Rivermore College

William N. Goetzmann, Yale School of Management, 2000

Roberta Tyler consultants to several university investment offices around the country. She specializes in asset allocation studies. She has accumulated performance figures from a number of different university endowments, as well as information about the typical stocks/bonds/cash mixtures common in the endowment universe. She practices a broad policy approach which means that she makes recommendations about allocations across asset classes, rather than about which managers to chose, or which stocks to pick.

Rivermore College is a small mid-western school with a $130 million endowment as of September 31, 1999. It has long had a fixed investment policy of 50% stocks, 20% Corporate Bonds 20% Government Bonds and 10% cash which has yielded a solid record of performance over the years 1980 through 1999. These are Reported in the table at the end of the document. Rivermore rebalances each year in order to maintain the fixed proportions. This requires, for instance, selling equities when they go up, and buying bonds after a down year. Their equity manager is a successful alumnus of the school who appears frequently on Wall Street Week, and is renowned as a cautious but consistent large-cap stock picker. The bond portfolio is managed by Stanley Morgan Capital, in New York. Most of Rivermore's assets are liquid. Occasionally, real estate donations have been made to the university, particularly in the form of bequests by wealthy alumni. These were generally liquidated in timely fashion, unless the property itself was useful to the college. The university itself is located in a prosperous residential section of town. Most of its buildings are neo-colonial, institutional structures, unsuited for conversion to homes. The university is in an unusual position of having a college art gallery with an extraordinary collection of Abstract Expressionist paintings. A 1999 valuation of the collection for insurance purposes estimated its worth at $200 million.

Enrollment at Rivermore has decreased steadily since its peak of 1550 students in 1995 to a low of 900 in 1999. Thus far, shortfalls in revenues caused by declining tuition have been offset by increased spending from endowment. Since 1980, the annual average spending from endowment has been 4% annually. In 1997 and 1998, the university had to spend 6% and 7%, respectively, and anticipate an additional $10 million for 1999. Contributions to the endowment have continued steadily at 2% per year. Since the role of the endowment has increased dramatically in the past few years, the university has decided to review its past performance and future contributions to the institution.

Howard Weaver is the chairman of the endowment committee for the board of trustees of Rivermore. He found out about Roberta Tyler from a friend of his who serves on the board of Nostradamus University. Nostradamus employed Tyler in 1992 to review the investment policy and to recommend an optimal portfolio mix. Tyler presented an asset mix for the Nostradamus endowment that changed their position in stocks from 50% to 60%, reducing their bond position to 40%. Should Rivermore consider a change in its long-standing investment policy? For that matter, how has the endowment, and its money managers performed over the period since 1980? Weaver decided to have Roberta Tyler and her company look into these issues.

Weaver was also concerned with how risks should be defined in the context of Rivermore's investments. He anticipated the need to continue the spending policy of 5% per year. He felt strongly that 5% represented a "floor" below which the portfolio return should not drop. He wanted Tyler to suggest a policy that minimized the probability of hitting this floor. Last, but not least, Weaver wanted to know whether the board should concern themselves with fundamental questions such as whether the endowment is adequate for the school's future needs. Can they continue their current policy? What if enrollment continues to decline?

In addition to these allocation decisions, Weaver wished to know whether the money managers closely followed the fixed stated objectives of the endowment. He asked Tyler whether there was a way to address this issue.

In preparation for his initial meeting with Tyler, Weaver prepared a list of basic issues he wished her to explore.

1) How well did the Rivermore portfolio perform over the 1980-1999 period? How should performance be measured? Are their managers performing well?

2) What benchmark return should they expect from their portfolio, given their current mix of assets? What benchmark return might they expect for their current level of risk? What is the lowest level of risk they should expect for their current level of historical return?

3) Should they consider changing their policy mix? What time period of estimation should they use as inputs to the optimization process?

4) What would be the long-term expected return of her recommended portfolio? How does this compare to the long term expected return of the current portfolio mix?

5) Use regression analysis to determine whether the historical weights on the asset classes match the policy weights.

When Roberta Tyler and Howard Weaver met, they discussed these basic issues in broad terms. She agreed to present the board with a preliminary report regarding past performance and future policy recommendations.

Assignment:

Prepare Tyler's preliminary report evaluating the policy mix of Rivermore, and succinctly address each of Weaver's questions. Include a preliminary asset mix in your report.

This will require calculating summary statistics and correlations for each series, as well as the use of a mean-variance optimizer. Use safety-first methods to recommend a portfolio that will meet the floor requirement.

Present a forceful argument for using your services, or for focusing on asset policy issues, rather than upon manager choices. Make a few succinct points that might help sway a board member skeptical of asset allocation methods.

A note on importing data to Ibbotson Time Series Editor:

To import Excel File, save as version 4 or earlier, and follow the instructions in Ibbotson Time-Series Editor help. That is, create user defined module to hold the new series'. Then import the series into the new module. The spreadsheet below or the one available for download in the syllabus should have the correct format to do this. The series in the new module should then be available to you to use in your analyzer and optimizer.

Historical Data

S&P 500 TR U.S. LT Corp TR U.S. LT Gvt TR U.S. 30 Day TBill TR 50-20-20-10 Portfolio Actual Rivermore Performance

