The Global Industry Classification Standard (GICS) SM

Transcription

1 July 22, 2002 Standard & Poor's Quantitative Services Maureen Maitland (212) dpoors.com David M. Blitzer (212) s.com Information Services (212) ors.com The Global Classification Standard (GICS) SM An Overview for Standard & Poor s U.S. Sector Indices G The Global Classification Standard (GICS) SM is the exclusive industry classification structure used for Standard & Poor's U.S. industry index calculations. G On December 31, 2001, Standard & Poor's discontinued the use of the its old industry classification methodology for the purpose of U.S. industry index calculations. G While the old classification system and GICS sector indices have distinct differences, they also have some significant common characteristics. G We present the structure of the GICS system and show similar statistical characteristics of the old sector indices and GICS sector indices. G Market participants who use Standard & Poor's U.S. GICS indices for historical returns may choose to use this analysis to create a continuous time series of index returns, with history that extends prior to the official GICS index history. G We show the correlation of historical returns between industry index returns of the two classification systems, and overlap of market capitalization and number of companies at the date when the old industry indices were discontinued. G The analysis presented here is illustrative and should not be construed as Standard & Poor's recommendation for mapping of the two different industries return series. Users should exercise judgment depending upon their situational requirements. Standard & Poor s

2 A GICS Overview for Standard & Poor's U.S. Indices Introduction On January 2nd, 2001, Standard & Poor s officially released GICS (Global Classification Standard) sector, industry group, industry, and sub-industry level price indices for all Standard & Poor s U.S. indices the S&P 500, the S&P MidCap 400, the S&P SmallCap 600 and the S&P SuperComposite Total return index values were also released for the GICS-level S&P 500, S&P MidCap 400, and S&P SmallCap 600 sub-indices. All sector and industry indices under Standard & Poor's old industry classification system were discontinued effective December 31st, At that time, GICS became the only industry classification system managed and maintained at Standard & Poor's for U.S. index calculation purposes. What Is GICS? GICS is an industry classification system, developed by Standard & Poor's in collaboration with Morgan Stanley Capital International (MSCI). GICS is currently comprised of: G 10 Sectors G 23 Groups G 59 Industries G 122 Sub-Industries A company is assigned to a single GICS sub-industry according to the definition of its principal business activity as determined by Standard & Poor's and MSCI. Revenues are a significant factor in defining principal business activity; however, earnings analysis and market perception are also important criteria for classification. GICS was developed in response to the financial community s need for one complete, consistent set of global sector and industry definitions. The GICS standard can be applied to companies globally, in both developed and developing markets, and currently comprises a universe of over 25,000 companies worldwide. See Appendix D for a table detailing the current GICS structure. GICS Classification Methodology and Maintenance A company is assigned a classification at each of the four levels of GICS; however, a company may only belong to one group at any level. The classification is generally determined by the business activity that generates a majority of the company s revenues and/or earnings. For those companies that are engaged in more than one substantially different business activity the Standard & Poor s Page 2

3 A GICS Overview for Standard & Poor's U.S. Indices company is classified where the majority of revenues and profits are derived or, if no majority, the sub-industry that best reflects the company s principal business. Companies whose business activities are dispersed across three or more sectors will be classified in Industrial Conglomerates or Multi-Sector Holdings. Standard & Poor s and MSCI must agree on the current company classification for it to be labeled as officially classified under the GICS structure. A company s industry classification is reviewed upon significant corporate events or when new information is made publicly available. Standard & Poor s and MSCI meet annually to review the overall structure of the GICS system. This will keep the structure up to date with industry trends. U.S. Sector Indices The GICS Structure Vs. S&P s Classification System For Standard & Poor's U.S. sub-indices, all GICS sector, industry group, industry, and sub-industry indices have been calculated with a common base of 100 at a start date of December 31st, In those cases when the first date of the index is subsequent to this date the index assumes a value of 100 on its start date. Standard & Poor s old classification methodology had two levels of detail economic sectors and 115 industry groups. As stated above, the GICS structure currently has four levels of detail sectors, 23 industry groups, 59 industries, and 122 sub-industries. At the sector level, transportation has been eliminated as an individual GICS sector, but is represented by a GICS industry group. In the last decade alone, the transportation sector had shrunken from 2% to ½% of the S&P 500. Under GICS, transportation related industries are included in the GICS Industrials sector. The GICS Industrials sector -- comprised largely of the old capital goods and transportation sectors -- should not be confused with the S&P Industrials Composite (the S&P 500 excluding transportation, financials, and utilities). The GICS Industrials sector is one of the 10 economic sectors that are part of this new standard. Standard & Poor's continues to calculate values for the S&P Industrials Composite ; however, this is a stand-alone index and not a part of the GICS structure. For more detail on specific differences between S&P GICS indices and S&P old industry indices refer to Appendix E. Extension Of U.S. GICS History In the summer of 2001, Standard & Poor's conducted an analysis of the S&P 500 industry index constituents and price returns history for the time period covering December 1994 through September At that time, Standard & Poor s Page 3

4 A GICS Overview for Standard & Poor's U.S. Indices Standard & Poor's concluded that index histories for 58 of the, then, 123 GICS sub-industries and the ten GICS economic sectors had high correlation and market capitalization overlap with the corresponding industry or sector under the old industry classification system. Standard & Poor's clients found this information useful, since S&P GICS index history often does not contain as much history as some of the corresponding old industry indices. Standard & Poor's has extended this analysis to cover the additional history it has since generated for the S&P 500 GICS indices now extending back to September 1989 and to include the S&P MidCap 400 and the S&P SmallCap 600 GICS sub-indices for the time periods they exist. Aligning of S&P Sector Returns with GICS Sector Returns Merging two distinct industry return series can depend on two factors. First, correlations provide a quantitative judgement on whether the two return series are distinct or not. Second, the overlap of the constituents of the two different industry indices can be used to provide subjective judgement. These two variables must be used in conjunction. Correlations Appendix A1 shows the correlation of price returns of old sector indices, old composite indices and old industry indices with related GICS indices for the S&P 500. GICS sector indices are mapped into old sector indices, while GICS sub-industry indices are mapped into old industry indices. Appendixes B1 and C1 show similar information for the S&P MidCap 400 and the S&P SmallCap 600 indices, respectively. We also show a statistical test of significance for the correlation coefficient. The test: For n observations and an observed correlation coefficient of r, t = r (n-2) (1 - r 2 ) Degrees of freedom = n-2 At a 99% degree of significance, most of our chosen pairs reject the null hypothesis of the two return series having no correlation. Overlap Of Composition Appendix A2 shows the composition of the companies in each S&P GICS index as represented by percent of market capitalization and number of Standard & Poor s Page 4

5 A GICS Overview for Standard & Poor's U.S. Indices companies in the corresponding old index, and the composition of the companies in each old index as represented by percent of market capitalization and number of companies in the corresponding GICS index, for the S&P 500 industry indices. Appendices B2 and C2 show similar information for the S&P MidCap 400 and the S&P SmallCap 600 indices, respectively. The information on the number of matching companies and market capitalization shown is as of December 31, As discussed, this is the date when the old industry indices were discontinued. This analysis is illustrative only. Users may wish to perform this analysis at multiple periods in time, depending upon their specific situations. Services clients may be able to get the old industry index composition and GICS index compositions by contacting their account representative or the client services number listed at the front of this document. Conclusion The purpose of this analysis is to give Standard & Poor's index clients additional information for potentially supplementing historic GICS indices with old indices. While indices with high correlations and high overlap of constituents are good candidates for merging of index histories; users, depending upon situational requirements, should determine specific ranges for either variable. Standard & Poor s Page 5

