International Combo Model Stock Selection Service

Transcription

1 C olumbine C apital S e r v I c e s, I n c. International Combo Model Stock Selection Service Annotated Presentation 2007

2 Copyright 2007 by Columbine Capital Services, Inc. All rights reserved. Columbine Capital Services, Inc. Two North Cascade Avenue Suite 450 Colorado Springs, CO Telephone: Fax: URL:

3 Notes on Model Results Columbine s models are intended to aid investment professionals familiar with industry practices and statistical tools at the CFA level in screening for stocks demonstrating historically successful measures of value and momentum. The results presented in this document are intended to illustrate the statistical characteristics of those models. These results were achieved by the retroactive application of models that were designed with the benefit of hindsight. When evaluating the performance of such models it is important to consider the following: The results reported here are hypothetical. Unless otherwise noted, they were compiled after the end of the period specified and do not represent decisions made by Columbine Capital Services during that time. As such, these results do not reflect the impact that any material market or economic factors might have had on Columbine's application of these models if they actually had been used to manage client assets during the periods presented here. These results do not represent actual trading using client assets. They should not be considered indicative of the investment skill of Columbine Capital Services, Inc. Columbine has never managed client funds according to the strategies depicted in this document, nor does it offer investment management services based on these strategies to investors. Clients for Columbine's research services actually had investment results that were materially different from the results portrayed here. The performance of past rankings does not assure the profitability or utility of future rankings. Used in isolation, these models could generate frequent relative and absolute losses; annual portfolio turnover could exceed 300%. Concentrations in the stocks of particular economic sectors or industry groups would be common. Unless otherwise noted, all returns are calculated on a time-weighted basis, using monthly valuation, based on equal-weighted deciles and universes. Returns include reinvested dividends (total return) and are presented gross of brokerage commissions, market impact, or other expenses of trading. Subscription fees for Columbine s services are not included in the performance calculations; a client s actual return would be reduced by the incorporation of those fees. The effect of fees and expenses on performance will vary with the relative size of the fee and account performance. For example, assume assets under management of $500 million, and an annual rate of return of 10.0%. The compound effect of an annual subscription fee of $25,000 per year over a ten-year period would reduce that annual rate of return by 0.34 basis points to 9.997%. We base our computations on data from commercial sources that we believe to be reliable, but we cannot guarantee the accuracy of that data. Decile-by-decile results for all Columbine models during the periods reported on here (or for any period) are available on request. A complete history of every ranking made by Columbine Capital Services, Inc. is available for inspection in our offices. Notes on Results ver.03-1.doc 02/13/03

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5 Agenda Introducing Columbine Capital Services Who we are What we do Service overview Model characteristics Coverage & delivery Performance How we can add value in your process Applications for investment decision-support This presentation is broken up into three main sections: Introducing Columbine Who we are and what we do. Why some of the industry s top institutional investors have chosen to work with Columbine. A overview of the service How are the Columbine rankings computed, what can you expect from the stocks ranked buy and sell, and how successful have the Columbine forecasts been? How we can add value in your process Practical applications for the Columbine rankings in support of your investment decision process. International Combo Service 1

6 Who Is Columbine? Independent Research Provider Offices in Colorado Springs, CO Founded in 1976 by John Brush Institutional clientele from US, UK, Canada Employee-owned corporation 3 principals, all 20+ years in industry Support staff of five Objective research Not broker-dealers, do not run money Columbine Capital Services, Inc. is an independent research provider with offices in Colorado Springs, Colorado. Founded in 1976 by the firm's president, John S. Brush, Ph.D., Columbine has been serving the needs of institutional investors since the early days of quantitative investing. Columbine Capital s clients include money managers, investment companies, banks and hedge funds in the United States, Canada, and the United Kingdom. The firm s three principals are: John S. Brush, PhD President Michael Anselmi, PhD Director of Research and Systems David Ament, JD Director of Marketing and Client Service Each of Columbine s principals has more than twenty years of experience in institutional quantitative research. We understand your business and we appreciate your problems. As an entirely employee-owned company we offer you objective analysis, free of extraneous influences. Columbine is not a broker-dealer and it does not engage in any investment banking activities. The firm does not manage money. International Combo Service 2