Jan 1980 0.061030 -0.064500 -0.074090 0.007968 0.0035938 0.002949935

Feb 1980 0.003070 -0.066500 -0.046710 0.008858 -0.0202212 -0.008540077

Mar 1980 -0.098660 -0.006200 -0.031460 0.012054 -0.0556566 -0.0725389876

Apr 1980 0.042930 0.137600 0.152347 0.012556 0.08071 0.0556989881

May 1980 0.056210 0.056000 0.041875 0.008095 0.0484895 0.0981000414

Jun 1980 0.029570 0.034100 0.035854 0.006112 0.029387 0.0496345842

Jul 1980 0.067600 -0.042900 -0.047600 0.005281 0.0162281 0.0315016963

Aug 1980 0.013110 -0.044500 -0.043170 0.006388 -0.0103402 0.0300807952

Sep 1980 0.028060 -0.023700 -0.026160 0.007534 0.0048114 -0.0371431355

Oct 1980 0.018650 -0.015900 -0.026290 0.009505 0.0018375 0.0538245415

Nov 1980 0.109530 0.001700 0.010016 0.009570 0.0580652 0.0322813631

Dec 1980 -0.031510 0.024800 0.035152 0.013068 -0.0024578 0.0165279279

Jan 1981 -0.043800 -0.013000 -0.011520 0.010370 -0.025767 -0.0805942593

Feb 1981 0.020800 -0.026900 -0.043550 0.010691 -0.0026209 -0.019527391

Mar 1981 0.038000 0.031100 0.038422 0.012077 0.0341121 0.0940203713

Apr 1981 -0.021300 -0.076900 -0.051750 0.010756 -0.0353044 -0.0186949075

May 1981 0.006200 0.059500 0.062191 0.011544 0.0285926 0.0308218817

Jun 1981 -0.008000 0.002300 -0.017930 0.013475 -0.0057785 0.00011512

Jul 1981 0.000700 -0.037200 -0.035290 0.012398 -0.0129082 0.0350236176

Aug 1981 -0.055400 -0.034500 -0.038590 0.012804 -0.0410376 -0.0578978694

Sep 1981 -0.050200 -0.019900 -0.014490 0.012441 -0.0307339 -0.0450176975

Oct 1981 0.052800 0.052100 0.082901 0.012054 0.0546056 0.10471842173

Nov 1981 0.044100 0.126700 0.141003 0.010676 0.0766582 0.14446976819

Dec 1981 -0.026500 -0.058000 -0.071290 0.008738 -0.0382342 -0.0428517782

Jan 1982 -0.016300 -0.012900 0.004580 0.007958 -0.0090182 0.0342104642

Feb 1982 -0.051200 0.031200 0.018196 0.009238 -0.014797 -0.00178522

Mar 1982 -0.006000 0.030600 0.023094 0.009802 0.008719 -0.0144915815

Apr 1982 0.041400 0.033800 0.037339 0.011292 0.036057 0.0706789768

May 1982 -0.028800 0.024500 0.003402 0.010586 -0.007761 0.0558833163

Jun 1982 -0.017400 -0.046800 -0.022280 0.009573 -0.0215587 -0.028992507

Jul 1982 -0.021500 0.054000 0.050121 0.010507 0.0111249 0.05593656

Aug 1982 0.126700 0.083700 0.078084 0.007623 0.0964691 0.15560633919

Sep 1982 0.011000 0.062300 0.061833 0.005118 0.0308384 -0.0341825402

Oct 1982 0.112600 0.075900 0.063434 0.005901 0.0847569 0.0125210052

Nov 1982 0.043800 0.020100 -0.000200 0.006342 0.0265142 0.0270773526

Dec 1982 0.017300 0.010800 0.031179 0.006738 0.0177196 -0.0239018916

Jan 1983 0.034800 -0.009400 -0.030900 0.006864 0.0100264 0.0265288706

Feb 1983 0.026000 0.042800 0.049165 0.006186 0.0320116 0.0417362809

Mar 1983 0.036500 0.007200 -0.009390 0.006326 0.0184446 0.00579688

Apr 1983 0.075800 0.054800 0.034957 0.007140 0.0565654 0.008579211

May 1983 -0.005200 -0.032400 -0.038580 0.006907 -0.0161053 -0.001165382

Jun 1983 0.038200 -0.004600 0.003904 0.006661 0.0196269 0.008117169

Jul 1983 -0.031300 -0.045500 -0.048640 0.007402 -0.0337378 -0.0306250917

Aug 1983 0.017000 0.005100 0.001997 0.007616 0.010681 -0.0654100706

Sep 1983 0.013600 0.039200 0.050465 0.007607 0.0254937 0.001077844

Oct 1983 -0.013400 -0.002500 -0.013160 0.007611 -0.0090709 -0.0340756018

Nov 1983 0.023300 0.014200 0.018347 0.007035 0.0188629 0.0179671684

Dec 1983 -0.006100 -0.003300 -0.005870 0.007269 -0.0041571 -0.0131908936

Jan 1984 -0.006500 0.027000 0.024357 0.007589 0.0077803 -0.0398323407

Feb 1984 -0.032800 -0.017200 -0.017800 0.007137 -0.0226863 -0.0483960893

Mar 1984 0.017100 -0.023500 -0.015640 0.007280 0.00145 -0.0310762087

Apr 1984 0.006900 -0.007300 -0.010550 0.008139 0.0006939 0.0131087343

May 1984 -0.053400 -0.048300 -0.051610 0.007837 -0.0458983 -0.0999550092

Jun 1984 0.022100 0.019900 0.014972 0.007534 0.0187778 -0.016459931

Jul 1984 -0.014300 0.058600 0.069296 0.008185 0.0192477 0.009405791

Aug 1984 0.112500 0.030700 0.026643 0.008306 0.0685492 0.10268385393

Sep 1984 0.000200 0.031400 0.034250 0.008589 0.0140889 0.0735982469

Oct 1984 0.002600 0.057200 0.056087 0.009957 0.0249531 0.006373036

Nov 1984 -0.010100 0.021200 0.011800 0.007334 0.0022834 -0.0733530455

Dec 1984 0.025300 0.012800 0.009062 0.006426 0.017665 0.003452638