6 Appendix A1 S&P 500 GICS Sector Indices Versus Sector Indices, Correlation Summary code S&P Correlation Statistically Significant at 99%? 10 ENERGY 935 ENERGY 100.0% yes MATERIALS 970 BASIC MATERIALS 99.0% yes INDUSTRIALS 925 CAPITAL GOODS 100.0% yes CONSUMER DISCRETIONARY 976 CONSUMER CYCLICALS 99.0% yes CONSUMER STAPLES 978 CONSUMER STAPLES 98.0% yes HEALTH CARE 905 HEALTH CARE 100.0% yes FINANCIALS 800 FINANCIALS 100.0% yes INFORMATION TECHNOLOGY 940 TECHNOLOGY 100.0% yes TELECOM SERVICES 974 COMMUNICATION SERVICES 100.0% yes UTILITIES 700 UTILITIES 99.0% yes 132 Monthly Observations S&P 500 GICS Indices Versus Composite Indices, Correlation Summary code S&P Correlation Statistically Significant at 99%? 4010 BANKS, Group 920 BANK COMPOSITE 100.0% yes CHEMICALS, 901 CHEMICAL COMPOSITE 100.0% yes INSURANCE, Group 923 INSURANCE COMPOSITE 99.7% yes INTEGRATED OIL & GAS, Sub- 910 OIL COMPOSITE 100.0% yes PHARMACEUTICALS, 913 PHARMACEUTICAL COMPOSITE 100.0% yes RETAILING, Group 915 RETAIL COMPOSITE 99.7% yes TRANSPORTATION, Group 600 TRANSPORTATION INDEX 100.0% yes 132 Monthly Observations S&P 500 GICS Sub- Indices Versus Indices, Correlation Summary code S&P Correlation Statistically Significant at 99%? OIL & GAS DRILLING 395 OIL & GAS (DRILLING & EQUIPMENT) 96.0% yes OIL & GAS EQUIPMENT & SERVICES 395 OIL & GAS (DRILLING & EQUIPMENT) 100.0% yes INTEGRATED OIL & GAS 390 OIL (INTERNATIONAL INTEGRATED) 100.0% yes OIL & GAS EXPLORATION & PRODUCTION 380 OIL & GAS (EXPLORATION & PRODUCTION) 99.0% yes OIL & GAS REFINING & MARKETING 382 OIL & GAS (REFINING & MARKETING) 98.0% yes DIVERSIFIED CHEMICALS 160 CHEMICALS 100.0% yes INDUSTRIAL GASES 160 CHEMICALS 93.0% yes SPECIALTY CHEMICALS 167 CHEMICALS (SPECIALTY) 94.0% yes CONSTRUCTION MATERIALS 202 CONSTRUCTION (CEMENT & AGGREGATES) 100.0% yes METAL & GLASS CONTAINERS 205 CONTAINERS (METAL & GLASS) 100.0% yes PAPER PACKAGING 210 CONTAINERS & PACKAGING (PAPER) 78.0% yes ALUMINUM 115 ALUMINUM 100.0% yes DIVERSIFIED METALS & MINING 360 METALS MINING 98.0% yes GOLD 265 GOLD & PRECIOUS METALS MINING 100.0% yes STEEL 460 IRON & STEEL 100.0% yes FOREST PRODUCTS 400 PAPER & FOREST PRODUCTS 90.0% yes PAPER PRODUCTS 400 PAPER & FOREST PRODUCTS 98.0% yes 132 Monthly Observations Standard & Poor s Page 6

7 Appendix A1 (cont d) S&P 500 GICS Sub- Indices Versus Indices, Correlation Summary (cont'd) code S&P Correlation Statistically Significant at 99%? AEROSPACE & DEFENSE 110 AEROSPACE/DEFENSE 97.0% yes BUILDING PRODUCTS 155 BUILDING MATERIALS 99.0% yes CONSTRUCTION & ENGINEERING 240 ENGINEERING & CONSTRUCTION 99.0% yes ELECTRICAL COMPONENTS & EQUIPMENT 220 ELECTRICAL EQUIPMENT 98.0% yes INDUSTRIAL CONGLOMERATES 355 MANUFACTURING (DIVERSIFIED) 97.0% yes CONSTRUCTION & FARM MACHINERY 345 MACHINERY (DIVERSIFIED) 99.0% yes INDUSTRIAL MACHINERY 355 MANUFACTURING (DIVERSIFIED) 94.0% yes COMMERCIAL PRINTING 458 SPECIALTY PRINTING 98.0% yes DATA PROCESSING SERVICES 453 SERVICES (DATA PROCESSING) 100.0% yes DIVERSIFIED COMMERCIAL SERVICES 175 SERVICES (COMMERCIAL & CONSUMER) 82.0% yes EMPLOYMENT SERVICES 457 SERVICES (EMPLOYMENT) 100.0% yes ENVIRONMENTAL SERVICES 405 WASTE MANAGEMENT 100.0% yes OFFICE SERVICES & SUPPLIES 370 OFFICE EQUIPMENT & SUPPLIES 99.0% yes AIR FREIGHT & COURIERS 620 AIR FREIGHT 100.0% yes AIRLINES 605 AIRLINES 100.0% yes RAILROADS 610 RAILROADS 100.0% yes TRUCKING 615 TRUCKERS 100.0% yes AUTO PARTS & EQUIPMENT 130 AUTO PARTS & EQUIPMENT 97.0% yes TIRES & RUBBER 130 AUTO PARTS & EQUIPMENT 88.0% yes AUTOMOBILE MANUFACTURERS 120 AUTOMOBILES 100.0% yes MOTORCYCLE MANUFACTURERS 475 LEISURE TIME (PRODUCTS) 85.0% yes HOME FURNISHINGS 315 HOUSEHOLD FURNISHINGS & APPLIANCES. 19.0% no HOMEBUILDING 305 HOMEBUILDING 99.0% yes HOUSEHOLD APPLIANCES 315 HOUSEHOLD FURNISHINGS & APPLIANCES. 97.0% yes HOUSEWARES & SPECIALTIES 325 HOUSEWARES 98.0% yes PHOTOGRAPHIC PRODUCTS 403 PHOTOGRAPHY/IMAGING 91.0% yes APPAREL & ACCESSORIES 465 TEXTILES (APPAREL) 99.0% yes FOOTWEAR 455 FOOTWEAR 100.0% yes CASINOS & GAMING 262 GAMING, LOTTERY, & PARI-MUTUEL COMPANIES 92.0% yes HOTELS 310 LODGING/HOTELS 100.0% yes LEISURE PRODUCTS 475 LEISURE TIME (PRODUCTS) 99.0% yes RESTAURANTS 420 RESTAURANTS 100.0% yes ADVERTISING 456 SERVICES (ADVERTISING/MARKETING) 100.0% yes BROADCASTING & CABLE TV 150 BROADCASTING (TELEVISION, RADIO & CABLE) 100.0% yes MOVIES & ENTERTAINMENT 245 ENTERTAINMENT 100.0% yes PUBLISHING & PRINTING 415 PUBLISHING (NEWSPAPERS) 100.0% yes DEPARTMENT STORES 430 RETAIL (DEPARTMENT STORES) 100.0% yes GENERAL MERCHANDISE STORES 445 RETAIL (GENERAL MERCHANDISE) 100.0% yes APPAREL RETAIL 452 RETAIL (SPECIALTY-APPAREL) 100.0% yes COMPUTER & ELECTRONICS RETAIL 426 RETAIL (COMPUTERS & ELECTRONICS) 100.0% yes HOME IMPROVEMENT RETAIL 450 RETAIL (BUILDING SUPPLIES) 100.0% yes SPECIALTY STORES 449 RETAIL (SPECIALTY) 90.0% yes 132 Monthly Observations Standard & Poor s Page 7