7 Top-Ranked Research Columbine Capital s rank by Investars.com as of 1-Jan-2007 Period Long Long-Short 4 years 1 st 1 st 3 years 1 st 2 nd 2 years 1 st 2 nd 1 year 1 st 5 th Firms ranking >500 stocks; performance of all stocks covered; S&P 500 benchmark Columbine Capital Services has been recognized by investment professionals as a leader in quantitative equity research for many years. Now, with the rise of independent third-party research tracking firms like Investars, that leadership can be quantified and made concrete. Columbine s equity research truly is top ranked. Every week since January of 2003 Columbine Capital has sent Investars Buy, Sell, or Hold recommendations for all the stocks in our US research coverage universe. These recommendations are driven by our institutional Sector Model, using a simple strategy algorithm to convert our 1 to 10 rankings into specific investment recommendations. Investars time-stamps our ratings and keeps track of the results, measuring the average daily gain/loss on a hypothetical $10,000 investment. The performance of the Columbine portfolios is matched up against that of the other firms submitting their research to Investars, a group that includes both small independent research firms and the major sell-side analyst research. As of the beginning of 2007, Columbine Capital s positive ratings (Buy recommendations) ranked #1 over the prior 4, 3, 2, and 1 years. The long-short portfolio (positive + negative ratings) is #1 at 4 years and has never dropped out of the top 5. These ranks are based on comparisons of Columbine s performance to that of all other firms covering more than 500 stocks. The performance is measured for all stocks covered by each firm, with the positive returns benchmarked against the S&P 500 Index. For more details, visit International Combo Service 3

8 What Columbine Does Search for new sources of alpha Original quantitative research Build alpha-forecasting models Unique, innovative methodology Apply models to rank stocks worldwide Weekly rankings for 28,000+ companies Deliver rankings to subscribers Internet & hard copy reports Work with clients Integrate our rankings into your process All of Columbine s services spring from our extensive R&D. We have been conducting original research into the sources of alpha (active return) for more than two decades. What we learn about alpha sources finds expression in mathematical models, each designed to forecast active return based on different return characteristics, investment styles, and country markets. Every week we gather the latest financial and market data for more than twenty thousand companies worldwide and feed that information into our models. The models output clear, unambiguous rankings (usually 1-10) that summarize each model s forecast of each company s future active return. We deliver the updated rankings from our models to our client firms in the US, the UK, and Canada. Subscribers receive updated rankings electronically and in hard copy reports. Columbine s work doesn t end with data delivery. We work closely with clients to help them integrate our rankings into their own processes. Some of the world s most successful professional money managers support their decision-making process with quantitative equity rankings from Columbine. Our clients include money managers, banks, mutual funds, insurance companies, hedge funds, and plan sponsors. International Combo Service 4

9 International Combo Model Service General purpose multifactor stock selection Country-specific models Combines valuation & momentum inputs Published since 1992 The Combo Model is designed to be a general-purpose stock selection tool. Combo was Columbine s first complete stock selection model; we created the US model in 1985 and began publishing Combo Model rankings in We added International Combo Model rankings in 1992, creating optimized, country-specific versions of the model for markets outside the US. At first we could offer only eight country-specific versions of Combo, but we now have Combo Models for twenty-nine countries around the world. Recognizing the higher level of transactions costs generally experienced outside the US, we optimize each version of the International Combo Model to achieve superior risk-adjusted portfolio return at realistic levels of portfolio turnover. The design process focuses on big-cap, highly-liquid, institutional-grade securities like those that make up the major international indices. Our experience shows that these issues are the most efficiently priced. Any multifactor model that can successfully generate alpha in these securities will have no problem with smaller cap, less efficiently priced companies. International Combo Service 5