Jan 1985 0.076800 0.032500 0.036401 0.006474 0.0528276 0.0825430771

Feb 1985 0.013700 -0.037300 -0.049290 0.005781 -0.0098899 -0.045880477

Mar 1985 0.001800 0.017900 0.030685 0.006160 0.011233 0.0191653178

Apr 1985 -0.003200 0.029600 0.024232 0.007162 0.0098826 -0.0145163789

May 1985 0.061500 0.082000 0.089571 0.006634 0.0657276 0.0991908935

Jun 1985 0.015900 0.008300 0.014177 0.005546 0.013 0.00061077

Jul 1985 -0.002600 -0.012100 -0.017980 0.006246 -0.0066914 0.0180641972

Aug 1985 -0.006100 0.026000 0.025890 0.005502 0.0078782 0.0154298614

Sep 1985 -0.032100 0.007100 -0.002090 0.006049 -0.0144431 -0.0220213256

Oct 1985 0.044700 0.032900 0.033756 0.006488 0.03633 0.0460595313

Nov 1985 0.071600 0.037000 0.040134 0.006082 0.051835 0.0441096302

Dec 1985 0.046700 0.046900 0.054076 0.006504 0.0441956 0.068386878

Jan 1986 0.004400 0.004500 -0.002530 0.005590 0.003153 0.001324239

Feb 1986 0.076100 0.075200 0.114547 0.005296 0.076529 0.0460131676

Mar 1986 0.055400 0.025600 0.076972 0.005954 0.0488098 0.085489061

Apr 1986 -0.012400 0.001600 -0.007990 0.005208 -0.0069572 -0.0582568608

May 1986 0.054900 -0.016400 -0.050530 0.004934 0.0145574 0.0326726599

Jun 1986 0.016600 0.021800 0.061345 0.005246 0.0254536 0.0543286411

Jul 1986 -0.056900 0.003100 -0.010800 0.005200 -0.02947 -0.058701702

Aug 1986 0.074800 0.027500 0.049927 0.004600 0.0533454 0.0388897426

Sep 1986 -0.082200 -0.011400 -0.050010 0.004500 -0.052932 -0.0414222213

Oct 1986 0.055600 0.018900 0.028894 0.004645 0.0378233 0.0779779973

Nov 1986 0.025600 0.023300 0.026711 0.003904 0.0231926 0.053828281

Dec 1986 -0.026400 0.011700 -0.001750 0.004874 -0.0107226 -0.003588641

Jan 1987 0.134300 0.021600 0.016073 0.004151 0.0750997 0.0337036686

Feb 1987 0.041300 0.005800 0.020179 0.004314 0.0262772 0.093283046

Mar 1987 0.027200 -0.008700 -0.022250 0.004706 0.0078806 0.00875424

Apr 1987 -0.008800 -0.050200 -0.047300 0.004441 -0.0234559 -0.006187499

May 1987 0.010300 -0.005200 -0.010530 0.003760 0.00238 -0.0252086384

Jun 1987 0.049900 0.015500 0.009793 0.004819 0.0304905 0.0529843499

Jul 1987 0.049800 -0.011900 -0.017830 0.004573 0.0194113 0.045279298

Aug 1987 0.038500 -0.007500 -0.016450 0.004711 0.0149311 0.0674747055

Sep 1987 -0.022000 -0.042200 -0.036870 0.004521 -0.0263619 0.00142145

Oct 1987 -0.215200 0.050700 0.062282 0.005973 -0.0844063 -0.0755644507

Nov 1987 -0.081900 0.012500 0.003691 0.003452 -0.0373666 -0.008670662

Dec 1987 0.073800 0.021200 0.016534 0.003914 0.0448382 0.017593185

Jan 1988 0.042700 0.051700 0.066646 0.002942 0.0453134 0.0402862893

Feb 1988 0.047000 0.013800 0.005219 0.004556 0.0277594 0.0352943983

Mar 1988 -0.030200 -0.018800 -0.030670 0.004407 -0.0245533 0.0207578247

Apr 1988 0.010800 -0.014900 -0.015990 0.004616 -0.0003164 0.008170839

May 1988 0.007800 -0.005700 -0.010180 0.005053 0.0012293 0.0240771286

Jun 1988 0.046400 0.037900 0.036842 0.004853 0.0386337 0.0693679035

Jul 1988 -0.004000 -0.011100 -0.016960 0.005072 -0.0071048 -0.0356684321

Aug 1988 -0.033100 0.005400 0.005783 0.005938 -0.0137196 -0.009361236

Sep 1988 0.042400 0.032600 0.034478 0.006167 0.0352323 0.10515568634

Oct 1988 0.027300 0.027300 0.030752 0.006101 0.0258705 -0.001329452

Nov 1988 -0.014200 -0.016900 -0.019630 0.005662 -0.0138398 -0.0738014211

Dec 1988 0.018100 0.003900 0.010969 0.006341 0.0126579 0.041863329

Jan 1989 0.072300 0.020200 0.020327 0.005514 0.0448068 -0.0281150556

Feb 1989 -0.024900 -0.012900 -0.017920 0.006131 -0.0180009 -0.0802058387

Mar 1989 0.023600 0.006400 0.012238 0.006706 0.0161982 0.0319574786

Apr 1989 0.051600 0.021300 0.015896 0.006748 0.033914 0.0795285657

May 1989 0.040200 0.037900 0.040118 0.007873 0.0364909 0.0392384813

Jun 1989 -0.005400 0.039500 0.055017 0.007093 0.0169127 0.0533472599

Jul 1989 0.089800 0.017800 0.023778 0.006955 0.0539111 0.11647909442

Aug 1989 0.019300 -0.016300 -0.025860 0.007392 0.0019572 0.007812725

Sep 1989 -0.003900 0.004000 0.001934 0.006545 -0.0001087 0.005721738

Oct 1989 -0.023300 0.027600 0.037940 0.006765 0.0021345 0.0156637741

Nov 1989 0.020800 0.007000 0.007810 0.006866 0.0140486 0.0317972435

Dec 1989 0.023600 0.000600 -0.000630 0.006069 0.0124009 0.0313898372

Jan 1990 -0.067100 -0.019100 -0.034280 0.005670 -0.043659 -0.0360019975

