Calculate Three-factor (3F), Four-factor (4F), and Capital Asset Pricing Model (CAPM) regressions.
Symbol | Fund | Rm-Rf | SMB | HML | Alpha | R2 |
---|---|---|---|---|---|---|
DIA | SPDR Dow Jones Industrial Average | 0.92 | -0.22 | 0.15 | 0.93% | 0.901 |
ONEQ | Fidelity Nasdaq Composite Index Tracking Stock | 1.11 | 0.40 | -0.37 | -0.84% | 0.944 |
SPY | SPDR S&P 500 ETF | 0.99 | -0.18 | 0.04 | -0.05% | 0.988 |
Symbol | Fund | Rm-Rf | SMB | HML | Alpha | R2 |
---|---|---|---|---|---|---|
DTMEX | DFA Tax-Managed US Equity | 1.00 | -0.01 | -0.03 | -0.77% | 0.991 |
DFEOX | DFA US Core Equity 1 (I) | 1.03 | 0.15 | 0.06 | -0.07% | 0.997 |
DUSQX | DFA US Large Cap Equity Institutional | 1.02 | -0.09 | 0.05 | 0.51% | 0.998 |
DFUSX | DFA US Large Company (I) | 1.00 | -0.19 | 0.04 | -1.21% | 0.992 |
DFSIX | DFA US Sustainability Core 1 | 1.05 | 0.15 | 0.08 | -0.45% | 0.997 |
DTMMX | DFA Tax-Managed US Marketwide Value (I) | 1.12 | 0.01 | 0.62 | -1.01% | 0.930 |
DFMVX | DFA Tax-Managed US Marketwide Value (II) | 1.12 | -0.00 | 0.62 | -1.86% | 0.927 |
DFLVX | DFA US Large Cap Value (I) | 1.11 | -0.03 | 0.63 | -1.17% | 0.925 |
DFCVX | DFA US Large Cap Value (II) | 1.09 | -0.07 | 0.61 | -4.40% | 0.817 |
DFUVX | DFA US Large Cap Value (III) | 1.08 | -0.12 | 0.59 | -5.07% | 0.750 |
DFBMX | LWAS/DFA US High Book To Market | 1.09 | -0.11 | 0.61 | -5.15% | 0.830 |
DFTSX | DFA Tax-Managed US Small Cap | 1.03 | 0.84 | 0.24 | -0.65% | 0.980 |
DFSCX | DFA US Micro Cap (I) | 0.94 | 1.02 | 0.29 | -2.98% | 0.883 |
DFSTX | DFA US Small Cap (I) | 1.03 | 0.84 | 0.29 | -1.59% | 0.969 |
DTMVX | DFA Tax-Managed US Targeted Value | 1.07 | 0.64 | 0.64 | -0.49% | 0.951 |
DFSVX | DFA US Small Cap Value (I) | 1.04 | 0.81 | 0.66 | -0.34% | 0.962 |
DFFVX | DFA US Targeted Value (I) | 1.04 | 0.62 | 0.66 | -3.18% | 0.858 |