Investment Performance and Price

advertisement
Utah State University
[email protected]
All Graduate Plan B and other Reports
Graduate Studies
8-2013
Investment Performance and Price-Earnings
Ratios: Basu 1977 Revisited
Richard John Criddle
Utah State University
Follow this and additional works at: http://digitalcommons.usu.edu/gradreports
Part of the Business Commons
Recommended Citation
Criddle, Richard John, "Investment Performance and Price-Earnings Ratios: Basu 1977 Revisited" (2013). All Graduate Plan B and
other Reports. Paper 326.
This Thesis is brought to you for free and open access by the Graduate
Studies at [email protected] It has been accepted for inclusion in All
Graduate Plan B and other Reports by an authorized administrator of
[email protected] For more information, please contact
[email protected]
1
INVESTMENT PERFORMANCE AND PRICE-EARNINGS
RATIOS: BASU 1977 REVISITED
by
2LT Richard John Criddle
A thesis submitted in partial fulfillment
of the requirements for the degree
of
MASTER OF SCIENCE
in
Financial Economics
UTAH STATE UNIVERSITY
Logan, Utah
2013
2
CONTENTS
Page
ABSTRACT …………………………………………………………………………………………..
3
LIST OF TABLES AND FIGURES …………………………………………………………….
4
INTRODUCTION …………………………………………………………………………………..
5
LITERATURE REVIEW …………………………………………………………………………
6
DATA OVERVIEW ………………………………………………………………………………..
13
METHODOLOGY …………………………………………………………………………………
21
RESULTS ……………………………………………………………………………………………
27
CONCLUSION ……………………………………………………………………………………..
33
REFERENCES ……………………………………………………………………………………..
34
APPENDIX I ………………………………………………………………………………………..
39
APPENDIX II ………………………………………………………………………………………
68
3
ABSTRACT
Investment Performance and Price-Earnings Ratios:
Basu 1977 revisited
by
2LT Richard John Criddle
Utah State University 2013
Major Professor: Dr. Tyler Brough
Department: Economics and Finance
In this work I reexamined Basu’s 1977 work using an out-of-sample, out-of-period
test on the returns of a sample of common stock for the period February 2003 to December
2012, from the viewpoint of a rational investor wishing to use data for investment
approaches. The data was examined for normalcy, and similar methodology and definitions
of ratios and return were used in order to closely follow Basu’s work. I found that the assets
in the sample used here do not display the same results found by Basu in regard to the
relationship between returns and price-earnings ratio under either the capital asset pricing
model, used by Basu, or the more recent Fama-French three factor model.
(76 pages)
4
LIST OF FIGURES AND TABLES
Figure
Page
1
The efficient frontier ………………………………………………………………..…
8
2
Sample monthly returns in excess of the risk-free rate ………………...
16
1
Summary statistics for the sample as a whole …………………………..….
17
2
Market value quintiles …………………………………………………………….…..
18
3
Book-to-market value quintiles ……………………………………………….…..
19
4
Price-earnings quintiles (CAPM) …………………………………………………. 27
5
CAPM summary statistics (by P/E and β) …………………………………….
29
6
Price-earnings quintiles (FF3F) ………………………………………….……….
31
7
Current ratio quintiles (FF3F) …………………………………………….………
69
8
Bid-ask spread quintiles (FF3F) …………………………………………………
70
9
Profit margin quintiles (FF3F) …………………………………………….………
71
10
Return on assets quintiles (FF3F) ………………………………………..………
72
11
Long-term debt ratio quintiles (FF3F) ………………………………...……….
73
12
Current ratio and size two-way sort (FF3F) …………………………………
74
13
Long-term debt and size two-way sort (FF3F) ………………….………….
75
14
Book-to-market and return on assets two-way sort (FF3F)…………...
76
Table
5
INTRODUCTION
Excess returns throughout financial literature are typically examined through the
lens of either the capital asset pricing model (CAPM) starting in the 1960’s or, more
recently, through the Fama-French three factor (FF3F) model. Numerous relationships
between returns and various factors, such as price-earnings ratios, have been examined
through creating portfolios of assets by test criteria and examining the resulting
relationships. One study, in particular, interested me as the results and conclusions seem
contrary to current popular notions of the meanings of financial ratios: Basu’s 1977 paper
“Investment performance of common stocks in relation to their price-earnings ratios: a test of
the efficient market hypothesis.” This paper will, using the same methodology as Basu, test
his results in an out-of-sample and out-of-period examination of the relationship between
price-earnings and returns.
6
LITERATURE REVIEW
The capital asset pricing model (CAPM) became the standard model to determine
the required rate of return for an asset in the 1960s. This model was based on the work of
William Sharpe (1964), Jack Treynor (1962), John Lintner (1965), and Jan Mossin (1966),
and founded on the earlier work of Harry Markowitz (1959). Ultimately the model created
by Sharpe, Lintner, and Black became the flagship model for pricing assets and determining
required rates of return. This model allowed financial professionals and researchers a
method to quickly evaluate assets, communicate risk levels in investment, and a method to
measure the relationship between return and risk (Fama and French, 2004). Prior to the
development of the CAPM, despite stocks having been exchanged as early as 1602 – more
than 360 years – no cohesive and widely used model had ever been developed to price
assets or adequately explain return and risk profiles of assets (Perold, 2004). Works in the
1940s and 50s began to examine risk preferences, decision making, and portfolio theory,
laying the groundwork for development of the CAPM (Perold, 2004). In part, the slow
development of a coherent model may have been due to the sheer size of the problem as,
prior to the 1960s, computer data processing and storage was insufficiently powerful or
available for large datasets such as market trading data (Perold, 2004).
Prior to the development of the CAPM, approaches such as weighted cost of capital
(WACC), dividend growth models, and estimates from prior rates of return were the only
available approaches to investors in attempting to predict future rates of return (Perold,
2004). While all of those methods continue to be used today in certain applications, the
CAPM became more widely used. The key area in which the CAPM improved on previous
approaches was that it incorporated and explained the relationship between expected
7
returns and risk in a way none of the other models of pricing had (Perold, 2004). The model
has, however, proved empirically unsound in either theory or application (Fama and
French, 2004). These failings may be due to oversimplification in assumptions, failure to
include a broad enough spectrum of assets to generate a reliable market return estimate, or
other reasons (Fama and French, 2004). Regardless of the reason for the model’s spotty
performance empirically, the end result, as Fama and French argue, is that “… most
applications of the model are invalid” (2004). The model, nonetheless, continues to be
widely used due to its simplicity in execution, and as the underlying logic is appealing and
rational.
The CAPM is founded on Harry Markowitz’s (1959) model of mean-variance
optimization, where investors are assumed to be risk averse and care only about the
relationship between risk and return in their choice of portfolios (Fama and French, 2004).
Sharpe and Lintner expand upon Markowitz’s work by assuming that investors agree upon
the distribution of assets from t-1 to t, and that distribution is the true distribution of the
asset. Next, they assume that investors can all borrow or lend at the same risk-free rate.
Also underlying the model are the assumptions that transactions occur at a single price for
either buying or selling, and that there are no transaction costs involved. These concepts
clearly lead to the idea of an efficient capital allocation line, and imply that the mix of risky
and risk-free assets must occur along the mean-variance efficient frontier; put more simply,
for any portfolio of assets there is an optimal level of investment in that asset and a risk-free
asset which results in maximum return for the risk level borne by the investor (Fama and
French, 2004). The idea of a trade-off between risk and return and the idea of an efficient
frontier can be visually described:
8
Under the assumptions of the CAPM, this optimal portfolio is the value-weighted
market portfolio of risky assets (Fama and French, 2004). This result led Sharpe and Lintner
to the CAPM equation, where E(Ri) is the expected return on asset i, E(RM) is the expected
return of the market portfolio, Rf is the known risk-free rate, and βiM can be seen as a
measure of sensitivity of an asset i to the market rate of return.
Sharpe-Lintner CAPM
( )
[ (
)
]
While powerful in its simplicity, and appealing intuitively, there are several
problems with the CAPM’s predictive power. Fama and French (2004) point out difficulties
involving measurement error of beta for individual assets and common sources of error in
regression residuals, such as industry effects. To address the first concern, beta
measurement error, the standard approach is to group assets into portfolios by various
9
metrics (Fama and French, 2004). Fama and MacBeth, in 1973, found a method for
addressing the second problem. By using time-series means of slopes and intercepts the
standard errors capture the effects of residual correlation in the coefficients (Fama and
French 2004). Developing the model yet further, Jensen found in 1968 that the equation
could be seen as an implied time series regression where the asset’s excess return (Rit –
Rft) is explained by the risk premium:
“Jensen’s Alpha”
Rit – Rft = αi + βiM(Rmt – Rft) + εit
The Sharpe-Lintner version of the CAPM should, in theory, produce intercept values
not statistically different from the risk-free rate. Numerous early (and more recent)
empirical tests have, however, found intercepts in excess of the risk-free rate (Fama and
French, 2004). A massive body of literature has developed around estimating the CAPM for
a sample of assets and testing for alpha by sorting assets into portfolios by various factors
such as illiquidity, market value, beta, book to market value, price-earnings ratios, and many
more (Amihud, 2002; Banz, 1981; Basu, 1977; Fama and French, 1992). Additional factors
have been added to the CAPM at times by researchers including momentum, seasonal and
weekly effects, and some strategies have been devised trading based on past performance
(Carhart, 1997; Jegadeesh and Titman, 1993; Lakonishok and Smidt, 1988). These papers
have, at times, been arguments of misspecification of the CAPM, or as evidence of inefficient
markets.
Addressing some of the issues with the CAPM model, an advance in asset pricing
occurred in Fama and French’s 1993 paper Common risk factors in the returns on stocks and
bonds. In that work, the authors find that average returns on stocks are not well correlated
10
with market betas used by Sharpe and other previous works. Fama and French find instead
that several other factors, in particular ones not typically used in asset pricing, can be
shown to have significant explanatory power. While the model identifies five factors in total
which affect stock and bond prices (expanding the realm of asset pricing to include bonds)
the model is most commonly used for its two additional explanatory factors to the CAPM.
These factors, related to firm size and book-to-market equity, became incorporated and
widely used as the Fama-French three factor model.
Both of the factors added by the FF3F follow logical reasoning and previous works.
Size and book-to-market serve as proxy variables for common risk factors tied to firm
economic fundamentals. Firms with high book-to-market equity have been observed to
have lower earnings on assets, while size is related to the profitability of firms. Fama and
French argue, in effect, that larger firms are more able to absorb swings in the market and
recover than smaller firms. Size of the firm, therefore, carries some intrinsic risk factor not
properly accounted for in the CAPM model. Rather than attempt to re-estimate the FamaFrench factors in this work, their estimates have been treated as constants here. Despite
that, some explanation of their origin bears discussion. Fama and French create their
factors, “small minus big” (SMB) and “high minus low” (HML), by sorting their sample
(which includes only firms with common stock, and excludes negative book-to-market
firms) into two portfolios based on size, and three based on book-to-market equity. This
allows construction of six portfolios at the intersections, which are used for the remaining
calculations. “… SMB is the difference between the returns on small- and big-stock portfolios
with about the same weighted-average book-to-market equity” (Fama and French, 1993).
This avoids the influence of the book-to-market factor, isolating just firm size. The second
factor, HML, is the monthly difference between the average of the two highest book-to-
11
market portfolios and the two lowest. The final key factor in construction of their factors
was the use of value-weighted returns, which minimizes variance and simulates practical
and realistic investment portfolios.
Fama and French’s three factor model has become a standard in research, as have
their approaches to portfolio specification to determine the presence (or lack) of
unexplained returns. This model (and the CAPM) will be used in testing the continuing
validity of two other works, and used as an approach to determine if consistent patterns in
alpha can be found in other metrics for creating portfolios. The results from the following
works will tested with an out-of-sample dataset, using similar methods, under both the
CAPM and the FF3F model.
Basu’s 1977 paper, Investment Performance of Common Stocks in Relation to Their
Price-Earnings Ratios: a Test of the Efficient Market Hypothesis, tests the idea that priceearnings ratios contain information regarding future performance of an asset. Assuming
that they do, and that this information is known to the market, this information should be
incorporated into the price of the asset, and the asset should not, therefore, display any
unexplained returns. Basu finds, however, a fairly consistent pattern where lower priceearnings ratio assets display higher alpha (or excess returns). The explanation for this
phenomenon is that the CAPM is not properly specified due to omission of some risk factors,
or that the market itself is inefficient in pricing assets. This argument contradicts more
modern ideas of price-earnings (P/E) ratios and, to me, contradicts rational pricing. This
paper, referred to throughout the remainder of this work as Basu’s 1977 paper, or simply
by referencing Basu, is the subject of this paper. I will reexamine his work using an out-of-
12
period out-of-sample test to see if the relationship between P/E found by Basu holds.
Furthermore, I will attempt to offer an alternative explanation for the results.
13
DATA OVERVIEW
All price and financial statement data was downloaded from the Wharton Research Data
Services website, a research service from the University of Pennsylvania. This site provided
access to monthly price, bid, and ask data from the Center for Research in Security Prices (CRSP)
and quarterly financial statements from Capital IQ’s Compustat North American quarterly
fundamentals (Compustat) (CRSP, n.d.; Compustat, n.d.). I was unable to find units for data on
Compustat and CRSP, documentation for Compustat, in particular, is poor. As the units are
merely linear transformations, however, and as the data are only used as a means of creating
portfolios, units are immaterial. It should be understood, however, that rounding errors can
affect cut-off points for particularly small decimals, and this work may be influenced by that
rounding error.
The Fama-French factors, risk-free rate, market rate less risk-free rate, “small minus big
(SMB),” and “high minus low (HML),” are available from Dr. French on Dartmouth College’s Tuck
School of Business website (French, 2013). These factors are computed from the value-weighted
returns of all CRSP firms which meet a set of conditions. For this paper, these factors are treated
as known constants and are not, in themselves, examined in any detail. Instead, coefficients on
these constants are examined to determine differences between portfolios of assets by other
variables. I have assumed that the figures provided by the website for risk-free and market less
risk-free rate were in percentage (rather than decimal) terms; those figures have been
converted to decimals in this study to align with the remainder of the data.
14
The initial dataset used was derived from the Russell 3000 Index member list as of
6/25/2012 (Russell 3000 Index (a), n.d.)1. This was chosen as a starting list as it is a broad index
of the market composed of the three thousand largest U.S. companies which together comprise
roughly 98% of the U.S. equity market (Russell 3000 Index, n.d.). Next, this list was trimmed to
include only firms in existence from November of 2002 through December of 2012. While the
choice of omitting any firms which did not survive the period, and removing any firms with IPOs
during that period may introduce some degree of upward bias on returns (survivorship bias is
inherent, and the long-term underperformance of IPOs is omitted), the intent of this work is
more in the direction of practical use than theoretical perfection. For a rational risk-averse
investor, IPOs have repeatedly been demonstrated to suffer from long-term underperformance
and are therefore undesirable for investment (Ritter, 1991; Jain and Kini, 1994). Firms in crisis
are also presumably not an asset which would continue to be held by a rational risk-averse
investor, and omission of firms which did not last though the period examined, while admittedly
introducing some survivorship bias, leaves a more realistic picture of the set of firms which an
investor would select from. Nonetheless, these choices and the upward bias introduced should
be kept in mind by the reader in examining the results of analysis.
Beyond the assets cut from the sample mentioned above, removing firms from the
sample also occurred for a variety of other reasons including: absence of quarterly financial
figures for more than one consecutive quarter, absence of more than three quarterly figures
over the sample period, and absence of any monthly stock price data during the period
examined. These omissions were made to obtain an accurate and complete sample.
1
Russell Investments updates the membership list for their indexes annually. The most recent update was
June 25, 2013, which rendered the link here obsolete. The list for 2012, the starting point for the dataset
used in this paper, has been included in Appendix 1.
15
Quarterly financial figures (from Compustat) were applied in a forward looking manner for
three subsequent months. While the quarterly figures reported obviously apply to the three
months prior to release (and not forward), these figures are what an investor would have
available in order to make their investment decisions for upcoming months. As this paper is
approaching data from a practical standpoint, rather than striving for theoretical accuracy,
using past quarterly financial figures to make forward looking investment seems logical and
the only choice available to a practical investor. On some rare occasions a single quarter of
financial data was absent from the Compustat set for an asset, on these occasions the
quarterly figures were used to apply forward through both quarters. As mentioned above,
however, if more than one consecutive quarter, or more than three total observations, were
missing for any single asset, that asset was removed from the dataset.
After all the above exclusions were complete, the final dataset contained 1671 firms.
Several general descriptive statistics for the dataset as a whole are presented below.
Visually, the data used in this sample follow a reasonable approximation of the standard
normal curve. With some extreme outliers removed for the sake of easy visualization2, the
following image summarizes the monthly returns of assets in the sample in excess of the
risk-free rate.
2
Outliers were not removed during analysis, merely removed temporarily to allow easier visualization in
Figure 1. The data was limited to +/- 0.8 monthly excess return for any asset, which removed 0.167% of
the observations (three hundred and thirty two of 198,833). Inclusion of outlier does not fundamentally
change the shape of the curve in any way, but it does require extending the x-axis considerably which, in
effect, compresses the shape of the curve to something approaching a shapeless line vertically from the
mean, rendering the image meaningless from a visual standpoint.
16
Figure 2
While the above certainly gives the appearance of a reasonable approximation to a
normally distributed variable, numerically there are some deviations from the normal. This
sample displays a slightly negative skewness to returns, and a mild degree of excess
kurtosis. In addition, the sample, when used in its entirety to estimate coefficients for either
the CAPM or Fama-French (FF3F) models, displays a lower than expected β. The deviation
from the expected value of one for β does not invalidate the analysis conducted here, but it
should be noted that the sample seems to have, on average, a lower systematic risk estimate
than expected. Table 1, below, presents key summary figures for the dataset. Above each
column of numbers the dependent variable used in the regression (or summary) is
17
indicated by either vwReturn (value weighted return3), or ln(1 + vwRet) for the natural log
of one plus the value weighted return.
Despite the noted deviations from expected values and the normal curve, the sample
examined here aligns with the findings of Fama and French, as they put it best: “[n]ot
3
For any given month, the weight applied to the returns of an asset is the market value of that asset
divided by the market value of all assets in the market during that month. The natural log of one plus the
value weighted return was used in Basu’s work, so it is presented (and used in replication of that work)
here.
18
surprisingly, firms that have high BE/ME (a low stock price relative to book value) tend to
have low earnings on assets…”(1993, p. 7). “Conversely, low BE/ME (a high stock price
relative to book value) is associated with persistently high earnings” (Fama & French, 1993,
p 8). Also in keeping with results found in Fama and French’s 1993 work, size of a firm is
clearly related to returns in this sample. The following figures present one and two-way
sorts included to clearly show that the sample examined here follows the usual patterns
found in well-known published works.
19
Table 2 illustrates that this sample follows the well-known and documented higher
returns to smaller market value firms. This return could be seen as a product of any one of
several factors, including risk associated with small firms and higher growth potential for
smaller firms (which in turn can be anticipated to lead to higher monthly return to
investors). This relationship between portfolio return (calculated here as the value
weighted return in excess of the risk-free rate) is a monotonic and inverse relationship to
firm size.
20
As illustrated above in Table 3, in keeping with the results of previous studies4, the
sample used in this study displays a monotonic relationship between book-to-market value
and returns. In this case, value weighted portfolio returns in excess of the risk-free rate
display that lower book-to-market assets (in the “Low” portfolio) have consistently higher
returns.
To summarize, the data used in this study is, statistically speaking, similar to that
used in other studies, can be reasonably described as approaching normally distributed
(with the exceptions as noted), and presents a broad and reasonably sized sample of market
returns in the period examined. As noted, however, the sample may suffer from some
degree of survivorship bias (as any firms which failed during the period were excluded),
and omits any IPOs during the period. These choice, while potentially skewing the summary
of returns in an upward direction, were made to limit the sample to assets which a rational
investor would select from. Again, I wish to emphasize that the goal of this paper is
reproduction of a previous work from the viewpoint of a rational and practical investor.
From that point of view, the choices made in exclusion are sensible and, given the relatively
low observed skewness and kurtosis, do not seem to unduly pull the results away from a
roughly normal distribution.
With that overview of the sample used in this study as a whole, I will now outline
the methodology used in examining the sample. I have made an effort to follow the
methodology used in Basu’s 1977 paper as closely as possible, and will outline the ways in
which my approach differs. In addition, a brief overview of a common methodology, the
Fama-MacBeth regression method, will be presented.
4
In particular, Fama and French’s 1992 paper, “The Cross-Section of Expected Stock Returns.”
21
METHODOLOGY
All data manipulations and statistics were performed either in Microsoft Excel
(2010) or in the R statistical package (R Development Core Team (R), 2011). Within R,
several packages were used to facilitate processing, including the “plyr” package by
Wickham (2011), the “fBasics” package by Wuertz and Rmetrics (2012), and the “sandwich”
package by Zeileis (2004).
Using the “ddply” function in the “plyr” package and other functions in R to extract
coefficients, time-series regressions for both CAPM and FF3F were performed for each
asset. This generated the requisite intercept and coefficients for each asset, and allowed
summary statistics (using a variety of basic and package functions in R) and, in some cases,
these initial time-series regression were used to determine transition points for portfolio
creation (such as when sorting by asset beta).
The “quantile5” command in R was used to determine transition points for each
portfolio. For any single factor, five portfolios were created such that any asset which met
the criteria in a given month was included in the appropriate portfolio. For two-factor
portfolio creation, the first was used to derive five portfolios, then the second to split each
of the five into five additional. While examining summaries of the results, the first factor
used will appear horizontally, the second vertically. It should be noted by the reader that
the order in which I performed the sorts may influence the results. The choice of order in
which the sorts were performed either followed previous works, or was arbitrary.
5
The quantile command has nine “types,” or methods by which it can create the quantiles. “Type 3” is the
SAS quantile definition and has been used in this work to allow others to reproduce the results
consistently on other statistical software platforms. Documentation for quantile “types” can be found at:
http://stat.ethz.ch/R-manual/R-patched/library/stats/html/quantile.html
22
The choice of creating portfolios this way was to approach an analog to a real world
situation where an investor gathers data on a monthly basis and chooses the assets in which
to invest for the upcoming month using the data available. Use of past financial statements
which are, clearly, a report of the prior quarter’s performance to make decisions regarding
investment for the subsequent quarter implies some belief in failure of even weak form
market efficiency. That information is, however, what an investor has available to make
decisions with. I am not suggesting that companies which performed, by some measure, in
the past are by any means guaranteed to perform similarly in the future. Rather, I examine if
a practical investor could use available present data, coupled with recent past quarterly
financials, to make investments with higher than “normal” returns6.
Monthly portfolios were based on a variety of monthly and quarterly figures from
which numerous common financial ratios were derived. Current ratio, for example, is used
in combination with the price-earnings ratio to create twenty-five portfolios. Other ratios
examined, but not necessarily reported, in the course of this research include long-term
debt ratio, percentage spread, quick ratio, inventory turnover, profit margin, return on
assets, return on equity, and the book-to-market value ratio; several ratios are defined
below7.
6
For the purposes of this paper, “normal” returns are defined as the market rate of return in excess of the
risk-free rate. Similarly, returns for any asset or portfolio will be reported as in excess of the risk-free rate.
7
Numerous tangential single and two-way sorts of assets were performed in the process of
examining the dataset used here for normalcy and approximate alignment with published similar
works. As those other works are not the primary subject of this paper, results of those tests are not
included here, but rather are included in Appendix 2.
23
(
)
(
)
(
(
)
)
(
)⁄
After each portfolio was created, monthly returns for each portfolio were
determined by using the value-weighted approach: for any given month t, the individual
monthly excess return of each asset i was determined, then weighted by that assets
proportion of total portfolio market value. More specifically, the value-weighted return on
the portfolio, Rp,t, is the percentage change in the price (P) of asset i in time t, less the riskfree rate (Rf,t)8, multiplied by the market value of asset i in time t (MVi,t) divided by the sum
of all asset market values, j = 1…m, in the portfolio at time t.
∑ {[
]
∑
}
This yields value-weighted returns for each portfolio over time, creating a timeseries dataset. With the foregoing constructed, the next step is to estimate time-series
8
The risk-free rate used throughout this paper is from Dr. French’s website.
24
regressions for each portfolio with the appropriate model. This yields estimates for each
intercept and coefficient. The CAPM and Fama-French9 three factor models are estimated
as:
CAPM
[
]
FF3F
[
]
The approach used here differs from the Fama-MacBeth (FM73) approach of their
1973 paper, which is frequently used in financial research10. FM73 is based on a claim
which results from the CAPM: ”…variability in market betas accounts for a significant
portion of the cross-sectional variability of stock returns at a certain point in time, or for a
specified sample period” (Pasuariello, 1999). In the FM73 method, the authors follow three
steps; first, the following time-series regression is estimated for each stock in a sample:
Where Rit is the return on asset i in time t, Rmt is the return of the market in time t,
and εit is the residual return for i in t. Next, Fama and MacBeth, perform cross-sectional
ordinary least squares (OLS) regressions at each date within the sample with the model:
9
The market excess return, risk-free rate, SMB, and HML factors (all from Dr. French’s website) are
treated as known constants. No attempt is made to verify or otherwise independently derive these
factors.
