Regression from May 2008 - Aug 2014

Rm-Rf SMB HML Alpha R2
1.05 -0.23 -0.02 -1.10% 0.985
Standard error 0.0170 0.0622 0.0531 0.0009
t-statistics 61.97 -3.69 -0.32 -1.08

Fund Profile

Symbol ACWI
Issuer iShares
Type ETF
Region Global
Style Large Blend

Rolling Charts:


Fund Returns from May 2008 - Aug 2014

Month RaR Rm-Rf SMB HML Rf
200805 0.86 1.84 1.77 -1.47 0.18
200806 -8.00 -8.04 1.28 -1.43 0.17
200807 -3.15 -2.77 -0.41 2.09 0.15
200808 -1.66 -1.97 -0.42 0.46 0.13
200809 -12.27 -12.34 -1.41 2.39 0.15
200810 -18.39 -19.46 -2.63 -0.27 0.08
200811 -8.75 -6.54 -0.61 -2.28 0.03
200812 5.47 4.25 2.27 0.39 0.09
200901 -11.38 -8.48 2.37 -4.79 0.00
200902 -9.72 -9.94 1.19 -4.36 0.01
200903 9.21 7.30 -1.59 0.71 0.02
200904 12.79 11.42 1.57 3.32 0.01
200905 10.46 9.93 1.65 -0.60 0.00
200906 -1.49 -0.30 2.66 -1.84 0.01
200907 9.42 8.60 -1.29 4.13 0.01
200908 2.95 3.96 0.83 4.34 0.01
200909 4.87 4.40 1.54 0.83 0.01
200910 -2.70 -2.15 -0.26 -2.43 0.00
200911 5.42 3.66 -2.44 -1.32 0.00
200912 1.86 1.98 0.74 0.85 0.01
201001 -5.31 -3.70 2.70 -0.29 0.00
201002 2.18 1.24 0.14 0.10 0.00
201003 6.32 6.30 -0.26 3.18 0.01
201004 -0.23 0.45 3.78 0.77 0.00
201005 -9.37 -9.52 0.17 -2.54 0.01
201006 -3.57 -3.12 0.39 -2.89 0.01
201007 9.35 8.20 -1.48 1.56 0.01
201008 -4.29 -3.93 -0.19 -2.07 0.01
201009 9.83 9.81 1.54 -1.37 0.01
201010 3.75 4.01 -0.13 -1.09 0.01
201011 -2.20 -2.23 2.13 -0.78 0.01
201012 7.79 7.57 1.95 1.84 0.01
201101 1.07 2.14 -1.63 2.76 0.01
201102 3.12 3.52 0.20 0.44 0.01
201103 -0.87 -0.68 1.44 -1.39 0.01
201104 4.82 4.43 -0.67 -1.50 0.00
201105 -1.97 -2.11 -0.43 -1.46 0.00
201106 -1.75 -1.49 -0.45 0.33 0.00
201107 -2.29 -1.80 1.25 -2.40 0.00
201108 -7.37 -7.47 -0.61 -1.83 0.01
201109 -10.43 -9.12 -1.30 0.23 0.00
201110 11.32 10.01 -2.03 -1.16 0.00
201111 -1.13 -2.60 -1.11 -0.80 0.00
201112 -0.97 -0.39 -0.51 1.79 0.00
201201 5.48 5.56 2.08 -0.94 0.00
201202 4.96 4.92 -0.90 0.00 0.00
201203 1.11 1.20 -0.36 -0.06 0.00
201204 -1.15 -1.13 0.19 -1.66 0.00
201205 -9.27 -8.84 -0.52 -0.03 0.01
201206 5.06 4.86 -1.57 1.41 0.00
201207 0.83 0.91 -1.59 -1.13 0.00
201208 2.77 2.77 -0.16 0.88 0.01
201209 2.71 3.03 1.11 1.37 0.01
201210 -0.52 -0.40 -0.61 2.27 0.01
201211 1.60 1.31 -1.09 0.02 0.01
201212 2.90 2.33 1.34 3.52 0.01
201301 3.75 5.43 -0.07 2.36 0.00
201302 -0.08 0.11 0.16 -0.71 0.00
201303 1.81 2.24 0.49 -1.88 0.00
201304 2.86 3.01 -1.69 1.42 0.00
201305 -0.40 0.55 -0.78 1.66 0.00
201306 -2.59 -2.50 0.52 -0.34 0.00
201307 4.58 5.60 -0.05 0.82 0.00
201308 -2.31 -1.84 1.39 -0.80 0.00
201309 5.54 5.48 1.99 -0.39 0.00
201310 3.94 3.75 -1.62 1.92 0.00
201311 1.55 1.82 -0.30 -0.01 0.00
201312 2.08 2.16 -0.42 0.09 0.00
201401 -4.65 -3.31 2.69 0.07 0.00
201402 5.20 5.06 -0.60 -0.14 0.00
201403 0.58 0.17 -0.39 2.63 0.00
201404 1.19 0.57 -2.75 1.21 0.00
201405 2.00 1.74 -1.17 -0.41 0.00
201406 1.82 2.00 2.03 -0.19 0.00
201407 -1.44 -2.06 -1.07 -0.03 0.00
201408 2.58 1.92 -0.51 -0.73 0.00

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