8 Appendix A1 (cont d) S&P 500 GICS Sub- Indices Versus Indices, Correlation Summary (cont'd) code S&P Correlation Statistically Significant at 99%? DRUG RETAIL 435 RETAIL (DRUG STORES) 100.0% yes FOOD DISTRIBUTORS 217 DISTRIBUTORS (FOOD & HEALTH) 86.0% yes FOOD RETAIL 440 RETAIL (FOOD CHAINS) 100.0% yes BREWERS 140 BEVERAGES (ALCOHOLIC) 100.0% yes DISTILLERS & VINTNERS 140 BEVERAGES (ALCOHOLIC) 31.0% yes SOFT DRINKS 145 BEVERAGES (NON-ALCOHOLIC) 100.0% yes AGRICULTURAL PRODUCTS 112 AGRICULTURAL PRODUCTS 100.0% yes PACKAGED FOODS 250 FOODS 100.0% yes TOBACCO 470 TOBACCO 100.0% yes HOUSEHOLD PRODUCTS 320 HOUSEHOLD PRODUCTS (NON-DURABLES) 100.0% yes PERSONAL PRODUCTS 215 PERSONAL CARE 100.0% yes HEALTH CARE EQUIPMENT 300 HEALTH CARE (MEDICAL PRODUCTS & SUPPLIES) 100.0% yes HEALTH CARE SUPPLIES 300 HEALTH CARE (MEDICAL PRODUCTS & SUPPLIES) 89.0% yes SERVICES 217 DISTRIBUTORS (FOOD & HEALTH) 95.0% yes HEALTH CARE FACILITIES 295 HEALTH CARE (HOSPITAL MANAGEMENT) 86.0% yes MANAGED HEALTH CARE 287 HEALTH CARE (MANAGED CARE) 100.0% yes BIOTECHNOLOGY 147 BIOTECHNOLOGY 100.0% yes PHARMACEUTICALS 285 HEALTH CARE (DRUGS-MAJOR PHARMACEUTICALS) 100.0% yes PHARMACEUTICALS 280 HEALTH CARE (DIVERSIFIED) 99.0% yes BANKS 815 BANKS (MAJOR REGIONAL) 99.0% yes CONSUMER FINANCE 845 CONSUMER FINANCE 100.0% yes DIVERSIFIED FINANCIAL SERVICES 850 FINANCIAL (DIVERSIFIED) 100.0% yes INSURANCE BROKERS 330 INSURANCE BROKERS 100.0% yes LIFE & HEALTH INSURANCE 825 INSURANCE (LIFE/HEALTH) 100.0% yes MULTI- LINE INSURANCE 830 INSURANCE (MULTI-LINE) 100.0% yes PROPERTY & CASUALTY INSURANCE 835 INSURANCE (PROPERTY-CASUALTY) 100.0% yes INTERNET SOFTWARE & SERVICES 185 COMPUTERS (SOFTWARE & SERVICES) 91.0% yes IT CONSULTING & SERVICES 454 SERVICES (COMPUTER SYSTEMS) 96.0% yes SYSTEMS SOFTWARE 185 COMPUTERS (SOFTWARE & SERVICES) 100.0% yes NETWORKING EQUIPMENT 187 COMPUTERS (NETWORKING) 100.0% yes TELECOMS EQUIPMENT 180 COMMUNICATIONS EQUIPMENT 100.0% yes COMPUTER HARDWARE 190 COMPUTERS (HARDWARE) 100.0% yes COMPUTER STORAGE & PERIPHERALS 188 COMPUTERS (PERIPHERALS) 100.0% yes INSTRUMENTS 230 ELECTRICAL (INSTRUMENTATION) 96.0% yes OFFICE ELECTRONICS 403 PHOTOGRAPHY/IMAGING 98.0% yes SEMICONDUCTOR EQUIPMENT 247 EQUIPMENT (SEMICONDUCTORS) 99.0% yes SEMICONDUCTORS 235 ELECTRONICS (SEMICONDUCTORS) 100.0% yes INTEGRATED TELECOM SERVICES 715 TELEPHONE 97.0% yes WIRELESS TELECOM SERVICES 462 TELECOMMUNICATIONS (CELLULAR/WIRELESS) 100.0% yes ELECTRIC UTILITIES 705 ELECTRIC COMPANIES 99.0% yes GAS UTILITIES 710 NATURAL GAS 97.0% yes MULTI- UTILITIES 710 NATURAL GAS 94.0% yes 29 Monthly Observations Standard & Poor s Page 8

9 Appendix A2 Composition of S&P 500 GICS Sector Indices Versus Sector Indices, as of 12/31/2001 GICS index code S&P index Common GICS Market Cap in 10 ENERGY ENERGY % 100.0% 15 MATERIALS BASIC MATERIALS % 98.1% 20 INDUSTRIALS CAPITAL GOODS % 75.9% 25 CONSUMER DISCRETIONARY CONSUMER CYCLICALS % 69.4% 30 CONSUMER STAPLES CONSUMER STAPLES % 98.9% 35 HEALTH CARE HEALTH CARE % 96.9% 40 FINANCIALS FINANCIALS % 100.0% 45 INFORMATION TECHNOLOGY TECHNOLOGY % 98.1% 50 TELECOM SERVICES COMMUNICATION SERVICES % 100.0% 55 UTILITIES UTILITIES % 100.0% Market Cap in GICS Composition of S&P 500 GICS Indices Versus Composite Indices, as of 12/31/2001 GICS index code S&P index Common GICS Market Cap in 4010 BANKS, Group BANK COMPOSITE % 92.8% CHEMICALS, CHEMICAL COMPOSITE % 100.0% 4030 INSURANCE, Group INSURANCE COMPOSITE % 91.2% INTEGRATED OIL & GAS, Sub OIL COMPOSITE % 100.0% PHARMACEUTICALS, PHARMACEUTICAL COMPOSITE % 100.0% 2550 RETAILING, Group RETAIL COMPOSITE % 100.0% 2030 TRANSPORTATION, Group TRANSPORTATION INDEX % 100.0% Market Cap in GICS Composition of S&P 500 GICS Sub- Indices Versus Indices, as of 12/31/2001 GICS index code S&P index Common GICS Market Cap in OIL & GAS DRILLING OIL & GAS (DRILLING & EQUIPMENT) % 100.0% OIL & GAS EQUIPMENT & SERVICES OIL & GAS (DRILLING & EQUIPMENT) % 100.0% INTEGRATED OIL & GAS OIL (INTERNATIONAL INTEGRATED) % 87.7% OIL & GAS EXPLORATION & PRODUCTION OIL & GAS (EXPLORATION & PRODUCTION) % 100.0% OIL & GAS REFINING & MARKETING OIL & GAS (REFINING & MARKETING) % 100.0% DIVERSIFIED CHEMICALS CHEMICALS % 92.2% INDUSTRIAL GASES CHEMICALS % 100.0% SPECIALTY CHEMICALS CHEMICALS (SPECIALTY) % 42.5% CONSTRUCTION MATERIALS CONSTRUCTION (CEMENT & AGGREGATES) % 100.0% METAL & GLASS CONTAINERS CONTAINERS (METAL & GLASS) % 40.7% PAPER PACKAGING CONTAINERS & PACKAGING (PAPER) % 61.2% ALUMINUM ALUMINUM % 100.0% DIVERSIFIED METALS & MINING METALS MINING % 100.0% GOLD GOLD & PRECIOUS METALS MINING % 100.0% STEEL IRON & STEEL % 100.0% FOREST PRODUCTS PAPER & FOREST PRODUCTS % 100.0% PAPER PRODUCTS PAPER & FOREST PRODUCTS % 100.0% Market Cap in GICS Standard & Poor s Page 9