10
Primarily, my approach differs in the use it makes of the coefficients generated by the time-series
analysis which comprises step one of the Fama-MacBeth method. The only time those particular betas are
used is to compare my sample to that used by Fama and French in their 1993 paper. Instead, I assume
construction on a monthly basis of a value-weighted portfolio. The returns of this portfolio are used in
time-series regression to obtain portfolio betas, among other coefficients.
25
Where Si is the standard deviation of εi, and
it
is the error term. Finally, time-series
This allows the authors to perform tests of normalcy on the gamma terms. To increase the
precision of their estimates, Fama and MacBeth perform the first step, using time-series
regression to estimate the CAPM coefficient and intercept for individual assets, then group
the assets into portfolios by beta ranks. Next, portfolio betas are calculated and crosssectional regressions estimated for the portfolios. Finally, time-series regression is used to
estimate the final equation, and test for normalcy.
The approach in this paper differs from that of FM73 for several reasons. First, that
approach was not used in Basu’s 1977 paper (which I wanted to replicate and revisit using
the Fama-French three factor model), next, this paper does not concern itself with testing
for normalcy of estimates in CAPM nor questions the validity of either that or the threefactor model but rather attempts to use them in a practical fashion to guide investment. My
approach is, however, logical and similar to FM73 in some aspects.
This paper revisits Basu’s 1977 paper, “Investment performance of common stocks
in relation to their price-earnings ratios: a test of the efficient market hypothesis.” In that
paper, Basu uses the CAPM to examine the relationship between returns and price-earnings.
While I have made an effort to adhere as closely as possible to his analysis, the data I have
and way I have examined it differ in several key areas. First, Basu uses a dataset which
spans from September 1956 to August of 1971, and contains more than 1400 firms. He
limits his data set to those with fiscal year-ends on December 31, requires that the firms
trade on the NYSE, and that the firms are not missing relevant data. Where Basu defines
price-earnings as the ratio of annual market value to annual earnings, I use monthly market
26
value to quarterly net income11. While my approach clearly results in higher (in absolute
terms, as his total for earnings is an annual figure, while mine is quarterly) P/E ratios for
any given asset, this does not influence to which portfolio a given asset is placed in a
different way than Basu’s approach. Put another way, while my measure results in a
different P/E value for any given asset than Basu’s would, the assets end up in the same
portfolios regardless; the only real difference is the frequency at which those portfolios are
created, not the construction of the portfolios composition itself.
The fundamental finding of Basu’s paper is that “…prices of securities are biased,
and the P/E ratio is an indicator of this bias” (1977). While the measure used here to
calculate P/E ratios is different, it changes only the magnitude of the measure, not the
ranking of the asset; if my dataset displays similar tendencies as Basu’s, the results will be
the same in trend. The frequency at which I reallocate portfolios, monthly rather than
Basu’s annually, similarly doesn’t have an effect on the fundamental question. If the assets
in my sample with higher price-earnings ratio have different return and risk characteristics
than those with lower, my method of examining it will display a similar trend to Basu’s. The
next section, results, summarizes my findings in replicating Basu’s work.
11
The analysis was also performed using price per share to reported earnings per share, with similar
results.
27
RESULTS
Table 4 (below) presents the results of a single five-way split of the data to create
portfolios based on P/E ratio. These portfolios are ranked from “high” P/E ratio to “low.”
Use of the inverse of P/E results in those firms with negative earnings placed in the “high”
group, “High (*)” is the portfolio which excludes those negative earnings firms; this
approach mimics Basu’s.
Table 4
Dependent variable: Natural log of 1 + value-weighted excess returns on 5 stock portfolios formed on price-earnings, where priceearnings is defined as market value (price x shares outstanding) divided by net income
Price-earnings quintile
High
Rp - Rf
Distance from mean
Pr(R p - R f )
Sharpe Ratio: R p / σ Rp
αp
Pr(α p )
High (*)
Q4
Q3
Q2
Low
Sample
0.0118531
0.01269
0.01345
0.00880 0.0061271 0.0063096 0.0083915
0.0034615 0.0042942 0.0050544 0.0004132 -0.0022645 -0.0020819
0.06676
0.0417
0.002461
0.01424
0.08264
0.1962
0.03775
0.1696264 0.1887462
0.28369
0.22808
0.16046
0.11909 0.1926151
0.002707
0.00524
0.00720
0.00366
0.00102
0.00001 0.0024037
0.259
0.17700
7.72E-06
0.00183
0.35700
0.99600
0.00527
βp
Pr(β p )
1.4767
1.20259
1.00938
0.83125
0.82499
1.01691 0.9691055
< 2E-16
< 2E-16
< 2E-16
< 2E-16
< 2E-16
< 2E-16
< 2E-16
Adj. R 2
Pr.
0.8638
< 2E-16
0.6168
< 2E-16
0.8773
< 2E-16
0.8971
< 2E-16
0.9033
< 2E-16
0.7117
< 2E-16
0.9565
< 2E-16
Regression of the capital asset pricing model, February 2003 to December 2012, 119 months, based on data from 1671 firms
These results directly contradict those found in the study of returns from April of
1957 to March of 1971 conducted by Basu. Rather than displaying the relatively monotonic
increase in expected excess return as P/E decreases (left to right) found by Basu, this
sample reveals no monotonic relationship whatsoever. Furthermore, if anything, these
28
results seem to display a decrease in expected excess rate of return as P/E decreases. The
relationship, if any, must be non-linear. Note, however, that the probability of observing the
values for High, Q2, and Low are not significant at the 5% level. In addition, the estimated
value for the intercept, α, is only significant and the 5% level for Q4 and Q3. Fundamentally,
either the CAPM has difficulty in explaining the data, P/E is not a valid proxy for risk, the
data used in this study is an inadequate representation of the market as a whole, or the
period studied is unusual. If the first possibility were true (CAPM failing to explain the data),
I would expect lower explanatory power (R2) for the quantiles. If either the data used in this
study were not an adequate representation of the market as a whole, or the period were
particularly unusual, I would have expected to find more abnormal estimates in the
overview of the data (see Data section). At this point, the remaining explanation, while not
the only possibility, seems the most likely; P/E ratio may serve, to a degree, as a proxy for
some risk factor which influences returns, but that factor is not well described in a linear
fashion by P/E.
Table 5 illustrates the results of the capital asset pricing model applied in the same
manner as used by Basu. First, for each asset, a time-series regression is performed using
the CAPM model, this yields a beta coefficient for each asset (used in the third step). Next,
for each month in the sample period, portfolios are formed based on the price-earnings
ratio, and each asset is assigned to a portfolio. Third, each portfolio is split into five
portfolios based on the beta of each asset. Next, value weighted monthly returns are
calculated for each of the portfolios by month yielding a time-series of returns. Finally, the
CAPM is used as the model for a time-series regression. The result of this two-way split is
presented in the twenty-five portfolios on the following page in Table 5.
29
Table 5
Dependent variable: Natural log of one plus value-weighted excess returns on 25 stock portfolios formed on priceearnings and asset beta
Portfolio
P/E
CAPM summary statistics
β
Class Class
βp
Rp - Rf
Sharpe
Ratio
αp
Adj. R 2
Pr(β p ) Pr(R p - R f ) Pr(α p )
High
1
2
3
4
5
0.7903
1.1718
1.5985
1.8577
2.8976
0.0031
0.0138
0.0139
0.0098
0.0245
0.0678
0.2194
0.1986
0.1123
0.1731
-0.0018
0.0066
0.0040
-0.0017
0.0065
0.5936
0.6786
0.7604
0.7386
0.7132
< 2 E-16
< 2 E-16
< 2 E-16
< 2 E-16
< 2 E-16
0.459
0.017
0.063
0.264
0.079
0.493
0.047
0.281
0.699
0.385
High
(*)
1
2
3
4
5
0.6834
0.9878
1.1657
1.7209
2.2155
0.0013
0.0190
0.0136
0.0144
0.0145
0.0227
0.2707
0.1845
0.1483
0.1217
-0.0029
0.0129
0.0064
0.0037
0.0008
0.2621
0.3765
0.4816
0.6044
0.6632
1.60E-09
7.13E-14
< 2 E-16
< 2 E-16
< 2 E-16
0.805
0.004
0.046
0.108
0.187
0.529
0.013
0.197
0.509
0.899
Q4
1
2
3
4
5
0.4727
0.8487
1.1592
1.2924
1.8244
0.0100
0.0060
0.0166
0.0182
0.0192
0.2985
0.1083
0.2708
0.2790
0.2156
0.0071
0.0007
0.0094
0.0102
0.0079
0.3777
0.4520
0.6914
0.7596
0.8150
6.37E-14
< 2 E-16
< 2 E-16
< 2 E-16
< 2 E-16
0.001
0.240
0.004
0.003
0.020
0.005
0.847
0.003
0.001
0.028
Q3
1
2
3
4
5
0.3770
0.8722
0.9776
1.1033
1.8478
0.0041
0.0061
0.0111
0.0111
0.0120
0.1484
0.1345
0.2248
0.1970
0.1265
0.0018
0.0007
0.0050
0.0042
0.0006
0.3489
0.7060
0.7614
0.7461
0.7333
9.29E-13
< 2 E-16
< 2 E-16
< 2 E-16
< 2 E-16
0.108
0.145
0.016
0.034
0.170
0.389
0.750
0.026
0.109
0.903
Q2
1
2
3
4
5
0.4353
0.7783
1.0233
1.2756
1.6342
0.0065
0.0062
0.0035
0.0077
0.0069
0.2090
0.1590
0.0701
0.1237
0.0859
0.0038
0.0014
-0.0028
-0.0002
-0.0032
0.3718
0.7636
0.8136
0.8157
0.7966
1.11E-13
< 2 E-16
< 2 E-16
< 2 E-16
< 2 E-16
0.024
0.085
0.446
0.180
0.351
0.098
0.427
0.157
0.929
0.342
Low
1
2
3
4
5
0.5881
0.8918
1.2502
1.4299
1.8349
0.0022
0.0028
0.0047
0.0133
0.0098
0.0577
0.0539
0.0757
0.1080
0.1026
-0.0014
-0.0027
-0.0030
0.0045
-0.0016
0.4497
0.5703
0.7763
0.2538
0.7169
< 2 E-16
< 2 E-16
< 2 E-16
< 2 E-16
< 2 E-16
0.531
0.558
0.411
0.241
0.266
0.593
0.387
0.270
0.651
0.734
Sample
1
2
3
4
5
0.5073
0.9114
1.1667
1.4216
2.0500
0.0052
0.0059
0.0100
0.0122
0.0120
0.1904
0.1377
0.1882
0.1645
0.1195
0.0021
0.0003
0.0028
0.0034
-0.0007
0.6535
0.8690
0.9289
0.7098
0.8087
< 2 E-16
< 2 E-16
< 2 E-16
< 2 E-16
< 2 E-16
0.040
0.136
0.042
0.075
0.195
0.164
0.848
0.036
0.361
0.860
Regression of the CAPM model, February 2003 to December 2012, 119 months, based on data from 1671 firms
30
Results here, again, contradict those of Basu’s study in several ways. First, there is,
again, no well-defined monotonic pattern of returns in relation to P/E ratio. What pattern
there is seems to suggest that returns are actually declining as P/E declines. Next, Basu
argues, based on previous works by other authors, that assets (or portfolios) with lower
systematic risk (low β), have, on average, higher than average α; this suggests that assets
(or portfolios) with less risk earn higher reward. That argument is consistent with Basu’s
findings in regard to P/E ratios and reward. While numerous sources suggest that higher
P/E ratios are indicative of the markets predictions regarding future earnings, and low P/E
ratios are a negative signal, Basu’s findings and arguments suggest the exact opposite
(Price-Earnings Ratio (A, B, and C), n.d.). The data examined here supports the idea that P/E
ratio is, if anything, positively related to monthly excess returns.
These contradictory findings could be the result of any of a number of things; first,
this could be simply a result of a different sample and time-period. Given the breadth of data
used in both tests, 1671 firms here, and 500-753 in the sample used by Basu (500 – 753
firms), it is likely that both studies approach a reasonable estimate for market trends. The
next possible explanation is that one or the other sample does is in some way not
representative of the market, or is too small to approach reasonable estimates. The results
in Tables 4 and 5 display consistently strong explanatory power for most variables and
overall significance. Predictably, the more the sample is divided (as in Table 5), the less the
explanatory power as there are fewer observations per portfolio. Despite this, on average,
over 64% of the variation in returns is explained within any P-E/β class.
Aside from possible sampling issues, numerous other possible explanations exist for
the change in return associated with P/E. The market itself may have begun to interpret
31
price-earnings ratios differently in the more than thirty years between the sample periods,
such that the expectations associated with higher price-earnings assets align with higher
realized returns. It is also possible that higher P/E assets are now regarded as riskier, and
the higher return displayed here (in general) is nothing more than the demanded rate of
return for holding a risky asset. Alternatively, the CAPM model may simply not adequately
explain returns. To modernize Basu’s approach, the same study was conducted using the
Fama-French three factor model; those results are presented in Table 6 below.
Table 6
Dependent variable: Natural log of 1 + value-weighted excess returns on 5 stock portfolios formed on price-earnings, where priceearnings is defined as market value (price x shares outstanding) divided by net income
Price-earnings quintile
High
Rp - Rf
Distance from mean
Pr(R p - R f )
Sharpe Ratio: R p / σ Rp
0.011046
0.002654
0.0892
0.157098
High(*)
Q4
Q3
Q2
Low
0.01204
0.01979
0.003649
0.011394
0.001644
-0.00194
-0.00892
0.03531 0.0003876
0.004964
0.06411
0.9094
Sample
0.01004 0.0064556 -0.0005268 0.0083915
0.03775
0.1951886
0.33489
0.26247
0.17132
-0.01051 0.1926151
αp
Pr(α p )
0.00195
0.004466
0.00690
0.00378
0.00113
0.00024 0.0024037
0.38508
0.2408
0.00001
0.00113
0.30900
0.92800
βp
Pr(β p )
1.34178
1.06542
0.97027
0.85827
0.83924
1.04180 0.9691055
< 2E-16
< 2E-16
< 2E-16
< 2E-16
< 2E-16
< 2E-16
< 2E-16
sp
Pr(s p )
0.00311
0.003189
0.00186
-0.00023
-0.00073
-0.00172
-0.000125
0.00507
0.0868
0.01310
0.67613
0.17900
0.18500
0.76208
hp
Pr(h p )
0.00329
0.003314
-0.00039
-0.00121
0.00021
0.00100 0.0001522
0.00118
0.0503
0.55660
0.01681
0.66100
0.39100
0.6845
Adj. R 2
Pr.
0.8814
< 2E-16
0.6324
< 2E-16
0.8821
< 2E-16
0.9006
< 2E-16
0.9033
< 2E-16
0.7129
< 2E-16
0.9565
< 2E-16
0.00527
Regression of the Fama-French three factor model, February 2003 to December 2012, 119 months, based on data from 1671 firms
As before, and in contrast to Basu’s findings, no relationship approaching monotonic
is apparent in the results. What pattern appears to exist, again, suggests that expected
32
returns and P/E ratio display a positive, albeit non-linear, relationship, contrary to Basu’s
findings. The non-linearity of the relationship suggests either some optimal P/E ratio exists,
or that past a certain point (somewhere in Q4) assets/portfolios are overvalued.
The results found here, given their nearly exact opposition to Basu’s work, clearly
concerned me that in some way or another my methodology failed to follow Basu’s, or the
dataset used here was fundamentally different. As demonstrated in the data section, this
sample does not differ wildly from statistical norms, follows a reasonably close
approximation as the normal distribution, and is not dissimilar in characteristics from the
works of Fama and French in 1992 and 1993. The sample also displays reasonable
economic intuition regarding firm size and return, and does not display a failure of the
CAPM or FF3F models to explain the data.
The other possible problem, therefore, was a failure of methodology; the sample
was reexamined repeatedly using different measures of return12 to the same general result.
The analysis was also performed using simple P/E ratio, rather than the inverse; again, the
results were not dissimilar. In either of those reexaminations, the only change was
magnitude of various coefficients and estimates for return, but no change in the lack of
results confirming Basu’s 1977 work.
12
Mean monthly asset return was used to approximate portfolio return, rather than the natural log of one
plus value-weighted return, and the value-weighted return without the natural log was also used.
33
CONCLUSIONS
The data examined in this work contained 1671 assets for the period February 2003
through December 2012. The statistical characteristics of that data, while displaying slight
negative skew (-0.36) and some degree of kurtosis (1.45 excess), display no other indication
of abnormality. The results of performing analogous statistical analysis to Fama & French’s
1992 and 1993 works display similar characteristics in regard to book-to-market equity, β
and other coefficient relationship with returns. In short, there is no indication that the
sample is abnormally distributed as compared to other samples. While the method of
selection, limiting inclusion to only firms reporting all desired financial data and in
existence for the entire period, does create some inherent upward bias on returns, this bias
is not logically skewed toward one direction or another; there is no reason to expect that
bias to affect assets differently for any of P/E, β, or book-to-market portfolio.
The results of the analysis performed here indicate that Basu’s results, an inverse
relationship between P/E ratio and returns, do not hold for the sample examined. The
suggestion is not, however, that his analysis is flawed but rather that interpretation and
market demand for low P/E assets may have altered the relationship. I suggest that low P/E
stocks are, by their nature, either lower risk, or in higher demand than high P/E stocks. The
net result of either, or combination of both, results in a higher price (driven by demand) for
low P/E stocks which, in turn, leads to lower observed returns. The alternate argument, that
higher P/E stocks are more risky, would lead to a lower market price or higher demanded
rate of return for high P/E stocks. If either argument, or both, hold true the results observed
here are not only rational but to be expected.
34
REFERENCES
Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects.
Journal of Financial Markets, 5, 31-56.
Banz, R. W. (1981). The Relationship Between Return and Market Value of Common Stocks.
Journal of Financial Economics, 9, 3-18.
Basu, S. (1977). Investment Performance of Common Stocks in Relation to The PriceEarnings Ratios: A Test of the Efficient Market Hypothesis. The Journal of Finance,
32(3), 663-682. Retrieved July 17, 2013, from
http://www.jstor.org/stable/2326304
Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance,
52(1), 57-82. Retrieved July 17, 2013, from http://www.jstor.org/stable/2329556
Compustat. (n.d.). Capital IQ - Compustat. Retrieved July 17, 2013, from
http://www.compustat.com/
CRSP. (n.d.). CRSP - The Center for Research in Security Prices. Retrieved July 17, 2013, from
http://www.crsp.com/
Fama, E. F., & French, K. R. (1992). The Cross-Section of Expected Stock Returns. The Journal
of Finance, 47(2), 427-465. Retrieved July 17, 2013, from
http://www.jstor.org/stable/2329112
35
Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and
Bonds. Journal of Financial Economics, 33, 3-56.
Fama, E. F., & French, K. R. (2004). The Capital Asset Pricing Model: Theory and Evidence.
Journal of Economic Perspectives, 18(3), 25-46. Retrieved July 17, 2013, from
http://www.jstor.org/stable/3216805
Fama, E. F., & MacBeth, J. D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of
Political Economy, 81(3), 607-636. Retrieved July 31, 2013, from
http://www.jstor.org/stable/1831028
French, K. R. (2013). Kenneth R. French Data Library. Tuck School of Business MBA Program
Web Server. Retrieved July 18, 2013, from
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
Jain, B. A., & Kini, O. (1994). The Post-Issue Operating Performance of IPO Firms. The Journal
of Finance, 49(5), 1699-1726. Retrieved July 17, 2013, from
http://onlinelibrary.wiley.com.dist.lib.usu.edu/doi/10.1111/j.15406261.1994.tb04778.x/abstract
Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers:
Implications for Stock Market Efficiency. The Journal of Finance, 48(1), 65-91.
Retrieved July 17, 2013, from http://www.jstor.org/stable/2328882
36
Lakonishok, J., & Smidt, S. (1988). Are Seasonal Anomalies Real? A Ninety-Year Perspective.
The Review of Financial Studies, 1(4), 403-425. Retrieved July 15, 2013, from
http://www.jstor.org/stable/2962097
Pasquariello, Paolo (1999). "The Fama-Macbeth Approach Revisited." Permanent Working
Papers. N.p., n.d. Web. 29 July 2013.
<webuser.bus.umich.edu/ppasquar/famamacbeth.pdf>.
Perold, A. F. (2004). The Capital Asset Pricing Model. Journal of Economic Perspectives,
18(3), 3-24. Retrieved July 17, 2013, from http://www.jstor.org/stable/3216804
Price-Earnings Ratio(A). (n.d.). Investopedia. Retrieved July 30, 2013, from
http://www.investopedia.com/terms/p/price-earningsratio.asp
Price-Earnings Ratio (B). (n.d.). Morningstar Stock, Mutual Fund, Hedge Fund, ETF
Investment Research. Retrieved July 30, 2013, from
http://www.morningstar.com/InvGlossary/price_earnings_ratio.aspx
Price-Earnings Ratio (C). (n.d.). Yahoo! Finance. Retrieved July 30, 2013, from
http://finance.yahoo.com/education/stocks/article/101046/Price_Earnings_Ratio
Ritter, J. R. (1991). The Long-Run Performance of Initial Public Offerings. The Journal of
Finance, 46(1), 3-27. Retrieved July 17, 2013, from
http://dx.doi.org/10.1111/j.1540-6261.1991.tb03743.x
37
R Development Core Team (2011). R: A language and environment for statistical computing.
R Foundation for Statistical Computing, Vienna, Austria. ISBN 3-900051-07-0, URL
http://www.R-project.org/
Russell 3000 Index (a). (n.d.). Russell Investments. Retrieved May 30, 2013, from
http://www.russell.com/indexes/documents/Membership/Russell3000_Members
hip_List.pdf
Russell 3000 Index (b). (n.d.). Russell Investments. Retrieved July 17, 2013, from
http://www.russell.com/indexes/data/fact_sheets/us/russell_3000_index.asp
Wharton Research Data Services. (n.d.). Wharton Research Data Services. Retrieved July 17,
2013, from https://wrds-web.wharton.upenn.edu/wrds/
Wickham, H. (2011). The Split-Apply-Combine Strategy for Data Analysis. Journal of
Statistical Software, 40(1), 1-29. URL http://www.jstatsoft.org/v40/i01/
Zeileis, A. (2004). Econometric Computing with HC and HAC Covariance Matrix Estimators.