Feb 1990 0.012900 -0.001200 -0.002470 0.005679 0.0062839 -0.005147208

Mar 1990 0.026300 -0.001100 -0.004380 0.006441 0.0126981 0.048550629

Apr 1990 -0.024700 -0.019100 -0.020200 0.006873 -0.0195227 0.004650844

May 1990 0.097500 0.038500 0.041523 0.006771 0.0654317 0.0576390734

Jun 1990 -0.007000 0.021600 0.023049 0.006251 0.0060549 -0.0337142552

Jul 1990 -0.003200 0.010200 0.010673 0.006771 0.0032517 -0.0176590856

Aug 1990 -0.090300 -0.029200 -0.041850 0.006572 -0.0587028 -0.081168491

Sep 1990 -0.049200 0.009100 0.011683 0.005984 -0.019845 -0.0139324184

Oct 1990 -0.003700 0.013200 0.021524 0.006818 0.0057766 -0.0368838274

Nov 1990 0.064400 0.028500 0.040201 0.005651 0.0465053 0.053602941

Dec 1990 0.027400 0.016700 0.018650 0.005989 0.0213689 0.0527966203

Jan 1991 0.044200 0.015000 0.013035 0.005177 0.0282247 0.0476490447

Feb 1991 0.071600 0.012100 0.003040 0.004767 0.0393047 0.0744016786

Mar 1991 0.023800 0.010800 0.003810 0.004391 0.0152611 0.0641310782

Apr 1991 0.002800 0.013800 0.014029 0.005335 0.0074993 0.0105876111

May 1991 0.042800 0.003900 0.000049 0.004721 0.0226619 0.0322115709

Jun 1991 -0.045700 -0.001800 -0.006320 0.004171 -0.0240569 -0.0305579713

Jul 1991 0.046800 0.016700 0.015745 0.004884 0.0303774 0.0900481918

Aug 1991 0.023500 0.027500 0.034041 0.004610 0.0245192 0.0214443955

Sep 1991 -0.016400 0.027100 0.030345 0.004558 0.0037448 0.006045759

Oct 1991 0.013400 0.004300 0.005438 0.004246 0.0090722 -0.0670620601

Nov 1991 -0.040400 0.010600 0.008199 0.003915 -0.0160487 0.007745915

Dec 1991 0.114300 0.043600 0.058081 0.003792 0.0778654 0.0478169901

Jan 1992 -0.018600 -0.017300 -0.032410 0.003391 -0.0189029 0.0261767305

Feb 1992 0.012800 0.009600 0.005106 0.002828 0.009624 -0.0322905677

Mar 1992 -0.019600 -0.007300 -0.009353 0.003376 -0.012793 -0.006276528

Apr 1992 0.029100 0.001600 0.001589 0.003249 0.0155127 -0.0495794309

May 1992 0.005400 0.025400 0.024259 0.002758 0.0129076 0.0259426859

Jun 1992 -0.014500 0.015600 0.020004 0.003201 0.0001909 0.0224376845

Jul 1992 0.040300 0.030800 0.039778 0.003077 0.0345733 0.0581565638

Aug 1992 -0.020200 0.009000 0.006688 0.002605 -0.0067019 0.0218778431

Sep 1992 0.011500 0.009900 0.018545 0.002573 0.0116963 -0.0288152704

Oct 1992 0.003600 -0.015600 -0.019810 0.002286 -0.0050534 0.0283408485

Nov 1992 0.033700 0.006900 0.000997 0.002346 0.018664 0.0298870088

Dec 1992 0.013100 0.022800 0.024607 0.002823 0.0163137 0.008611911

Jan 1993 0.007300 0.025000 0.028038 0.002335 0.0144911 0.0166676947

Feb 1993 0.013500 0.025600 0.035389 0.002209 0.0191687 0.0352698147

Mar 1993 0.021500 0.002500 0.002126 0.002538 0.011929 0.0365534225

Apr 1993 -0.024500 0.005200 0.007189 0.002372 -0.009535 -0.0266496989

May 1993 0.027000 0.002000 0.004657 0.002168 0.0150482 0.0108967898

Jun 1993 0.003300 0.029300 0.044868 0.002538 0.0167374 0.0277837445

Jul 1993 -0.004700 0.010000 0.019150 0.002402 0.0037202 0.0357090933

Aug 1993 0.038100 0.028700 0.043380 0.002504 0.0337164 0.0132952276

Sep 1993 -0.007400 0.004300 0.000523 0.002562 -0.0024792 -0.0215415305

Oct 1993 0.020300 0.005100 0.009635 0.002210 0.013318 0.009219084

Nov 1993 -0.009400 -0.018800 -0.025876 0.002491 -0.0133861 -0.0114041929

Dec 1993 0.012300 0.006700 0.001970 0.002263 0.0081103 0.007687967

Jan 1994 0.033500 0.020200 0.025732 0.002503 0.0261867 0.007138684

Feb 1994 -0.027000 -0.028600 -0.044958 0.002120 -0.0279996 -0.049396185

Mar 1994 -0.043500 -0.038300 -0.039497 0.002695 -0.0370399 -0.042175736

Apr 1994 0.013000 -0.009700 -0.015037 0.002711 0.0018237 0.0169557817

May 1994 0.016300 -0.006200 -0.008236 0.003150 0.0055778 -0.0770796484

Jun 1994 -0.024700 -0.008100 -0.010047 0.003118 -0.0156676 -0.003388011

Jul 1994 0.033100 0.030900 0.036331 0.002751 0.0302713 0.0551399435

Aug 1994 0.040700 -0.003100 -0.008567 0.003687 0.0183853 0.0500408744

Sep 1994 -0.024100 -0.026500 -0.033074 0.003659 -0.0235989 -0.006432711

Oct 1994 0.022900 -0.005000 -0.002450 0.003840 0.010344 0.0205819793

Nov 1994 -0.036700 0.001800 0.006612 0.003691 -0.0162985 -0.009267282

Dec 1994 0.014600 0.015700 0.016066 0.004430 0.0140962 0.0486308509

Jan 1995 0.026000 0.025600 0.027289 0.004156 0.0239934 0.0306105982

Feb 1995 0.038800 0.028900 0.028662 0.003983 0.0313107 0.0211986597