10 Appendix A2 (cont d) Composition of S&P 500 GICS Sub- Indices Versus Indices, as of 12/31/2001 (cont'd) GICS index code S&P index Common GICS Market Cap in AEROSPACE & DEFENSE AEROSPACE/DEFENSE % 55.1% BUILDING PRODUCTS BUILDING MATERIALS % 88.0% CONSTRUCTION & ENGINEERING ENGINEERING & CONSTRUCTION % 100.0% ELECTRICAL COMPONENTS & EQUIPMENT ELECTRICAL EQUIPMENT % 100.0% INDUSTRIAL CONGLOMERATES MANUFACTURING (DIVERSIFIED) % 29.9% CONSTRUCTION & FARM MACHINERY MACHINERY (DIVERSIFIED) % 75.9% INDUSTRIAL MACHINERY MANUFACTURING (DIVERSIFIED) % 71.7% COMMERCIAL PRINTING SPECIALTY PRINTING % 100.0% DATA PROCESSING SERVICES SERVICES (DATA PROCESSING) % 94.8% DIVERSIFIED COMMERCIAL SERVICES SERVICES (COMMERCIAL & CONSUMER) % 88.4% EMPLOYMENT SERVICES SERVICES (EMPLOYMENT) % 100.0% ENVIRONMENTAL SERVICES WASTE MANAGEMENT % 100.0% OFFICE SERVICES & SUPPLIES OFFICE EQUIPMENT & SUPPLIES % 59.6% AIR FREIGHT & COURIERS AIR FREIGHT % 100.0% AIRLINES AIRLINES % 100.0% RAILROADS RAILROADS % 100.0% TRUCKING TRUCKERS % 100.0% AUTO PARTS & EQUIPMENT AUTO PARTS & EQUIPMENT % 69.9% TIRES & RUBBER AUTO PARTS & EQUIPMENT % 100.0% AUTOMOBILE MANUFACTURERS AUTOMOBILES % 100.0% MOTORCYCLE MANUFACTURERS LEISURE TIME (PRODUCTS) % 100.0% HOME FURNISHINGS HOUSEHOLD FURNISHINGS & APPLIANCES % 100.0% HOMEBUILDING HOMEBUILDING % 100.0% HOUSEHOLD APPLIANCES HOUSEHOLD FURNISHINGS & APPLIANCES % 44.9% HOUSEWARES & SPECIALTIES HOUSEWARES % 94.3% PHOTOGRAPHIC PRODUCTS PHOTOGRAPHY/IMAGING % 100.0% APPAREL & ACCESSORIES TEXTILES (APPAREL) % 100.0% FOOTWEAR FOOTWEAR % 100.0% CASINOS & GAMING GAMING, LOTTERY, & PARI-MUTUEL COMPANIES % 100.0% HOTELS LODGING/HOTELS % 100.0% LEISURE PRODUCTS LEISURE TIME (PRODUCTS) % 100.0% RESTAURANTS RESTAURANTS % 100.0% ADVERTISING SERVICES (ADVERTISING/MARKETING) % 100.0% BROADCASTING & CABLE TV BROADCASTING (TELEVISION, RADIO & CABLE) % 100.0% MOVIES & ENTERTAINMENT ENTERTAINMENT % 100.0% PUBLISHING & PRINTING PUBLISHING (NEWSPAPERS) % 77.1% DEPARTMENT STORES RETAIL (DEPARTMENT STORES) % 77.7% GENERAL MERCHANDISE STORES RETAIL (GENERAL MERCHANDISE) % 96.6% APPAREL RETAIL RETAIL (SPECIALTY-APPAREL) % 100.0% COMPUTER & ELECTRONICS RETAIL RETAIL (COMPUTERS & ELECTRONICS) % 100.0% HOME IMPROVEMENT RETAIL RETAIL (BUILDING SUPPLIES) % 100.0% SPECIALTY STORES RETAIL (SPECIALTY) % 100.0% Market Cap in GICS Standard & Poor s Page 10

11 Appendix A2 (cont d) Composition of S&P 500 GICS Sub- Indices Versus Indices, as of 12/31/2001 (cont'd) GICS index code S&P index Common GICS Market Cap in DRUG RETAIL RETAIL (DRUG STORES) % 100.0% FOOD DISTRIBUTORS DISTRIBUTORS (FOOD & HEALTH) % 100.0% FOOD RETAIL RETAIL (FOOD CHAINS) % 100.0% BREWERS BEVERAGES (ALCOHOLIC) % 100.0% DISTILLERS & VINTNERS BEVERAGES (ALCOHOLIC) % 100.0% SOFT DRINKS BEVERAGES (NON-ALCOHOLIC) % 100.0% AGRICULTURAL PRODUCTS AGRICULTURAL PRODUCTS % 100.0% PACKAGED FOODS FOODS % 100.0% TOBACCO TOBACCO % 100.0% HOUSEHOLD PRODUCTS HOUSEHOLD PRODUCTS (NON-DURABLES) % 100.0% PERSONAL PRODUCTS PERSONAL CARE % 100.0% HEALTH CARE EQUIPMENT HEALTH CARE (MEDICAL PRODUCTS & SUPPLIES) % 100.0% HEALTH CARE SUPPLIES HEALTH CARE (MEDICAL PRODUCTS & SUPPLIES) % 100.0% SERVICES DISTRIBUTORS (FOOD & HEALTH) % 96.0% HEALTH CARE FACILITIES HEALTH CARE (HOSPITAL MANAGEMENT) % 84.1% MANAGED HEALTH CARE HEALTH CARE (MANAGED CARE) % 100.0% BIOTECHNOLOGY BIOTECHNOLOGY % 100.0% PHARMACEUTICALS HEALTH CARE (DRUGS-MAJOR PHARMACEUTICALS) % 56.7% PHARMACEUTICALS HEALTH CARE (DIVERSIFIED) % 42.0% BANKS BANKS (MAJOR REGIONAL) % 69.7% CONSUMER FINANCE CONSUMER FINANCE % 100.0% DIVERSIFIED FINANCIAL SERVICES FINANCIAL (DIVERSIFIED) % 85.1% INSURANCE BROKERS INSURANCE BROKERS % 100.0% LIFE & HEALTH INSURANCE INSURANCE (LIFE/HEALTH) % 100.0% MULTI- LINE INSURANCE INSURANCE (MULTI-LINE) % 100.0% PROPERTY & CASUALTY INSURANCE INSURANCE (PROPERTY-CASUALTY) % 100.0% INTERNET SOFTWARE & SERVICES COMPUTERS (SOFTWARE & SERVICES) % 100.0% IT CONSULTING & SERVICES SERVICES (COMPUTER SYSTEMS) % 91.3% SYSTEMS SOFTWARE COMPUTERS (SOFTWARE & SERVICES) % 100.0% NETWORKING EQUIPMENT COMPUTERS (NETWORKING) % 100.0% TELECOMS EQUIPMENT COMMUNICATIONS EQUIPMENT % 100.0% COMPUTER HARDWARE COMPUTERS (HARDWARE) % 100.0% COMPUTER STORAGE & PERIPHERALS COMPUTERS (PERIPHERALS) % 83.8% INSTRUMENTS ELECTRICAL (INSTRUMENTATION) % 36.2% OFFICE ELECTRONICS PHOTOGRAPHY/IMAGING % 100.0% SEMICONDUCTOR EQUIPMENT EQUIPMENT (SEMICONDUCTORS) % 100.0% SEMICONDUCTORS ELECTRONICS (SEMICONDUCTORS) % 100.0% INTEGRATED TELECOM SERVICES TELEPHONE % 75.6% WIRELESS TELECOM SERVICES TELECOMMUNICATIONS (CELLULAR/WIRELESS) % 100.0% ELECTRIC UTILITIES ELECTRIC COMPANIES % 94.6% GAS UTILITIES NATURAL GAS % 100.0% MULTI- UTILITIES NATURAL GAS % 100.0% Market Cap in GICS Standard & Poor s Page 11