10 International Combo Top decile alpha (annualized) Inception thru December 31, 2006 World (ex-us) 11.7% UK 11.9% Japan 12.3% Germany 14.4% France 8.1% Canada 14.7% Published rankings, monthly rebalancing, local currency Total return, no costs, *Country-weighted composite return Here are the results since inception (12/31/91) for the International Combo Model in some of the major markets, and overall results for rankings in all of the Columbine International Institutional Universe stocks. These results are expressed as alpha versus each country s equal-weighted universe. All returns are in local currency, include dividends, and are gross of transactions costs. Results for the World (ex-us) are based on a country-weighted composite of returns from all of the country markets in which we currently compute Combo Model rankings. The composite is a weighted average of the decile and universe returns from every country included, with the weightings based on each country s proportion of the total world market capitalization. Please see the Notes on Model Results. International Combo Service 6

11 Model Creation Process Gradient maximization optimization Iterative, multiperiod portfolio simulations Monthly rebalancing past 10 years Stepwise changes to candidate model Utilizes costs, other constraints Significant advantages Builds in portfolio risk considerations Exploits non-linear factors Unique process yields unique models Annual re-optimization keeps model fresh At Columbine Capital, our principal tool for designing multifactor alphaforecasting models is an optimization technique from the world of operations research called gradient maximization (grad max) 1. This is a search process that iteratively performs thousands of portfolio simulations across years of market data. With each iteration we systematically vary the mix of factors and factor weightings of the candidate stock ranking models in discrete steps, searching for the optimal model for a given investment strategy. The goal (objective function) of our grad max optimization process is to maximize the IR (information ratio) of the held portfolio. Because the simulations can include the effects of transactions costs and other realworld constraints appropriate to the desired investment objective, the resulting model incorporates portfolio risk considerations. Grad max s focus on the held portfolio easily exploits any beneficial non-linearities of the factors. The unique nature of the Columbine process leads to unique models, avoiding the me too nature of so much quant research. Every year we re-optimize the model over the previous ten years of data. 1 For more detailed information on the gradient maximization methodology, we recommend: Brush, J.S., and V.K. Schock "Gradient Maximization: An Integrated Return/Risk Portfolio Construction Procedure." Journal of Portfolio Management, vol. 21, no. 4 (Summer): (Reprints are available from Columbine) International Combo Service 7

12 Country-Specific Analysis Factor-weighting structures optimized for: Australia Austria Belgium Brazil Canada Chile Denmark Finland France Germany Hong Kong Ireland Italy Japan Korea Malaysia Mexico Netherlands New Zealand Norway Pan-European Portugal Singapore South Africa Spain Sweden Switzerland Taiwan Thailand United Kingdom We have optimized the Combo Model to forecast alphas for stocks from each of the twenty-nine international markets listed above, plus a Pan-European version which combines seventeen European markets into one. These country-specific analyses all follow the same overall methodology, but the factor weighting structures have been optimized for the stocks of each individual market. For smaller markets which simply don t have enough historical data to allow us to create a country-specific optimal, we use an Emerging Markets version of the Combo Model. The weighting structure for the Emerging Markets version is, in effect, a global average that seems to work adequately in most countries, even if not optimal for any one market. International Combo Service 8

13 How the Model Works Individual factor rankings Price Momentum Funds Momentum EPS Yield Cash Flow Dividend Yield Book Value Combo Model (Countryoptimal weighting of input factor rankings) Individual Stock Rankings 1= best 10 = worst The International Combo Model synthesizes multiple factors and categories of return characteristics into comprehensive forecasts of future alpha from all sources. The general form of the model for each country is a linear equation of k terms: r = B 1 f 1 + B 2 f B k f k where r is a measure of expected return for a stock, and B is the sensitivity of the future return measure to the value of its corresponding factor f. Because of the limitations of international financial reporting practices, several of the factors utilized in the domestic Columbine models are unavailable outside the U.S. We utilize the six individual alpha sources (or factors) listed above in creating our models. Each country market has a different recipe of these six factors, and not every factor is used in every country. The factor recipes for each country s Combo Model are not static. We re-optimize each country-model s factor weighting structure annually using our Gradient Maximization technology. The sample period for for each year s re-optimization is the most recent ten years of historical data. International Combo Service 9