Mar 1995 0.029600 0.009500 0.009146 0.004619 0.0189911 0.0124979428

Apr 1995 0.029100 0.017500 0.016936 0.004450 0.0218822 0.0360647575

May 1995 0.039500 0.063100 0.079029 0.005355 0.0487113 -0.0305915452

Jun 1995 0.023500 0.007900 0.013883 0.004714 0.016578 -0.0366246916

Jul 1995 0.033300 -0.010100 -0.016771 0.004522 0.011728 -0.0209139845

Aug 1995 0.002700 0.021400 0.023614 0.004664 0.0108192 0.0390686504

Sep 1995 0.041900 0.015300 0.017483 0.004309 0.0279375 0.0812276384

Oct 1995 -0.003500 0.018500 0.029408 0.004714 0.008303 0.0330272761

Nov 1995 0.044000 0.024200 0.024925 0.004201 0.0322451 0.0112158969

Dec 1995 0.018500 0.022800 0.027188 0.004882 0.0197358 0.0560359599

Jan 1996 0.034400 0.001400 -0.001077 0.004278 0.0176924 -0.0209080856

Feb 1996 0.009600 -0.037300 -0.048250 0.003908 -0.0119192 0.002044028

Mar 1996 0.009600 -0.013000 -0.020995 0.003943 -0.0016047 0.0305540803

Apr 1996 0.014700 -0.016000 -0.016512 0.004579 0.0013055 0.008935588

May 1996 0.025800 0.000500 -0.005444 0.004232 0.0123344 0.0515759006

Jun 1996 0.004100 0.017200 0.020281 0.004000 0.0099462 -0.001322199

Jul 1996 -0.044500 0.001000 0.001757 0.004497 -0.0212489 0.0280403966

Aug 1996 0.021200 -0.007000 -0.013930 0.004122 0.0068262 -0.0319975241

Sep 1996 0.056200 0.025900 0.028979 0.004375 0.0395133 0.0590092289

Oct 1996 0.027400 0.036100 0.040376 0.004246 0.0294198 0.006191293

Nov 1996 0.075900 0.026300 0.035054 0.004068 0.0506276 0.0374307413

Dec 1996 -0.019600 -0.018600 -0.025577 0.004621 -0.0181733 -0.0475829099

Jan 1997 0.062100 -0.002800 -0.007926 0.004504 0.0293552 0.0543199473

Feb 1997 0.008100 0.002800 0.000514 0.003859 0.0050987 0.003394813

Mar 1997 -0.041600 -0.022100 -0.025206 0.004291 -0.0298321 -0.0493694735

Apr 1997 0.059700 0.018400 0.025523 0.004308 0.0390654 0.0520613528

May 1997 0.061400 0.012800 0.009693 0.004934 0.035692 0.011241323

Jun 1997 0.044600 0.018700 0.019477 0.003692 0.0303046 0.0437617951

Jul 1997 0.079400 0.052800 0.062555 0.004289 0.0631999 0.10597111095

Aug 1997 -0.055600 -0.024000 -0.031749 0.004108 -0.038539 -0.0366364997

Sep 1997 0.054770 0.022600 0.031591 0.004440

	S&P 500 TR	U.S. LT Corp TR	U.S. LT Gvt TR	U.S. 30 Day TBill TR	50-20-20-10 Portfolio	Actual Rivermore Performance
Jan 1980	0.061030	-0.064500	-0.074090	0.007968	0.0035938	0.002949935
Feb 1980	0.003070	-0.066500	-0.046710	0.008858	-0.0202212	-0.008540077
Mar 1980	-0.098660	-0.006200	-0.031460	0.012054	-0.0556566	-0.0725389876
Apr 1980	0.042930	0.137600	0.152347	0.012556	0.08071	0.0556989881
May 1980	0.056210	0.056000	0.041875	0.008095	0.0484895	0.0981000414
Jun 1980	0.029570	0.034100	0.035854	0.006112	0.029387	0.0496345842
Jul 1980	0.067600	-0.042900	-0.047600	0.005281	0.0162281	0.0315016963
Aug 1980	0.013110	-0.044500	-0.043170	0.006388	-0.0103402	0.0300807952
Sep 1980	0.028060	-0.023700	-0.026160	0.007534	0.0048114	-0.0371431355
Oct 1980	0.018650	-0.015900	-0.026290	0.009505	0.0018375	0.0538245415
Nov 1980	0.109530	0.001700	0.010016	0.009570	0.0580652	0.0322813631
Dec 1980	-0.031510	0.024800	0.035152	0.013068	-0.0024578	0.0165279279
Jan 1981	-0.043800	-0.013000	-0.011520	0.010370	-0.025767	-0.0805942593
Feb 1981	0.020800	-0.026900	-0.043550	0.010691	-0.0026209	-0.019527391
Mar 1981	0.038000	0.031100	0.038422	0.012077	0.0341121	0.0940203713
Apr 1981	-0.021300	-0.076900	-0.051750	0.010756	-0.0353044	-0.0186949075
May 1981	0.006200	0.059500	0.062191	0.011544	0.0285926	0.0308218817
Jun 1981	-0.008000	0.002300	-0.017930	0.013475	-0.0057785	0.00011512
Jul 1981	0.000700	-0.037200	-0.035290	0.012398	-0.0129082	0.0350236176
Aug 1981	-0.055400	-0.034500	-0.038590	0.012804	-0.0410376	-0.0578978694
Sep 1981	-0.050200	-0.019900	-0.014490	0.012441	-0.0307339	-0.0450176975
Oct 1981	0.052800	0.052100	0.082901	0.012054	0.0546056	0.10471842173
Nov 1981	0.044100	0.126700	0.141003	0.010676	0.0766582	0.14446976819
Dec 1981	-0.026500	-0.058000	-0.071290	0.008738	-0.0382342	-0.0428517782
Jan 1982	-0.016300	-0.012900	0.004580	0.007958	-0.0090182	0.0342104642
Feb 1982	-0.051200	0.031200	0.018196	0.009238	-0.014797	-0.00178522
Mar 1982	-0.006000	0.030600	0.023094	0.009802	0.008719	-0.0144915815
Apr 1982	0.041400	0.033800	0.037339	0.011292	0.036057	0.0706789768