12 Appendix B1 S&P MidCap 400 GICS Sector Indices Versus Sector Indices, Correlation Summary Statistically Significant at 99%? code S&P Correlation 10 ENERGY 935 ENERGY 100% yes MATERIALS 970 BASIC MATERIALS 100% yes INDUSTRIALS 925 CAPITAL GOODS 94% yes CONSUMER DISCRETIONARY 976 CONSUMER CYCLICALS 99% yes CONSUMER STAPLES 978 CONSUMER STAPLES 87% yes HEALTH CARE 905 HEALTH CARE 99% yes FINANCIALS 800 FINANCIALS 100% yes INFORMATION TECHNOLOGY 940 TECHNOLOGY 99% yes TELECOM SERVICES 974 COMMUNICATION SERVICES 99% yes UTILITIES 700 UTILITIES 100% yes 67 Monthly Observations S&P MidCap 400 GICS Sub- Indices Versus Indices, Correlation Summary code S&P Correlation Statistically Significant at 99%? OIL & GAS DRILLING 395 OIL & GAS (DRILLING & EQUIPMENT) 99% yes OIL & GAS EQUIPMENT & SERVICES 395 OIL & GAS (DRILLING & EQUIPMENT) 99% yes INTEGRATED OIL & GAS 710 NATURAL GAS 94% yes OIL & GAS EXPLORATION & PRODUCTION 380 OIL & GAS (EXPLORATION & PRODUCTION) 100% yes OIL & GAS REFINING & MARKETING 382 OIL & GAS (REFINING & MARKETING) 100% yes COMMODITY CHEMICALS 160 CHEMICALS 93% yes DIVERSIFIED CHEMICALS 165 CHEMICALS (DIVERSIFIED) 98% yes DIVERSIFIED CHEMICALS 160 CHEMICALS 84% yes FERTILIZERS & AGRICULTURAL CHEMICALS 160 CHEMICALS 91% yes INDUSTRIAL GASES 160 CHEMICALS 38% no SPECIALTY CHEMICALS 167 CHEMICALS (SPECIALTY) 93% yes CONSTRUCTION MATERIALS 202 CONSTRUCTION (CEMENT & AGGREGATES) 100% yes PAPER PACKAGING 210 CONTAINERS & PACKAGING (PAPER) 96% yes STEEL 460 IRON & STEEL 100% yes FOREST PRODUCTS 400 PAPER & FOREST PRODUCTS 82% yes PAPER PRODUCTS 400 PAPER & FOREST PRODUCTS 94% yes AEROSPACE & DEFENSE 110 AEROSPACE/DEFENSE 98% yes CONSTRUCTION & ENGINEERING 240 ENGINEERING & CONSTRUCTION 100% yes ELECTRICAL COMPONENTS & EQUIPMENT 220 ELECTRICAL EQUIPMENT 97% yes INDUSTRIAL CONGLOMERATES 355 MANUFACTURING (DIVERSIFIED) 85% yes CONSTRUCTION & FARM MACHINERY 345 MACHINERY (DIVERSIFIED) 89% yes INDUSTRIAL MACHINERY 355 MANUFACTURING (DIVERSIFIED) 77% yes COMMERCIAL PRINTING 458 SPECIALTY PRINTING 100% yes DATA PROCESSING SERVICES 453 SERVICES (DATA PROCESSING) 84% yes DIVERSIFIED COMMERCIAL SERVICES 175 SERVICES (COMMERCIAL & CONSUMER) 95% yes EMPLOYMENT SERVICES 457 SERVICES (EMPLOYMENT) 79% yes OFFICE SERVICES & SUPPLIES 370 OFFICE EQUIPMENT & SUPPLIES 100% yes AIR FREIGHT & COURIERS 620 AIR FREIGHT 100% yes AIRLINES 605 AIRLINES 100% yes 85 Monthly Observations Standard & Poor s Page 12

13 Appendix B1 (cont d) S&P MidCap 400 GICS Sub- Indices Versus Indices, Correlation Summary code S&P Correlation Statistically Significant at 99%? MARINE 612 SHIPPING 100% yes RAILROADS 610 RAILROADS 100% yes TRUCKING 615 TRUCKERS 100% yes AUTO PARTS & EQUIPMENT 130 AUTO PARTS & EQUIPMENT 100% yes TIRES & RUBBER 130 AUTO PARTS & EQUIPMENT 61% yes HOME FURNISHINGS 315 HOUSEHOLD FURNISHINGS. & APPLIANCES 93% yes HOME FURNISHINGS 467 TEXTILES (HOME FURNISHINGS) 80% yes HOMEBUILDING 305 HOMEBUILDING 100% yes HOUSEWARES & SPECIALTIES 203 CONSUMER (JEWELRY, NOVELTIES, & GIFTS) 92% yes LEISURE PRODUCTS 475 LEISURE TIME (PRODUCTS) 13% no TEXTILES 468 TEXTILES (SPECIALTY) 100% yes CASINOS & GAMING 262 GAMING, LOTTERY, & PARI-MUTUEL COMPANIES 90% yes LEISURE FACILITIES 475 LEISURE TIME (PRODUCTS) 61% yes RESTAURANTS 420 RESTAURANTS 100% yes ADVERTISING 456 SERVICES (ADVERTISING/MARKETING) 96% yes BROADCASTING & CABLE TV 150 BROADCASTING (TELEVISION, RADIO, & CABLE) 100% yes PUBLISHING & PRINTING 415 PUBLISHING (NEWSPAPERS) 98% yes CATALOG RETAIL 447 RETAIL (HOME SHOPPING) 100% yes DEPARTMENT STORES 430 RETAIL (DEPARTMENT STORES) 100% yes GENERAL MERCHANDISE STORES 432 RETAIL (DISCOUNTERS) 99% yes GENERAL MERCHANDISE STORES 445 RETAIL (GENERAL MERCHANDISE) 93% yes APPAREL RETAIL 452 RETAIL (SPECIALTY-APPAREL) 100% yes COMPUTER & ELECTRONICS RETAIL 426 RETAIL (COMPUTERS & ELECTRONICS) 99% yes SPECIALTY STORES 449 RETAIL (SPECIALTY) 100% yes FOOD RETAIL 440 RETAIL (FOOD CHAINS) 100% yes SOFT DRINKS 145 BEVERAGES (NON-ALCOHOLIC) 100% yes MEAT POULTRY & FISH 250 FOODS 69% yes PACKAGED FOODS 250 FOODS 94% yes TOBACCO 470 TOBACCO 100% yes HEALTH CARE EQUIPMENT 300 SUPPLIES) 98% yes HEALTH CARE SUPPLIES 300 SUPPLIES) 39% yes HEALTH CARE FACILITIES HEALTH CARE (HOSPITAL MANAGEMENT) 81% yes MANAGED HEALTH CARE 287 HEALTH CARE (MANAGED CARE) 100% yes BIOTECHNOLOGY 147 BIOTECHNOLOGY 100% yes PHARMACEUTICALS 280 HEALTH CARE (DIVERSIFIED) 89% yes PHARMACEUTICALS 283 HEALTH CARE (DRUGS-GENERIC & OTHER) 76% yes BANKS 817 BANKS (REGIONAL) 100% yes CONSUMER FINANCE 845 CONSUMER FINANCE 97% yes DIVERSIFIED FINANCIAL SERVICES 822 INVESTMENT BANKING/BROKERAGE 99% yes LIFE & HEALTH INSURANCE 825 INSURANCE (LIFE/HEALTH) 100% yes MULTI-LINE INSURANCE 835 INSURANCE (PROPERTY-CASUALTY) 66% yes PROPERTY & CASUALTY INSURANCE 835 INSURANCE (PROPERTY-CASUALTY) 90% yes 85 Monthly Observations Standard & Poor s Page 13

