COMPREHENSIVE TABLES for Factor Inversion: When Up Is Down, Good Is Bad, Dumb Is Smart, and Right Is Wrong

Table CT1 – Portfolio123 Basic: Growth Ranking System, Quintile Annual % Performance

1 Worst 2 3 4 5 Best Best – Worst Mid – Worst Best – Mid
1999 23.7 20 10.4 15 26.4 2.7 -8.6 11.3
2000 -19 -16.5 -1.9 5.6 9.5 28.5 14.7 13.8
2001 12.7 11.3 16.8 11.8 9.4 -3.3 0.6 -3.9
2002 -29.2 -24.7 -20.7 -10.8 -10.2 19.0 10.5 8.5
2003 52.4 47.6 48.4 44.8 52.3 -0.1 -5.5 5.4
2004 16 19.1 17.2 18.6 19.8 3.8 2.3 1.5
2005 0.9 6 8.4 14.1 15.8 14.9 8.6 6.3
2006 18.2 15.8 16 16.5 13.7 -4.5 -2.1 -2.4
2007 -12.3 -8.6 -3.2 1.2 7.5 19.8 8.8 11.0
2008 -42.1 -35.6 -34.3 -34 -40.9 1.2 7.5 -6.3
2009 62.9 52.5 50.6 40 39.5 -23.4 -15.2 -8.2
2010 21 28.2 23.6 24.3 30.1 9.1 4.4 4.7
2011 -12.1 -6.5 -4.1 0.5 -2.3 9.8 8.7 1.1
2012 10 14.3 15.6 19.1 14.6 4.6 6.3 -1.7
2013 36.9 36.9 41.5 40.6 42.1 5.2 2.8 2.4
2014 2.7 4.4 7.5 9.7 8.8 6.1 4.5 1.6
2015 -14.5 -9.8 -6.8 -2.1 -0.2 14.3 8.3 6.0
2016 30.4 22.9 26.2 24.3 21.8 -8.6 -5.9 -2.7
2017 15.1 14.1 14.8 15.7 20.4 5.3 -0.2 5.5
YTD 2018 -2.2 -5.4 -1.9 -4 -6.7 -4.5 -1.6 -2.9

Table CT2 – Portfolio123 Basic: Momentum Ranking System, Quintile Annual % Performance

1 Worst 2 3 4 5 Best Best – Worst Mid – Worst Best – Mid
1999 18.1 6.4 5.3 11.1 59.0 40.9 -10.5 51.4
2000 -38.1 -16.4 1.4 10.7 19.8 57.9 36.7 21.2
2001 7.6 12.3 19.5 11.8 6.4 -1.2 6.9 -8.1
2002 -29.7 -20.1 -14.9 -13.3 -19.8 9.9 13.6 -3.7
2003 59.2 44.3 41.4 44.9 56.2 -3.0 -15.7 12.7
2004 21.6 16.1 20.3 19.3 13.7 -7.9 -3.0 -4.9
2005 1.5 4.5 8.2 12.5 18.4 16.9 6.9 10.0
2006 19.4 17.2 15.4 16.7 11.7 -7.7 -3.0 -4.7
2007 -15.6 -12 -3.1 2.3 13.7 29.3 11.3 18.0
2008 -42.8 -39.2 -34 -36.8 -35.6 7.2 6.1 1.1
2009 100.8 64.3 45.3 34.8 23.9 -76.9 -52.7 -24.2
2010 34.1 26.6 22.6 23.1 21.5 -12.6 -10.0 -2.6
2011 -13.4 -4.4 -3.5 0.6 -4 9.4 11.0 -1.6
2012 14.8 17 15.4 13.7 12.9 -1.9 0.6 -2.5
2013 37.1 36.1 38.1 42.9 43.9 6.8 1.9 4.9
2014 -0.5 8.5 10.4 7.6 6.6 7.1 9.3 -2.2
2015 -19 -9.6 -3.8 -1 -0.2 18.8 14.2 4.6
2016 35.3 22.9 24.4 25.1 19 -16.3 -11.2 -5.1
2017 16.1 17.3 16.9 13.7 16 -0.1 -0.1 0.0
YTD 2018 -8.8 -8.4 -5.1 -0.4 2.4 11.2 4.2 7.0

Table CT3 – Portfolio123 Basic: Quality Ranking System, Quintile Annual % Performance

1 Worst 2 3 4 5 Best Best – Worst Mid – Worst Best – Mid
1999 37.9 13 7.7 16 21.9 -16.0 -25.7 9.7
2000 -41.7 -1.4 10.7 6.1 5.9 47.6 46.8 0.8
2001 -10.2 14.5 18.3 17.6 20 30.2 27.0 3.2
2002 -43.6 -21.3 -13.3 -10.6 -7.6 36.0 28.5 7.5
2003 66 52.6 45.6 46 39.3 -26.7 -17.9 -8.8
2004 12 17.2 20.5 20.4 20.3 8.3 7.4 0.9
2005 0.1 6.4 12.9 12.3 12.7 12.6 10.4 2.2
2006 14.1 20.3 18 14.7 13.3 -0.8 3.6 -4.4
2007 -11.4 -12.4 -2.7 6.3 4.7 16.1 8.5 7.6
2008 -47.2 -40.9 -36.1 -31.7 -31.4 15.8 11.0 4.8
2009 42 48.7 52.6 50.5 47.2 5.2 8.6 -3.4
2010 21.2 28.5 26.4 25.9 24.7 3.5 5.7 -2.2
2011 -18.1 -7.3 -2.1 -0.8 3.1 21.2 14.7 6.5
2012 14.9 16.8 13.9 17.3 11.2 -3.7 1.1 -4.8
2013 35.6 40.3 38.5 44.1 39.3 3.7 5.4 -1.7
2014 4.1 7.8 5 7.3 8.7 4.6 2.6 2.0
2015 -11.6 -7.4 -6.9 -4.7 -3.4 8.2 5.3 2.9
2016 15.5 32 30.2 23.7 22.4 6.9 13.1 -6.2
2017 15.9 11.8 15.5 17.6 19.2 3.3 -0.9 4.2
YTD 2018 -8.3 -2.5 -3.6 -3.7 -2.4 5.9 5.0 0.9

Table CT4 – Portfolio123 Basic: Sentiment Ranking System, Quintile Annual % Performance

1 Worst 2 3 4 5 Best Best – Worst Mid – Worst Best – Mid
1999 16.4 13.2 15.8 10 28.3 11.9 -3.4 15.3
2000 -3.2 -7.1 -2.2 1 -12.8 -9.6 0.4 -10.0
2001 12.6 17.2 9.4 13.6 9.7 -2.9 0.8 -3.7
2002 -12.9 -26.4 -24.3 -19.4 -12.1 0.8 -10.5 11.3
2003 46.9 50 44.4 46.1 57.8 10.9 -0.1 11.0
2004 20.2 17.4 15.1 17.2 20.9 0.7 -3.6 4.3
2005 2.9 7.6 9.1 9.2 16.2 13.3 5.7 7.6
2006 18.1 13.7 17.4 15.6 15.7 -2.4 -2.5 0.1
2007 -9.8 -7.8 -4.5 -0.2 6.6 16.4 5.6 10.8
2008 -37.4 -39.4 -37.6 -37.2 -35.6 1.8 -0.7 2.5
2009 46 57.3 53.5 45.7 40.9 -5.1 6.2 -11.3
2010 20.6 26.3 25.3 25.1 29.6 9.0 5.0 4.0
2011 -11.1 -7.7 -3.3 -2.4 0 11.1 6.6 4.5
2012 9.7 15.9 15.5 16.5 16 6.3 6.3 0.0
2013 34.3 40.8 37.8 40.5 44.7 10.4 5.4 5.0
2014 3.9 5.9 4.1 8.4 10.7 6.8 2.2 4.6
2015 -11.6 -10.8 -5.5 -3.9 -1.8 9.8 4.9 4.9
2016 31.5 24.5 22.9 19.2 27.8 -3.7 -9.3 5.6
2017 11.6 13.3 17.8 17.1 20.7 9.1 4.5 4.6
YTD 2018 -2 -4 -5.6 -3.8 -4.9 -2.9 -2.5 -0.4

Table CT5 – Portfolio123 Basic: Value Ranking System, Quintile Annual % Performance

1 Worst 2 3 4 5 Best Best – Worst Mid – Worst Best – Mid
1999 82.3 18.3 5.4 2.5 -1.2 -83.5 -73.6 -9.9
2000 -36 -21.6 7.2 12.2 12.2 48.2 35.3 12.9
2001 -19.6 2.6 16.2 23.6 47 66.6 33.7 32.9
2002 -43.7 -27.4 -11.3 -5.6 -1.6 42.1 28.9 13.2
2003 48.1 47.1 50.7 41.8 57.1 9.0 -1.6 10.6
2004 5 13.4 18.6 24.4 29.9 24.9 13.8 11.1
2005 6.7 6.9 7.2 10.6 13.2 6.5 1.5 5.0
2006 6.5 14.2 18.7 20.5 20.6 14.1 11.3 2.8
2007 3.7 4 -2.4 -4.5 -16 -19.7 -4.7 -15.0
2008 -41.8 -35.4 -36.8 -36.4 -37.1 4.7 5.6 -0.9
2009 32.7 34.7 46.5 57.5 74.3 41.6 13.5 28.1
2010 24 24 23 26.6 29.4 5.4 0.5 4.9
2011 -6.7 -8 -4.6 -2.3 -3.1 3.6 1.7 1.9
2012 6.6 13.7 14.9 17.4 21.2 14.6 8.7 5.9
2013 36.6 32.9 37.2 40.7 50.6 14.0 0.3 13.7
2014 6.5 6.3 5 6.2 8.8 2.3 -0.7 3.0
2015 -3.8 -6.8 -8.5 -7.4 -7.4 -3.6 -3.8 0.2
2016 7.1 24 27.6 30.7 36.5 29.4 20.3 9.1
2017 26.6 13.8 13.6 14 12.8 -13.8 -12.8 -1.0
YTD 2018 2.5 -1.3 -6.4 -5.6 -9.2 -11.7 -6.9 -4.8

Table CT6 – Chaikin Power Gauge Ranking System, Quintile Annual % Performance

1 Worst 2 3 4 5 Best Best – Worst Mid – Worst Best – Mid
1999 21.8 19.9 19.4 14.8 18.9 -2.9 -3.8 0.9
2000 25.6 -8.6 -3.2 -1.9 19.2 -6.4 -30.2 23.8
2001 -10.2 2.5 12.1 24.0 36.3 46.5 23.1 23.4
2002 -36.9 -29.0 -16.8 -11.2 1.4 38.3 17.9 20.4
2003 39.8 46.5 47.0 50.1 62.7 22.9 8.1 14.8
2004 11.4 17.0 17.0 17.6 28.0 16.6 5.8 10.8
2005 3.4 6.0 9.9 10.2 15.7 12.3 5.3 7.0
2006 9.3 15.1 15.6 18.8 21.9 12.6 7.2 5.4
2007 -6.0 -6.9 -6.0 0.0 2.8 8.8 1.7 7.1
2008 -41.4 -36.4 -38.8 -36.0 -33.8 7.6 4.3 3.3
2009 40.0 43.3 44.4 53.7 63.8 23.8 7.1 16.7
2010 24.6 25.2 24.9 26.0 26.3 1.7 0.8 0.9
2011 -9.8 -8.0 -4.6 -2.7 0.8 10.6 4.7 5.9
2012 11.3 12.4 15.4 16.2 18.6 7.3 3.4 3.9
2013 34.6 38.4 36.6 42.0 46.8 12.2 4.4 7.8
2014 2.0 3.5 6.7 8.3 12.7 10.7 4.2 6.5
2015 -13.7 -8.3 -7.0 -2.7 -1.8 11.9 7.7 4.2
2016 15.4 21.5 24.4 30.5 34.2 18.8 10.1 8.7
2017 23.7 16.4 13.8 14.4 12.3 -11.4 -8.8 -2.6
YTD 2018 -3.3 -2.3 -3.3 -5.4 -8.5 -5.2 -0.4 -4.8