May 1982	-0.028800	0.024500	0.003402	0.010586	-0.007761	0.0558833163
Jun 1982	-0.017400	-0.046800	-0.022280	0.009573	-0.0215587	-0.028992507
Jul 1982	-0.021500	0.054000	0.050121	0.010507	0.0111249	0.05593656
Aug 1982	0.126700	0.083700	0.078084	0.007623	0.0964691	0.15560633919
Sep 1982	0.011000	0.062300	0.061833	0.005118	0.0308384	-0.0341825402
Oct 1982	0.112600	0.075900	0.063434	0.005901	0.0847569	0.0125210052
Nov 1982	0.043800	0.020100	-0.000200	0.006342	0.0265142	0.0270773526
Dec 1982	0.017300	0.010800	0.031179	0.006738	0.0177196	-0.0239018916
Jan 1983	0.034800	-0.009400	-0.030900	0.006864	0.0100264	0.0265288706
Feb 1983	0.026000	0.042800	0.049165	0.006186	0.0320116	0.0417362809
Mar 1983	0.036500	0.007200	-0.009390	0.006326	0.0184446	0.00579688
Apr 1983	0.075800	0.054800	0.034957	0.007140	0.0565654	0.008579211
May 1983	-0.005200	-0.032400	-0.038580	0.006907	-0.0161053	-0.001165382
Jun 1983	0.038200	-0.004600	0.003904	0.006661	0.0196269	0.008117169
Jul 1983	-0.031300	-0.045500	-0.048640	0.007402	-0.0337378	-0.0306250917
Aug 1983	0.017000	0.005100	0.001997	0.007616	0.010681	-0.0654100706
Sep 1983	0.013600	0.039200	0.050465	0.007607	0.0254937	0.001077844
Oct 1983	-0.013400	-0.002500	-0.013160	0.007611	-0.0090709	-0.0340756018
Nov 1983	0.023300	0.014200	0.018347	0.007035	0.0188629	0.0179671684
Dec 1983	-0.006100	-0.003300	-0.005870	0.007269	-0.0041571	-0.0131908936
Jan 1984	-0.006500	0.027000	0.024357	0.007589	0.0077803	-0.0398323407
Feb 1984	-0.032800	-0.017200	-0.017800	0.007137	-0.0226863	-0.0483960893
Mar 1984	0.017100	-0.023500	-0.015640	0.007280	0.00145	-0.0310762087
Apr 1984	0.006900	-0.007300	-0.010550	0.008139	0.0006939	0.0131087343
May 1984	-0.053400	-0.048300	-0.051610	0.007837	-0.0458983	-0.0999550092
Jun 1984	0.022100	0.019900	0.014972	0.007534	0.0187778	-0.016459931
Jul 1984	-0.014300	0.058600	0.069296	0.008185	0.0192477	0.009405791
Aug 1984	0.112500	0.030700	0.026643	0.008306	0.0685492	0.10268385393
Sep 1984	0.000200	0.031400	0.034250	0.008589	0.0140889	0.0735982469
Oct 1984	0.002600	0.057200	0.056087	0.009957	0.0249531	0.006373036
Nov 1984	-0.010100	0.021200	0.011800	0.007334	0.0022834	-0.0733530455
Dec 1984	0.025300	0.012800	0.009062	0.006426	0.017665	0.003452638
Jan 1985	0.076800	0.032500	0.036401	0.006474	0.0528276	0.0825430771
Feb 1985	0.013700	-0.037300	-0.049290	0.005781	-0.0098899	-0.045880477
Mar 1985	0.001800	0.017900	0.030685	0.006160	0.011233	0.0191653178
Apr 1985	-0.003200	0.029600	0.024232	0.007162	0.0098826	-0.0145163789
May 1985	0.061500	0.082000	0.089571	0.006634	0.0657276	0.0991908935
Jun 1985	0.015900	0.008300	0.014177	0.005546	0.013	0.00061077
Jul 1985	-0.002600	-0.012100	-0.017980	0.006246	-0.0066914	0.0180641972
Aug 1985	-0.006100	0.026000	0.025890	0.005502	0.0078782	0.0154298614
Sep 1985	-0.032100	0.007100	-0.002090	0.006049	-0.0144431	-0.0220213256
Oct 1985	0.044700	0.032900	0.033756	0.006488	0.03633	0.0460595313
Nov 1985	0.071600	0.037000	0.040134	0.006082	0.051835	0.0441096302
Dec 1985	0.046700	0.046900	0.054076	0.006504	0.0441956	0.068386878
Jan 1986	0.004400	0.004500	-0.002530	0.005590	0.003153	0.001324239
Feb 1986	0.076100	0.075200	0.114547	0.005296	0.076529	0.0460131676
Mar 1986	0.055400	0.025600	0.076972	0.005954	0.0488098	0.085489061
Apr 1986	-0.012400	0.001600	-0.007990	0.005208	-0.0069572	-0.0582568608
May 1986	0.054900	-0.016400	-0.050530	0.004934	0.0145574	0.0326726599
Jun 1986	0.016600	0.021800	0.061345	0.005246	0.0254536	0.0543286411
Jul 1986	-0.056900	0.003100	-0.010800	0.005200	-0.02947	-0.058701702
Aug 1986	0.074800	0.027500	0.049927	0.004600	0.0533454	0.0388897426
Sep 1986	-0.082200	-0.011400	-0.050010	0.004500	-0.052932	-0.0414222213
Oct 1986	0.055600	0.018900	0.028894	0.004645	0.0378233	0.0779779973
Nov 1986	0.025600	0.023300	0.026711	0.003904	0.0231926	0.053828281
Dec 1986	-0.026400	0.011700	-0.001750	0.004874	-0.0107226	-0.003588641
Jan 1987	0.134300	0.021600	0.016073	0.004151	0.0750997	0.0337036686
Feb 1987	0.041300	0.005800	0.020179	0.004314	0.0262772	0.093283046
Mar 1987	0.027200	-0.008700	-0.022250	0.004706	0.0078806	0.00875424
Apr 1987	-0.008800	-0.050200	-0.047300	0.004441	-0.0234559	-0.006187499
May 1987	0.010300	-0.005200	-0.010530	0.003760	0.00238	-0.0252086384
Jun 1987	0.049900	0.015500	0.009793	0.004819	0.0304905	0.0529843499