14 Appendix B1 (cont d) S&P MidCap 400 GICS Sub- Indices Versus Indices, Correlation Summary code S&P Correlation Statistically Significant at 99%? INTERNET SOFTWARE & SERVICES 185 COMPUTERS (SOFTWARE & SERVICES) 77% yes IT CONSULTING & SERVICES 454 SERVICES (COMPUTER SYSTEMS) 93% yes APPLICATION SOFTWARE 185 COMPUTERS (SOFTWARE & SERVICES) 97% yes SYSTEMS SOFTWARE 185 COMPUTERS (SOFTWARE & SERVICES) 96% yes NETWORKING EQUIPMENT 187 COMPUTERS (NETWORKING) 100% yes TELECOMS EQUIPMENT 180 COMMUNICATIONS EQUIPMENT 100% yes COMPUTER STORAGE & PERIPHERALS 188 COMPUTERS (PERIPHERALS) 100% yes ELECTRONIC EQUIPMENT & INSTRUMENTS 230 ELECTRONICS (INSTRUMENTATION) 78% yes SEMICONDUCTOR EQUIPMENT 247 EQUIPMENT (SEMICONDUCTORS) 100% yes SEMICONDUCTORS 235 ELECTRONICS (SEMICONDUCTORS) 100% yes INTEGRATED TELECOM SERVICES 715 TELEPHONE 95% yes WIRELESS TELECOM SERVICES 462 TELECOMMUNICATIONS (CELLULAR/WIRELESS) 19% no ELECTRIC UTILITIES 705 ELECTRIC COMPANIES 96% yes GAS UTILITIES 710 NATURAL GAS 100% yes MULTI - UTILITIES 705 ELECTRIC COMPANIES 82% yes WATER UTILITIES 725 WATER UTILITIES 100% yes 73 Monthly Observations Standard & Poor s Page 14

15 Appendix B2 Composition of S&P MidCap 400 GICS Sector Indices Versus Sector Indices, as of 12/31/2001 Companies in GICS index code S&P index Common GICS Market Cap in Market Cap in GICS 10 ENERGY ENERGY % 94% 15 MATERIALS BASIC MATERIALS % 100% 20 INDUSTRIALS CAPITAL GOODS % 39% 25 CONSUMER DISCRETIONARY CONSUMER CYCLICALS % 81% 30 CONSUMER STAPLES CONSUMER STAPLES % 97% 35 HEALTH CARE HEALTH CARE % 93% 40 FINANCIALS FINANCIALS % 99% 45 INFORMATION TECHNOLOGY TECHNOLOGY % 89% 50 TELECOM SERVICES COMMUNICATION SERVICES % 100% 55 UTILITIES UTILITIES % 100% Composition of S&P MidCap 400 GICS Sub- Indices Versus Indices, as of 12/31/2001 Companies in GICS index code S&P index Common GICS Market Cap in Market Cap in GICS OIL & GAS DRILLING OIL & GAS (DRILLING & EQUIPMENT) % 100% OIL & GAS EQUIPMENT & SERVICES OIL & GAS (DRILLING & EQUIPMENT) % 100% INTEGRATED OIL & GAS NATURAL GAS % 100% OIL & GAS EXPLORATION & PRODUCTION OIL & GAS (EXPLORATION & PRODUCTION) % 100% OIL & GAS REFINING & MARKETING OIL & GAS (REFINING & MARKETING) % 87% COMMODITY CHEMICALS CHEMICALS % 100% DIVERSIFIED CHEMICALS CHEMICALS (DIVERSIFIED) % 16% DIVERSIFIED CHEMICALS CHEMICALS % 84% FERTILIZERS & AGRICULTURAL CHEMICALS CHEMICALS % 100% INDUSTRIAL GASES CHEMICALS % 100% SPECIALTY CHEMICALS CHEMICALS (SPECIALTY) % 100% CONSTRUCTION MATERIALS CONSTRUCTION (CEMENT & AGGREGATES) % 100% PAPER PACKAGING CONTAINERS & PACKAGING (PAPER) % 88% STEEL IRON & STEEL % 100% FOREST PRODUCTS PAPER & FOREST PRODUCTS % 100% PAPER PRODUCTS PAPER & FOREST PRODUCTS % 100% AEROSPACE & DEFENSE AEROSPACE/DEFENSE % 36% CONSTRUCTION & ENGINEERING ENGINEERING & CONSTRUCTION % 100% ELECTRICAL COMPONENTS & EQUIPMENT ELECTRICAL EQUIPMENT % 32% INDUSTRIAL CONGLOMERATES MANUFACTURING (DIVERSIFIED) 8 1 7% 38% CONSTRUCTION & FARM MACHINERY MACHINERY (DIVERSIFIED) % 49% INDUSTRIAL MACHINERY MANUFACTURING (DIVERSIFIED) % 24% COMMERCIAL PRINTING SPECIALTY PRINTING % 100% DATA PROCESSING SERVICES SERVICES (DATA PROCESSING) % 87% DIVERSIFIED COMMERCIAL SERVICES SERVICES (COMMERCIAL & CONSUMER) % 100% EMPLOYMENT SERVICES SERVICES (EMPLOYMENT) % 100% OFFICE SERVICES & SUPPLIES OFFICE EQUIPMENT & SUPPLIES % 100% AIR FREIGHT & COURIERS AIR FREIGHT % 100% AIRLINES AIRLINES % 100% Standard & Poor s Page 15