Journal of Statistical Software 11(10), 1-17. URL http://www.jstatsoft.org/v11/i10/
38
APPENDICIES
39
APPENDIX I
Russell 3000 firms as of June 25, 2013
Accessed May 30, 2013
40
Russell 3000 firms as of 6/25/2012
From: http://www.russell.com/indexes/documents/Membership/Russell3000_Membership_List.pdf
Accessed May 30, 2013
Company
Ticker
Company
Ticker
AGILENT TECHNOLOGIES IN
A
ALLIANCE DATA SYSTEMS
ADS
ALCOA INC
AA
AUTODESK INC
ADSK
ASSET ACCEPTANCE CAPITA
AACC
ADTRAN INC
ADTN
AARONS INC
AAN
ADVENT SOFTWARE INC
ADVS
AAON INC
AAON
ADAMS RESOURCES & ENERG
AE
ADVANCE AUTO PARTS INC
AAP
ASSOCIATED ESTATES RLTY
AEC
APPLE INC
AAPL
AMEREN CORP
AEE
AMERICAN ASSETS TRST IN
AAT
AEGION CORP
AEGN
ATLAS AIR WORLDWIDE HLD
AAWW
AEGERION PHARM INC
AEGR
ABAXIS INC
ABAX
ADVANCED ENERGY INDS IN
AEIS
AMERISOURCEBERGEN CORP
ABC
AMERICAN EQUITY INVST
AEL
AMERIS BANCORP
ABCB
AMERICAN EAGLE OUTFITTE
AEO
ADVISORY BOARD CO
ABCO
AMERICAN ELECTRIC POWER
AEP
ARKANSAS BEST CORP
ABFS
AEP INDUSTRIES INC
AEPI
ASBURY AUTOMOTIVE GROUP
ABG
AES CORP
AES
ABM INDUSTRIES INC
ABM
AETNA INC
AET
ABIOMED INC
ABMD
ASTORIA FINANCIAL CORP
AF
ABBOTT LABORATORIES
ABT
ALMOST FAMILY INC
AFAM
ABOVENET INC
ABVT
AFC ENTERPRISES INC
AFCE
AMERICAN CAPITAL LTD
ACAS
AFFYMETRIX INC
AFFX
ARCTIC CAT INC
ACAT
AFFYMAX INC
AFFY
AMERICAN CAMPUS COMMUN
ACC
AMERICAN FINANCIAL GROU
AFG
ACCELRYS INC
ACCL
AFLAC INC
AFL
ACCO BRANDS CORP
ACCO
AMTRUST FINL SVCS
AFSI
ACE LTD
ACE
AGCO CORP
AGCO
ACETO CORP
ACET
AGENUS INC
AGEN
ACORN ENERGY INC
ACFN
ARGO GROUP INTL
AGII
ARCH CAP GROUP LTD
ACGL
FEDERAL AGRIC MTG CO
AGM
ACADIA HEALTHCARE CO
ACHC
ALLERGAN INC
AGN
ACHILLION PHARM
ACHN
AMERICAN CAPITAL AGENCY
AGNC
ARCH COAL INC
ACI
ASSURED GUARANTY LTD
AGO
ACI WORLDWIDE INC
ACIW
AMERIGROUP CORP
AGP
AXCELIS TECHNOLOGIES IN
ACLS
ARGAN INC
AGX
AECOM TECHNOLOGY CORP D
ACM
AGILYSYS INC
AGYS
ACCENTURE PLC IRELAND
ACN
ACCRETIVE HEALTH INC
AH
AMCOL INTERNATIONAL COR
ACO
ASPEN INSURANCE HOLDING
AHL
ANCESTRY.COM INC
ACOM
AMN HEALTHCARE SERVICES
AHS
ACORDA THERAPEUTICS INC
ACOR
ASHFORD HOSPITALITY
AHT
ARES COML REAL ESTATE
ACRE
ARLINGTON ASSET INVT
AI
ACACIA RESEARCH CORP
ACTG
AMERICAN INTL GROUP
AIG
ACTIVE NETWORK INC
ACTV
ALTRA HOLDINGS INC
AIMC
ACURA PHARMACEUTICALS
ACUR
ALBANY INTERNATIONAL
AIN
ACCURIDE CORP NEW
ACW
APOLLO INVESTMENT CORP
AINV
ACXIOM CORP
ACXM
AAR CORP
AIR
ADOBE SYSTEMS INC
ADBE
AIR METHODS CORP
AIRM
AGREE REALTY CORP
ADC
APPLIED INDUSTRIAL TECH
AIT
ADA ES INC
ADES
APARTMENT INVT & MGMT
AIV
AMERICAN DG ENERGY INC
ADGE
ASSURANT INC
AIZ
ANALOG DEVICES INC
ADI
GALLAGHER ARTHUR J & CO
AJG
ARCHER DANIELS MIDLAND
ADM
AKAMAI TECHNOLOGIES
AKAM
AUDIENCE INC
ADNC
ACADIA REALTY TRUST
AKR
41
Company
AKORN INC
AUTOMATIC DATA PROCESS
AK STEEL HOLDING CORP
AIR LEASE CORP
ALBEMARLE CORP
ASSISTED LIVING CONCPT
ALICO INC
ALLETE INC
ALEXANDER & BALDWIN HLD
ALAMO GROUP INC
ALIGN TECHNOLOGY INC
ALLEGIANT TRAVEL CO
ALON USA ENERGY INC
ALASKA AIR GROUP INC
ALKERMES PLC
ALLSTATE CORP
ALLIANCE FINANCIAL CORP
ALNYLAM PHARMACEUTICALS
ANALOGIC CORP
ALERE INC
ALLISON TRANSMISSION
ALTERRA CAPITAL HOLDING
ALLOS THERAPEUTICS INC
ALTERA CORP
ALEXANDERS INC
ALEXION PHARMACEUTICALS
AMERICAN GREETINGS
AMAG PHARMACEUTICALS IN
APPLIED MATLS INC
AMBIENT CORP
APPLIED MICRO CIRCUITS
AMC NETWORKS INC
ADVANCED MICRO DEVICES
AMETEK INC
AMEDISYS INC
AFFILIATED MANAGERS GRP
AMGEN INC
AMKOR TECHNOLOGY INC
AMYLIN PHARMACEUTICALS
AMERICAN NATL BANKSHARE
AMERIPRISE FINANCIAL IN
AMPIO PHARMACEUTICALS
AMERESCO INC
AMYRIS INC
AMERICAN SUPERCONDUCTOR
AMERISAFE INC
AMSURG CORP
AMERICAN SOFTWARE INC
AMERICAN TOWER CORP
TD AMERITRADE HOLDING
APOLLO RESIDENTIAL MTG
AMERICAN WOODMARK CORP
AMAZON COM INC
AUTONATION INC
Ticker
AKRX
ADP
AKS
AL
ALB
ALC
ALCO
ALE
ALEX
ALG
ALGN
ALGT
ALJ
ALK
ALKS
ALL
ALNC
ALNY
ALOG
ALR
ALSN
ALTE
ALTH
ALTR
ALX
ALXN
AM
AMAG
AMAT
AMBT
AMCC
AMCX
AMD
AME
AMED
AMG
AMGN
AMKR
AMLN
AMNB
AMP
AMPE
AMRC
AMRS
AMSC
AMSF
AMSG
AMSWA
AMT
AMTD
AMTG
AMWD
AMZN
AN
Company
ANACOR PHARM INC
ANADIGICS INC
AMERICAN NATIONAL INS C
ACCESS NATL CORP
ANDERSONS INC
ANAREN INC
ABERCROMBIE & FITCH
ANGIES LIST INC
ANGIODYNAMICS INC
ANWORTH MORTGAGE ASSET
ANIKA THERAPEUTICS INC
ANN INC
ALPHA NATURAL RESOURCES
ANSYS INC
ALLIED NEVADA GOLD CORP
ALLIANCE ONE INTL INC
AOL INC
AON PLC
A123 SYSTEMS INC
SMITH A O CORP
ALPHA & OMEGA SEMICON
AMPCO-PITTSBURGH CORP
APACHE CORP
APCO OIL & GAS INTL INC
ANADARKO PETROLEUM CORP
AIR PRODS & CHEMS INC
AMER PUBLIC EDUCATION
AMPHENOL CORP
ACME PACKET INC
APOGEE ENTERPRISES INC
APOLLO GROUP INC
ACCURAY INC
ARBITRON INC
ARIBA INC
AMERICAN REPROGRAPHICS
ARES CAP CORP
AMERICAN RLTY CAP TR IN
ARDEN GROUP INC
ALEXANDRIA REAL ESTATE
APPROACH RESOURCES INC
AIRGAS INC
APOLLO COMMERCIAL RE
ARIAD PHARMACEUTICALS
AMERICAN RAILCAR IND
ARENA PHARMACEUTICALS
AEROPOSTALE INC
ARROW FINANCIAL CORP
ARQULE INC
ARMOUR RESIDENTIAL REIT
ARRIS GROUP INC
ARRAY BIOPHARMA INC
ARABIAN AMERN DEV CO
ARTIO GLOBAL INVESTORS
ARTHROCARE CORP
Ticker
ANAC
ANAD
ANAT
ANCX
ANDE
ANEN
ANF
ANGI
ANGO
ANH
ANIK
ANN
ANR
ANSS
ANV
AOI
AOL
AON
AONE
AOS
AOSL
AP
APA
APAGF
APC
APD
APEI
APH
APKT
APOG
APOL
ARAY
ARB
ARBA
ARC
ARCC
ARCT
ARDNA
ARE
AREX
ARG
ARI
ARIA
ARII
ARNA
ARO
AROW
ARQL
ARR
ARRS
ARRY
ARSD
ART
ARTC
42
Company
ARTESIAN RESOURCES CORP
ARUBA NETWORKS INC
ARROW ELECTRONICS INC
AEROFLEX HLDG CORP
ASSOCIATED BANC CORP
AMERISTAR CASINOS INC
ASCENT CAPITAL GROUP IN
AMERICAN SCIENCE & ENGR
ASTA FDG INC
ON ASSIGNMENT INC
ASHLAND INC
AMERICAN SAFETY INS HLD
ASCENA RETAIL GROUP INC
ASTEC INDUSTRIES INC
ASTEX PHARMACEUTICALS
ATLANTIC PWR CORP
ALPHATEC HOLDINGS
ATHENAHEALTH INC
ALLEGHENY TECHNOLOGIES
ALLIANT TECHSYSTEMS
AMES NATL CORP
ATMI INC
ATMEL CORP
ATLANTIC TELE-NETWORK
API TECHNOLOGIES CORP
ATMOS ENERGY CORP
ATP OIL & GAS CORP
APTARGROUP INC
ATRICURE INC
ATRION CORP
ASTRONICS CORP
ANTARES PHARMA INC
AIR TRANSPORT SERVICES
ACTUANT CORP
ACTIVISION BLIZZARD INC
ATWOOD OCEANICS INC
CROSS A T CO
GOLDEN MINERALS CO
AUTHENTEC INC
AUXILIUM PHARMACEUTICAL
AVISTA CORP
AEROVIRONMENT INC
AVALONBAY CMNTYS INC
AMERICAN VANGUARD CORP
AVEO PHARMACEUTICALS IN
AVG TECHNOLOGIES NV
AVAGO TECHNOLOGIES LTD
A V HOMES INC
AVID TECHNOLOGY INC
AVANIR PHARMACEUTICALS
AVIAT NETWORKS INC
AVON PRODUCTS INC
AVNET INC
AVX CORP
Ticker
ARTNA
ARUN
ARW
ARX
ASBC
ASCA
ASCMA
ASEI
ASFI
ASGN
ASH
ASI
ASNA
ASTE
ASTX
AT
ATEC
ATHN
ATI
ATK
ATLO
ATMI
ATML
ATNI
ATNY
ATO
ATPG
ATR
ATRC
ATRI
ATRO
ATRS
ATSG
ATU
ATVI
ATW
ATX
AUMN
AUTH
AUXL
AVA
AVAV
AVB
AVD
AVEO
AVG
AVGO
AVHI
AVID
AVNR
AVNW
AVP
AVT
AVX
Company
AVERY DENNISON CORP
HOMEAWAY INC
ALLIED WRLD ASSUR COM
ARMSTRONG WORLD INDS IN
AMERICAN WTR WKS CO INC
AMERICAN STATES WATER C
AWARE INC
ABRAXAS PETE CORP
ANIXTER INTERNATIONAL
AMERICAN AXLE & MFG
AMERICAN EXPRESS CO
AXIS CAPITAL HOLDINGS
AXT INC
ACUITY BRANDS INC
AIRCASTLE LTD
AUTOZONE INC
ASPEN TECHNOLOGY INC
AZZ INC
BARNES GROUP INC
BOEING CO
NATUS MEDICAL INC
BANK OF AMERICA CORP
EINSTEIN NOAH REST GROU
BOOZ ALLEN HAMILTON HLD
FIRST PACTRUST BANCORP
BANCFIRST CORP
BANNER CORP
BASIC ENERGY SERVICES
BAXTER INTERNATIONAL IN
BED BATH & BEYOND INC
BBCN BANCORP INC
BILL BARRETT CORP
BEASLEY BROADCAST GROUP
BRIDGE CAPITAL HOLDINGS
BLACK BOX CORP
BRAVO BRIO RESTAURANT G
BARRETT BUSINESS SERVIC
BB&T CORP
BEST BUY INC
BRUNSWICK CORP
BONANZA CREEK ENER INC
BRINKS CO
BLUCORA INC
BRIGHTCOVE INC
BALCHEM CORP
BARD C R INC
BIOCRYST PHARMACEUTICAL
BELDEN INC
BLACK DIAMOND INC
BRIDGE BANCORP INC
BRANDYWINE REALTY TRUST
BIODELIVERY SCIENCES
BECTON DICKINSON & CO
BEAM INC
Ticker
AVY
AWAY
AWH
AWI
AWK
AWR
AWRE
AXAS
AXE
AXL
AXP
AXS
AXTI
AYI
AYR
AZO
AZPN
AZZ
B
BA
BABY
BAC
BAGL
BAH
BANC
BANF
BANR
BAS
BAX
BBBY
BBCN
BBG
BBGI
BBNK
BBOX
BBRG
BBSI
BBT
BBY
BC
BCEI
BCO
BCOR
BCOV
BCPC
BCR
BCRX
BDC
BDE
BDGE
BDN
BDSI
BDX
BEAM
43
Company
BE AEROSPACE INC
BEBE STORES INC
BEACON ROOFING SUPPLY
STRATEGIC HOTEL & RESOR
BEL FUSE INC
FRANKLIN RESOURCES INC
BERKSHIRE BANCORP INC
BROWN FORMAN CORP
BANKFINANCIAL CORP
SAUL CENTERS INC
BUNGE LIMITED
GENERAL CABLE CORP
BGC PARTNERS INC
BIG 5 SPORTING GOODS
BRIGGS & STRATTON CO
BG MEDICINE INC
B & G FOODS INC
BIGLARI HOLDINGS INC
BAR HBR BANKSHARES
BENCHMARK ELECTRONICS
BAKER HUGHES INC
BERKSHIRE HILLS BANCORP
SOTHEBYS
BIG LOTS INC
BIOGEN IDEC INC
BIO-RAD LABORATORIES IN
BIOSCRIP INC
ACTUATE CORP
BJS RESTAURANTS INC
BANK OF NEW YORK MELLON
BLACKROCK KELSO CAP COR
BROOKDALE SENIOR LIVING
BUCKLE INC
BLACK HILLS CORP
BUCKEYE TECHNOLOGIES IN
BANK MUTUAL CORP
BAKER MICHAEL CORP
BARNES & NOBLE INC
BANKUNITED INC
BANK KY FINL CORP
BELO CORP
BUILDERS FIRSTSOURCE IN
BLACKROCK INC
BLACKBAUD INC
BALL CORP
BSB BANCORP INC MD
INFOBLOX INC
BLOUNT INTERNATIONAL IN
BANCO LATINOAMERICANO
BMC SOFTWARE INC
BADGER METER INC
BIOMED REALTY TRUST INC
BANK OF MARIN BANCORP
BIOMARIN PHARMACEUTICAL
Ticker
BEAV
BEBE
BECN
BEE
BELFB
BEN
BERK
BF.B
BFIN
BFS
BG
BGC
BGCP
BGFV
BGG
BGMD
BGS
BH
BHB
BHE
BHI
BHLB
BID
BIG
BIIB
BIO
BIOS
BIRT
BJRI
BK
BKCC
BKD
BKE
BKH
BKI
BKMU
BKR
BKS
BKU
BKYF
BLC
BLDR
BLK
BLKB
BLL
BLMT
BLOX
BLT
BLX
BMC
BMI
BMR
BMRC
BMRN
Company
BEMIS INC
BRYN MAWR BANK CORP
BRISTOL MYERS SQUIBB
BENEFICIAL MUTUAL INC
BENIHANA INC
ANNIES INC
BOB EVANS FARMS INC
BODY CENTRAL CORP
BOFI HLDG INC
BANK OF HAWAII CORP
BOK FINANCIAL CORP
BOLT TECHNOLOGY CORP
BON-TON STORES INC
DYNAMIC MATERIALS CORP
SEACUBE CONTAINER LEASI
BOSTON PRIVATE FINANCIA
BRIDGEPOINT ED INC
POPULAR INC
BPZ RESOURCES INC
BROADRIDGE FINANCIAL IN
BRADY CORP
BROCADE COMMUNICATIONS
BROADCOM CORP
BRE PROPERTIES INC
CRAFT BREW ALLIANCE
BERKSHIRE HATHAWAY INC
BROOKLINE BANCORP INC
BRUKER CORP
BROOKS AUTOMATION INC
BIO-REFERENCE LABS INC
BROWN & BROWN INC
BRISTOW GROUP INC
BERRY PETROLEUM CO
BASSETT FURNITURE INDS
BROADSOFT INC
SIERRA BANCORP
BIOSPECIFICS TECHNO COR
BOSTON SCIENTIFIC CO
BLYTH INC
PEABODY ENERGY CORP
BIOTIME INC
FIRST BUSEY CORP
BAZAARVOICE INC
BORG WARNER INC
BABCOCK & WILCOX COMPAN
BALDWIN & LYONS INC
BUFFALO WILD WINGS INC
BROWN SHOE INC
BLUELINX HOLDINGS INC
BLUEGREEN CORP
BOSTON PROPERTIES INC
BANCORPSOUTH INC
BOYD GAMING CORP
BALLY TECHNOLOGIES INC
Ticker
BMS
BMTC
BMY
BNCL
BNHN
BNNY
BOBE
BODY
BOFI
BOH
BOKF
BOLT
BONT
BOOM
BOX
BPFH
BPI
BPOP
BPZ
BR
BRC
BRCD
BRCM
BRE
BREW
BRK.B
BRKL
BRKR
BRKS
BRLI
BRO
BRS
BRY
BSET
BSFT
BSRR
BSTC
BSX
BTH
BTU
BTX
BUSE
BV
BWA
BWC
BWINB
BWLD
BWS
BXC
BXG
BXP
BXS
BYD
BYI
44
Company
BOISE INC
BEAZER HOMES USA INC
CITIGROUP INC
CA INC
CABELAS INC
CAMDEN NATIONAL CORP
CASCADE BANCORP
CREDIT ACCEP CORP MICH
CACI INTERNATIONAL INC
CADENCE PHARMACEUTICALS
CONAGRA FOODS INC
CARDINAL HEALTH INC
CHEESECAKE FACTORY INC
CALLIDUS SOFTWARE INC
MAGICJACK VOCALTEC LTD
CAL MAINE FOODS INC
CALIX INC
CAMERON INTL CORP
CALAMP CORP
CAI INTERNATIONAL INC
AVIS BUDGET GROUP INC
CARBONITE INC
CASTLE A M & CO
CASCADE CORP
CASS INFORMATION SYSTEM
CASEYS GENERAL STORES
CATERPILLAR INC
CARDTRONICS INC
CATO CORP
CATHAY GENERAL BANCORP
CAVIUM INC
CHUBB CORP
CINCINNATI BELL INC
COOPER INDUSTRIES PLC
CBEYOND INC
CBRE GROUP INC
CHICAGO BRIDGE & IRON
CAPITAL BK CORP
CBL & ASSOC PPTYS INC
CAMBREX CORP
CAPE BANCORP INC
CBOE HLDGS INC
CARIBOU COFFEE CO INC
CIBER INC
CRACKER BARREL STORE
CBS CORPORATION
COMMERCE BANCSHARES INC
CUBIST PHARMACEUTICALS
CABOT CORP
COMMUNITY BANK SYSTEMS
CBIZ INC
CAPITAL CITY BANK GROUP
CALGON CARBON CORP
COCA COLA ENTERPRISE
Ticker
BZ
BZH
C
CA
CAB
CAC
CACB
CACC
CACI
CADX
CAG
CAH
CAKE
CALD
CALL
CALM
CALX
CAM
CAMP
CAP
CAR
CARB
CAS
CASC
CASS
CASY
CAT
CATM
CATO
CATY
CAVM
CB
CBB
CBE
CBEY
CBG
CBI
CBKN
CBL
CBM
CBNJ
CBOE
CBOU
CBR
CBRL
CBS
CBSH
CBST
CBT
CBU
CBZ
CCBG
CCC
CCE
Company
CHASE CORP
CAMPUS CREST CMNTYS INC
CROWN CASTLE INTL CORP
COLEMAN CABLE INC
CROWN HOLDINGS INC
CARNIVAL CORP
CABOT MICROELECTRONICS
CNB FINL CORP PA
CLEAR CHANNEL OUTDOOR
COGENT COMMUNICATIONS
CROSS COUNTRY HEALTHCAR
CHEMOCENTRYX INC
COEUR D ALENE MINES COR
CDI CORP
CADENCE DESIGN SYSTEMS
CEDAR REALTY TRUST INC
CODEXIS INC
CADIZ INC
CELANESE CORP
CEC ENTMT INC
CECO ENVIRONMENTAL CORP
CAREER EDUCATION CORP
CENTRAL EUROPEAN DISTRI
CELGENE CORP
BRIGHTPOINT INC
CEMPRA INC
CENTRAL GARDEN & PET CO
CENTURY ALUMINUM CO
CERES INC
CERNER CORP
CERUS CORP
CENTRAL EUROPEAN MEDIA
CEVA INC
CF INDUSTRIES HOLDINGS
C & F FINANCIAL CORP
CAPITOL FEDERAL FINL IN
CULP INC
CAREFUSION CORP
CALIFORNIA FIRST NATL
CARDINAL FINANCIAL CORP
CULLEN FROST BANKERS
COLFAX CORP
CELADON GROUP INC
COGNEX CORP
CONSOLIDATED GRAPHIC
CITY HOLDING CO
CHURCH & DWIGHT INC
CHURCHILL DOWNS INC
CHINDEX INTERNATIONAL
CHEMED CORPORATION
CHEFS' WHAREHOUSE INC
CHEMICAL FINANCIAL CORP
CHARTER FINL CORP WEST
CH ENERGY GROUP INC
Ticker
CCF
CCG
CCI
CCIX
CCK
CCL
CCMP
CCNE
CCO
CCOI
CCRN
CCXI
CDE
CDI
CDNS
CDR
CDXS
CDZI
CE
CEC
CECE
CECO
CEDC
CELG
CELL
CEMP
CENTA
CENX
CERE
CERN
CERS
CETV
CEVA
CF
CFFI
CFFN
CFI
CFN
CFNB
CFNL
CFR
CFX
CGI
CGNX
CGX
CHCO
CHD
CHDN
CHDX
CHE
CHEF
CHFC
CHFN
CHG
45
Company
CHOICE HOTELS INTL INC
CHESAPEAKE ENERGY CORP
CHEROKEE INC
CHEMTURA CORP
C H ROBINSON WORLDWIDE
CHICOS FAS INC
CATALYST HLTH SOLUTIONS
CHESAPEAKE LODGING TRUS
CHARTER COMM INC
CIGNA CORP
CITIZENS INC
COBALT INTL ENERGY
CIENA CORP
STAR SCIENTIFIC INC
CHIMERA INVESTMENT CORP
CINCINNATI FINANCIAL
CIRCOR INTERNATIONAL IN
CIT GROUP INC
COMPX INTERNATIONAL
C&J ENERGY SERVICES INC
CARMIKE CINEMAS INC
SEACOR HOLDINGS INC
CHECKPOINT SYSTEMS INC
COLGATE PALMOLIVE CO
CLARCOR INC
COLLECTORS UNIVERSE INC
CLOUD PEAK ENERGY INC
CHATHAM LODGING TR
CELLDEX THERAPEUTICS IN
CLIFFS NATURAL RESOURCE
CORELOGIC INC
CLEAN HARBORS INC
MACK CALI REALTY CORP
CALAMOS ASSET MGMT INC
CLEAN ENERGY FUELS CORP
COLONY FINANCIAL INC
COLONIAL PROPERTIES TR
CONTINENTAL RESOURCES I
TOWN SPORTS INTL
CLOVIS ONCOLOGY INC
CLEARWATER PAPER CORP
CLEARWIRE CORP
CLOROX CO
COMERICA INC
COMMERCIAL METALS CO
COLUMBUS MCKINNON CORP
COMCAST CORP
CME GROUP INC
CHIPOTLE MEXICAN GRILL
CUMMINS INC
CUMULUS MEDIA INC
CANTEL MEDICAL CORP
CAPSTEAD MORTGAGE CORP
COMPASS MINERALS INTL
Ticker
CHH
CHK
CHKE
CHMT
CHRW
CHS
CHSI
CHSP
CHTR
CI
CIA
CIE
CIEN
CIGX
CIM
CINF
CIR
CIT
CIX
CJES
CKEC
CKH
CKP
CL
CLC
CLCT
CLD
CLDT
CLDX
CLF
CLGX
CLH
CLI
CLMS
CLNE
CLNY
CLP
CLR
CLUB
CLVS
CLW
CLWR
CLX
CMA
CMC
CMCO
CMCSA
CME
CMG
CMI
CMLS
CMN
CMO
CMP
Company
CASUAL MALE RETAIL GROU
CMS ENERGY CORP
COMTECH TELECOMM
COMVERSE TECHNOLOGY INC
CNA FINANCIAL CORP
CENTER BANCORP INC