14 The Coverage C You Need Columbine Total International Universe: ±23,000 issues Source: Worldscope database More than 45 country markets Rankings scaled to realistic investable universe in each country market Benchmark: Dow Jones World Index: 4,500 issues Insures that each ranking always includes good selection of big-cap, liquid securities We apply the International Combo Models to the stocks of our Columbine Total International Universe. This list of around 23,000 securities is drawn from the Thomson/Worldscope Fundamentals database and includes more than 45 country markets. Even though we rank thousands of companies, we recognize that institutional investors often face severe constraints on the number of firms that meet their criteria for size, liquidity, etc. To help deal with this problem the Columbine rankings for each country market are benchmarked to that country s institutional investable universe. We consider that the component stocks of the Dow Jones World Index for a particular country are a good proxy for that country s investable universe. Within each market we first evaluate and rank those issues, and then scale the rankings of smaller stocks in that market to those institutional issues. This insures that the group of stocks ranked as buys by the Combo Model in any country will always include a large selection of big-cap, liquid securities that are suitable for institutional investment. We also utilize the Dow Jones World Index (ex-us) as the coverage list for our standard hard copy Research Book weekly report of the International Combo Service s current rankings. International Combo Service 10

15 Updates & Delivery Model rankings updated weekly Data as of Friday close Updated rankings available Sunday AM Delivery options Electronic data files Download from Columbine Web Site Automatic delivery via or FTP FactSet Data System Hard copy Columbine Research Book We compute the International Combo Service rankings every weekend based on Friday closing prices and fundamentals. Updated ranking data typically are available on Sunday morning. (If you re ever in doubt about the currency of our information, check the Update Status display box on the Columbine web site which reports the date of the last ranking update.) International Combo Service rankings are available electronically through the Internet as data files that can be loaded into Excel, Access, or other applications on your system. We can automatically deliver your data files each weekend via E- mail or FTP, or you can download files yourself from a password-protected client page on Columbine's web site. The web site delivery option is particularly useful for clients who often work from home or while traveling. Columbine subscribers who are FactSet users can access International Combo Model rankings through the Universal Screening and Data Downloading menus. If you prefer paper to electronic information we can send you hard copy Research Book reports of the International Combo Service rankings via overnight express for delivery on Tuesday. These Research Book reports also are available as PDF files for electronic delivery over the weekend. International Combo Service 11

16 Easy to Interpret Average alpha (annualized) by International Combo Model rank Rank: % 2 7.7% % 3.2% -1.2% -1.3% -2.9% -3.1% % -8.2% Test universe: Columbine Historical International Database; test period: Country-weighted World composite. Model version: month holding. No costs It s easy to interpret and use the International Combo Model rankings: the lower the ranking number the greater a stock s expected alpha. The cross-over point between positive and negative expected alpha falls in the middle ranks, and the higher ranks produce the largest negative alphas. The chart above sets out the alphas (annualized) associated with each rank of the current version of the International Combo Model over a ten year test period relative to the Columbine Historical International Database. The chart s results are based on one-month holding periods and are reported gross of transactions costs. Returns are based on a country-weighted composite of returns from all of the country markets for which we currently offer country-specific versions of the International Combo Model rankings. The composite is a weighted average of the ranking and universe returns (equal-weighted) from every country included, with the weightings based on each country s proportion of the total world market capitalization, excluding the US. Although there is an average alpha value associated with every model ranking, for most portfolio managers it is more practical to view the Columbine model rankings as relative probability statements. From this perspective higher ranked issues (1 is best) are more likely to produce positive alphas than lower ranked issues. That is, a 2 is more likely to produce alpha than is a 3, a three is more likely than a 4, and so on. By consistently constructing portfolios with issues exhibiting a higher probability of generating positive alpha you increase the likelihood that the portfolio as a whole will succeed in doing so. International Combo Service 12