16 Appendix B2 (cont d) Composition of S&P MidCap 400 GICS Sub- Indices Versus Indices, as of 12/31/2001 Companies in GICS index code S&P index Common GICS Market Cap in Market Cap in GICS MARINE SHIPPING % 100% RAILROADS RAILROADS % 100% TRUCKING TRUCKERS % 100% AUTO PARTS & EQUIPMENT AUTO PARTS & EQUIPMENT % 90% TIRES & RUBBER AUTO PARTS & EQUIPMENT 7 1 7% 100% HOME FURNISHINGS HOUSEHOLD FURNISHINGS. & APPLIANCES % 36% HOME FURNISHINGS TEXTILES (HOME FURNISHINGS) % 64% HOMEBUILDING HOMEBUILDING % 100% HOUSEWARES & SPECIALTIES CONSUMER (JEWELRY, NOVELTIES, & GIFTS) % 100% LEISURE PRODUCTS LEISURE TIME (PRODUCTS) % 100% TEXTILES TEXTILES (SPECIALTY) % 100% CASINOS & GAMING GAMING, LOTTERY, & PARI-MUTUEL COMPANIES % 100% LEISURE FACILITIES LEISURE TIME (PRODUCTS) % 100% RESTAURANTS RESTAURANTS % 100% ADVERTISING SERVICES (ADVERTISING/MARKETING) % 100% BROADCASTING & CABLE TV BROADCASTING (TELEVISION, RADIO, & CABLE) % 100% PUBLISHING & PRINTING PUBLISHING (NEWSPAPERS) % 71% CATALOG RETAIL RETAIL (HOME SHOPPING) % 100% DEPARTMENT STORES RETAIL (DEPARTMENT STORES) % 100% GENERAL MERCHANDISE STORES RETAIL (DISCOUNTERS) % 52% GENERAL MERCHANDISE STORES RETAIL (GENERAL MERCHANDISE) % 48% APPAREL RETAIL RETAIL (SPECIALTY-APPAREL) % 64% COMPUTER & ELECTRONICS RETAIL RETAIL (COMPUTERS & ELECTRONICS) % 100% SPECIALTY STORES RETAIL (SPECIALTY) % 83% FOOD RETAIL RETAIL (FOOD CHAINS) % 100% SOFT DRINKS BEVERAGES (NON-ALCOHOLIC) % 100% MEAT POULTRY & FISH FOODS % 100% PACKAGED FOODS FOODS % 100% TOBACCO TOBACCO % 85% HEALTH CARE EQUIPMENT SUPPLIES) % 77% HEALTH CARE SUPPLIES SUPPLIES) % 100% HEALTH CARE FACILITIES HEALTH CARE (HOSPITAL MANAGEMENT) % 100% MANAGED HEALTH CARE HEALTH CARE (MANAGED CARE) % 100% BIOTECHNOLOGY BIOTECHNOLOGY % 87% PHARMACEUTICALS HEALTH CARE (DIVERSIFIED) % 25% PHARMACEUTICALS HEALTH CARE (DRUGS-GENERIC & OTHER) % 69% BANKS BANKS (REGIONAL) % 72% CONSUMER FINANCE CONSUMER FINANCE % 62% DIVERSIFIED FINANCIAL SERVICES INVESTMENT BANKING/BROKERAGE % 56% LIFE & HEALTH INSURANCE INSURANCE (LIFE/HEALTH) % 100% MULTI-LINE INSURANCE INSURANCE (PROPERTY-CASUALTY) % 100% PROPERTY & CASUALTY INSURANCE INSURANCE (PROPERTY-CASUALTY) % 78% Standard & Poor s Page 16

17 Appendix B2 (cont d) Composition of S&P MidCap 400 GICS Sub- Indices Versus Indices, as of 12/31/2001 Companies in GICS index code S&P index Common GICS Market Cap in Market Cap in GICS INTERNET SOFTWARE & SERVICES COMPUTERS (SOFTWARE & SERVICES) % 100% IT CONSULTING & SERVICES SERVICES (COMPUTER SYSTEMS) % 57% APPLICATION SOFTWARE COMPUTERS (SOFTWARE & SERVICES) % 87% SYSTEMS SOFTWARE COMPUTERS (SOFTWARE & SERVICES) % 100% NETWORKING EQUIPMENT COMPUTERS (NETWORKING) % 65% TELECOMS EQUIPMENT COMMUNICATIONS EQUIPMENT % 90% COMPUTER STORAGE & PERIPHERALS COMPUTERS (PERIPHERALS) % 100% ELECTRONIC EQUIPMENT & INSTRUMENTS ELECTRONICS (INSTRUMENTATION) % 25% SEMICONDUCTOR EQUIPMENT EQUIPMENT (SEMICONDUCTORS) % 100% SEMICONDUCTORS ELECTRONICS (SEMICONDUCTORS) % 93% INTEGRATED TELECOM SERVICES TELEPHONE % 100% WIRELESS TELECOM SERVICES TELECOMMUNICATIONS (CELLULAR/WIRELESS) % 17% ELECTRIC UTILITIES ELECTRIC COMPANIES % 100% GAS UTILITIES NATURAL GAS % 100% MULTI - UTILITIES ELECTRIC COMPANIES % 65% WATER UTILITIES WATER UTILITIES % 100% Standard & Poor s Page 17

18 Appendix C1 S&P SmallCap 600 GICS Sector Indices Versus Sector Indices, Correlation Summary code S&P Correlation Statistically Significant at 99%? 10 ENERGY 935 ENERGY 100% yes MATERIALS 970 BASIC MATERIALS 84% yes INDUSTRIALS 925 CAPITAL GOODS 91% yes CONSUMER DISCRETIONARY 976 CONSUMER CYCLICALS 98% yes CONSUMER STAPLES 978 CONSUMER STAPLES 95% yes HEALTH CARE 905 HEALTH CARE 100% yes FINANCIALS 800 FINANCIAL 100% yes INFORMATION TECHNOLOGY 940 TECHNOLOGY 99% yes TELECOM SERVICES 974 COMMUNICATIONS SERVICES 100% yes UTILITIES 700 UTILITIES 100% yes 66 Monthly Observations S&P SmallCap 600 GICS Sub- Indices Versus Indices, Correlation Summary code S&P Correlation Statistically Significant at 99%? OIL & GAS DRILLING 395 OIL & GAS (DRILLING & EQUIPMENT) 97% yes OIL & GAS EQUIPMENT & SERVICES 395 OIL & GAS (DRILLING & EQUIPMENT) 98% yes OIL & GAS EXPLORATION & PRODUCTION 380 OIL & GAS (EXPLORATION & PRODUCTION 100% yes COMMODITY CHEMICALS 160 CHEMICALS 25% no DIVERSIFIED CHEMICALS 165 CHEMICALS (DIVERSIFIED) 100% yes FERTILIZERS & AGRICULTURAL CHEMICALS 160 CHEMICALS 80% yes SPECIALTY CHEMICALS 167 CHEMICALS (SPECIALTY) 98% yes CONSTRUCTION MATERIALS 202 CONSTRUCTION (CEMENT & AGGREGATES) 100% yes PAPER PACKAGING 210 CONTAINERS & PACKAGING (PAPER) 72% yes ALUMINUM 115 ALUMINUM 100% yes DIVERSIFIED METALS & MINING 358 METAL FABRICATORS 63% yes PRECIOUS METALS & MINERALS 265 GOLD & PRECIOUS METALS MINING 100% yes STEEL 460 IRON & STEEL 93% yes FOREST PRODUCTS 400 PAPER & FOREST PRODUCTS -1% no PAPER PRODUCTS 400 PAPER & FOREST PRODUCTS 79% yes AEROSPACE & DEFENSE 110 AEROSPACE/DEFENSE 98% yes BUILDING PRODUCTS 155 BUILDING MATERIALS 43% yes CONSTRUCTION & ENGINEERING 240 ENGINEERING & CONSTRUCTION 100% yes ELECTRICAL COMPONENTS & EQUIPMENT 220 ELECTRICAL EQUIPMENT 96% yes INDUSTRIAL CONGLOMERATES 355 MANUFACTURING (DIVERSIFIED) 68% yes CONSTRUCTION & FARM MACHINERY 135 TRUCKS & PARTS 97% yes INDUSTRIAL MACHINERY 355 MANUFACTURING (DIVERSIFIED) 85% yes INDUSTRIAL MACHINERY 357 MANUFACTURING (SPECIALIZED) 85% yes INDUSTRIAL MACHINERY 345 MACHINERY (DIVERSIFIED) 82% yes COMMERCIAL PRINTING 458 SPECIALTY PRINTING 100% yes DATA PROCESSING SERVICES 453 SERVICES (DATA PROCESSING) 100% yes DIVERSIFIED COMMERCIAL SERVICES 175 SERVICES (COMMERCIAL & CONSUMER) 83% yes EMPLOYMENT SERVICES 457 SERVICES (EMPLOYMENT) 100% yes 66 Monthly Observations Standard & Poor s Page 18

