 143.3 147.2 140.9 146.1 150.3 144.3 165.3 143.2 153.3 169.9

1996 135.6 124.4 134.5 130.3 134.2 121.0 131.5 144.6 140.5 131.2

1997 133.1 130.3 150.5 158.1 139.0 115.6 124.6 131.0 144.0 153.3

1998 97.4 100.6 105.1 105.9 101.3 94.9 104.7 153.5 116.6 117.5

1999 88.3 86.2 86.9 92.8 102.8 90.5 87.8 102.5 99.4 106.6

-1

21

Forward E/P is a fairly good factor for Equal and Value Weighted

• Quintile 4 poor performing portfolio most of the time for Equal Weighted• Quintile 1 good performance for Value Weighted

Finance

1990 73.6 95.9 104.2 112.9 85.8 86.7 82.9 101.9 108.3 104.6

1991 161.2 166.0 156.0 145.2 176.2 168.0 156.2 165.9 132.1 147.6

1992 130.9 142.8 116.5 120.3 133.5 123.7 131.7 106.8 116.3 124.7

1993 120.6 106.6 120.2 100.9 103.5 118.8 111.0 113.6 104.4 101.7

1994 94.7 96.5 94.6 92.6 101.5 100.0 89.2 91.7 92.1 108.8

1995 175.1 158.3 140.3 136.5 123.1 175.4 157.6 146.4 139.8 133.5

1996 153.0 143.8 129.0 121.7 115.9 164.8 144.3 137.0 128.2 116.6

1997 140.3 153.7 158.4 139.0 131.2 154.2 132.5 148.5 139.0 132.9

1998 97.6 98.7 98.6 95.9 116.9 108.1 115.3 96.9 110.5 141.2

1999 95.2 88.8 86.9 87.9 96.6 90.1 83.6 82.3 108.9 102.6

-1.5 1.5

22

Dividend is a good factor for Equal

• Quintile 1 Significant good performance

Finance

1990 93.8 87.7 95.7 81.1 73.0 100.7 94.6 99.2 82.6 85.6

1991 170.2 133.2 127.6 137.2 202.2 157.7 138.5 116.0 118.4 124.2

1992 158.2 128.1 112.2 119.6 134.7 125.7 122.4 119.0 115.7 130.1

1993 138.2 115.4 114.7 128.1 135.2 119.7 113.9 114.7 116.6 126.9

1994 121.7 92.8 92.1 82.0 98.3 98.9 87.7 96.9 91.0 125.5

1995 137.3 124.4 126.1 139.6 148.5 149.4 137.2 153.5 138.5 127.8

1996 135.8 116.5 118.1 113.2 252.9 146.7 134.0 128.9 119.2 102.5

1997 158.7 135.5 140.9 134.9 139.7 139.0 139.7 137.7 123.9 130.3

1998 166.2 102.2 94.7 99.8 1275.0 114.1 111.0 106.0 116.9 120.5

1999 115.8 92.7 88.6 108.8 1293.9 110.2 100.4 93.7 100.2 76.4

2 -1 1 1

23

Inventory Turnover is a fairly good factor for Value Weighted

• Quintile 5 fairly consistent good performance for Value Weighted

Finance

1990 84.9 90.2 72.6 80.7 70.9 92.5 87.7 78.2 91.4 104.5

1991 152.2 146.0 155.0 191.3 179.5 145.0 136.0 143.8 154.1 195.7

1992 127.5 145.7 157.2 121.4 129.6 117.7 126.9 143.5 115.3 116.3

1993 119.6 124.1 138.8 113.4 126.2 104.3 108.9 118.4 140.7 133.4

1994 92.5 94.9 96.8 81.1 100.4 91.4 99.3 108.0 93.4 88.6

1995 134.4 144.9 139.6 145.9 147.3 147.2 149.4 152.9 140.8 161.9

1996 132.1 130.6 128.3 133.7 133.0 139.1 145.8 136.7 135.3 144.0

1997 155.6 149.6 147.8 151.0 147.0 137.0 136.9 138.1 128.9 148.3

1998 98.0 105.8 100.5 99.4 99.2 120.8 106.0 118.2 113.2 112.0

1999 94.4 94.0 104.2 112.4 105.7 93.6 118.1 77.7 101.9 132.1

-1.5 2

24

Dividend is a good factor for Equal

• Quintile 2 consistently poor performance; Quintile 5 consistently great performance

Trans/Utilities

1990 112.0 105.8 96.3 90.4 119.6 108.8 103.8 101.2 88.5 115.9

1991 135.3 121.0 126.7 152.8 179.6 126.2 119.1 113.4 126.2 120.0

1992 125.4 114.6 117.2 109.2 130.5 119.2 112.7 119.7 121.0 93.1

1993 120.9 116.4 132.5 135.5 167.4 120.9 118.9 123.7 98.5 119.3

1994 96.5 88.6 85.6 79.2 97.0 97.9 83.0 86.6 73.5 80.1

1995 128.5 122.8 113.8 136.6 130.6 128.8 129.2 116.1 126.8 147.6

1996 116.7 113.0 105.8 123.1 122.8 110.5 113.4 95.0 102.2 90.8

1997 130.2 116.8 144.5 117.5 117.7 131.1 118.9 135.1 135.1 160.5

1998 112.4 109.9 110.9 122.0 111.6 114.7 142.8 128.9 143.7 115.9

1999 119.0 113.5 184.6 161.0 198.7 110.9 116.6 118.7 173.8 195.7

-4 4.5

25

Inventory Turnover is a fairly good factor for Value Weighted

• Quintile 5 fairly consistently poor performance for Value Weighted

Trans/Utilities

1990 97.0 110.6 100.8 103.0 101.7 101.9 109.5 105.9 101.2 98.6

1991 126.8 128.9 131.7 131.4 113.1 113.9 110.4 116.8 126.9 108.7

1992 115.2 115.2 114.4 124.6 118.9 108.7 113.5 121.6 120.3 116.0

1993 137.9 135.9 127.1 111.0 124.4 132.4 128.3 114.6 112.6 116.6

1994 94.7 90.8 85.4 90.4 91.3 95.9 87.4 88.7 94.7 81.0

1995 114.2 128.1 134.6 126.1 119.3 124.9 118.9 132.8 122.6 129.4

1996 115.9 121.9 113.9 109.9 119.3 105.0 110.3 99.1 108.8 104.6

1997 138.2 129.9 121.4 119.5 120.3 135.6 136.7 117.3 123.5 114.1

1998 117.7 113.7 113.6 108.5 110.8 142.9 132.9 145.9 120.9 119.8

1999 120.2 139.5 126.9 110.4 167.4 124.7 111.0 128.8 105.9 166.2

-3 -2.5