CENTURY BANCORP INC
CENTENE CORP
CORONADO BIOSCIENCES IN
CNH GLOBAL N V
CINEMARK HOLDINGS INC
CLECO CORP
CONMED CORP
CNO FINANCIAL GROUP
CENTERPOINT ENERGY INC
CONCUR TECHNOLOGIES INC
COHEN & STEERS INC
CONSOLIDATED COMM
CON-WAY INC
CONSOL ENERGY INC
COBIZ FINANCIAL INC
CORINTHIAN COLLEGES INC
SPANSION INC
CAPITAL ONE FINANCIAL
CABOT OIL & GAS CORP
COACH INC
COHERENT INC
COHU INC
COCA COLA BOTTLING
ROCKWELL COLLINS INC
COLUMBIA BKG SYSTEM INC
COLUMBIA SPORTSWEAR CO
CONNS INC
COOPER COMPANIES INC
CONOCOPHILLIPS
CORESITE REALTY CORP
CORE MARK HOLDING CO IN
CORCEPT THERAPEUTICS IN
COSTCO WHOLESALE CORP
COVIDIEN PLC
COWEN GROUP INC
COPA HOLDINGS SA
CAMPBELL SOUP CO
CALLON PETROLEUM CO
CENTRAL PACIFIC FINL
CEPHEID INC
CUMBERLAND PHARM
CHESAPEAKE UTILITIES
CAPELLA EDUCATION CO
CALPINE CORP
COPART INC
COMPUTER PROGRAMS & SYS
CAPSTONE TURBINE CORP
CAMDEN PROPERTY TRUST
Ticker
CMRG
CMS
CMTL
CMVT
CNA
CNBC
CNBKA
CNC
CNDO
CNH
CNK
CNL
CNMD
CNO
CNP
CNQR
CNS
CNSL
CNW
CNX
COBZ
COCO
CODE
COF
COG
COH
COHR
COHU
COKE
COL
COLB
COLM
CONN
COO
COP
COR
CORE
CORT
COST
COV
COWN
CPA
CPB
CPE
CPF
CPHD
CPIX
CPK
CPLA
CPN
CPRT
CPSI
CPST
CPT
46
Company
CONCEPTUS INC
COST PLUS INC
COMPUWARE CORP
CHIQUITA BRANDS INTL IN
CRANE CO
CRA INTERNATIONAL INC
CRAY INC
CITIZENS REPUBLIC BANC
CRAWFORD & CO
CERADYNE INC
CREDO PETROLEUM CORP
CREE INC
CRESCENT FINL BANCSHARE
CARTER INC
CURIS INC
COMSTOCK RESOURCES INC
CHARLES RIVER LABS INTL
SALESFORCE COM INC
AMERICAS CAR-MART INC
CROCS INC
CARBO CERAMICS INC
COURIER CORP
CARPENTER TECHNOLOGY
CORNERSTONE THERAPEUTIC
CIRRUS LOGIC INC
CORVEL CORP
CROWN MEDIA HOLDINGS IN
CRYOLIFE INC
CARRIZO OIL & GAS INC
CLIFTON SVGS BANCORP IN
COMPUTER SCIENCES CORP
CISCO SYSTEMS INC
CAPITALSOURCE INC
CENTERSTATE BANKS INC
COSTAR GROUP INC
CSG SYSTEMS INTL INC
CASH AMERICA INTL INC
CARDIOVASCULAR SYS INC
CARLISLE COS INC
CORNERSTONE ONDEMAND IN
CSS INDUSTRIES INC
COINSTAR INC
CAPITAL SENIOR LIVING
CARRIAGE SERVICES INC
CAPITAL SOUTHWEST CORP
CSX CORP
CINTAS CORP
COOPER TIRE & RUBBER CO
COMMUNITY TRUST BANCORP
CONSTANT CONTACT INC
COMPUTER TASK GROUP INC
CENTURYLINK INC
CONSOLIDATED TOMOKA LAN
CITI TRENDS INC
Ticker
CPTS
CPWM
CPWR
CQB
CR
CRAI
CRAY
CRBC
CRD.B
CRDN
CRED
CREE
CRFN
CRI
CRIS
CRK
CRL
CRM
CRMT
CROX
CRR
CRRC
CRS
CRTX
CRUS
CRVL
CRWN
CRY
CRZO
CSBK
CSC
CSCO
CSE
CSFL
CSGP
CSGS
CSH
CSII
CSL
CSOD
CSS
CSTR
CSU
CSV
CSWC
CSX
CTAS
CTB
CTBI
CTCT
CTGX
CTL
CTO
CTRN
Company
CTS CORP
COGNIZANT TECH SOLUTION
CONNECTICUT WATER SVC
CITRIX SYSTEMS INC
CUBIC CORP
CUBESMART
COUSINS PROPERTIES INC
CENTRAL VERMONT PUB SVC
COVANTA HOLDING CORP
CVB FINANCIAL CORP
CABLEVISION SYSTEMS COR
CAVCO INDUSTRIES INC
COVANCE INC
CONVERGYS CORP
COMMERCIAL VEH GROUP IN
CALAVO GROWERS INC
COVENTRY HEALTH CARE
CVR ENERGY INC
COMMVAULT SYSTEMS INC
CENVEO INC
CVS/CAREMARK CORP
CPI AEROSTRUCTURES INC
CHEVRON CORP
CURTISS WRIGHT CORP
CONSOLIDATED WATER CO
WILLIAMS CLAYTON ENERGY
COMMONWEALTH REIT
CASELLA WASTE SYSTEMS
CALIFORNIA WTR SVC GRP
CONCHO RESOURCES INC
CRIMSON EXPLORATION INC
CREXUS INVESTMENT CORP
CORRECTIONS CORP OF AME
CYPRESS SEMICONDUCTOR
CYBERONICS INC
COMMUNITY HEALTH SYSTEM
CYMER INC
CITY NATIONAL CORP
CYNOSURE INC
CYS INVESTMENTS INC
CYTEC INDUSTRIES INC
CYTORI THERAPEUTICS INC
CITIZENS & NORTHERN COR
CAESARS ENTMT CORP
DOMINION RESOURCES INC
DAKTRONICS INC
DELTA AIR LINES INC DEL
DANA HOLDING CORP
DARLING INTERNATIONAL
DIEBOLD INC
DONALDSON INC
DIME CMNTY BANCSHARES
DCT INDUSTRIAL TRUST IN
DU PONT E I DE NEMOURS
Ticker
CTS
CTSH
CTWS
CTXS
CUB
CUBE
CUZ
CV
CVA
CVBF
CVC
CVCO
CVD
CVG
CVGI
CVGW
CVH
CVI
CVLT
CVO
CVS
CVU
CVX
CW
CWCO
CWEI
CWH
CWST
CWT
CXO
CXPO
CXS
CXW
CY
CYBX
CYH
CYMI
CYN
CYNO
CYS
CYT
CYTX
CZNC
CZR
D
DAKT
DAL
DAN
DAR
DBD
DCI
DCOM
DCT
DD
47
Company
3D SYSTEMS CORP
DIGITAL DOMAIN MEDIA GR
DDR CORP
DILLARDS INC
DEERE & CO
DECKERS OUTDOOR CORP
DOUGLAS EMMETT INC
DELTIC TIMBER CORP
DELL INC
DENNYS CORP
DEPOMED INC
DESTINATION MATERNITY
DEAN FOODS COMPANY
CIFC CORP
DISCOVER FINANCIAL SRVC
DUPONT FABROS TECHNOLOG
BARRY R G CORP OHIO
DOLLAR GENERAL CORP
DELTA NATURAL GAS INC
DIGITALGLOBE INC
DONEGAL GROUP INC
DIGI INTL INC
DIGITAL GENERATION INC
QUEST DIAGNOSTICS INC
D R HORTON INC
DIAMOND HILL INVESTMENT
DANAHER CORP
DICE HOLDINGS INC
DIAL GLOBAL INC
DINEEQUITY INC
DIODES INC
DISNEY WALT CO
DISCOVERY COMMUNICATNS
DISH NETWORK CORP
DAILY JOURNAL CORP
DELEK US HLDGS INC
DICKS SPORTING GOODS IN
DELTA APPAREL INC
DOLBY LABORATORIES INC
DFC GLOBAL CORP
DELPHI AUTOMOTIVE PLC
DIGITAL REALTY TRUST IN
DOLLAR TREE INC
DELUXE CORP
DOLAN COMPANY
DEMAND MEDIA INC
DIAMOND FOODS INC
DIGIMARC CORPORATION
DUN & BRADSTREET CORP
DENDREON CORP
DUNKIN BRANDS GROUP INC
DENBURY RESOURCES INC
DIAMOND OFFSHR DRILLING
DOLE FOOD CO INC
Ticker
DDD
DDMG
DDR
DDS
DE
DECK
DEI
DEL
DELL
DENN
DEPO
DEST
DF
DFR
DFS
DFT
DFZ
DG
DGAS
DGI
DGICA
DGII
DGIT
DGX
DHI
DHIL
DHR
DHX
DIAL
DIN
DIOD
DIS
DISCA
DISH
DJCO
DK
DKS
DLA
DLB
DLLR
DLPH
DLR
DLTR
DLX
DM
DMD
DMND
DMRC
DNB
DNDN
DNKN
DNR
DO
DOLE
Company
DORMAN PRODUCTS INC
DOVER CORP
DOW CHEMICAL CO
AMDOCS LTD
DR PEPPER SNAPPLE GROUP
DOMINOS PIZZA INC
DRESSER-RAND GROUP INC
DUKE REALTY CORP
DIAMONDROCK HOSPITALITY
DARDEN RESTAURANTS INC
DIGITAL RIVER INC
DORAL FINANCIAL CORP
DRIL-QUIP INC
DERMA SCIENCES INC
DISCOVERY LABORATORIES
DSP GROUP INC
DST SYSTEMS INC
DSW INC
DTE ENERGY CO
DOLLAR THRIFTY AUTO
DATALINK CORP
DTS INC
DIRECTV GROUP INC
DUFF & PHELPS CORP
DUKE ENERGY CORP
DUSA PHARMACEUTICALS IN
DEVRY INC
DAVITA INC
DYNAVAX TECHNOLOGIES
DEVON ENERGY CORP
CAL DIVE INTL INC
DREW INDUSTRIES INC
DREAMWORKS ANIMATION SK
DEMANDWARE INC
DAWSON GEOPHYSICAL CO
DYNEX CAPITAL INC
DEXCOM INC
DXP ENTERPRISES INC NEW
DYCOM INDUSTRIES INC
DYAX CORP
ELECTRONIC ARTS INC
BRINKER INTERNATIONAL
EBAY INC
ENNIS INC
EBIX INC
EMERGENT BIOSOLUTIONS
MERIDIAN INTERSTATE
ENTERPRISE BANCORP INC
ENCORE BANCSHARES INC
ECHO GLOBAL LOGISTICS
ECOLAB INC
US ECOLOGY INC
ENCORE CAPITAL GROUP IN
ENDOCYTE INC
Ticker
DORM
DOV
DOW
DOX
DPS
DPZ
DRC
DRE
DRH
DRI
DRIV
DRL
DRQ
DSCI
DSCO
DSPG
DST
DSW
DTE
DTG
DTLK
DTSI
DTV
DUF
DUK
DUSA
DV
DVA
DVAX
DVN
DVR
DW
DWA
DWRE
DWSN
DX
DXCM
DXPE
DY
DYAX
EA
EAT
EBAY
EBF
EBIX
EBS
EBSB
EBTC
EBTX
ECHO
ECL
ECOL
ECPG
ECYT
48
Company
CONSOLIDATED EDISON INC
EMPIRE DISTRICT ELECTRI
EDGEN GROUP INC
EDUCATION MGMT CORP
EDUCATION REALTY TRUST
EL PASO ELECTRIC CO
EURONET WORLDWIDE INC
EDELMAN FINANCIAL GROUP
ELECTRONICS FOR IMAGING
ENTERPRISE FINL SERVICE
EQUIFAX INC
EAGLE BANCORP INC
8X8 INC NEW
ENERGEN CORP
NIC INC
EASTGROUP PROPERTIES IN
VAALCO ENERGY INC
EHEALTH INC
EMPLOYERS HOLDINGS INC
EASTERN INSURANCE HLDGS
EDISON INTERNATIONAL
ESTEE LAUDER COMPANIES
ENDOLOGIX INC
ELLIE MAE INC
EARTHLINK INC
ECHELON CORP
ELECTRO RENT CORP
EQUITY LIFESTYLE PROP
EMULEX CORP
CALLAWAY GOLF CO
E M C CORP
EMC INS GROUP INC
EMCOR GROUP INC
EASTERN CO
EASTMAN CHEMICAL CO
EMERSON ELECTRIC CO
ENDEAVOUR INTERNATIONAL
ENDO HEALTH SOLUTIONS
ENDURANCE SPECIALTY HLD
ENERNOC INC
ENPHASE ENERGY INC
ENERGIZER HOLDINGS INC
ENERSYS INC
ENSIGN GROUP INC
ENTEGRIS INC
ENTROPIC COMMUNICATIONS
ENVESTNET INC
ENVIVIO INC
ENZON PHARMACEUTICALS
EOG RESOURCES INC
EPAM SYSTEMS INC
BOTTOMLINE TECHNOLOGIES
EPOCH HOLDING CORP
EPIQ SYSTEMS INC
Ticker
ED
EDE
EDG
EDMC
EDR
EE
EEFT
EF
EFII
EFSC
EFX
EGBN
EGHT
EGN
EGOV
EGP
EGY
EHTH
EIG
EIHI
EIX
EL
ELGX
ELLI
ELNK
ELON
ELRC
ELS
ELX
ELY
EMC
EMCI
EME
EML
EMN
EMR
END
ENDP
ENH
ENOC
ENPH
ENR
ENS
ENSG
ENTG
ENTR
ENV
ENVI
ENZN
EOG
EPAM
EPAY
EPHC
EPIQ
Company
ENERGY PARTNERS LTD
EVOLUTION PETROLEUM COR
EPOCRATES INC
ENTERTAINMENT PPTYS TR
EQUINIX INC
EQUITY RESIDENTIAL
EQT CORPORATION
EQUITY ONE INC
ERIE INDEMNITY CO
ENERGY RECOVERY INC
ERESEARCHTECHNOLOGY INC
ENERGYSOLUTIONS INC
ESB FINANCIAL CORP
EMERITUS CORP
ESCO TECHNOLOGIES INC
ENSTAR GROUP LIMITED
ITT EDUCATIONAL SVCS IN
EASYLINK SERVICES INTL
ELECTRO SCIENTIFIC INDS
ESTERLINE TECHNOLOGIES
EXPRESS SCRIPTS HOLD CO
ESSEX PROPERTY TRUST IN
ESSA BANCORP INC
EXACTTARGET INC
E TRADE FINANCIAL CORP
ETHAN ALLEN INTERIORS
ENTERCOM COMMUNICATIONS
EATON CORP
ENTERGY CORP
ENTEROMEDICS INC
EATON VANCE CORP
ENTRAVISION COMM
EVERBANK FINL CORP
EVERCORE PARTNERS
EDWARDS LIFESCIENCES
EAST WEST BANCORP INC
EXACTECH INC
EXAMWORKS GROUP INC
EXAR CORP
EXACT SCIENCES CORP
CORPORATE EXECUTIVE
EXELON CORP
EXELIXIS INC
EXTERRAN HOLDINGS INC
EXCEL TR INC
EXLSERVICE HOLDINGS INC
EAGLE MATERIALS INC
EXPEDITORS INTL OF WASH
EXPEDIA INC
EXPONENT INC
EXPRESS INC
EXTRA SPACE STORAGE INC
EXTREME NETWORKS INC
ENERGY XXI (BERMUDA) LT
Ticker
EPL
EPM
EPOC
EPR
EQIX
EQR
EQT
EQY
ERIE
ERII
ERT
ES
ESBF
ESC
ESE
ESGR
ESI
ESIC
ESIO
ESL
ESRX
ESS
ESSA
ET
ETFC
ETH
ETM
ETN
ETR
ETRM
EV
EVC
EVER
EVR
EW
EWBC
EXAC
EXAM
EXAR
EXAS
EXBD
EXC
EXEL
EXH
EXL
EXLS
EXP
EXPD
EXPE
EXPO
EXPR
EXR
EXTR
EXXI
49
Company
EZCORP INC
FORD MOTOR CO
FIRST AMERICAN FINL COR
FALCONSTOR SOFTWARE
FARMER BROS CO
FARO TECHNOLOGIES INC
FASTENAL CO
FACEBOOK INC
FORTUNE BRDS HOME & SEC
FIRST BANCORP NC
FIRST CONN BANCORP INC
FIRST BANCORP PR
FBR & CO
FRANKLIN COVEY CO
FIRST CALIFORNIA FINL G
FIRST CMNTY BANCSHAR
FOREST CITY ENTRPRS
FUELCELL ENERGY INC
FIRST COMMONWLTH FINL
FIRST CASH FINANCIAL
FELCOR LODGING TRUST IN
FTI CONSULTING INC
FIRST CITIZENS BANCSHRS
FAIRCHILD SEMICONDUCTOR
FREEPORT-MCMORAN C&G
FIRST DEFIANCE FINANCIA
FEDERAL MOGUL CORP
FAMILY DOLLAR STORES
FRESH DEL MONTE PRODUCE
FACTSET RESEARCH SYSTEM
FIDUS INVESTMENT CORP
FEDEX CORP
FIRSTENERGY CORP
FEI CO
FRANKLIN ELECTRIC CO
FORBES ENERGY SVCS LTD
FORUM ENERGY TECH
FUTUREFUEL CORPORATION
FIRST FINANCIAL BANCORP
FIRST FED BANCSHARES AR
FIRST FINANCIAL HOLDING
FBL FINANCIAL GROUP INC
FLUSHING FINANCIAL CORP
FIRST FINL BANKSHARES
F5 NETWORKS INC
FIRST FINL NORTHWEST
FEMALE HEALTH CO
FIRST HORIZON NATL CORP
FIRST INTST BANCSYSTEM
FAIR ISAAC CORP
FEDERATED INVESTORS INC
FINISH LINE INC
FUSION-IO INC
SOURCEFIRE INC
Ticker
EZPW
F
FAF
FALC
FARM
FARO
FAST
FB
FBHS
FBNC
FBNK
FBP
FBRC
FC
FCAL
FCBC
FCE.A
FCEL
FCF
FCFS
FCH
FCN
FCNCA
FCS
FCX
FDEF
FDML
FDO
FDP
FDS
FDUS
FDX
FE
FEIC
FELE
FES
FET
FF
FFBC
FFBH
FFCH
FFG
FFIC
FFIN
FFIV
FFNW
FHCO
FHN
FIBK
FICO
FII
FINL
FIO
FIRE
Company
FIDELITY NATL INFO SVCS
FINANCIAL INSTNS INC
FISERV INC
FIFTH THIRD BANCORP
COMFORT SYSTEMS USA INC
NATIONAL BEVERAGE CORP
FOOT LOCKER INC
FLUIDIGM CORP
FIRST LONG ISLAND CORP
FLIR SYSTEMS INC
FLOWERS FOODS INC
FLOW INTL CORP
FLUOR CORP
FLOWSERVE CORP
FLEETCOR TECHNOLOGIES
1-800 FLOWERS COM
FLEXSTEEL INDUSTRIES IN
FIRST MIDWEST BANCORP
FMC CORP
FIRST MARBLEHEAD CORP
FIRSTMERIT CORP
FARMERS NATL BANC CORP
FABRINET
FNB CORP
F N B UNITED CORP
FIDELITY NATIONAL FINL
FIRST NIAGARA FINL GRP
FINANCIAL ENGINES INC
FIRST BANCORP INC
FIFTH & PACIFIC CO INC
FINISAR CORP
FERRO CORP
AMICUS THERAPEUTICS INC
FORESTAR GROUP INC
FORMFACTOR INC
FORRESTER RESEARCH INC
FOSSIL INC
FIRST POTOMAC REALTY TR
FIRST INDUSTRIAL RLTY T
FRANCESCAS HOLDINGS COR
FIRST REP BK SAN FRAN
FREDS INC
FORTEGRA FINANCIAL CORP
FIESTA RESTAURANT GROUP
FURMANITE CORP
FIRST MERCHANTS CORP
FRANKLIN FINL CORP VA
FRONTLINE LTD
FAIRPOINT COMMUNICATION
FRISCHS RESTAURANTS INC
FEDERAL REALTY INVT
FOREST LABS INC
FIFTH STREET FINANCE
FISHER COMMUNICATIONS
Ticker
FIS
FISI
FISV
FITB
FIX
FIZZ
FL
FLDM
FLIC
FLIR
FLO
FLOW
FLR
FLS
FLT
FLWS
FLXS
FMBI
FMC
FMD
FMER
FMNB
FN
FNB
FNBN
FNF
FNFG
FNGN
FNLC
FNP
FNSR
FOE
FOLD
FOR
FORM
FORR
FOSL
FPO
FR
FRAN
FRC
FRED
FRF
FRGI
FRM
FRME
FRNK
FRO
FRP
FRS
FRT
FRX
FSC
FSCI
50
Company
FSI INTL INC
FREESCALE SEMICONDUCTOR
FIRST SOLAR INC
FRANKLIN STREET PPTYS C
FLAGSTONE REINSURANCE
FEDERAL SIGNAL CORP
FOREST OIL CORP
FOSTER L B CO
FUEL SYSTEMS SOLUTIONS
FMC TECHNOLOGIES INC
FLOTEK INDS INC DEL
FORTINET INC
FRONTIER COMMUNICATIONS
1ST UNITED BANCORP INC
FULLER H B CO
FULTON FINANCIAL CORP
WINTHROP REALTY TRUST
FURIEX PHARMACEUTICALS
FIVE STAR QUALITY CARE
FORWARD AIR CORP
FX ALLIANCE INC
FOX CHASE BANCORP
FXCM INC
FX ENERGY INC
GENPACT LTD
GERMAN AMERICAN BANCORP
GLADSTONE INVESTMENT
AGL RESOURCES INC
GREATBATCH INC
GLACIER BANCORP INC
GOLUB CAP BDC INC
GAMCO INVESTORS INC
GLOBAL INDEMNITY PLC
GUARANTY BANCORP
GREENBRIER COMPANIES IN
GLOBAL CASH ACCESS INC
GAIN CAPITAL HLDNGS INC
GANNETT INC
GENESCO INC
GLOBECOMM SYSTEMS INC
GENERAL DYNAMICS CORP
GARDNER DENVER INC
GREEN DOT CORP
GOODRICH PETROLEUM CORP
GENERAL ELECTRIC CO
GREIF INC
GENON ENERGY INC
GEO GROUP INC
GEORESOURCES INC
GEOEYE INC
GERON CORP
GUESS INC
GAYLORD ENTMT CO
SYNAGEVA BIOPHARMA CORP
Ticker
FSII
FSL
FSLR
FSP
FSR
FSS
FST
FSTR
FSYS
FTI
FTK
FTNT
FTR
FUBC
FUL
FULT
FUR
FURX
FVE
FWRD
FX
FXCB
FXCM
FXEN
G
GABC
GAIN
GAS
GB
GBCI
GBDC
GBL
GBLI
GBNK
GBX
GCA
GCAP
GCI
GCO
GCOM
GD
GDI
GDOT
GDP
GE
GEF
GEN
GEO
GEOI
GEOY
GERN
GES
GET
GEVA
Company
GEVO INC
GRIFFON CORP
GFI GROUP INC
GEORGIA GULF CORP
GRACO INC
GENERAL GROWTH PPTYS IN
GLOBAL GEOPHYSICAL SVCS
GENOMIC HEALTH INC
GREENHILL & CO INC
GRAHAM CORP
GULF ISLAND FABRICATION
G-III APPAREL GROUP LTD
GILEAD SCIENCES INC
GENERAL MILLS INC
GRAMERCY CAPITAL CORP
GEEKNET INC
G&K SERVICES INC
GLADSTONE CAPITAL CORP
GREAT LAKES DREDGE & DO
GULFMARK OFFSHORE INC
GOLAR LNG LTD BERMUDA
GASLOG LTD
GLOBAL POWER EQUIPMENT
GREENLIGHT CAPITAL RE L
GLATFELTER
GLU MOBILE INC
CORNING INC
GENERAL MTRS CO
GORDMANS STORES INC
GREEN MTN COFFEE ROASTE
GAMESTOP CORP
GENERAL MOLY INC
GATX CORP
GNC HLDGS INC
GENERAL COMMUNICATION
GENIE ENERGY LTD
GENCO SHIPPING & TRADIN
GENERAC HOLDINGS INC
GENTEX CORP
GENWORTH FINANCIAL INC
GLADSTONE COMMERCIAL
GOOGLE INC
GOLD RESOURCE CORP
GOVERNMENT PPTY INCOME
GENUINE PARTS CO
GROUP 1 AUTOMOTIVE INC
GRAPHIC PACKAGING HLDG
GLOBAL PAYMENTS INC
GULFPORT ENERGY CORP
GREEN PLAINS RENEWABLE
GEN-PROBE INC
GAP INC
GP STRATEGIES CORP
GOODRICH CORP
Ticker
GEVO
GFF
GFIG
GGC
GGG
GGP
GGS
GHDX
GHL
GHM
GIFI
GIII
GILD
GIS
GKK
GKNT
GKSR
GLAD
GLDD
GLF
GLNG
GLOG
GLPW
GLRE
GLT
GLUU
GLW
GM
GMAN
GMCR
GME
GMO
GMT
GNC
GNCMA
GNE
GNK
GNRC
GNTX
GNW
GOOD
GOOG
GORO
GOV
GPC
GPI
GPK
GPN
GPOR
GPRE
GPRO
GPS
GPX
GR
51
Company
GRACE W R & CO
GORMAN RUPP CO
GRIFFIN LAND & NURSERIE
GARMIN LTD
GREEN BANKSHARES INC
GROUPON INC
GLIMCHER REALTY TRUST
GOLD RESV INC
GOLDMAN SACHS GROUP INC
GREAT SOUTHERN BANCORP
GSE HOLDING INC
GSI GROUP INC CDA NEW
GSI TECHNOLOGY
GLOBE SPECIALTY METALS
GLOBAL SOURCES LTD
GOLDEN STAR RES LTD CDA
GASTAR EXPL LTD
GSV CAPITAL CORP
GOODYEAR TIRE & RUBBER
GT ADVANCED TECHNOLOGIE