19 Appendix C1 (cont d) S&P SmallCap 600 GICS Sub- Indices Versus Indices, Correlation Summary code S&P Correlation Statistically Significant at 99%? ENVIRONMENTAL SERVICES 459 SERVICES (FACILITIES & ENVIRONMENTAL) -11% no OFFICE SERVICES & SUPPLIES 370 OFFICE EQUIPMENT & SUPPLIES 18% no AIRLINES 605 AIRLINES 100% yes MARINE 612 SHIPPING 100% yes RAILROADS 610 RAILROADS 99% yes TRUCKING 615 TRUCKERS 98% yes AUTO PARTS & EQUIPMENT 130 AUTO PARTS & EQUIPMENT 98% yes AUTOMOBILE MANUFACTURERS 475 LEISURE TIME (PRODUCTS) -15% no HOME FURNISHINGS 315 HOUSEHOLD FURNISHINGS. & APPLIANCES 89% yes HOMEBUILDING 305 HOMEBUILDING 100% yes HOUSEHOLD APPLIANCES 325 HOUSEWARES 91% yes HOUSEWARES & SPECIALTIES 203 CONSUMER (JEWELRY, NOVELTIES & GIFTS) 97% yes LEISURE PRODUCTS 475 LEISURE TIME (PRODUCTS) 98% yes PHOTOGRAPHIC PRODUCTS 403 PHOTOGRAPHY/IMAGING 95% yes APPAREL & ACCESSORIES 465 TEXTILES (APPAREL) 97% yes FOOTWEAR 455 FOOTWEAR 100% yes TEXTILES 468 TEXTILES (SPECIALTY) 100% yes CASINOS & GAMING 262 GAMING, LOTTERY & PARI-MUTUEL COMPANIES 100% yes HOTELS 310 LODGING-HOTELS 100% yes LEISURE FACILITIES 475 LEISURE TIME (PRODUCTS) -28% no RESTAURANTS 420 RESTAURANTS 100% yes ADVERTISING 456 SERVICES (ADVERTISING/MARKETING) 92% yes PUBLISHING & PRINTING 410 PUBLISHING 100% yes CATALOG RETAIL 447 RETAIL (HOME SHOPPING) 91% yes GENERAL MERCHANDISE STORES 432 RETAIL (DISCOUNTERS) 98% yes APPAREL RETAIL 452 RETAIL (SPECIALTY-APPAREL) 89% yes COMPUTER & ELECTRONICS RETAIL 426 RETAIL (COMPUTERS & ELECTRONICS) 100% yes HOME IMPROVEMENT RETAIL 450 RETAIL (BUILDING SUPPLIES) 97% yes SPECIALTY STORES 449 RETAIL (SPECIALTY) 97% yes FOOD DISTRIBUTORS 217 DISTRIBUTORS (FOOD & HEALTH) 75% yes FOOD RETAIL 440 RETAIL (FOOD CHAINS) 99% yes DISTILLERS & VINTNERS 140 BEVERAGES (ALCOHOLIC) 100% yes SOFT DRINKS 145 BEVERAGES (NON-ALCOHOLIC) 100% yes AGRICULTURAL PRODUCTS 112 AGRICULTURAL PRODUCTS 93% yes PACKAGED FOODS 250 FOODS 91% yes TOBACCO 470 TOBACCO 97% yes PERSONAL PRODUCTS 215 PERSONAL CARE 100% yes HEALTH CARE EQUIPMENT 300 HEALTH CARE (MEDICAL PRODUCTS & SUP 97% yes HEALTH CARE SUPPLIES 300 HEALTH CARE (MEDICAL PRODUCTS & SUP -24% no HEALTH CARE DISTRIBUTORS & SERVICES 292 HEALTH CARE (SPECIALIZED SERVICES) 63% yes HEALTH CARE FACILITIES 295 HEALTH CARE (HOSPITAL MANAGEMENT) 22% no MANAGED HEALTH CARE 287 HEALTH CARE (MANAGED CARE) 97% yes BIOTECHNOLOGY 147 BIOTECHNOLOGY 100% yes PHARMACEUTICALS 283 HEALTH CARE (DRUGS-GENERIC & OTHER) 99% yes 66 Monthly Observations Standard & Poor s Page 19

20 Appendix C1 (cont d) S&P SmallCap 600 GICS Sub- Indices Versus Indices, Correlation Summary code S&P Correlation Statistically Significant at 99%? BANKS 817 BANKS (REGIONAL) 100% yes CONSUMER FINANCE 845 CONSUMER FINANCE 100% yes DIVERSIFIED FINANCIAL SERVICES 822 INVESTMENT BANKING/BROKERAGE 97% yes INSURANCE BROKERS 330 INSURANCE BROKERS 100% yes LIFE & HEALTH INSURANCE 825 INSURANCE (LIFE/HEALTH) 100% yes PROPERTY & CASUALTY INSURANCE 835 INSURANCE (PROPERTY-CASUALTY) 99% yes INTERNET SOFTWARE & SERVICES 185 COMPUTERS (SOFTWARE & SERVICES) 82% yes IT CONSULTING & SERVICES 454 SERVICES (COMPUTER SYSTEMS) 96% yes APPLICATION SOFTWARE 185 COMPUTERS (SOFTWARE & SERVICES) 91% yes SYSTEMS SOFTWARE 185 COMPUTERS (SOFTWARE & SERVICES) 96% yes NETWORKING EQUIPMENT 187 COMPUTERS (NETWORKING) 81% yes TELECOMS EQUIPMENT 180 COMMUNICATIONS EQUIPMENT 88% yes COMPUTER HARDWARE 403 PHOTOGRAPHY/IMAGING -27% no COMPUTER STORAGE & PERIPHERALS 188 COMPUTERS (PERIPHERALS) 97% yes ELECTRONIC EQUIPMENT & INSTRUMENTS 230 ELECTRONICS (INSTRUMENTATION) 93% yes ELECTRONIC EQUIPMENT & INSTRUMENTS 220 ELECTRICAL EQUIPMENT 83% yes OFFICE ELECTRONICS 403 PHOTOGRAPHY/IMAGING 85% yes SEMICONDUCTOR EQUIPMENT 247 EQUIPMENT (SEMICONDUCTOR) 100% yes SEMICONDUCTORS 235 ELECTRONICS (SEMICONDUCTORS) 100% yes INTEGRATED TELECOM SERVICES 463 TELECOMMUNICATIONS(LONG DISTANCE) 81% yes WIRELESS TELECOM SERVICES 462 TELECOMMUNICATIONS (CELLULAR/WIRELESS) 100% yes ELECTRIC UTILITIES 705 ELECTRIC COMPANIES 98% yes GAS UTILITIES 710 NATURAL GAS 100% yes MULTI-UTILITIES 705 ELECTRIC COMPANIES 0% no WATER UTILITIES 725 WATER UTILITIES 100% yes 66 Monthly Observations Standard & Poor s Page 20