Jul 1987	0.049800	-0.011900	-0.017830	0.004573	0.0194113	0.045279298
Aug 1987	0.038500	-0.007500	-0.016450	0.004711	0.0149311	0.0674747055
Sep 1987	-0.022000	-0.042200	-0.036870	0.004521	-0.0263619	0.00142145
Oct 1987	-0.215200	0.050700	0.062282	0.005973	-0.0844063	-0.0755644507
Nov 1987	-0.081900	0.012500	0.003691	0.003452	-0.0373666	-0.008670662
Dec 1987	0.073800	0.021200	0.016534	0.003914	0.0448382	0.017593185
Jan 1988	0.042700	0.051700	0.066646	0.002942	0.0453134	0.0402862893
Feb 1988	0.047000	0.013800	0.005219	0.004556	0.0277594	0.0352943983
Mar 1988	-0.030200	-0.018800	-0.030670	0.004407	-0.0245533	0.0207578247
Apr 1988	0.010800	-0.014900	-0.015990	0.004616	-0.0003164	0.008170839
May 1988	0.007800	-0.005700	-0.010180	0.005053	0.0012293	0.0240771286
Jun 1988	0.046400	0.037900	0.036842	0.004853	0.0386337	0.0693679035
Jul 1988	-0.004000	-0.011100	-0.016960	0.005072	-0.0071048	-0.0356684321
Aug 1988	-0.033100	0.005400	0.005783	0.005938	-0.0137196	-0.009361236
Sep 1988	0.042400	0.032600	0.034478	0.006167	0.0352323	0.10515568634
Oct 1988	0.027300	0.027300	0.030752	0.006101	0.0258705	-0.001329452
Nov 1988	-0.014200	-0.016900	-0.019630	0.005662	-0.0138398	-0.0738014211
Dec 1988	0.018100	0.003900	0.010969	0.006341	0.0126579	0.041863329
Jan 1989	0.072300	0.020200	0.020327	0.005514	0.0448068	-0.0281150556
Feb 1989	-0.024900	-0.012900	-0.017920	0.006131	-0.0180009	-0.0802058387
Mar 1989	0.023600	0.006400	0.012238	0.006706	0.0161982	0.0319574786
Apr 1989	0.051600	0.021300	0.015896	0.006748	0.033914	0.0795285657
May 1989	0.040200	0.037900	0.040118	0.007873	0.0364909	0.0392384813
Jun 1989	-0.005400	0.039500	0.055017	0.007093	0.0169127	0.0533472599
Jul 1989	0.089800	0.017800	0.023778	0.006955	0.0539111	0.11647909442
Aug 1989	0.019300	-0.016300	-0.025860	0.007392	0.0019572	0.007812725
Sep 1989	-0.003900	0.004000	0.001934	0.006545	-0.0001087	0.005721738
Oct 1989	-0.023300	0.027600	0.037940	0.006765	0.0021345	0.0156637741
Nov 1989	0.020800	0.007000	0.007810	0.006866	0.0140486	0.0317972435
Dec 1989	0.023600	0.000600	-0.000630	0.006069	0.0124009	0.0313898372
Jan 1990	-0.067100	-0.019100	-0.034280	0.005670	-0.043659	-0.0360019975
Feb 1990	0.012900	-0.001200	-0.002470	0.005679	0.0062839	-0.005147208
Mar 1990	0.026300	-0.001100	-0.004380	0.006441	0.0126981	0.048550629
Apr 1990	-0.024700	-0.019100	-0.020200	0.006873	-0.0195227	0.004650844
May 1990	0.097500	0.038500	0.041523	0.006771	0.0654317	0.0576390734
Jun 1990	-0.007000	0.021600	0.023049	0.006251	0.0060549	-0.0337142552
Jul 1990	-0.003200	0.010200	0.010673	0.006771	0.0032517	-0.0176590856
Aug 1990	-0.090300	-0.029200	-0.041850	0.006572	-0.0587028	-0.081168491
Sep 1990	-0.049200	0.009100	0.011683	0.005984	-0.019845	-0.0139324184
Oct 1990	-0.003700	0.013200	0.021524	0.006818	0.0057766	-0.0368838274
Nov 1990	0.064400	0.028500	0.040201	0.005651	0.0465053	0.053602941
Dec 1990	0.027400	0.016700	0.018650	0.005989	0.0213689	0.0527966203
Jan 1991	0.044200	0.015000	0.013035	0.005177	0.0282247	0.0476490447
Feb 1991	0.071600	0.012100	0.003040	0.004767	0.0393047	0.0744016786
Mar 1991	0.023800	0.010800	0.003810	0.004391	0.0152611	0.0641310782
Apr 1991	0.002800	0.013800	0.014029	0.005335	0.0074993	0.0105876111
May 1991	0.042800	0.003900	0.000049	0.004721	0.0226619	0.0322115709
Jun 1991	-0.045700	-0.001800	-0.006320	0.004171	-0.0240569	-0.0305579713
Jul 1991	0.046800	0.016700	0.015745	0.004884	0.0303774	0.0900481918
Aug 1991	0.023500	0.027500	0.034041	0.004610	0.0245192	0.0214443955
Sep 1991	-0.016400	0.027100	0.030345	0.004558	0.0037448	0.006045759
Oct 1991	0.013400	0.004300	0.005438	0.004246	0.0090722	-0.0670620601
Nov 1991	-0.040400	0.010600	0.008199	0.003915	-0.0160487	0.007745915
Dec 1991	0.114300	0.043600	0.058081	0.003792	0.0778654	0.0478169901
Jan 1992	-0.018600	-0.017300	-0.032410	0.003391	-0.0189029	0.0261767305
Feb 1992	0.012800	0.009600	0.005106	0.002828	0.009624	-0.0322905677
Mar 1992	-0.019600	-0.007300	-0.009353	0.003376	-0.012793	-0.006276528
Apr 1992	0.029100	0.001600	0.001589	0.003249	0.0155127	-0.0495794309
May 1992	0.005400	0.025400	0.024259	0.002758	0.0129076	0.0259426859
Jun 1992	-0.014500	0.015600	0.020004	0.003201	0.0001909	0.0224376845
Jul 1992	0.040300	0.030800	0.039778	0.003077	0.0345733	0.0581565638