GRAFTECH INTL LTD
GENTIVA HEALTH SERVICES
CHART INDUSTRIES INC
TRIPLE-S MANAGEMENT COR
GTX INC
GETTY REALTY CORP
GUIDANCE SOFTWARE INC
GRANITE CONSTR INC
GREENWAY MED TECH INC
GENESEE & WYOMING INC
GUIDEWIRE SOFTWARE INC
GRAINGER W W INC
GREAT PLAINS ENERGY INC
GENCORP INC
GYRODYNE CO AMER INC
HYATT HOTELS CORP
HAWAIIAN HOLDINGS INC
HAEMONETICS CORP
HANMI FINANCIAL CORP
HAIN CELESTIAL GROUP
HALLIBURTON CO
HALLMARK FINL SVCS INC
HALOZYME THERAPEUTICS
HARMAN INTERNATIONAL IN
HASBRO INC
HAYNES INTERNATIONAL IN
HUNTINGTON BANCSHARES
HOME BANCORP INC
HANCOCK HOLDING CO
HANESBRAND INC
HARVARD BIOSCIENCE INC
HORIZON BANCORP IND
HERITAGE FINANCIAL GROU
HCA HOLDINGS INC
Ticker
GRA
GRC
GRIF
GRMN
GRNB
GRPN
GRT
GRZ
GS
GSBC
GSE
GSIG
GSIT
GSM
GSOL
GSS
GST
GSVC
GT
GTAT
GTI
GTIV
GTLS
GTS
GTXI
GTY
GUID
GVA
GWAY
GWR
GWRE
GWW
GXP
GY
GYRO
H
HA
HAE
HAFC
HAIN
HAL
HALL
HALO
HAR
HAS
HAYN
HBAN
HBCP
HBHC
HBI
HBIO
HBNC
HBOS
HCA
Company
HUDSON CITY BANCORP
HCC INSURANCE HLDGS IN
HERITAGE CRYL CLEAN INC
HOMEOWNERS CHOICE INC
HACKETT GROUP INC
HEALTH CARE REIT INC
HAWAIIAN TELCOM HOLDCO
HCP INC
HEALTHCARE SVCS GRP INC
HOME DEPOT INC
HARDINGE INC
HAWAIIAN ELECTRIC INDS
H&E EQUIPMENT SERVICES
HEICO CORP
HECKMANN CORP
HELEN OF TROY LTD
HERITAGE OAKS BANCORP
HERCULES OFFSHORE INC
HESS CORP
HFF INC
HOLLYFRONTIER CORP
HERITAGE FINANCIAL CORP
HHGREGG INC
HANGER INC
HUMAN GENOME SCIENCES
HOWARD HUGHES CORP
HARTE HANKS INC
HILLENBRAND INC
HIBBETT SPORTS INC
HINGHAM INSTN SVGS MASS
HARTFORD FINL SVCS GRP
HUNTINGTON INGALLS IND
HILL INTERNATIONAL INC
HI-TECH PHARMACAL CO IN
HITTITE MICROWAVE CORP
HIGHWOODS PROPERTIES IN
HALCON RESOURCES CORP
HECLA MINING CO
HERBALIFE LTD
HARMONIC INC
HEALTHSOUTH CORP
HOME LOAN SERVICING SOL
HELIX ENERGY SOLUTIONS
HEALTH MGMT ASSOC INC
HOME PROPERTIES INC
HORACE MANN EDUCATORS
HOMESTREET INC
HMS HOLDINGS CORP
HANDY & HARMAN HLDGS LT
HNI CORPORATION
HARVEST NATURAL RES
HALLADOR ENERGY CO
HANSEN MEDICAL INC
HEALTH NET INC
Ticker
HCBK
HCC
HCCI
HCII
HCKT
HCN
HCOM
HCP
HCSG
HD
HDNG
HE
HEES
HEI
HEK
HELE
HEOP
HERO
HES
HF
HFC
HFWA
HGG
HGR
HGSI
HHC
HHS
HI
HIBB
HIFS
HIG
HII
HIL
HITK
HITT
HIW
HK
HL
HLF
HLIT
HLS
HLSS
HLX
HMA
HME
HMN
HMST
HMSY
HNH
HNI
HNR
HNRG
HNSN
HNT
52
Company
HEINZ H J CO
HOOKER FURNITURE CORP
HARLEY DAVIDSON INC
HOLOGIC INC
HOME BANCSHARES INC
HOME FEDERAL BANCORP
HONEYWELL INTERNATIONAL
HORNBECK OFFSHORE SVCS
STARWOOD HOTELS & RESRT
HOT TOPIC INC
HOVNANIAN ENTERPRISES
HELMERICH & PAYNE INC
HUDSON PAC PPTYS INC
HEWLETT PACKARD CO
HOSPITALITY PPTYS TRUST
HEARTLAND PAYMENT SYS
HEALTHCARE REALTY TRUST
BLOCK H & R INC
HILL-ROM HOLDINGS INC
HARBINGER GROUP INC
HORMEL FOODS CORP
HARRIS CORP
HORIZON TECH FIN CORP
HARSCO CORP
SCHEIN HENRY INC
HEIDRICK & STRUGGLES
HSN INC
HUDSON GLOBAL INC
HOSPIRA INC
HOST HOTELS & RESORTS
HEALTHSTREAM INC
HERSHEY COMPANY
HERSHA HOSPITALITY TRUS
HERITAGE COMMERCE CORP
HICKORY TECH CORP
HERCULES TECHNOLOGY GR
HILLTOP HOLDINGS INC
HEARTLAND EXPRESS INC
HEARTLAND FINANCIAL USA
HATTERAS FINL CORP
HARRIS TEETER SUPERMKTS
HEARTWARE INTL INC
HERTZ GLOBAL HOLDINGS
HUBBELL INC
HUB GROUP INC
HUMANA INC
HUNTSMAN CORP
HURCO COMPANIES INC
HURON CONSULTING GROUP
HUDSON VALLEY HOLDING
HAVERTY FURNITURE INC
HEADWATERS INC
HEALTHWAYS INC
HOUSTON WIRE & CABLE
Ticker
HNZ
HOFT
HOG
HOLX
HOMB
HOME
HON
HOS
HOT
HOTT
HOV
HP
HPP
HPQ
HPT
HPY
HR
HRB
HRC
HRG
HRL
HRS
HRZN
HSC
HSIC
HSII
HSNI
HSON
HSP
HST
HSTM
HSY
HT
HTBK
HTCO
HTGC
HTH
HTLD
HTLF
HTS
HTSI
HTWR
HTZ
HUB.B
HUBG
HUM
HUN
HURC
HURN
HVB
HVT
HW
HWAY
HWCC
Company
HAWKINS INC
HEXCEL CORP
HORIZON PHARMA INC
MARINEMAX INC
IAC INTERACTIVECORP
INTEGRA LIFESCIENCES
INTERLINE BRANDS INC
IBERIABANK CORP
INTERACTIVE BROKERS GRO
INTL BUSINESS MACHINES
INTERNATIONAL BANCSHARE
INTERCONTINENTALEXCHANG
ICF INTERNATIONAL INC
ICG GROUP INC
ICONIX BRAND GROUP INC
ICU MEDICAL INC
IDACORP INC
INTERDIGITAL INC
IDENIX PHARMACEUTICALS
IDT CORP
INTEGRATED DEVICE TECH
IDEXX LABS INC
IDEX CORP
INTL FLAVORS & FRAGRANC
INTERFACE INC
INTL GAME TECHNOLOGY
IGATE CORP
INDEPENDENCE HOLDING CO
IHS INC
INSTEEL INDUSTRIES INC
INTERVAL LEISURE GRP IN
II VI INC
INTRALINKS HLDGS INC
ILLUMINA INC
INGRAM MICRO INC
IMMUNOGEN INC
INTERMOLECULAR INC
INGLES MARKETS INC
IMMERSION CORP
IMMUNOMEDICS INC
IMATION CORP
IMPERVA INC
IMMUNOCELLULAR THERAPEU
INTERMEC INC
INTERNAP NETWORK SVCS C
INCYTE CORP
INDEPENDENT BANK MA
INFORMATICA CORP
INFINITY PHARMACEUTICAL
INFINERA CORP
INGREDION INC
INTERACTIVE INTELLIGENC
INTEGRAMED AMER INC
SUMMIT HOTEL PROPER
Ticker
HWKN
HXL
HZNP
HZO
IACI
IART
IBI
IBKC
IBKR
IBM
IBOC
ICE
ICFI
ICGE
ICON
ICUI
IDA
IDCC
IDIX
IDT
IDTI
IDXX
IEX
IFF
IFSIA
IGT
IGTE
IHC
IHS
IIIN
IILG
IIVI
IL
ILMN
IM
IMGN
IMI
IMKTA
IMMR
IMMU
IMN
IMPV
IMUC
IN
INAP
INCY
INDB
INFA
INFI
INFN
INGR
ININ
INMD
INN
53
Company
INNODATA INC
WORLD FUEL SVCS CORP
INTEL CORP
INTL FCSTONE INC
INTUIT
INTERSECTIONS INC
INVENSENSE INC
INNERWORKINGS INC
ION GEOPHYSICAL CORP
INNOSPEC INC
INTERNATIONAL PAPER CO
INTER PARFUMS INC
IPASS INC
INFINITY PPTY & CAS COR
IPC THE HOSPITALIST CO
INTERPUBLIC GROUP OF CO
IPG PHOTONICS CORP
INPHI CORP
INNOPHOS HOLDINGS INC
INTREPID POTASH INC
IMPAX LABORATORIES INC
NEUTRAL TANDEM INC
INGERSOLL-RAND PLC
IROBOT CORP
INLAND REAL ESTATE CORP
IRIDIUM COMMUNICATIONS
INVESTORS REAL ESTATE T
INTERNATIONAL RECTIFIER
IGNITE RESTAURANT GROUP
IRIS INTERNATIONAL INC
IRON MOUNTAIN INC
IRONWOOD PHARMACEUTICAL
INVESTORS BANCORP INC
INTERNATIONAL SPEEDWAY
INTL SHIPHOLDING CORP
INTERSIL CORP
ISIS PHARMACEUTICALS
ISLE OF CAPRI CASINOS
INTUITIVE SURGICAL INC
ISRAMCO INC
INTEGRATED SILICON S
GARTNER INC
ITC HOLDINGS CORP
INVESTMENT TECHNOLOGY
INVESTORS TITLE CO
INTERMUNE INC
ITRON INC
ITT CORPORATION
ILLINOIS TOOL WORKS INC
INTEVAC INC
INVACARE CORP
INVESCO MORTGAGE CAP
INVESCO LTD
IXYS CORP
Ticker
INOD
INT
INTC
INTL
INTU
INTX
INVN
INWK
IO
IOSP
IP
IPAR
IPAS
IPCC
IPCM
IPG
IPGP
IPHI
IPHS
IPI
IPXL
IQNT
IR
IRBT
IRC
IRDM
IRET
IRF
IRG
IRIS
IRM
IRWD
ISBC
ISCA
ISH
ISIL
ISIS
ISLE
ISRG
ISRL
ISSI
IT
ITC
ITG
ITIC
ITMN
ITRI
ITT
ITW
IVAC
IVC
IVR
IVZ
IXYS
Company
JACK IN THE BOX INC
JARDEN CORP
JAKKS PACIFIC INC
JAZZ PHARMACEUTICALS PL
HUNT J B TRANS SVCS
JABIL CIRCUIT INC
JETBLUE AIRWAYS CORP
SANFILIPPO JOHN B & SON
JOHN BEAN TECH CORP
JOHNSON CONTROLS INC
J2 GLOBAL INC
PENNEY J C INC
JDA SOFTWARE GROUP INC
JDS UNIPHASE CORP
JACOBS ENGINEERING GRP
JEFFERIES GROUP INC
JIVE SOFTWARE INC
J & J SNACK FOODS CO
HENRY JACK & ASSOCIATES
JONES LANG LASALLE INC
JAMBA INC
JMP GROUP INC
JOHNSON & JOHNSON
JUNIPER NETWORKS INC
JANUS CAPITAL GROUP INC
THE JONES GROUP INC
ST JOE CO
JOS A BANK CLOTHIERS IN
JOHNSON OUTDOORS INC
JOY GLOBAL INC
JPMORGAN CHASE & CO
JOURNAL COMMUNICATIONS
WILEY JOHN & SONS INC
NORDSTROM INC
KELLOGG CO
KADANT INC
KAISER ALUMINUM CORP
KAMAN CORP
KAR AUCTION SERVICES IN
KIMBALL INTERNATIONAL
KB HOME
KBR INC
KBW INC
KOHLBERG CAPITAL CORP
KNIGHT CAPITAL GROUP IN
KANSAS CITY LIFE INS CO
COLE KENNETH PRODTNS
KAYDON CORP
KEY ENERGY SERVICES INC
KELLY SERVICES INC
KEMET CORP
KERYX BIOPHARMACEUTICAL
KIRBY CORP
KEYCORP
Ticker
JACK
JAH
JAKK
JAZZ
JBHT
JBL
JBLU
JBSS
JBT
JCI
JCOM
JCP
JDAS
JDSU
JEC
JEF
JIVE
JJSF
JKHY
JLL
JMBA
JMP
JNJ
JNPR
JNS
JNY
JOE
JOSB
JOUT
JOY
JPM
JRN
JW.A
JWN
K
KAI
KALU
KAMN
KAR
KBALB
KBH
KBR
KBW
KCAP
KCG
KCLI
KCP
KDN
KEG
KELYA
KEM
KERX
KEX
KEY
54
Company
KEYNOTE SYSTEMS INC
KEYW HOLDING CORP
KAISER FEDERAL FIN GRP
KFORCE INC
KRAFT FOODS INC
KORN FERRY INTERNATIONA
KIMCO REALTY CORP
KIOR INC
KIRKLANDS INC
KIT DIGITAL INC
KRISPY KREME DOUGHNUTS
KLA-TENCOR CORP
KIMBERLY CLARK CORP
KMG CHEMICALS INC
KINDER MORGAN INC DEL
KEMPER CORPORATION
KENNAMETAL INC
CARMAX INC
KINDRED HEALTHCARE INC
KNOLL INC
KNOLOGY INC
KNIGHT TRANSPORTATION
KENEXA CORP
COCA COLA CO
KODIAK OIL & GAS CORP
KOPPERS HOLDINGS INC
KOPIN CORP
MICHAEL KORS HLDGS LTD
KOSMOS ENERGY LTD
KROGER CO
KRATON PERF POLYMERS
KILROY REALTY CORP
KITE REALTY GROUP TRUST
KEARNY FINANCIAL CORP
KRONOS WORLDWIDE INC
KAPSTONE PAPER & PACKAG
KOHLS CORP
KANSAS CITY SOUTHERN
K-SWISS INC
KEY TRONICS CORP
KRATOS DEFENSE & SEC SO
KVH INDUSTRIES INC
KENNEDY-WILSON HLDGS IN
QUICKSILVER RESOURCES
QUAKER CHEMICAL CORP
LOEWS CORP
MULTI COLOR CORP
LITHIA MOTORS INC
LAMAR ADVERTISING CO
LANCASTER COLONY CORP
LAYNE CHRISTENSEN CO
LAZARD LTD
LAKELAND BANCORP INC
LIBERTY GLOBAL INC
Ticker
KEYN
KEYW
KFFG
KFRC
KFT
KFY
KIM
KIOR
KIRK
KITD
KKD
KLAC
KMB
KMG
KMI
KMPR
KMT
KMX
KND
KNL
KNOL
KNX
KNXA
KO
KOG
KOP
KOPN
KORS
KOS
KR
KRA
KRC
KRG
KRNY
KRO
KS
KSS
KSU
KSWS
KTCC
KTOS
KVHI
KW
KWK
KWR
L
LABL
LAD
LAMR
LANC
LAYN
LAZ
LBAI
LBTYA
Company
LIBBEY INC
U S AIRWAYS GROUP INC
LANNETT CO INC
LECROY CORP
LIFETIME BRANDS INC
LYDALL INC
LANDAUER INC
LEAR CORP
LEAP WIRELESS INTL INC
LINCOLN ELECTRIC HLDGS
MARKET LEADER INC
LEGGETT & PLATT INC
LENNAR CORP
LEAPFROG ENTERPRISES IN
LITTELFUSE INC
LACLEDE GROUP INC
LIONS GATE ENTMNT CORP
LIGAND PHARMACEUTICALS
LABORATORY CORP OF AMER
LHC GROUP INC
LASALLE HOTEL PROPERTIE
LIFE TECHNOLOGIES CORP
LENNOX INTERNATIONAL IN
LINCOLN EDUCATIONAL SVS
LIBERTY INTERACTIVE
FIDELITY SOUTHERN CORP
LIONBRIDGE TECHNOLOGIES
LAKELAND FINANCIAL CORP
LKQ CORP
LUMBER LIQUIDATORS HLDG
L-3 COMMUNICATIONS HLDG
LIMELIGHT NETWORKS INC
LINEAR TECHNOLOGY CO
LILLY ELI & CO
LEGG MASON INC
LIBERTY CAPITAL
LMI AEROSPACE INC
LIMONEIRA CO
LUMINEX CORP
LUMOS NETWORKS CORP
LOCKHEED MARTIN CORP
LINCOLN NATIONAL CORP
SNYDER'S-LANCE INC
LINCARE HOLDINGS INC
LANDEC CORP
CHENIERE ENERGY INC
LINKEDIN CORP
LINDSAY CORP
ALLIANT ENERGY CORP
LORILLARD INC
LOGMEIN INC
GRAND CANYON EDUCATION
LORAL SPACE & COMM
SPARK NETWORKS INC
Ticker
LBY
LCC
LCI
LCRY
LCUT
LDL
LDR
LEA
LEAP
LECO
LEDR
LEG
LEN
LF
LFUS
LG
LGF
LGND
LH
LHCG
LHO
LIFE
LII
LINC
LINTA
LION
LIOX
LKFN
LKQ
LL
LLL
LLNW
LLTC
LLY
LM
LMCA
LMIA
LMNR
LMNX
LMOS
LMT
LNC
LNCE
LNCR
LNDC
LNG
LNKD
LNN
LNT
LO
LOGM
LOPE
LORL
LOV
55
Company
LOWES COS INC
LAREDO PET HLDGS INC
LPL FINANCIAL HOLDINGS
LIFEPOINT HOSPITALS
LENDER PROCESSING SVCS
LIVEPERSON INC
LOUISIANA PACIFIC CORP
LIQUIDITY SERVICES INC
LAM RESEARCH CORP
K12 INC
LIBERTY PROPERTY TRUST
LATTICE SEMICONDUCTOR
CAPLEASE INC
LSI CORPORATION
LANDSTAR SYSTEMS INC
LTC PROPERTIES INC
LIMITED BRANDS INC
LIFE TIME FITNESS INC
LADENBURG THALMAN FIN
LTX-CREDENCE CORP
LUBYS INC
LUFKIN INDUSTRIES INC
LEUCADIA NATIONAL CORP
SOUTHWEST AIRLINES CO
STEINWAY MUSICAL INS
LEVEL 3 COMMUNICATIONS
LAS VEGAS SANDS CORP
LIFEWAY FOODS INC
LEXMARK INTERNATIONAL
LEXINGTON REALTY TRUST
LEXICON PHARMACEUTICALS
LSB INDUSTRIES INC
LYONDELLBASELL INDS
LSI INDUSTRIES INC
LIVE NATION ENT INC
LA Z BOY INC
MACYS INC
MASTERCARD INC
MID-AMER APT CMNTYS
MACERICH CO
MERRIMACK PHARMACEUTICA
MAIN STREET CAPITAL COR
MAKO SURGICAL CORP
MANPOWERGROUP
MANHATTAN ASSOCS INC
MANTECH INTERNATIONAL
MAP PHARMACEUTICALS INC
MARRIOTT INTL INC
MASCO CORP
MASIMO CORPORATION
MATTEL INC
MATTERSIGHT CORP
MATTHEWS INTERNATIONAL
MAXYGEN INC
Ticker
LOW
LPI
LPLA
LPNT
LPS
LPSN
LPX
LQDT
LRCX
LRN
LRY
LSCC
LSE
LSI
LSTR
LTC
LTD
LTM
LTS
LTXC
LUB
LUFK
LUK
LUV
LVB
LVLT
LVS
LWAY
LXK
LXP
LXRX
LXU
LYB
LYTS
LYV
LZB
M
MA
MAA
MAC
MACK
MAIN
MAKO
MAN
MANH
MANT
MAPP
MAR
MAS
MASI
MAT
MATR
MATW
MAXY
Company
MB FINANCIAL INC
MBIA INC
MIDDLEBURG FINANCIAL
MERCHANTS BANCSHARES
MERCANTILE BANK CORP
METROCORP BANCSHARES IN
MEDLEY CAPITAL CORP
MCDONALDS CORP
CONTANGO OIL & GAS CO
MCG CAPITAL CORP
MICROCHIP TECHNOLOGY
MARCHEX INC
MCKESSON CORP
MOODYS CORP
MOLYCORP INC
MONARCH CASINO & RESORT
MICREL INC
MICROS SYSTEMS INC
MARCUS CORP
MERCURY GENERAL CORP
MEDNAX INC
MEDASSETS INC
MDC HOLDINGS INC
MDC CORP
MEDICINES CO
METROPOLITAN HEALTH NET
MEREDITH CORP
MCDERMOTT INTL INC
ALLSCRIPTS HEALTHCARE
MEDIDATA SOLUTIONS INC
MEDTRONIC INC
MDU RESOURCES GROUP INC
MEDIVATION INC
MIDWAY GOLD CORP
METALICO INC
MEASUREMENT SPECIALTIES
MEDIFAST INC
MEDIWARE INFORMATION SY
MEETME INC
METHODE ELECTRS INC
MENTOR GRAPHICS CORP
METLIFE INC
METRO BANCORP INC
MFA FINANCIAL INC
MAIDENFORM BRANDS INC
MICROFINANCIAL INC
MULTI-FINELINE ELECTRON
MATTRESS FIRM HLDG CORP
MISTRAS GROUP INC
MULTIMEDIA GAMES HLD CO
MGE ENERGY INC
MONEYGRAM INTERNATIONAL
MAGELLAN HEALTH SVCS IN
MGM RESORTS INTL
Ticker
MBFI
MBI
MBRG
MBVT
MBWM
MCBI
MCC
MCD
MCF
MCGC
MCHP
MCHX
MCK
MCO
MCP
MCRI
MCRL
MCRS
MCS
MCY
MD
MDAS
MDC
MDCA
MDCO
MDF
MDP
MDR
MDRX
MDSO
MDT
MDU
MDVN
MDW
MEA
MEAS
MED
MEDW
MEET
MEI
MENT
MET
METR
MFA
MFB
MFI
MFLX
MFRM
MG
MGAM
MGEE
MGI
MGLN
MGM
56
Company
MCGRATH RENTCORP
MORGANS HOTEL GROUP CO
MOHAWK INDUSTRIES INC
MAIDEN HOLDINGS LTD
M/I HOMES INC
MCGRAW HILL COS INC
MAGNUM HUNTER RES CORP
MIDDLEBY CORP
MEADOWBROOK INS GROUP
MILLER ENERGY RES INC
MITCHAM INDUSTRIES INC
MOBILE MINI INC
MIPS TECHNOLOGIES INC
AG MORTGAGE INVT TR INC
MEAD JOHNSON NUTRITION
MCCORMICK & CO INC
MARKEL CORP
MKS INSTRUMENTS INC
RESPONSYS INC
MARKETAXESS HOLDINGS IN
MESA LABS INC
HERMAN MILLER INC
MUELLER INDUSTRIES INC
MARTIN MARIETTA MTLS
MODUSLINK GLB SOLUTIONS
MILLER INDUSTRIES INC
MILLENNIAL MEDIA INC
MARSH & MCLENNAN COS
3M CO
MCMORAN EXPLORATION CO
MAXIMUS INC
MERIT MED SYSTEMS INC
MANNING & NAPIER INC
MCCLATCHY CO
MANNKIND CORP
MONMOUTH REAL ESTATE
MONRO MUFFLER BRAKE INC
MONSTER BEVERAGE CORP
MOMENTA PHARMACEUTICALS
MTR GAMING GROUP INC
ALTRIA GROUP INC
MODINE MANUFACTURING CO
MMODAL INC
MIDWESTONE FINL GROUP
MOOG INC
MOLINA HEALTHCARE INC
MOLEX INC
MONSANTO CO
MORNINGSTAR INC
MOSAIC COMPANY
MOSYS INC
MOVADO GROUP INC
MOVE INC
MARATHON PETROLEUM CORP
Ticker
MGRC
MHGC
MHK
MHLD
MHO
MHP
MHR
MIDD
MIG
MILL
MIND
MINI
MIPS
MITT
MJN
MKC
MKL
MKSI
MKTG
MKTX
MLAB
MLHR
MLI
MLM
MLNK
MLR
MM
MMC
MMM
MMR
MMS
MMSI
MN
MNI
MNKD
MNR
MNRO
MNST
MNTA
MNTG
MO
MOD
MODL
MOFG
MOG.A
MOH
MOLX
MON
MORN
MOS
MOSY
MOV
MOVE
MPC
Company
MIDSTATES PETE CO INC
MET-PRO CORP
MEDICAL PROPERTIES TRUS
MONOLITHIC POWER SYSTEM
MARINE PRODUCTS CORP
MRC GLOBAL INC
MERCURY COMPUTER SYSTEM
MERGE HEALTHCARE INC
MONTPELIER RE HOLDINGS
MERCK & CO INC
MARLIN BUSINESS SVCS
MARATHON OIL CORP
MARTEN TRANS LTD
MARVELL TECHNOLOGY GROU
MEDICIS PHARMACEUTICAL
MORGAN STANLEY
MINE SAFETY APPLIANCES
MICROSEMI CORP
MSCI INC
MIDDLESEX WATER CO
MAINSOURCE FINANCIAL GR
MICROSOFT CORP
MADISON SQUARE GARDEN
MOTOROLA SOLUTIONS INC
MIDSOUTH BANCORP INC
MSC INDL DIRECT INC
MARTHA STEWART LIVING
MINDSPEED TECHNOLOGIES
MICROSTRATEGY INC
MISSION WEST PROPERTIES
M & T BANK CORP