17 Long-Term Utilitytility International Combo Service Average alpha (buy-and-hold) 30% 20% 10% Ranked 1 0% -10% -20% Ranked Holding period (months) Test universe: Columbine Historical International Database; Test period: Country-weighted World composite. Model version: No costs Long-term predictive ability is vital if model rankings are to be useful in institutional portfolio strategies. Stocks identified as buys (ranked 1) and sells (ranked 10) by the International Combo Model tend to generate significant alphas for as long as three years. It is this ability to identify stocks that keep generating alpha month-after-month, year-after-year, that gives the model its utility in institutional portfolio management. The chart above sets out the alphas (un-annualized) associated with stocks ranked 1 and 10 by the current version of the International Combo Model. Results are shown for holding periods of 1, 3, 6, 12, 24, and 36 months over a ten year test period relative to the Columbine Historical International Database. These results are based on a country-weighted composite of returns from all of the country markets for which we currently offer a country-specific version of the International Combo Model. The composite is a weighted average of the ranking and universe returns (equal-weighted) from every country included, with the weightings based on each country s proportion of the total world market capitalization, excluding the US. Combo s long-term predictive power lets it add value even in low turnover, long holding period strategies. International Combo Service 13

18 15 Year Track Record Combo World (ex-us) top decile alpha Through December 31, % 11.7% 12.0% 12.3% 6.0% 4.5% 8.6%8.4% 8.1% 8.7% 6.6% 1.6% 0.3% -0.8% -3.7% '92 '93 '94 '95 '96 '97 '98 '99 '00 '01 '02 '03 '04 '05 '06 Published rankings in the Columbine Total International Universe Country-weighted World composite, monthly rebalancing, no costs The bars in the chart above represent the annual alphas of stocks the model ranked 1 ( buys ). These results are based on monthly rebalancing, and are gross of transactions costs. We introduced the Columbine International Combo Model in 19992, and the results shown are based on out-of-sample, published rankings. Results for rankings of stocks from the Columbine Total International are based on a country-weighted composite of returns from all of the country markets in which we currently compute Combo Model rankings. The ranking and universe composites are a weighted average of the equal-weighted returns from every country included, with the weightings based on each country s proportion of the total world market capitalization, excluding the US. The Combo Model varies in its effectiveness from year-to-year, just as any other quantitative tool, but the model s only significant failure was in 1999 when the tech stock bubble radically inverted the returns to all traditional valuation measures worldwide including many of the International Combo Model s input factors. Please see the Notes on Model Results. International Combo Service 14

19 Applications Generate buy ideas Stocks ranked 1 (top 10%) are buys Analyze your own buy candidates Sell discipline Stocks ranked 10 are absolute sells Create your own optimal sell strategy Alpha estimate for optimizer Additional signal for your own model Foundation of stock selection system Here are some of the ways our clients apply the rankings from Columbine s International Combo Service. Many managers use the rankings simply as a source of new buy ideas. Issues ranked 1 are current buys. Starting your own analysis with a short list of highpotential issues saves time and can improve your portfolio s return. Let the model s rankings act as an objective, unambiguous sounding board for analyzing buy candidates suggested by other research. If a candidate is poorly ranked by our model, you may want to re-examine the original rationale behind its purchase. Setting up an effective sell discipline can be just as valuable as finding strong stocks to buy. Always sell stocks ranked 10 (10th decile); the future prospects for these issues are uniformly bad. We can help you determine optimal sell trigger points for a particular client or product that maximize return without exceeding the appropriate turnover level. Firms taking a more quantitative approach often use Columbine model rankings as a source of alpha forecasts for input into a portfolio optimizer, or as an additional signal input for their own alpha forecasting model. Rankings from one or more of our models can provide the foundation for the entire stock selection function in your equity management process. International Combo Service 15

20 International Combo Service Summary Multifactor alpha forecasting model Country-specific analysis Rankings updated weekly Variety of delivery options Unique, innovative modeling methodology Incorporates real world transaction costs Factor weightings re-optimized annually 14 year track record introduced in 1992 Wide variety of application strategies In summary, Columbine Capital s International Combo Model Service is based on a multifactor stock selection model that is designed to forecast individual stock alphas from non-us stocks as far out as three years in the future. The model applies country-optimal factor weighting structures to analyze the stocks of twenty-nine major markets, and an emerging markets structure for smaller countries. Clients receive weekly stock rankings from the Combo Model, delivered electronically and in hard copy. The innovative gradient maximization process that we use to create the International Combo Model is unique in its focus on the held portfolio and in its ability to incorporate transactions costs and other real world constraints directly into the model creation process. We re-optimize the International Combo Model weighting structures annually to keep the model current. The International Combo Model Service has a long track record of investment success. We first introduced the International Combo Model in 1992, so it has more than 14 years of published rankings longer than some services backtests! Clients make use of the International Combo Model Service rankings in a wide variety of ways, ranging from simply using it as a source of buy ideas to making it the foundation of their entire stock selection system. International Combo Service 16

