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V.5 Performance AnalysisOverv

Inputs

P/E==.5

Max ol ing perio of 2 years

Max return of 50% from inception

No Look-ahead biasscreening information was known at time of scree

No Survivorbiasincorporated delisting information from CRSP filings

Price/Beaver 2007 algorithm (http://richardp.rice.edu/research/delistings

R k d P/E

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V.5 Performance AnalysisOverv

$60,000

Value of $100 Invested

GRAM_SM GRAM_MID GRAM_lg

$50,000

$40,000

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V.5 Performance AnalysisOverv

Asset Pricing Model Alpha (annual) Rm-rf SMB

CAPM 4.91% 1.12

p-value** 0.0082 0.00003 Factor (FF) 0.42% 1.06 0.73 0p-value** 0.7625 0.0000 0.0000 0.

3 Factor (CZ) 6.21% 1.10 -value** 0.0014 0.00004 Factor 3.78% 1.00 0.74 0

p-value** 0.0025 0.0000 0.0000 5 Factor 3.60% 1.00 0.74 0 p-value** 0.0042 0.0000 0.0000

**Italics denotes p-values significant at the 5% level.

-

CAPM 4.97% 0.98

p-value** 0.0018 0.00003 Factor (FF) 1.58% 1.00 0.33 0

l ** 0 2631 0 0000 0 0000 0

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V.5 Performance AnalysisOverv

ar e yc e er ormance

GRAM_SM GRAM_MID GRAM

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V.5 Performance AnalysisRisk A

44%

60%

or - erm ven ress

GRAM_SM GRAM_MID

8%2%

20%

40%

19%

-13%

20%

-12%

-3% -2%

22%

-14%-20%

0%

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V.5 Performance AnalysisRisk A

Worst Case Scenario

GRAM_SM GRAM_MID GRAM

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V.5 Performance AnalysisRisk A

Risk/Return Relationsh

GRAM_SM GRAM_MID GRAM

18%

20%

22%

24%

owthRate(

%)

12%

14%

16%

AnnualGr

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V.5 Analysis by Portfolio Size

Market Capitalization benchmarked against

break oints

Range= 20%+

Portfolio Size

15, 20, 25, 30

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