METTLER TOLEDO INTL INC
MATADOR RES CO
MGIC INVESTMENT CORP
AMERICAN CAP MTG INVT
MERITAGE HOMES CORP
VAIL RESORTS INC
MERITOR INC
MEDTOX SCIENTIFIC INC
MATERION CORPORATION
MATRIX SERVICE CO
MTS SYSTEMS CORP
MA COM TECHNOLOGY SOL
MATTSON TECHNOLOGY INC
MANITOWOC CO INC
MINERALS TECHNOLOGIES
MASTEC INC
MICRON TECHNOLOGY INC
MURPHY OIL CORP
METALS USA HLDGS CORP
MCEWEN MINING INC
MVC CAPITAL INC
MENS WEARHOUSE INC
MUELLER WTR PRODS INC
Ticker
MPO
MPR
MPW
MPWR
MPX
MRC
MRCY
MRGE
MRH
MRK
MRLN
MRO
MRTN
MRVL
MRX
MS
MSA
MSCC
MSCI
MSEX
MSFG
MSFT
MSG
MSI
MSL
MSM
MSO
MSPD
MSTR
MSW
MTB
MTD
MTDR
MTG
MTGE
MTH
MTN
MTOR
MTOX
MTRN
MTRX
MTSC
MTSI
MTSN
MTW
MTX
MTZ
MU
MUR
MUSA
MUX
MVC
MW
MWA
57
Company
MWI VETERINARY SUPPLY
MEADWESTVACO CORP
MONSTER WORLDWIDE INC
MAXIM INTEGRATED PRODS
MAXLINEAR INC
MAXWELL TECHNOLOGIES IN
MYERS INDUSTRIES INC
MYRIAD GENETICS INC
MYLAN INC
MYR GROUP INC DEL
NETSUITE INC
NASH FINCH CO
NANOMETRICS INC
NASB FINANCIAL INC
NORDIC AMERICAN TANKER
NATHANS FAMOUS INC NEW
NATIONAL INSTRS CORP
NATIONAL INTERSTATE COR
NATURES SUNSHINE PRODS
NATIONAL AMERN UNIV
NAVISTAR INTL CORP NEW
NAVIDEA BIOPHARMA INC
NAVIGATORS GROUP INC
NEUROCRINE BIOSCIENCES
NOBLE ENERGY INC
NABORS INDUSTRIES LTD
NBT BANCORP INC
NACCO INDUSTRIES INC
NAVIGANT CONSULTING INC
NATIONAL CINEMEDIA INC
NCR CORP
NCI BUILDING SYSTEMS IN
NASDAQ OMX GROUP INC
NORDSON CORP
NEXTERA ENERGY INC
NEWMONT MINING CORP
NEOGEN CORP
NEONODE INC
NEWMARKET CORPORATION
NEWPORT CORP
NEWSTAR FINANCIAL INC
NORTHFIELD BANCORP INC
NATIONAL FUEL GAS CO
NETFLIX INC
NATIONAL FINL PARTNERS
NEWFIELD EXPLORATION CO
NGP CAPITAL RESOURCES
NATURAL GAS SERVICES GR
NATIONAL HEALTHCARE COR
NATIONAL HEALTH INVS IN
NISOURCE INC
NICHOLAS FINANCIAL INC
NII HOLDINGS INC
BLUE NILE INC
Ticker
MWIV
MWV
MWW
MXIM
MXL
MXWL
MYE
MYGN
MYL
MYRG
N
NAFC
NANO
NASB
NAT
NATH
NATI
NATL
NATR
NAUH
NAV
NAVB
NAVG
NBIX
NBL
NBR
NBTB
NC
NCI
NCMI
NCR
NCS
NDAQ
NDSN
NEE
NEM
NEOG
NEON
NEU
NEWP
NEWS
NFBK
NFG
NFLX
NFP
NFX
NGPC
NGS
NHC
NHI
NI
NICK
NIHD
NILE
Company
NEW JERSEY RESOURCES
NIKE INC
NATIONAL BANKSHARES INC
NEKTAR THERAPEUTICS
NL INDUSTRIES INC
NEWLINK GENETICS CORP
NIELSEN HOLDINGS NV
ANNALY CAPITAL MGMT INC
NEW MTN FIN CORP
NUMEREX CORP
NN INC
NELNET INC
NATIONAL RETAIL PPTYS
NORTHROP GRUMMAN CORP
NORTHERN OIL & GAS INC
NORANDA ALUM HLDG CORP
NATIONAL OILWELL VARCO
NEENAH PAPER INC
NATIONAL PENN BANCSHARE
NATIONAL PRESTO INDS IN
ENPRO INDUSTRIES INC
NPS PHARMACEUTICALS INC
NEOPHOTONICS CORP
NEWPARK RESOURCES INC
NATIONAL RESEARCH CORP
NORTHSTAR REALTY FINANC
NRG ENERGY INC
NORTHRIM BANCORP INC
NORFOLK SOUTHERN CORP
INSIGHT ENTERPRISES INC
NATIONSTAR MTG HLDGS IN
INSPERITY INC
NEUSTAR INC
NETAPP INC
NETSCOUT SYSTEMS INC
NETGEAR INC
NORTEK INC
NTELOS HOLDINGS CORP
NUTRI SYSTEM INC
NORTHERN TRUST CORP
NETSPEND HOLDINGS INC
NORTHEAST UTILITIES
NUANCE COMMUNICATIONS
NUCOR CORP
NU SKIN ENTERPRISES
NUTRACEUTICAL INTL CORP
NUVASIVE INC
NOVAVAX INC
NVIDIA CORP
NV ENERGY INC
NVE CORP
NVR INC
NORTHWEST BANCSHARES IN
NORTHWESTERN CORP
Ticker
NJR
NKE
NKSH
NKTR
NL
NLNK
NLSN
NLY
NMFC
NMRX
NNBR
NNI
NNN
NOC
NOG
NOR
NOV
NP
NPBC
NPK
NPO
NPSP
NPTN
NR
NRCI
NRF
NRG
NRIM
NSC
NSIT
NSM
NSP
NSR
NTAP
NTCT
NTGR
NTK
NTLS
NTRI
NTRS
NTSP
NU
NUAN
NUE
NUS
NUTR
NUVA
NVAX
NVDA
NVE
NVEC
NVR
NWBI
NWE
58
Company
NEWELL RUBBERMAID INC
NATIONAL WESTRN LIFE IN
NORTHWEST NATURAL GAS C
NORTHWEST PIPE CO
NEWS CORP
NEW YORK & CO INC
QUANEX BUILDING PRODUCT
NEXSTAR BROADCASTING GR
NXSTAGE MEDICAL INC
NEW YORK CMNTY BANCORP
NEW YORK MTG TR INC
NEW YORK TIMES CO
NYSE EURONEXT
REALTY INCOME CORP
OMNIAMERICAN BANCORP IN
OASIS PETE INC
ONEBEACON INSURANCE GRP
OWENS CORNING NEW
OCEANFIRST FINANCIAL
OCLARO INC
OCWEN FINANCIAL CORP
OMNICARE INC
OCZ TECHNOLOGY GROUP IN
OIL DRI CORP OF AMERICA
OLD DOMINION FREIGHT
OFFICE DEPOT INC
ORIENT-EXPRESS HOTELS
CORPORATE OFFICE PPTYS
ORIENTAL FINANCIAL GROU
ORTHOFIX INTL N V
OMEGA FLEX INC
OGE ENERGY CORP
ONCOGENEX PHARMAS INC
OMEGA HEALTHCARE INVS
OWENS ILLINOIS INC
OCEANEERING INTL INC
OIL STATES INTERNATIONA
ONEOK INC
SOUTHWEST BANCORP INC O
OLIN CORP
ONE LIBERTY PROPERTIES
OMNICOM GROUP INC
OMNICELL INC
OMEGA PROTEIN CORP
OMEROS CORP
ODYSSEY MARINE EXPLOR
OM GROUP INC
OWENS & MINOR INC
OMNOVA SOLUTIONS INC
OBAGI MEDICAL PROD INC
OFFICEMAX INC
OLD NATIONAL BANCORP
HIGHER ONE HLDGS INC
ON SEMICONDUCTOR CORP
Ticker
NWL
NWLI
NWN
NWPX
NWSA
NWY
NX
NXST
NXTM
NYB
NYMT
NYT
NYX
O
OABC
OAS
OB
OC
OCFC
OCLR
OCN
OCR
OCZ
ODC
ODFL
ODP
OEH
OFC
OFG
OFIX
OFLX
OGE
OGXI
OHI
OI
OII
OIS
OKE
OKSB
OLN
OLP
OMC
OMCL
OME
OMER
OMEX
OMG
OMI
OMN
OMPI
OMX
ONB
ONE
ONNN
Company
ONCOTHYREON INC
ONYX PHARMACEUTICALS IN
OPENTABLE INC
OPKO HEALTH INC
OPLINK COMMUNICATIONS
OPNET TECHNOLOGIES INC
OPTIMER PHARMA INC
OPPENHEIMER HOLDINGS IN
ORMAT TECHNOLOGIES INC
ORBITAL SCIENCES CORP
ORBCOMM INC
ORACLE CORP
OREXIGEN THERAPEUTICS
OLD REPUBLIC INTL CORP
ORITANI FINANCIAL CORP
O REILLY AUTOMOTIVE INC
ORION MARINE GROUP INC
OVERSEAS SHIPHOLDNG GRP
ORCHARD SUPPLY HARDWARE
OSIRIS THERAPEUTICS
OSI SYSTEMS INC
OSHKOSH CORP
OVERSTOCK COM INC
ORASURE TECHNOLOGIES IN
OTTER TAIL CORP
OUTDOOR CHANNEL HLDGS
OMNIVISION TECHNOLOGIES
ORBITZ WORLDWIDE INC
OXFORD INDUSTRIES INC
OCCIDENTAL PETE CORP
OYO GEOSPACE CORP
BANK OF THE OZARKS INC
PANDORA MEDIA INC
PACIFIC BIOSCIENCES CA
PACER INTERNATIONAL INC
PACWEST BANCORP
PENSKE AUTOMOTIVE GROUP
UNIVERSAL DISPLAY CORP
PATRICK INDS INC
PATRIOT TRANSPORTATION
VERIFONE SYSTEMS INC
PAYCHEX INC
PROSPERITY BANCSHARES
PEOPLES UNITED FINANCIA
PRESTIGE BRANDS HOLDING
PITNEY BOWES INC
PROVIDENT NY BANCORP
PEP BOYS MANNY MOE&J
PACCAR INC
PACIFIC CAPITAL BANCORP
PACIFIC CONTINENTAL COR
P C CONNECTION
PG&E CORP
POTLATCH CORP
Ticker
ONTY
ONXX
OPEN
OPK
OPLK
OPNT
OPTR
OPY
ORA
ORB
ORBC
ORCL
OREX
ORI
ORIT
ORLY
ORN
OSG
OSH
OSIR
OSIS
OSK
OSTK
OSUR
OTTR
OUTD
OVTI
OWW
OXM
OXY
OYOG
OZRK
P
PACB
PACR
PACW
PAG
PANL
PATK
PATR
PAY
PAYX
PB
PBCT
PBH
PBI
PBNY
PBY
PCAR
PCBC
PCBK
PCCC
PCG
PCH
59
Company
PLUM CREEK TIMBER CO IN
PRICELINE COM INC
PENDRELL CORPORATION
PRECISION CASTPARTS
PACIRA PHARMACEUTICALS
METROPCS COMMUNICATIONS
PC-TEL INC
PATRIOT COAL CORP
PHARMACYCLICS INC
PIONEER DRILLING CO
PATTERSON COS INC
PDF SOLUTIONS INC
PDI INC
PDL BIOPHARMA INC
PIEDMONT OFFICE RLTY TR
PEBBLEBROOK HOTEL TRUST
PEOPLES BANCORP INC
PEETS COFFEE & TEA INC
PUBLIC SVC ENTERPRISE
PEGASYSTEMS INC
PENNSYLVANIA REAL ESTAT
PENN NATIONAL GAMING IN
PEOPLES FED BANCSHARES
PEPSICO INC
PERFUMANIA HOLDINGS INC
ELLIS PERRY INTL INC
PDC ENERGY INC
PETSMART INC
PETMED EXPRESS INC
PREFERRED BANK
P F CHANGS CHINA BISTRO
PFIZER INC
PRINCIPAL FINANCIAL GRP
PROOFPOINT INC
PROVIDENT FINANCIAL SVC
PROCTER & GAMBLE CO
PEAPACK-GLADSTONE FINL
PREMIERE GLOBAL SERVICE
PROGRESS ENERGY INC
PROGENICS PHARMACEUTICA
PROGRESSIVE CORP
PGT INC
PARKER HANNIFIN CORP
PHH CORPORATION
PHI INC
PULTEGROUP INC
PHOTOMEDEX INC
PANHANDLE OIL AND GAS
PICO HOLDINGS INC
POLARIS INDUSTRIES INC
PIKE ELECTRIC CORP
PIER 1 IMPORTS INC
PIPER JAFFRAY COMPANIES
PARKER DRILLING CO
Ticker
PCL
PCLN
PCO
PCP
PCRX
PCS
PCTI
PCX
PCYC
PDC
PDCO
PDFS
PDII
PDLI
PDM
PEB
PEBO
PEET
PEG
PEGA
PEI
PENN
PEOP
PEP
PERF
PERY
PETD
PETM
PETS
PFBC
PFCB
PFE
PFG
PFPT
PFS
PG
PGC
PGI
PGN
PGNX
PGR
PGTI
PH
PHH
PHIIK
PHM
PHMD
PHX
PICO
PII
PIKE
PIR
PJC
PKD
Company
PARK ELECTROCHEMICAL
PACKAGING CORP OF AMER
PERKINELMER INC
PARK OHIO HOLDINGS CORP
PROCERA NETWORKS INC
PARKWAY PROPERTIES INC
PROTECTIVE LIFE CORP
PHOTRONICS INC
CHILDRENS PLACE RETAIL
POLYCOM INC
PROLOGIS INC
PRESIDENTIAL LIFE CORP
PALL CORP
DOUGLAS DYNAMICS INC
PREFORMED LINE PRODUCTS
PLANTRONICS INC
EPLUS INC
PLEXUS CORP
PLX TECHNOLOGY INC
PHILIP MORRIS INTL
PACIFIC MERCANTILE BANC
PHARMERICA CORP
PMC-SIERRA INC
PMFG INC
PENNYMAC MORTGAGE INV
PARAMETRIC TECHNOLOGY
PALOMAR MEDICAL TECH
PNC FINANCIAL SVCS GROU
PINNACLE FINANCIAL
PINNACLE ENTMT INC
PNM RESOURCES INC
PENNANTPARK INVT CORP
PENTAIR INC
PANERA BREAD CO
PINNACLE WEST CAPITAL C
PHOENIX COMPANIES INC
PIEDMONT NAT GAS INC
INSULET CORP
POLYONE CORP
PEPCO HOLDINGS INC
POOL CORP
PORTLAND GEN ELEC CO
POST HOLDINGS INC
POWER INTEGRATIONS INC
POWELL INDUSTRIES INC
POZEN INC
PILGRIMS PRIDE CORP NEW
PPG INDUSTRIES INC
PPL CORP
POLYPORE INTL INC
POST PROPERTIES INC
PETROQUEST ENERGY INC
PROASSURANCE CORP
PORTFOLIO RECOVERY ASSO
Ticker
PKE
PKG
PKI
PKOH
PKT
PKY
PL
PLAB
PLCE
PLCM
PLD
PLFE
PLL
PLOW
PLPC
PLT
PLUS
PLXS
PLXT
PM
PMBC
PMC
PMCS
PMFG
PMT
PMTC
PMTI
PNC
PNFP
PNK
PNM
PNNT
PNR
PNRA
PNW
PNX
PNY
PODD
POL
POM
POOL
POR
POST
POWI
POWL
POZN
PPC
PPG
PPL
PPO
PPS
PQ
PRA
PRAA
60
Company
PARTNERRE LTD
PERFICIENT INC
PERRIGO CO
PROGRESS SOFTWARE CORP
PRGX GLOBAL INC
PRIMERICA INC
PRIMORIS SVCS CORP
PARK NATIONAL CORP
PARKERVISION INC
PROTO LABS INC
PROS HOLDINGS INC
DELTEK INC
PROVIDENT FINL HLDGS IN
PROVIDENCE SERVICE CORP
CAFEPRESS INC
US AUTO PARTS NETWRK IN
PRUDENTIAL FINANCIAL IN
PAR PHARMACEUTICAL COS
PREMIER EXIBITIONS INC
PAREXEL INTERNATIONAL
PUBLIC STORAGE INC
PS BUSINESS PARKS INC
PROSPECT CAPITAL CORP
PERICOM SEMICONDUCTOR
PRICESMART INC
COLLECTIVE BRANDS INC
PSS WORLD MEDICAL INC
PARK STERLING CORP
PHILLIPS 66
PATTERSON UTI ENERGY
PRIMUS TELECOMMUNICATIO
PAIN THERAPEUTICS IN
PLATINUM UNDERWRITER HL
PANTRY INC
PERNIX THERAPEUTICS HLD
PENN VIRGINIA CORP
PVH CORP
PERVASIVE SOFTWARE INC
PRIVATEBANCORP INC
POWER-ONE INC
PENNS WOODS BANCORP INC
QUANTA SERVICES INC
PRAXAIR INC
PIONEER NAT RESOURCES C
PLAINS EXPLORATION & PR
PARAMOUNT GOLD & SILVER
PZENA INVESTMENT MGMT
PAPA JOHNS INTERNATIONA
QAD INC
QUALCOMM INC
QUESTCOR PHARM INC
QUIDEL CORP
QEP RESOURCES INC
QIAGEN NV
Ticker
PRE
PRFT
PRGO
PRGS
PRGX
PRI
PRIM
PRK
PRKR
PRLB
PRO
PROJ
PROV
PRSC
PRSS
PRTS
PRU
PRX
PRXI
PRXL
PSA
PSB
PSEC
PSEM
PSMT
PSS
PSSI
PSTB
PSX
PTEN
PTGI
PTIE
PTP
PTRY
PTX
PVA
PVH
PVSW
PVTB
PWER
PWOD
PWR
PX
PXD
PXP
PZG
PZN
PZZA
QADA
QCOM
QCOR
QDEL
QEP
QGEN
Company
QLOGIC CORP
QLIK TECHNOLOGIES INC
QUALITY DISTRIBUTION IN
QUINSTREET INC
QUEST SOFTWARE INC
QUALITY SYSTEMS INC
QUANTUM CORP
QUAD / GRAPHICS INC
QUICKLOGIC CORP
RYDER SYSTEM INC
RAILAMERICA INC
RITE AID CORP
RALCORP HOLDINGS INC
REYNOLDS AMERICAN INC
FREIGHTCAR AMERICA INC
RAIT FINANCIAL TRUST
BANKRATE INC
RAVEN INDUSTRIES INC
RACKSPACE HOSTING INC
REGAL BELOIT CORP
REPUBLIC BANCORP INC KY
RUBICON TECHNOLOGY INC
ROBBINS & MYERS INC
RENT A CENTER INC
ROCKVILLE FINL INC
ROYAL CARIBBEAN CRUISES
ROWAN COMPANIES PLC
ELIZABETH ARDEN INC
READING INTERNATIONAL
RADIAN GROUP INC
EVEREST RE GROUP LTD
RESOURCES CONNECTION
REGENCY CENTERS CORP
RENEWABLE ENER GROUP IN
REGENERON PHARMACEUTICA
RICHARDSON ELECTRONICS
RESOLUTE ENERGY CORP
RENTRAK CORP
RPC INC
REVLON INC
REX AMERICAN RESOURCES
RESOURCE AMERICA INC
REX ENERGY CORP
REGIONS FINANCIAL CORP
RF MICRODEVICES INC
RESOLUTE FOREST PRODUCT
REINSURANCE GRP OF AMER
REGAL ENTMT GROUP
REPLIGEN CORP
ROYAL GOLD INC
STURM RUGER & CO INC
REGIS CORP
ROBERT HALF INTL INC
RED HAT INC
Ticker
QLGC
QLIK
QLTY
QNST
QSFT
QSII
QTM
QUAD
QUIK
R
RA
RAD
RAH
RAI
RAIL
RAS
RATE
RAVN
RAX
RBC
RBCAA
RBCN
RBN
RCII
RCKB
RCL
RDC
RDEN
RDI
RDN
RE
RECN
REG
REGI
REGN
RELL
REN
RENT
RES
REV
REX
REXI
REXX
RF
RFMD
RFP
RGA
RGC
RGEN
RGLD
RGR
RGS
RHI
RHT
61
Company
RIGEL PHARMACEUTICALS
REPUBLIC AIRWAYS HLD
RAYMOND JAMES FINANCIAL
ROCK-TENN CO
RALPH LAUREN CORP
REALD INC
RED LION HOTELS CORP
RLI CORP
RLJ LODGING TR
REACHLOCAL INC
RAND LOGISTICS INC
REGIONAL MGMT CORP
RAMBUS INC
RESMED INC
ROCKWELL MEDICAL TECH
ROUNDYS INC
RIGNET INC
RENAISSANCERE HOLDINGS
RENASANT CORP
REALNETWORKS INC
ROCKWOOD HOLDINGS INC
GIBRALTAR INDUSTRIES IN
ROCHESTER MEDICAL CORP
ROGERS CORP
RETAIL OPPORTUNITY INVT
ROCKWELL AUTOMATION INC
ROLLINS INC
RBC BEARINGS INC
ROMA FINANCIAL CORP
ROPER INDUSTRIES INC
ROSETTA RESOURCES INC
ROSS STORES INC
ROVI CORPORATION
REALPAGE INC
RETAIL PPTYS AMER INC
RPM INTERNATIONAL INC
REPROS THERAPEUTICS INC
RAMCO-GERSHENSON PPTYS
RAPTOR PHARMACEUTICAL
RPX CORP
RANGE RESOURCES CORP
DONNELLEY R R & SONS CO
RED ROBIN GOURMET BURGE
ROADRUNNER TRNSN SVCS
RELIANCE STEEL & ALUM
ROUSE PROPERTIES INC
REPUBLIC SERVICES INC
RADIOSHACK CORP
RESOURCE CAPITAL CORP
ROSETTA STONE INC
ROFIN SINAR TECHNOLOGIE
RADISYS CORP
RUBY TUESDAY INC
RUDOLPH TECHNOLOGIES IN
Ticker
RIGL
RJET
RJF
RKT
RL
RLD
RLH
RLI
RLJ
RLOC
RLOG
RM
RMBS
RMD
RMTI
RNDY
RNET
RNR
RNST
RNWK
ROC
ROCK
ROCM
ROG
ROIC
ROK
ROL
ROLL
ROMA
ROP
ROSE
ROST
ROVI
RP
RPAI
RPM
RPRX
RPT
RPTP
RPXC
RRC
RRD
RRGB
RRTS
RS
RSE
RSG
RSH
RSO
RST
RSTI
RSYS
RT
RTEC
Company
RTI INTERNATIONAL METAL
RTI BIOLOGICS INC
RENTECH INC
RAYTHEON CO
RUE21 INC
RUSH ENTERPRISES INC
RUTH'S HOSPITALITY GROU
RIVERBED TECHNOLOGY INC
REVETT MINERALS INC
REDWOOD TRUST INC
REXNORD CORP NEW
RYLAND GROUP INC
RAYONIER INC
SPRINT NEXTEL CORP
INCONTACT INC
SABA SOFTWARE INC
SANDERSON FARMS INC
SAFETY INSURANCE GRP IN
SONIC AUTOMOTIVE INC
SAIC INC
SAIA INC
SALEM COMMUNICATIONS
BOSTON BEER INC
SANMINA SCI CORP
SAPIENT CORP
SARATOGA RES INC TEX
SANDY SPRING BANCORP
ECHOSTAR CORP
SPIRIT AIRLS INC
SBA COMMUNICATIONS CORP
SEACOAST BANKING CORP F
SINCLAIR BROADCAST GROU
SALLY BEAUTY HOLDINGS
SIGNATURE BANK
SABRA HEALTH CARE REIT
SOUTHSIDE BANCSHARES IN
STARBUCKS CORP
SEABRIGHT HOLDINGS INC
SCBT FINANCIAL CORP
SOUTHERN COPPER CORP
SCANA CORP
SCHOLASTIC CORP
SCHNITZER STEEL INDS
SCHWAB CHARLES CORP
SERVICE CORP INTL
STEPAN CO
SCICLONE PHARMACEUTICAL
SUCAMPO PHARMA
SYCAMORE NETWORKS INC
COMSCORE INC
STEELCASE INC
SCANSOURCE INC
SELECT COMFORT CORP
SHOE CARNIVAL INC
Ticker
RTI
RTIX
RTK
RTN
RUE
RUSHA
RUTH
RVBD
RVM
RWT
RXN
RYL
RYN
S
SAAS
SABA
SAFM
SAFT
SAH
SAI
SAIA
SALM
SAM
SANM
SAPE
SARA
SASR
SATS
SAVE
SBAC
SBCF
SBGI
SBH
SBNY
SBRA
SBSI
SBUX
SBX
SCBT
SCCO
SCG
SCHL
SCHN
SCHW
SCI
SCL
SCLN
SCMP
SCMR
SCOR
SCS
SCSC
SCSS
SCVL
62
Company
SANDRIDGE ENERGY INC
SPECTRA ENERGY CORP
SEACHANGE INTERNATIONAL
SEABOARD CORP
SEALED AIR CORP
SPARTECH CORP
SEI INVESTMENTS CO
SELECT MEDICAL HOLDINGS
SEMGROUP CORP
SENECA FOODS CORP
STIFEL FINANCIAL CORP
SMITHFIELD FOODS INC
SAFEGUARD SCIENTIFICS
STANCORP FINANCIAL GROU
ISTAR FINANCIAL INC
SHIP FINANCE INTL
SHUTTERFLY INC
SIMMONS FIRST NATIONAL
SWIFT ENERGY CO
SAGA COMMUNICATIONS INC
SEATTLE GENETICS INC
SILICON GRAPHICS INTL
SCHAWK INC
SANGAMO BIOSCIENCES INC
SCIENTIFIC GAMES CORP
SAGENT PHARMACEUTICALS
STONE ENERGY CORP
SYNERGY PHARMACEUTICALS
SHAW GROUP INC
SHENANDOAH TELECOMM CO