21 A Manager s s Resource Save time Spend your own analysis more profitably Save resources Creating your own systems = $$$$ Improve return Proven forecasting ability Here are some of the ways the Columbine International Combo Service can help you: Save time Use the model to screen a large universe of stocks down to a smaller list of strong buy candidates. This lets you spend your time and analytical talents on choosing among those issues that have already been determined to be attractive. Save resources Many of our clients could create international forecasting models of their own; some already had done so when they hired us. But building models that can approach the long-term predictive power and stability of the International Combo Service requires an expenditure of resources greatly in excess of the service s annual subscription cost. The make vs. buy decision is clear. Improve return In the highly competitive business of investment management small differences in return can have big payoffs. With the International Combo Service you have a set of country-specific, state-of-the art, active return forecasting tools that are continuously updated and improved to keep them adding maximum value in your portfolios. International Combo Service 17

22 World (ex-us) Composite -- International Combo Model Results through: December, 2006 DJ World (ex-us) Index Stocks Model description: Country-weighted composite of Combo Model decile returns from all component country markets of the Dow Jones World (ex-us) Index Total return in local currency, monthly rebalanced, gross of transactions costs Absolute returns Annualized historical statistical characteristics: 1971-date Month of December, 2006 Decile alpha beta sigma Sharpe R 2 Track Error Top decile 4.0% Top Bottom decile 3.4% Bottom Universe 4.1% Cumulative Monthly Active Return vs. World Composite Stocks Top decile: % annually Bottom decile: -7.60% annually Return (ln) '97 '98 '99 '00 '01 '02 '03 '04 '05 '06 Annual Active Return vs World Composite Stocks (eql-wtd) Decile '97 '98 '99 '00 '01 '02 '03 '04 '05 '06 Top 15.9% 16.4% 10.1% 24.2% 5.6% 12.3% 11.2% 6.3% 6.6% 3.1% Bottom -10.9% -4.5% -1.3% -17.2% -14.6% -22.7% 11.4% -4.7% -2.4% -4.6% Annual Top-Bottom Decile Spread Return (eql-wtd) Spread 29.6% 21.3% 11.3% 47.1% 21.4% 43.0% -0.5% 11.4% 9.2% 8.0% N.B., Spread figures are computed by linking monthly top-bottom spread returns Compounded Decile Active Return vs World Composite Stocks through December, 2006 Decile Month 3-mon YTD 1 yr 3 yrs* 5 yrs* 10 yrs* Incep* Top -0.1% 1.4% 3.1% 3.1% 5.4% 7.9% 11.0% 11.7% Bottom -0.7% -0.5% -4.6% -4.6% -3.9% -5.3% -7.6% -7.9% Compounded Top-Bottom Decile Spread Return through December, 2006 Spread 0.6% 1.9% 8.0% 8.0% 9.5% 13.3% 19.3% 20.6% * Annualized RoR; Incep date: 12/31/89 The results reported here are hypothetical. These results do not represent actual trading using client assets. The performance of past rankings does not assure the profitability of future rankings. Copyright, 2007 Columbine Capital Services, Inc. See the Notes on Model Results. Not for general distribution.

