1. Calculate the VaR for the S&P 500 as exhibited through the SPY ETF (per $1,000,000 investment in SPY). Specifically:

1. Calculate the daily (same as one-day) VaR with 95% confidence and 99% confidence.

2. Calculate the monthly VaR with 99% confidence.

Notes: Consider both the historical simulation and model-building approaches and compare the results. For the model approach, consider a log-normal distribution as needed.

Table 1: The Fund's Portfolio as of December 2006 Asset Name (symbol) Amount ($) Percent (%) Large-cap domestic equity S&P 500 (SPY) 85,703,400 36 85,703,400 36 5.5 Large-cap domestic equity subtotal: Mid/small-cap domestic equity Mid-cap (MDY Small-cap growth (IWO) Small-cap value (IWN) Mid/smal-cap domestic equity subtotal: 13,093,575 5,951,625 5,951, 625 2.5 2.5 24,996,825 10.5 International equity Developed (EAFE) international (EFA) Emerging markets (EEM) Small-cap international (NAPIX) International equity subtotal: 33,329,100 8,332,275 8,332,275 14 3.5 3.5 49,993,650 21 Fixed income Investment-grade taxable bonds (AGG) High-yield bonds (PHIYX) Fixed income subtotal: 47,613,000 11,903,250 20 5 59,516,250 25 Alternative investments U.S. real estate (IYR) Commodities (PCRIX) 5,951, 625 11,903,250 2.5 5 Alternatives subtotal: 17,854,875 7.5 Total 238,065,000 100 Table 1: The Fund's Portfolio as of December 2006 Asset Name (symbol) Amount ($) Percent (%) Large-cap domestic equity S&P 500 (SPY) 85,703,400 36 85,703,400 36 5.5 Large-cap domestic equity subtotal: Mid/small-cap domestic equity Mid-cap (MDY Small-cap growth (IWO) Small-cap value (IWN) Mid/smal-cap domestic equity subtotal: 13,093,575 5,951,625 5,951, 625 2.5 2.5 24,996,825 10.5 International equity Developed (EAFE) international (EFA) Emerging markets (EEM) Small-cap international (NAPIX) International equity subtotal: 33,329,100 8,332,275 8,332,275 14 3.5 3.5 49,993,650 21 Fixed income Investment-grade taxable bonds (AGG) High-yield bonds (PHIYX) Fixed income subtotal: 47,613,000 11,903,250 20 5 59,516,250 25 Alternative investments U.S. real estate (IYR) Commodities (PCRIX) 5,951, 625 11,903,250 2.5 5 Alternatives subtotal: 17,854,875 7.5 Total 238,065,000 100