SCHIFF NUTRITION INTL
SHUFFLE MASTER INC
SEARS HOLDINGS CORP
SCHULMAN A INC
SHILOH INDUSTRIES INC
SUNSTONE HOTEL INVS INC
MADDEN STEVEN LTD
SHORETEL INC
SAUER-DANFOSS INC
SHERWIN WILLIAMS CO
SIGMA ALDRICH CORP
SIFCO INDS INC
SI FINANCIAL GROUP
SIGNET JEWELERS LTD
SIGA TECHNOLOGIES INC
SELECTIVE INSURANCE GRP
SIGMA DESIGNS INC
SILICON IMAGE INC
SELECT INCOME REIT
SIRIUS XM RADIO INC
SIRONA DENTAL SYS INC
SVB FINANCIAL GROUP
SIX FLAGS ENTMT CORP NE
SOUTH JERSEY INDUSTRIES
Ticker
SD
SE
SEAC
SEB
SEE
SEH
SEIC
SEM
SEMG
SENEA
SF
SFD
SFE
SFG
SFI
SFL
SFLY
SFNC
SFY
SGA
SGEN
SGI
SGK
SGMO
SGMS
SGNT
SGY
SGYP
SHAW
SHEN
SHF
SHFL
SHLD
SHLM
SHLO
SHO
SHOO
SHOR
SHS
SHW
SIAL
SIF
SIFI
SIG
SIGA
SIGI
SIGM
SIMG
SIR
SIRI
SIRO
SIVB
SIX
SJI
Company
SMUCKER J M CO
SJW CORP
SKILLED HEALTHCARE GROU
SAKS INC
TANGER FACTORY OUTLET
SKULLCANDY INC
SKECHERS U S A INC
SKYWEST INC
SILICON LABORATORIES IN
SCHLUMBERGER LTD
U S SILICA HLDGS INC
SARA LEE CORP
SL GREEN REALTY CORP
SILGAN HOLDINGS INC
SOLERA HOLDINGS INC
SLM CORP
SOLAR CAPITAL LTD
SOLTA MEDICAL INC
SALIX PHARMACEUTICALS
SM ENERGY CO
SYMMETRY MEDICAL INC
SMART BALANCE INC
SUPER MICRO COMPUTER IN
SCOTTS MIRACLE-GRO CO
STANDARD MOTOR PRODUCTS
STEIN MART INC
STANDARD MICROSYSTEM
SEMTECH CORP
SANCHEZ ENERGY CORP
SNAP ON INC
INVENTURE FOODS INC
SUN BANCORP INC NJ
SYNCHRONOSS TECHNOLOGY
SANDISK CORP
SENIOR HOUSING PPTYS TR
SUN HYDRAULICS CORP
SCRIPPS NTWK INTERACTIV
SYNOPSYS INC
SUNESIS PHARMACEUTICALS
SYNTA PHARMA CORP
SANTARUS INC
SYNOVUS FINANCIAL CORP
SYNNEX CORP
SOUTHERN CO
SOLUTIA INC
SONOCO PRODUCTS CO
SONIC CORP
SONUS NETWORKS INC
SPARTAN MOTORS INC
SPECTRUM BRANDS HOLDING
STANDARD PACIFIC CORP
SIMON PROPERTY GROUP IN
SPLUNK INC
STAPLES INC
Ticker
SJM
SJW
SKH
SKS
SKT
SKUL
SKX
SKYW
SLAB
SLB
SLCA
SLE
SLG
SLGN
SLH
SLM
SLRC
SLTM
SLXP
SM
SMA
SMBL
SMCI
SMG
SMP
SMRT
SMSC
SMTC
SN
SNA
SNAK
SNBC
SNCR
SNDK
SNH
SNHY
SNI
SNPS
SNSS
SNTA
SNTS
SNV
SNX
SO
SOA
SON
SONC
SONS
SPAR
SPB
SPF
SPG
SPLK
SPLS
63
Company
SUPERIOR ENERGY SERVICE
SPECTRANETICS CORP
SAPIENS INTL CORP N V
SPECTRUM PHARMACEUTICAL
SPIRIT AEROSYSTEMS
SUPPORT.COM INC
SPS COMM INC
SPARTAN STORES INC
SPX CORP
SUNPOWER CORP
SCIQUEST INC NEW
SEQUENOM INC
1ST SOURCE CORP
STERICYCLE INC
SURMODICS INC
SEMPRA ENERGY
SERVICESOURCE INTL LLC
STONERIDGE INC
SRS LABS INC
SUNRISE SENIOR LIVING
SIMPSON MANUFACTURING
STAGE STORES INC
SS&C TECHNOLOGIES HLDGS
SCRIPPS E W CO
SOVRAN SELF STORAGE
STRATASYS INC
STAAR SURGICAL CO
STAG INDL INC
STANDARD PARKING CORP
S & T BANCORP INC
STATE BK FINL CORP
STEWART INFORMATION
STERIS CORP
STEC INC
STEWART ENTERPRISES
STELLARONE CORP
STATE AUTO FINANCIAL
SUNTRUST BANKS INC
ST JUDE MEDICAL INC
STERLING BANCORP
STEEL DYNAMICS INC
STAMPS COM INC
SCORPIO TANKERS INC
STEINER LEISURE LTD
QUESTAR CORP
STRAYER EDUCATION INC
STR HOLDINGS INC
STERLING CONSTRUCTION C
STERLING FINL CORP WASH
STATE STREET CORP
STARWOOD PPTY TRUST INC
CONSTELLATION BRANDS
SUFFOLK BANCORP
SUN COMMUNITIES INC
Ticker
SPN
SPNC
SPNS
SPPI
SPR
SPRT
SPSC
SPTN
SPW
SPWR
SQI
SQNM
SRCE
SRCL
SRDX
SRE
SREV
SRI
SRSL
SRZ
SSD
SSI
SSNC
SSP
SSS
SSYS
STAA
STAG
STAN
STBA
STBZ
STC
STE
STEC
STEI
STEL
STFC
STI
STJ
STL
STLD
STMP
STNG
STNR
STR
STRA
STRI
STRL
STSA
STT
STWD
STZ
SUBK
SUI
Company
SUNOCO INC
SUN HEALTHCARE GROUP IN
SOLAR SENIOR CAP LTD
SUPERIOR INDUSTRIES INT
SUPERNUS PHARMACEUTICAL
SUPERTEX INC
SUREWEST COMMUNICATIONS
SUSQUEHANNA BANCSHARES
SUSSER HOLDINGS CORP
SUPERVALU INC
FIRSTHAND TECH VALUE
STILLWATER MINING CO
SWIFT TRANSN CO
SMITH & WESSON HOLDING
SOLARWINDS INC
STANLEY BLACK & DECKER
SKYWORKS SOLUTIONS INC
SCHWEITZER-MAUDUIT INTL
SOUTHWESTERN ENERGY CO
SWS GROUP INC
SWISHER HYGIENE INC
SOUTHWEST GAS CORP
SAFEWAY INC
SUNCOKE ENERGY INC
SXC HEALTH SOLUTIONS
STANDEX INTERNATIONAL
SENSIENT TECHNOLOGIES
SYMETRA FINANCIAL CORP
S Y BANCORP INC
STRYKER CORP
SYKES ENTERPRISES INC
SYMANTEC CORP
SYMMETRICOM INC
SYNAPTICS INC
SYNACOR INC
SYNTEL INC
SYPRIS SOLUTIONS INC
SYNERGY RES CORP
SYNUTRA INTL INC
SYSTEMAX INC
SYSCO CORP
SOLAZYME INC
AT&T INC
TAHOE RES INC
TAL INTERNATIONAL GROUP
MOLSON COORS BREWING CO
TASER INTL INC
CARROLS RESTAURANT GRP
MEDALLION FINANCIAL COR
TAYLOR CAPITAL GROUP IN
BANCORP INC
TRUEBLUE INC
TERRITORIAL BANCORP INC
TRIANGLE CAPITAL CORP
Ticker
SUN
SUNH
SUNS
SUP
SUPN
SUPX
SURW
SUSQ
SUSS
SVU
SVVC
SWC
SWFT
SWHC
SWI
SWK
SWKS
SWM
SWN
SWS
SWSH
SWX
SWY
SXC
SXCI
SXI
SXT
SYA
SYBT
SYK
SYKE
SYMC
SYMM
SYNA
SYNC
SYNT
SYPR
SYRG
SYUT
SYX
SYY
SZYM
T
TAHO
TAL
TAP
TASR
TAST
TAXI
TAYC
TBBK
TBI
TBNK
TCAP
64
Company
TCF FINANCIAL CORP
TEXAS CAPITAL BANCSHARE
TRICO BANCSHARES
TAUBMAN CENTERS INC
TCP CAP CORP
THL CR INC
TERADATA CORP
TRANSDIGM GROUP INC
TELEPHONE & DATA SYSTEM
TIDEWATER INC
TELEDYNE TECHNOLOGIES
TECO ENERGY INC
TEAVANA HLDGS INC
TECH DATA CORP
TECHNE CORP
INTEGRYS ENERGY GROUP
TENNECO INC
TERADYNE INC
TESCO CORP
TESSCO TECHNOLOGIES INC
TEREX CORP
FRESH MARKET INC
TFS FINL CORP
TELEFLEX INC
TREDEGAR CORP
TGC INDUSTRIES INC
TEXTAINER GROUP HLDGS
TRIUMPH GROUP INC
TARGET CORP
TENET HEALTHCARE CORP
FIRST FINANCIAL CORP
HANOVER INSURANCE GROUP
THRESHOLD PHARMACEUTICA
THOR INDUSTRIES INC
THORATEC CORP
THERMON GROUP HLDGS INC
AMERIGON INC
THERAVANCE INC
TREEHOUSE FOODS INC
TIBCO SOFTWARE INC
TICC CAPITAL CORP
TITANIUM METALS CORP
TIFFANY & CO
HARRIS & HARRIS GROUP
ORCHIDS PAPER PRODS COM
TEAM INC
TITAN MACHINERY INC
TIVO INC
TJX COMPANIES INC
TEEKAY CORP
TIMKEN CO
TELLABS INC
TALBOTS INC
TILLYS INC
Ticker
TCB
TCBI
TCBK
TCO
TCPC
TCRD
TDC
TDG
TDS
TDW
TDY
TE
TEA
TECD
TECH
TEG
TEN
TER
TESO
TESS
TEX
TFM
TFSL
TFX
TG
TGE
TGH
TGI
TGT
THC
THFF
THG
THLD
THO
THOR
THR
THRM
THRX
THS
TIBX
TICC
TIE
TIF
TINY
TIS
TISI
TITN
TIVO
TJX
TK
TKR
TLAB
TLB
TLYS
Company
TEAM HEALTH HOLDINGS IN
TORCHMARK CORP
THERMO FISHER SCIENTIFI
TOMPKINS FINANCIAL CORP
TMS INTL CORP
TELENAV INC
TENNANT CO
TANGOE INC
TEEKAY TANKERS LTD
TNS INC
TOLL BROTHERS INC
TOWNEBANK PORTSMOUTH VA
TOWER INTERNATIONAL INC
TUTOR PERINI CORP
TPC GROUP INC
THOMAS PROPERTIES GROUP
TRIANGLE PETE CORP
TEMPUR PEDIC INTL INC
TRIQUINT SEMICONDUCTOR
TOOTSIE ROLL INDUSTRIES
DEALERTRACK HOLDINGS IN
TEJON RANCH CO
TREE.COM INC
TREX INC
TARGA RESOURCES INC
TARGACEPT INC
THOMSON REUTERS CORP
TRIPADVISOR INC
SPEEDWAY MOTORSPORTS IN
TRUE RELIGION APPAREL
TRIMBLE NAVIGATION LTD
TRUSTMARK CORP
TRINITY INDUSTRIES INC
TERRENO REALTY CORP
TORNIER N V
PRICE T ROWE GROUP INC
TRC COS INC
TRIMAS CORP
TRUSTCO BANK CORP NY
TRAVELERS COS INC
TRW AUTOMOTIVE HLDGS
TRACTOR SUPPLY CO
TESLA MTRS INC
TYSON FOODS INC
TESORO CORP
TRANSCEPT PHARM INC
TESSERA TECHNOLOGIES IN
TRIUS THERAPEUTICS INC
TOTAL SYSTEM SERVICES
TORO CO
TELETECH HOLDINGS INC
TETRA TECH INC
TECHTARGET INC
TETRA TECHNOLOGIES INC
Ticker
TMH
TMK
TMO
TMP
TMS
TNAV
TNC
TNGO
TNK
TNS
TOL
TOWN
TOWR
TPC
TPCG
TPGI
TPLM
TPX
TQNT
TR
TRAK
TRC
TREE
TREX
TRGP
TRGT
TRI
TRIP
TRK
TRLG
TRMB
TRMK
TRN
TRNO
TRNX
TROW
TRR
TRS
TRST
TRV
TRW
TSCO
TSLA
TSN
TSO
TSPT
TSRA
TSRX
TSS
TTC
TTEC
TTEK
TTGT
TTI
65
Company
TTM TECHNOLOGIES INC
TAKE-TWO INTERACTIVE
MAC-GRAY CORP
TUESDAY MORNING CORP
TUMI HLDGS INC
TUPPERWARE BRANDS CORP
LIN TV CORP
TOWERS WATSON & COMPANY
TIME WARNER CABLE INC
TOWERSTREAM CORP
TOWER GROUP INC
TITAN INTERNATIONAL INC
TWIN DISC INC
TWO HBRS INVT CORP
TW TELECOM INC
TIME WARNER INC
TEXAS INDUSTRIES INC
TEXAS INSTRUMENTS INC
TEXAS ROADHOUSE INC
TEXTRON INC
TYCO INTERNATIONAL LTD
TYLER TECHNOLOGIES INC
MONOTYPE IMAGING HLDG
TRAVELZOO INC
UNDER ARMOUR INC
UNIVERSAL TRUCKLOAD SVC
UNITED CONTINENTAL HLDG
UNIVERSAL AMERICAN CORP
UNITED STATES ANTIMONY
URSTADT BIDDLE PPTYS IN
UNITED FINANCIAL BANCOR
UBIQUITI NETWORKS INC
UNION FIRST MARKET BKSH
UNITED BANKSHARES INC
UNITED COMMUNITY BANKS
ULTRA CLEAN HOLDINGS IN
UCTT
UDR INC
UNION DRILLING INC
URANIUM ENERGY CORP
UNIVERSAL ELECTRONICS
UNITED FIRE GROUP INC
UNIFI INC
UNIVERSAL FOREST PRODS
UFP TECHNOLOGIES INC
DOMTAR CORPORATION
UGI CORP
AMERCO
UNIVERSAL HEALTH SVCS
UNIVERSAL HEALTH REALTY
UIL HOLDINGS CORP
UNISYS CORP
ULTA SALON COSMETICS
ULTIMATE SOFTWARE GROUP
Ticker
TTMI
TTWO
TUC
TUES
TUMI
TUP
TVL
TW
TWC
TWER
TWGP
TWI
TWIN
TWO
TWTC
TWX
TXI
TXN
TXRH
TXT
TYC
TYL
TYPE
TZOO
UA
UACL
UAL
UAM
UAMY
UBA
UBNK
UBNT
UBSH
UBSI
UCBI
UCTT
UDR INC
UDR
UDRL
UEC
UEIC
UFCS
UFI
UFPI
UFPT
UFS
UGI
UHAL
UHS
UHT
UIL
UIS
ULTA
ULTI
Company
UMB FINANCIAL CORP
UMH PROPERTIES INC
UMPQUA HOLDINGS CORP
UNIFIRST CORP MASS
UNITED NATURAL FOODS IN
UNITEDHEALTH GROUP INC
UNILIFE CORP NEW
UNUM GROUP
UNION PACIFIC CORP
UNS ENERGY CORPORATION
UNIT CORP
UNITED ONLINE INC
UNWIRED PLANET INC
ULTRA PETROLEUM CORP
UNITED PARCEL SERVICE
URBAN OUTFITTERS INC
UNITED RENTALS INC
URS CORP
URANERZ ENERGY CORP
UNIVERSAL STAINLESS & A
US BANCORP
U S G CORP
UNITED STATES LIME & MI
UNITED STATES CELLULAR
USA MOBILITY INC
USANA HEALTH SCIENCES
U S PHYSICAL THERAPY IN
UNITED STATIONERS INC
ULTRATECH INC
UNITED THERAPEUTICS
UNIVERSAL TECHNICAL INS
UTI WORLDWIDE INC
UNITIL CORP
UTAH MED PRODS INC
UNITED TECHNOLOGIES
UNIVERSAL INSURANCE
UNIVEST CORP OF PENN
UNIVERSAL CORP
VISA INC
MARRIOTT VAC WORLD CORP
VALSPAR CORP
VALUE LINE INC
VARIAN MEDICAL SYSTEMS
VASCULAR SOLUTIONS INC
VISTEON CORP
VIRGINIA COMM BANCORP
VALASSIS COMMUNICATIONS
VALUECLICK INC
VOCERA COMMUNICATIONS
VASCO DATA SECURITY INT
VEECO INSTRUMENTS INC
V F CORP
VONAGE HLDGS CORP
VECTOR GROUP LTD
Ticker
UMBF
UMH
UMPQ
UNF
UNFI
UNH
UNIS
UNM
UNP
UNS
UNT
UNTD
UPIP
UPL
UPS
URBN
URI
URS
URZ
USAP
USB
USG
USLM
USM
USMO
USNA
USPH
USTR
UTEK
UTHR
UTI
UTIW
UTL
UTMD
UTX
UVE
UVSP
UVV
V
VAC
VAL
VALU
VAR
VASC
VC
VCBI
VCI
VCLK
VCRA
VDSI
VECO
VFC
VG
VGR
66
Company
VISTA GOLD CORP
VIRNETX HOLDING CORP
VANGUARD HEALTH SYS INC
VIACOM INC
VIASYSTEMS GROUP INC
VICAL INC
VICOR CORP
VITACOST COM INC
MERIDIAN BIOSCIENCE INC
KNIGHTSBRIDGE TANKERS
VILLAGE SUPER MARKET IN
VALERO ENERGY CORP
VOLTERRA SEMICONDUCTOR
VALLEY NATIONAL BANCORP
VULCAN MATERIALS CO
VIRGIN MEDIA INC
VALMONT INDUSTRIES INC
VMWARE INC
VANDA PHARMACEUTICALS
VORNADO REALTY TRUST
VANTIV INC
VOCUS INC
VOYAGER OIL & GAS INC
VOLCANO CORP
VOXX INTERNATIONAL CORP
VIEWPOINT FINL GROUP
VISHAY PRECISION GROUP
VIROPHARMA INC
VISTAPRINT N V
VENOCO INC
VALIDUS HOLDINGS LTD
VERA BRADLEY INC
VERINT SYS INC
VERISK ANALYTICS INC
VERISIGN INC
VIRTUS INVESTMENT PTNRS
VIRTUSA CORP
VERTEX PHARMACEUTICALS
VIASAT INC
VSE CORP
VISHAY INTERTECHNOLOGY
VITAMIN SHOPPE INC
VERASTEM INC
VANTAGE DRILLING COMPAN
VENTAS INC
VENTRUS BIOSCIENCES INC
VECTREN CORP
VIAD CORP
VIVUS INC
VERIZON COMMUNICATIONS
WABTEC CORP
WESTAMERICA BANCORP
WALTER INV MGMT CORP
WASHINGTON FED INC
Ticker
VGZ
VHC
VHS
VIAB
VIAS
VICL
VICR
VITC
VIVO
VLCCF
VLGEA
VLO
VLTR
VLY
VMC
VMED
VMI
VMW
VNDA
VNO
VNTV
VOCS
VOG
VOLC
VOXX
VPFG
VPG
VPHM
VPRT
VQ
VR
VRA
VRNT
VRSK
VRSN
VRTS
VRTU
VRTX
VSAT
VSEC
VSH
VSI
VSTM
VTG
VTR
VTUS
VVC
VVI
VVUS
VZ
WAB
WABC
WAC
WAFD
Company
WALGREEN CO
WAGEWORKS INC
WESCO AIRCRAFT HLDGS IN
WESTERN ALLIANCE BANCOR
WASHINGTON TRUST BANCOR
WATERS CORP
WABCO HOLDINGS INC
WASHINGTON BANKING CO
WEBMD HEALTH CORP
WEBSTER FINANCIAL CORP
WEBSENSE INC
WEST COAST BANCORP
WESCO INTERNATIONAL INC
WELLCARE GROUP INC
WASTE CONNECTIONS INC
WARNER CHILCOTT PLC
WALKER & DUNLOP INC
WESTERN DIGITAL CORP
WD-40 CO
WADDELL & REED FINANCIA
WISCONSIN ENERGY CORP
THE WENDY'S COMPANY
WERNER ENTERPRISES INC
WISDOMTREE INVTS INC
WEYCO GROUP INC
WELLS FARGO & CO
WESTFIELD FINANCIAL INC
WHOLE FOODS MARKET INC
MEMC ELECTRIC MATERIALS
WILLBROS GROUP INC
WGL HOLDINGS INC
WINNEBAGO INDUSTRIES IN
WESTWOOD HOLDINGS GROUP
WHIRLPOOL CORP
WILSHIRE BANCORP INC
BOINGO WIRELESS INC
WINDSTREAM CORP
WINMARK CORP
ENCORE WIRE CORP
WESTMORELAND COAL CO
WILLIS LEASE FINANCE
WESTLAKE CHEMICAL CORP
WHITING PETROLEUM CORP
WELLPOINT INC
WALTER ENERGY INC
WASTE MGMT INC
WEST MARINE INC
WILLIAMS COMPANIES INC
WESTERN ASSET MTG CAP
WRIGHT MEDICAL GROUP IN
WEIS MARKETS INC
WMS INDUSTRIES INC
WAL MART STORES INC
WABASH NATIONAL CORP
Ticker
WAG
WAGE
WAIR
WAL
WASH
WAT
WBC
WBCO
WBMD
WBS
WBSN
WCBO
WCC
WCG
WCN
WCRX
WD
WDC
WDFC
WDR
WEC
WEN
WERN
WETF
WEYS
WFC
WFD
WFM
WFR
WG
WGL
WGO
WHG
WHR
WIBC
WIFI
WIN
WINA
WIRE
WLB
WLFC
WLK
WLL
WLP
WLT
WM
WMAR
WMB
WMC
WMGI
WMK
WMS
WMT
WNC
67
Company
WESTERN REFINING INC
VCA ANTECH INC
WORTHINGTON INDUSTRIES
WATSON PHARMACEUTICALS
WASHINGTON POST CO
WAUSAU PAPER CORP
WPX ENERGY INC
WESTAR ENERGY INC
BERKLEY W R CORP
WARNACO GROUP INC
WASHINGTON REAL ESTATE
WARREN RESOURCES INC
WEINGARTEN RLTY INVS
WORLD ACCEPTANCE CORP
TELULAR CORP
WESBANCO INC
WATERSTONE FINANCIAL IN
WSFS FINANCIAL CORP
WILLIAMS SONOMA INC
WATSCO INC
WHITESTONE REIT
WEST PHARMACEUTICAL SVC
WESTELL TECHNOLOGIES IN
WEST BANCORPORATION INC
WINTRUST FINANCIAL CORP
W&T OFFSHORE INC
WHITE MTNS INS GROUP LT
AQUA AMERICA INC
WATTS WATER TECH INC
WET SEAL INC
WEIGHT WATCHERS INTL IN
WESTERN UNION CO
WESTWAY GROUP INC
WOODWARD INC
WORLD WRESTLING ENTMNT
WOLVERINE WORLD WIDE
WEB.COM GROUP INC
WRIGHT EXPRESS CORP
WEYERHAEUSER CO
WYNDHAM WORLDWIDE CORP
WYNN RESORTS LTD
UNITED STATES STEEL COR
EXCO RESOURCES INC
CIMAREX ENERGY CO
XCEL ENERGY INC
EXIDE TECHNOLOGIES
XL GROUP PLC
XILINX INC
EXELIS INC
XENOPORT INC
EXXON MOBIL CORP
XOMA CORPORATION
XO GROUP INC
XPO LOGISTICS INC
Ticker
WNR
WOOF
WOR
WPI
WPO
WPP
WPX
WR
WRB
WRC
WRE
WRES
WRI
WRLD
WRLS
WSBC
WSBF
WSFS
WSM
WSO
WSR
WST
WSTL
WTBA
WTFC
WTI
WTM
WTR
WTS
WTSLA
WTW
WU
WWAY
WWD
WWE
WWW
WWWW
WXS
WY
WYN
WYNN
X
XCO
XEC
XEL
XIDE
XL
XLNX
XLS
XNPT
XOM
XOMA
XOXO
XPO
Company
DENTSPLY INTERNATIONAL
XEROX CORP
CROSSTEX ENERGY INC
IXIA
XYLEM INC
ALLEGHANY CORP
YOUNG INNOVATIONS INC
YELP INC
YAHOO INC
YORK WATER COMPANY
YUM! BRANDS INC
ZILLOW INC
ZAGG INC
ZAZA ENERGY CORP
ZEBRA TECHNOLOGIES CORP
ZEP INC
OLYMPIC STEEL INC
ZOGENIX INC
ZYGO CORP
HORSEHEAD HOLDING CORP
ZIONS BANCORPORATION
ZIOPHARM ONCOLOGY INC
ZIPCAR INC
ZIX CORP
ZELTIQ AESTHETICS INC
ZIMMER HOLDINGS INC
ZYNGA INC
ZOLTEK COMPANIES INC
QUIKSILVER INC
ZUMIEZ INC
SEALY CORP
Ticker
XRAY
XRX
XTXI
XXIA
XYL
Y
YDNT
YELP
YHOO
YORW
YUM
Z
ZAGG
ZAZA
ZBRA
ZEP
ZEUS
ZGNX
ZIGO
ZINC
ZION
ZIOP
ZIP
ZIXI
ZLTQ
ZMH
ZNGA
ZOLT
ZQK
ZUMZ
ZZ
68
APPENDIX II
Charts and tables for statistical tests not directly related
69
This appendix contains summaries of miscellaneous tests performed during the process
of examining the sample for its similarity to other works not central to the theme of this paper.
No explanation or introduction is offered for these summaries at this time. All studies included
here used value-weighted portfolio returns in excess of the risk-free rate as a dependent
variable, using either the CAPM or Fama-French three factor model. The model used will be
indicated at the top of each figure. In reading the figures, single factor split quintiles are listed
horizontally by the variable of interest, while two factor split quantiles (25 total portfolios) are
split first by the horizontal variable, then by the vertical (left side of each figure).
Table 7
Dependent variable: Value-weighted excess returns on 5 stock portfolios formed on current ratio
Current ratio quintile
High
Q4
Q3
Q2
Low
Rp - Rf
Distance from mean
Pr(R p - R f )
Sharpe Ratio: R p / σ Rp
0.00910
0.01160
0.00066
0.00316
0.08316
0.00911
0.00652
0.00948 0.0084368
0.00067
-0.00192
0.00104
0.01504
0.02193
0.05974
0.19560
0.16019
0.22620
0.21288
0.17427
0.11932 0.1935335
αp
Pr(α p )
0.00142
0.00457
0.00342
0.00188
0.00140 0.0024516
0.56167
0.00187
0.00433
0.05140
0.78515
βp
Pr(β p )
1.00851
1.07845
0.94562
0.86286
1.14130 0.9690803
< 2e-16
< 2e-16
< 2e-16
< 2e-16
sp
Pr(s p )
hp
Pr(h p )
Adj. R 2
F-stat (3 and 115 df)
Pr.
1.52E-13
Sample
0.03687
0.0053
< 2E-16
0.00595
0.00292
0.00039
-0.00233
2.19E-06
0.00006
0.49586
1.92E-06
-0.00121 -0.0001273
-0.00288
-0.00342
-0.00167
0.00031
0.00802 0.0001421
0.00898
3.97E-07
0.00166
0.46550
0.00056
0.7102
0.7854
144.9
< 2e-16
0.9093
395.2
< 2e-16
0.9128
412.7
< 2e-16
0.9247
483.8
< 2e-16
0.521
43.77
< 2e-16
0.9547
829.8
< 2E-16
0.62699
0.7624
Regression of the Fama-French three factor model, February 2003 to December 2012, 119 months, based on data from
1671 firms
70
Table 8
Dependent variable: Value-weighted excess returns on 5 stock portfolios formed on percent spread
Percent bid-ask spread quintile
High
Q4
Q3
Q2
Low
Rp - Rf
Pr(R p - R f )
Sharpe Ratio: R p / σ Rp
0.01627
0.00786
0.00990
0.00525
0.00974 0.0084368
0.00521
0.15020
0.07562
0.22740
0.00798
0.26097
0.13275
0.16432
0.11123
0.24741 0.1935335
αp
Pr(α p )
0.00783
-0.00033
0.00216
-0.00116
0.00482 0.0024516
0.00908
0.89358
0.39700
0.38400
0.00047
βp
Pr(β p )
1.01817
1.02484
1.19769
1.00673
0.87381 0.9690803
< 2e-16
< 2e-16
< 2e-16
< 2e-16
< 2e-16
sp
Pr(s p )
0.00491
0.00367
0.00088
0.00011
0.00087
0.00277
0.47800
0.85900
hp
Pr(h p )
0.00304
0.00370
0.00021
0.00078
0.02139
0.00093
0.85400
0.18800
0.00238
0.7102
2
0.7409
113.5
< 2e-16
0.8003
158.7
< 2e-16
0.7944
153.0
< 2e-16
0.9088
393.1
< 2e-16
0.866
255.2
< 2e-16
0.9547
829.8
< 2E-16
Adj. R
F-stat (3 and 115 df)
Pr.
Sample
0.03687
0.0053
< 2E-16
-0.00054 -0.0001273
0.40632
0.7624
-0.00184 0.0001421
Regression of the Fama-French three factor model, February 2003 to December 2012, 119 months, based on data from
1671 firms
71
Table 9
Dependent variable: Value-weighted excess returns on 5 stock portfolios formed on profit margin ratio
Profit margin quintile
Low
Q2
Q3
0.0103357
0.00848
0.00702 0.0106419
0.00625 0.0084368
0.12170
0.04600
0.11010
0.01028
0.09277
0.14290
0.18487
0.14758
0.23909
0.15535 0.1935335
αp
Pr(α p )
0.00008
0.00201
0.00037
0.00549
0.00119 0.0024516
0.97192
0.11520
0.75280
0.01270
0.30933
βp
Pr(β p )
1.37800
0.94035
1.00207
0.89728
0.91970 0.9690803
< 2E-16
< 2E-16
< 2E-16
< 2E-16
< 2E-16
sp
Pr(s p )
3.480-3
0.00152
0.00072
-0.00091
0.00321
0.01540
0.20970
0.39190
hp
Pr(h p )
0.00331
0.00083
0.00119
-0.00064
0.00205
0.14320
0.02380
0.50570
0.00058
0.7102
2
0.8754
277.4
< 2E-16
0.9115
406.2
< 2E-16
0.9296
520.3
< 2E-16
0.7247
104.6
< 2E-16
0.9027
365.8
< 2E-16
0.9547
829.8
< 2E-16
Rp - Rf
Pr(R p - R f )
Sharpe Ratio: R p / σ Rp
Adj. R
F-stat (3 and 115 df)
Pr.
Q4
High
Sample
0.03687
0.0053
< 2E-16
-0.00097 -0.0001273
0.09059
0.7624
-0.00183 0.0001421
Regression of the Fama-French three factor model, February 2003 to December 2012, 119 months, based on data from
1671 firms
72
Table 10
Dependent variable: Value-weighted excess returns on 5 stock portfolios formed on return on assets
Return on assets quintile
Low
Rp - Rf
Pr(R p - R f )
Sharpe Ratio: R p / σ Rp
Q2
Q4
High
Sample
0.00887
0.00810
0.00730 0.0084368
0.19940
0.13880
0.03225
0.02744
0.04995
0.11831
0.13663
0.19864
0.20470
0.18157 0.1935335
αp
Pr(α p )
-0.00151
0.00269
0.00260
0.00278
0.00237 0.0024516
0.56399
0.56774
0.01690
0.00578
0.05200
βp
Pr(β p )
1.42695
0.98558
0.94845
0.87968
0.92459 0.9690803
< 2E-16
< 2E-16
< 2E-16
< 2E-16
< 2E-16
sp
Pr(s p )
0.00243
-0.00093
0.00103
0.00040
0.05873
0.68513
0.05050
0.40945
hp
Pr(h p )
0.00424
0.00598
0.00033
-0.00149
0.00037
0.00473
0.49070
0.00094
0.00000
0.7102
2
0.8588
240.3
< 2E-16
0.4766
36.82
< 2E-16
0.9331
549.8
< 2E-16
0.9276
504.7
< 2E-16
0.8956
338.4
< 2E-16
0.9547
829.8
< 2E-16
Adj. R
F-stat (3 and 115 df)
Pr.
0.0088618 0.0095429
Q3
0.03687
0.0053
< 2E-16
-0.00079 -0.0001273
0.18200
0.7624
-0.00306 0.0001421
Regression of the Fama-French three factor model, February 2003 to December 2012, 119 months, based on data from
1671 firms
73
Table 11
Dependent variable: Value-weighted excess returns on 5 stock portfolios formed on long-term debt ratio
Long-term debt ratio quintile
Low
Rp - Rf
Pr(R p - R f )
Sharpe Ratio: R p / σ Rp
Q2
Q4
High
Sample
0.00833
0.00672
0.00874 0.0084368
0.02058
0.02602
0.01893
0.11780
0.23010
0.21516
0.20665
0.21815
0.14445
0.11057 0.1935335
αp
Pr(α p )
0.00504
0.00323
0.00308
0.00052
0.00062 0.0024516
0.04717
0.00597
0.00056
0.65490
0.90255
βp
Pr(β p )
1.09303
0.89723
0.84045
1.02506
< 2E-16
< 2E-16
< 2E-16
< 2E-16
sp
Pr(s p )
0.00376
-0.00084
0.00039
-0.00095
0.00263
0.13870
0.35567
0.09190
0.70034
hp
Pr(h p )
-0.00438
-0.00253
-0.00048
0.00097
0.00694 0.0001421
0.00014
2.49E-06
0.21359
0.06020
0.00253
0.7102
2
0.7754
136.8
< 2E-16
0.8989
350.9
< 2E-16
0.9401
618.6
< 2E-16
0.929
515.6
< 2E-16
0.5208
43.74
< 2E-16
0.9547
829.8
< 2E-16
Adj. R
F-stat (3 and 115 df)
Pr.
0.0122631 0.0080734
Q3
0.03687
0.0053
1.13638 0.9690803
5.13E-14
< 2E-16
-0.00096 -0.0001273
0.7624
Regression of the Fama-French three factor model, February 2003 to December 2012, 119 months, based on data from
1671 firms
74
Table 12
Dependent variable: Value-weighted excess returns on 25 stock portfolios formed on current ratio and market value
=
+
[
]+
+
+
Current quintile
Size quintile
Small
2
3
4
Big
Low
2
3
4
High
Low
Rp - Rf
0.00503
0.01455
0.00715
0.00743
0.00965
0.01642
0.00920
0.00968
0.00795
0.00712
0.00680
0.00515
0.01323
0.00422
0.00739
2
3
0.01685
0.00818
0.01102
0.00753
0.00716
0.00427
0.01438
0.01305
0.01748
0.00792
0.4035
0.0672
0.2279
0.1928
0.2207
0.0564
0.1356
0.0759
0.0840
0.0869
-0.0041
0.0052
-0.0020
-0.0011
0.0016
0.0066
-0.0002
0.0012
0.0007
0.0019
0.0013
-0.0014
0.0071
-0.0021
0.0016
Small
2
3
4
Big
0.8848
0.7434
0.8761
0.9615
1.1871
0.8701
0.8302
1.0075
0.9489
0.9320
0.9208
0.9917
0.9802
1.0270
0.9274
0.0785
0.2288
0.0732
0.1662
0.1956
0.5137
0.0257
0.0396
0.0029
0.1319
0.0054
-0.0030
0.0013
-0.0012
0.0004
-0.0063
0.0039
0.0026
0.0080
0.0008
0.4480
0.2250
0.5590
0.4370
0.8958
0.0179
0.0863
0.2090
0.0000
0.7902
1.0579
0.9991
1.1394
1.0868
1.0946
1.1460
1.1068
1.0448
1.0311
0.9900
< 2E-16 2.70E-06 < 2E-16 1.51E-07
7.42E-06 < 2E-16 < 2E-16 < 2E-16
< 2E-16 < 2E-16 4.74E-10 < 2E-16
< 2E-16 < 2E-16 < 2E-16 < 2E-16
7.17E-12 < 2E-16 < 2E-16 < 2E-16
< 2E-16
< 2E-16
< 2E-16
< 2E-16
< 2E-16
0.1560
0.3852
0.4570
0.6620
0.7806
0.3214
0.9460
0.5505
0.5948
0.3070
βp
Pr(s p )
Small
2
3
4
Big
0.0065
0.0093
0.0064
0.0037
-0.0023
0.0090
0.0084
0.0038
0.0024
-0.0031
-0.0019
-0.0005
-0.0007
-0.0019
-0.0001
Small
2
3
4
Big
0.0088
0.0098
0.0091
0.0079
0.0081
0.0086
0.0087
0.0056
0.0033
0.0023
0.0024
0.0029
0.0018
0.0036
0.0024
0.0099
0.0104
0.0053
0.0041
-0.0024
0.0105
0.0118
0.0130
0.0109
0.0049
9.70E-06
0.00163
1.97E-06
0.00354
0.4204
0.00602 0.00304 0.00499 2.71E-13
1.04E-07 0.60993 3.09E-14 < 2E-16
0.00025
0.788 6.42E-06 < 2E-16
0.00023 0.00245 2.90E-07 < 2E-16
0.00126
0.913 0.11188 0.00077
0.0096
0.0092
0.0051
0.0038
0.0044
0.0000
-0.0013
-0.0013
-0.0025
-0.0032
2.47E-10
0.00029
3.82E-12
1.21E-10
0.00213
0.00379
1.86E-09
8.61E-09
1.59E-07
0.00778
hp
0.4152
0.7622
0.8606
0.9187
0.7937
0.3213
0.4572
0.1920
0.1000
0.2070
Pr(β p )
sp
0.7772
0.4468
0.8051
0.8086
0.4626
0.0881
0.2621
0.0480
0.3466
0.0628
Pr(α p )
Small
2
3
4
Big
Small
2
3
4
Big
High
Pr(R p - R f )
αp
Adj. R
4
Pr(h p )
2
0.8940
0.8446
0.3534
0.9187
0.9090
5.85E-05
0.00043
0.462
5.26E-09
4.19E-05
0.00283 0.9714
1.06E-13 0.1966
1.81E-06
0.156
2.77E-07 0.00147
0.00191 0.01247
F-stat (3 and 115 df)
0.4578
0.8717
0.8622
0.9188
0.6887
0.8446
0.8766
0.8975
0.9094
0.7023
138.20
32.76
163.50
167.20
34.86
28.93
127.10
243.80
445.60
152.40
332.80
214.80
22.49
445.20
393.80
34.21
268.30
247.10
445.80
88.01
214.80
280.50
345.30
395.70
93.81
Regression of the Fama-French three factor model, February 2003 to December 2012, 119 months, based on data from 1671 firms
75
Table 13
Dependent variable: Value-weighted excess returns on 25 stock portfolios formed on return on long-term debt and market
value
=
+
[
]+
+
+
Long-term debt ratio quintile
Low
2
4
High
Low
Rp - Rf
Size quintile
Small
2
3
4
Big
3
0.0146
0.0133
0.0136
0.0111
0.0073
0.0151
0.0123
0.0117
0.0109
0.0074
0.0053
0.0139
0.0050
0.0070
0.0061
2
3
0.0046
0.0035
0.0047
0.0033
0.0023
0.0046
0.0021
0.0024
0.0027
0.0022
0.0162
0.0074
0.0108
0.0078
0.0073
-0.0268
-0.0196
-0.0248
-0.0149
0.0499
0.022
0.019
0.010
0.022
0.039
0.030
0.042
0.036
0.034
0.048
0.0048
-0.0039
0.0010
-0.0008
0.0005
-0.0436
-0.0199
0.0209
-0.0116
0.0943
0.107
0.002
0.000
0.003
0.000
0.207
0.228
0.071
0.059
0.034
βp
1.0161
0.9643
1.0078
1.0201
0.8997
1.0218
0.9855
1.0782
1.0803
0.9214
0.9077
0.9824
0.9585
1.0080
0.9987
Small
2
3
4
Big
0.0101
0.0108
0.0078
0.0049
-0.0011
0.0103
0.0100
0.0068
0.0044
-0.0017
-0.0007
-0.0014
0.0012
0.0016
0.0004
Small
2
3
4
Big
0.0024
0.0015
0.0004
-0.0003
-0.0012
0.0051
0.0053
0.0023
0.0002
0.0003
0.556
0.164
0.153
0.956
0.715
0.481
0.064
0.670
0.593
0.866
0.343
0.683
0.760
0.750
0.433
0.133
0.118
0.458
0.105
0.048
1.6644
1.5899
0.9136
1.3636
4.2420
< 2E-16
< 2E-16
< 2E-16
< 2E-16
< 2E-16
< 2E-16 < 2E-16 4.11E-08
< 2E-16 1.13E-08 < 2E-16
< 2E-16 < 2E-16 < 2E-16
< 2E-16 < 2E-16 < 2E-16
< 2E-16 < 2E-16 < 2E-16
0.0103
0.0102
0.0058
0.0041
-0.0023
0.0118
0.0195
-0.0290
-0.0068
-0.0243
3.3E-11
< 2E-16
< 2E-16
7.1E-16
4.4E-04
4.7E-08
< 2E-16
< 2E-16
5.1E-09
8.5E-04
0.0088
0.0080
0.0054
0.0031
0.0044
-0.0108
0.0154
0.0408
0.0265
0.0297
Pr(s p )
2.2E-03
< 2E-16
2.2E-06
3.0E-07
1.3E-01
5.9E-01
4.4E-01
3.3E-01
6.2E-01
6.1E-01
0.061
0.002 2.87E-09
0.004
0.003 1.21E-10
0.810 5.76E-14
0.383 1.95E-04 2.00E-05 1.41E-06
0.585
0.771
0.001 1.29E-05
6.23E-05
0.538
0.044
0.001
0.566
0.399
0.102
0.062
0.408
hp
0.7344
0.9227
0.9423
0.9220
0.9235
0.553
0.701
0.703
0.727
0.692
1.0579
1.0637
1.1150
1.0911
1.0910
sp
0.8029
0.8604
0.9538
0.9518
0.9677
0.081
0.273
0.082
0.147
0.185
Pr(β p )
Small
2
3
4
Big
Small
2
3
4
Big
0.215
0.048
0.257
0.124
0.161
Pr(α p )
-0.0009
0.0084
-0.0018
-0.0001
-0.0004
3.5E-01
6.3E-01
4.5E-02
6.0E-03
5.0E-01
Pr(h p )
0.0041
-0.0006
0.0024
0.0017
0.0011
Adj. R
High
Pr(R p - R f )
αp
Small
2
3
4
Big
4
2
0.8847
0.2786
0.9216
0.9370
0.9275
F-stat (3 and 115 df)
0.4800
0.9045
0.8525
0.9180
0.6960
0.0471
0.1528
0.0635
0.3967
0.1957
161.20
955.20
812.30
778.30
1181.00
109.70
470.70
642.90
466.10
476.20
302.80
16.19
463.10
585.90
504.30
37.31
373.70
228.30
441.60
91.05
Regression of the Fama-French three factor model, February 2003 to December 2012, 119 months, based on data from 1671 firms
1.66
3.71
1.72
7.36
3.11
76
Table 14
Dependent variable: Value-weighted excess returns on 25 stock portfolios formed on size and book-to-market equity
=
+
[
]+
+
+
Book-to-market equity quintile
Low
2
4
High
Low
-0.0115
0.0184
0.0019
-0.0003
-0.0065
0.0022
0.0003
0.0057
0.0041
0.0165
Rp - Rf
RoA quintile
Small
2
3
4
Big
3
0.0407
0.0175
0.0107
0.0104
0.0098
0.0262
0.0110
0.0105
0.0090
0.0071
0.0096
0.0097
0.0167
0.0018
0.0100
2
3
0.0275
0.0107
0.0058
0.0063
0.0053
0.0169
0.0046
0.0059
0.0044
0.0033
Small
2
3
4
Big
1.8400
1.0047
0.8393
0.8418
0.8809
1.3254
0.9388
0.7955
0.8579
0.8177
0.0011
0.0144
0.0026
0.0122
0.0369
0.0034
0.0041
0.0095
-0.0051
0.0048
0.0083
0.0005
0.0005
0.0021
0.0015
-0.0232
0.0100
-0.0075
-0.0070
-0.0151
1.3824
0.8204
1.0109
0.9608
0.9301
1.4260
1.4451
1.1901
0.9526
1.2114
0.0092
0.0000
0.0036
0.0004
0.0265
0.0029
0.0141
0.0001
0.0029
0.0483
0.0041
0.0005
-0.0005
-0.0010
-0.0020
-0.0070
-0.0015
-0.0007
-0.0050
-0.0045
-0.0014
0.0024
-0.0012
-0.0024
-0.0033
Small
2
3
4
Big
0.3820
0.8204
0.7437
0.7714
0.6732
0.5149
0.8328
0.8159
0.8357
0.7678
0.0798
0.0382
0.0121
0.5729
0.0005
0.2300
0.8720
0.7975
0.2050
0.4610
0.0000
0.6223
0.0535
0.0017
0.0000
Pr(s p )
0.0007
-0.0011
0.0018
0.0118
0.0000
0.0047
0.0005
-0.0023
0.0006
0.0013
0.0065
-0.0023
-0.0005
0.0021
0.0033
0.0612
0.0580
0.9493
0.4157
0.8186
0.1336
0.5684
0.5001
0.1444
0.0128
0.4515
0.2309
0.3151
0.0043
0.9402
0.1630
0.7810
0.0225
0.4760
0.1720
0.0027
0.8152
0.7845
0.0493
0.0064
0.4410
0.0000
0.0019
0.1030
0.8650
0.0217
0.8727
0.0000
0.3894
0.8047
Pr(h p )
0.0016
0.0012
-0.0007
-0.0018
0.0005
Adj. R
0.1563
0.3697
0.7889
0.9516
0.2639
1.01E-09 7.59E-16 < 2E-16 1.06E-11 < 2E-16
< 2E-16 < 2E-16 < 2E-16 3.10E-15 0.00825
< 2E-16 < 2E-16 < 2E-16 < 2E-16 < 2E-16
< 2E-16 < 2E-16 3.60E-05 < 2E-16 < 2E-16
< 2E-16 < 2E-16 < 2E-16 < 2E-16 < 2E-16
hp
Small
2
3
4
Big
0.0428
0.1845
0.1560
0.0535
0.0810
Pr(β p )
0.9174
0.9434
1.0977
1.1848
0.8241
sp
0.0096
0.0018
-0.0001
-0.0007
-0.0003
0.0285
0.0232
0.0049
0.8814
0.0065
Pr(α p )
βp
Small
2
3
4
Big
High
Pr(R p - R f )
0.0188
0.0071
0.0065
0.0085
0.0076
αp
Small
2
3
4
Big
4
0.0023
0.0078
0.0029
0.0012
-0.0001
0.0045
0.0014
0.0125
0.0008
0.0027
0.1270
0.0897
0.0516
0.0000
0.0000
2
0.8072
0.7971
0.6056
0.4919
0.8659
0.5713
0.0042
0.0816
0.0004
0.0000
0.0582
0.1677
0.6632
0.7314
0.4385
F-stat (3 and 115 df)
0.4568 0.7202
0.6128 0.05436
0.8021 0.7276
0.8583 0.7856
0.7977 0.8288
25.31
180.60
115.20
133.80
82.01
42.74
196.90
175.30
201.00
131.00
165.60
155.50
61.39
16.49
254.90
34.07 102.2000
63.26 3.2610
160.40 106.10
239.20 145.10
156.10 191.40
Regression of the Fama-French three factor model, February 2003 to December 2012, 119 months, based on data from 1671 firms
Download