23 International Combo Model -- World (ex-us) Composite DJ World (ex-us) Index Stocks Results through: December, 2006 Top- and Bottom-Decile Active Return and Spread Return Local currency results in the DJ World (ex-us) Index stocks, monthly rebalanced, gross of transactions costs Shading: 95th to 5th percentile range; Error bars = 1 standard deviation Current Mean Latest Month Year-to-Date Trailing-12 Months 6% 50% 50% 5% 4% 3% 2% 1% 0% -1% -2% -3% -4% Top Bottom Spread 40% 30% 20% 10% 0% -10% -20% -30% Top Bottom Spread 40% 30% 20% 10% 0% -10% -20% -30% Top Bottom Spread Top Bottom Spread Top Bottom Spread Top Bottom Spread Current -0.09% -0.67% 0.58% Current 3.13% -4.64% 7.98% Current 3.13% -4.64% 7.98% Pctile Pctile #N/A 24 6 Pctile Sigmas Sigmas Sigmas Current: Current period return value Pctile: Percentile rank of current value in historical series (100 = best) Sigmas: Difference of current value from historical mean in standard deviations Historical Return Series: January, 1990 through December, 2006 Monthly series Calendar year series Trailing-12 month series Top Bottom Spread Top Bottom Spread Top Bottom Spread Best 6.0% -6.3% 10.4% Best 24.2% -22.7% 47.1% Best 24.2% -28.9% 62.4% 95th 2.7% -3.2% 5.2% 95th 19.4% -18.5% 44.0% 95th 21.4% -20.8% 45.9% Mean 0.9% -0.7% 1.6% Mean 12.3% -7.8% 22.0% Mean 12.0% -7.6% 21.5% 5th -0.8% 1.8% -1.5% 5th 6.2% 1.9% 6.8% 5th 5.4% 4.1% 2.9% Worst -1.8% 5.1% -6.6% Worst 5.6% 11.4% -0.5% Worst 1.9% 17.8% -6.9% Std Dev 1.1% 1.6% 2.3% Std Dev 4.7% 7.6% 11.9% Std Dev 4.5% 7.4% 12.0% Hit Rate 83.8% 74.5% 82.8% Hit Rate 100.0% 93.8% 93.8% Hit Rate 100.0% 92.2% 97.4% t -stat t -stat t -stat Best: Best value observed in historical series 95th: 95th percentile value in historical series Mean: Mean value of historical series 5th: 5th percentile value in historical series Worst: Worst value observed in historical series Std Dev: Standard deviation of historical series Hit Rate: Percentage of periods with correct results t-stat: t-statistic of historical mean Copyright, 2007 Columbine Capital Services, Inc. See the Notes on Model Results. Not for general distribution.

24 International Combo Service - YTD Columbine Capital Services, Inc. Summary Year-To-Date Results through December, 2006 Dow Jones World Index Stocks Absolute total return (dividends re-invested), in % points, gross of transactions costs or fees. All returns in local currency. Total Number of Issues: 4531 Top Bottom Eql-Wtd Country Region/Country Decile Decile Universe Index Index/Composite World (ex-us) World Developed (ex-us) World Emerging World (ex-us) Composite Regional Composite Regional Composite Americas (ex-us) Brazil Canada Chile Mexico Asia/Pacific Australia Hong Kong Japan Korea Malyasia New Zealand Singapore Taiwan Thailand Europe Austria Belgium Denmark Finland France Germany Ireland Italy Netherlands Norway Portugal Spain Sweden Switzerland United Kingdom Regional Composite Dow Jones Brazil Dow Jones Canada Dow Jones Chile Dow Jones Mexico Regional Composite Dow Jones Australia Dow Jones Hong Kong Dow Jones Japan Dow Jones Korea Dow Jones Malyasia Dow Jones New Zealand Dow Jones Singapore Dow Jones Taiwan Dow Jones Thailand Regional Composite Dow Jones Austria Dow Jones Belgium Dow Jones Denmark Dow Jones Finland Dow Jones France Dow Jones Germany Dow Jones Ireland Dow Jones Italy Dow Jones Netherlands Dow Jones Norway Dow Jones Portugal Dow Jones Spain Dow Jones Sweden Dow Jones Switzerland Dow Jones United Kingdom Pan European Regional Composite South Africa Dow Jones South Africa The results reported here are hypothetical; they do not represent actual trading using client assets. The performance of past rankings does not assure the profitablility of future rankings. Copyright, 2005 Columbine Capital Services, Inc. International YTD Summary Combo Service Thursday, January 04, 2007

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26 Two North Cascade Avenue Suite 450 Colorado Springs, CO Phone: Fax: Web: