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| | | | Moderate Asset Allocation Total Return Index (CIJ Index) | | | The Ibbotson Associates Moderate Asset Allocation Total Return Index, published by the Chicago Board Options Exchange under the symbol “CIJ,” tracks the performance of a hypothetical basket of indexes. The CIJ index is comprised of seven underlying constituent indexes in the U.S. and international markets. Updated daily, it reflects an optimized strategic asset allocation model with a moderate risk level. | |
| | | | Index Methodology | | Each month, Ibbotson Associates reallocates the Index based on the results of mean-variance optimization and resampling processes. The inputs needed to conduct mean-variance optimization are asset class expected returns, expected standard deviations, and expected cross-asset class correlations. Ibbotson Associates develops each of these statistics using a combination of historical data and current market information. Once the inputs are optimized, creating the efficient frontier, they are then subject to resampling. Portfolio allocations on a resampled frontier, or one frontier that is an average of many simulated frontiers generated through multiple variations of the original inputs, tend to be more diversified and less sensitive to forecast errors.
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| | | Monthly Allocation |
Large
Cap
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Mid
Cap
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Small
Cap
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Int'l
Equity
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Com-
modities
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Lng Trm
Bond
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Cash
| | | View PDF  | | |
| June 2012 | 32.05 | 9.37 | 4.42 | 9.01 | 8.12 | 36.05 | 0.98 | |  |
| May 2012 | 32.10 | 9.39 | 4.46 | 9.40 | 8.52 | 34.94 | 1.19 | | |
| April 2012 | 32.25 | 9.44 | 4.48 | 9.51 | 8.55 | 34.54 | 1.23 | | |
| March 2012 | 31.75 | 9.30 | 4.45 | 9.92 | 8.52 | 34.89 | 1.17 | | |
| February 2012 | 31.64 | 9.27 | 4.55 | 9.71 | 8.39 | 35.34 | 1.10 | | |
| January 2012 | 31.68 | 9.26 | 4.43 | 9.74 | 8.26 | 35.54 | 1.09 | | |
| December 2011 | 31.54 | 9.24 | 4.41 | 9.93 | 8.42 | 35.29 | 1.17 | | |
| November 2011 | 31.48 | 9.22 | 4.36 | 10.26 | 8.49 | 34.94 | 1.25 | | |
| October 2011 | 31.49 | 9.22 | 4.33 | 10.50 | 7.80 | 35.74 | 0.92 | | |
| September 2011 | 31.32 | 9.18 | 4.35 | 10.53 | 8.71 | 34.47 | 1.44 | | |
| August 2011 | 31.07 | 9.11 | 4.36 | 10.89 | 8.93 | 33.88 | 1.76 | | |
| July 2011 | 31.13 | 9.13 | 4.45 | 10.77 | 9.03 | 33.63 | 1.86 | | |
| June 2011 | 31.13 | 9.14 | 4.44 | 10.78 | 9.06 | 33.61 | 1.83 | | |
| May 2011 | 31.10 | 9.14 | 4.40 | 10.79 | 9.22 | 33.43 | 1.92 | | |
| April 2011 | 31.35 | 9.20 | 4.45 | 10.52 | 9.19 | 33.34 | 1.95 | | |
| March 2011 | 31.27 | 9.18 | 4.38 | 10.74 | 9.13 | 33.37 | 1.93 | | | |
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