Aug 1992	-0.020200	0.009000	0.006688	0.002605	-0.0067019	0.0218778431
Sep 1992	0.011500	0.009900	0.018545	0.002573	0.0116963	-0.0288152704
Oct 1992	0.003600	-0.015600	-0.019810	0.002286	-0.0050534	0.0283408485
Nov 1992	0.033700	0.006900	0.000997	0.002346	0.018664	0.0298870088
Dec 1992	0.013100	0.022800	0.024607	0.002823	0.0163137	0.008611911
Jan 1993	0.007300	0.025000	0.028038	0.002335	0.0144911	0.0166676947
Feb 1993	0.013500	0.025600	0.035389	0.002209	0.0191687	0.0352698147
Mar 1993	0.021500	0.002500	0.002126	0.002538	0.011929	0.0365534225
Apr 1993	-0.024500	0.005200	0.007189	0.002372	-0.009535	-0.0266496989
May 1993	0.027000	0.002000	0.004657	0.002168	0.0150482	0.0108967898
Jun 1993	0.003300	0.029300	0.044868	0.002538	0.0167374	0.0277837445
Jul 1993	-0.004700	0.010000	0.019150	0.002402	0.0037202	0.0357090933
Aug 1993	0.038100	0.028700	0.043380	0.002504	0.0337164	0.0132952276
Sep 1993	-0.007400	0.004300	0.000523	0.002562	-0.0024792	-0.0215415305
Oct 1993	0.020300	0.005100	0.009635	0.002210	0.013318	0.009219084
Nov 1993	-0.009400	-0.018800	-0.025876	0.002491	-0.0133861	-0.0114041929
Dec 1993	0.012300	0.006700	0.001970	0.002263	0.0081103	0.007687967
Jan 1994	0.033500	0.020200	0.025732	0.002503	0.0261867	0.007138684
Feb 1994	-0.027000	-0.028600	-0.044958	0.002120	-0.0279996	-0.049396185
Mar 1994	-0.043500	-0.038300	-0.039497	0.002695	-0.0370399	-0.042175736
Apr 1994	0.013000	-0.009700	-0.015037	0.002711	0.0018237	0.0169557817
May 1994	0.016300	-0.006200	-0.008236	0.003150	0.0055778	-0.0770796484
Jun 1994	-0.024700	-0.008100	-0.010047	0.003118	-0.0156676	-0.003388011
Jul 1994	0.033100	0.030900	0.036331	0.002751	0.0302713	0.0551399435
Aug 1994	0.040700	-0.003100	-0.008567	0.003687	0.0183853	0.0500408744
Sep 1994	-0.024100	-0.026500	-0.033074	0.003659	-0.0235989	-0.006432711
Oct 1994	0.022900	-0.005000	-0.002450	0.003840	0.010344	0.0205819793
Nov 1994	-0.036700	0.001800	0.006612	0.003691	-0.0162985	-0.009267282
Dec 1994	0.014600	0.015700	0.016066	0.004430	0.0140962	0.0486308509
Jan 1995	0.026000	0.025600	0.027289	0.004156	0.0239934	0.0306105982
Feb 1995	0.038800	0.028900	0.028662	0.003983	0.0313107	0.0211986597
Mar 1995	0.029600	0.009500	0.009146	0.004619	0.0189911	0.0124979428
Apr 1995	0.029100	0.017500	0.016936	0.004450	0.0218822	0.0360647575
May 1995	0.039500	0.063100	0.079029	0.005355	0.0487113	-0.0305915452
Jun 1995	0.023500	0.007900	0.013883	0.004714	0.016578	-0.0366246916
Jul 1995	0.033300	-0.010100	-0.016771	0.004522	0.011728	-0.0209139845
Aug 1995	0.002700	0.021400	0.023614	0.004664	0.0108192	0.0390686504
Sep 1995	0.041900	0.015300	0.017483	0.004309	0.0279375	0.0812276384
Oct 1995	-0.003500	0.018500	0.029408	0.004714	0.008303	0.0330272761
Nov 1995	0.044000	0.024200	0.024925	0.004201	0.0322451	0.0112158969
Dec 1995	0.018500	0.022800	0.027188	0.004882	0.0197358	0.0560359599
Jan 1996	0.034400	0.001400	-0.001077	0.004278	0.0176924	-0.0209080856
Feb 1996	0.009600	-0.037300	-0.048250	0.003908	-0.0119192	0.002044028
Mar 1996	0.009600	-0.013000	-0.020995	0.003943	-0.0016047	0.0305540803
Apr 1996	0.014700	-0.016000	-0.016512	0.004579	0.0013055	0.008935588
May 1996	0.025800	0.000500	-0.005444	0.004232	0.0123344	0.0515759006
Jun 1996	0.004100	0.017200	0.020281	0.004000	0.0099462	-0.001322199
Jul 1996	-0.044500	0.001000	0.001757	0.004497	-0.0212489	0.0280403966
Aug 1996	0.021200	-0.007000	-0.013930	0.004122	0.0068262	-0.0319975241
Sep 1996	0.056200	0.025900	0.028979	0.004375	0.0395133	0.0590092289
Oct 1996	0.027400	0.036100	0.040376	0.004246	0.0294198	0.006191293
Nov 1996	0.075900	0.026300	0.035054	0.004068	0.0506276	0.0374307413
Dec 1996	-0.019600	-0.018600	-0.025577	0.004621	-0.0181733	-0.0475829099
Jan 1997	0.062100	-0.002800	-0.007926	0.004504	0.0293552	0.0543199473
Feb 1997	0.008100	0.002800	0.000514	0.003859	0.0050987	0.003394813
Mar 1997	-0.041600	-0.022100	-0.025206	0.004291	-0.0298321	-0.0493694735
Apr 1997	0.059700	0.018400	0.025523	0.004308	0.0390654	0.0520613528
May 1997	0.061400	0.012800	0.009693	0.004934	0.035692	0.011241323
Jun 1997	0.044600	0.018700	0.019477	0.003692	0.0303046	0.0437617951
Jul 1997	0.079400	0.052800	0.062555	0.004289	0.0631999	0.10597111095
Aug 1997	-0.055600	-0.024000	-0.031749	0.004108	-0.038539	-0.0366364997
Sep 1997	0.054770	0.022600	0.031591	0.004440