Regression from Aug 1996 - Aug 2014

Rm-Rf SMB HML Mom Alpha R2
0.99 -0.08 0.52 -0.21 -3.26% 0.785
Standard error 0.0434 0.0560 0.0594 0.0355 0.0019
t-statistics 22.87 -1.43 8.77 -5.86 -1.45

Fund Profile

Symbol DFUVX
Issuer Dimensional Fund Advisors
Type Mutual Fund
Region USA
Style Large Value

Rolling Charts:


Fund Returns from Aug 1996 - Aug 2014

Month RaR Rm-Rf SMB HML Mom Rf
199608 3.97 2.77 2.30 -0.57 -0.12 0.41
199609 2.04 5.01 -0.82 -3.76 2.69 0.44
199610 3.22 0.87 -4.11 4.82 3.90 0.42
199611 7.17 6.25 -3.60 0.16 -2.23 0.41
199612 -4.57 -1.70 3.08 0.99 0.59 0.46
199701 3.63 4.99 -1.52 -2.33 1.94 0.45
199702 1.99 -0.49 -2.61 4.69 -2.04 0.39
199703 -4.61 -5.03 -0.32 3.86 0.98 0.43
199704 3.27 4.04 -5.19 -1.02 4.89 0.43
199705 7.77 6.74 4.83 -4.38 -5.19 0.49
199706 3.09 4.10 1.50 0.72 2.59 0.37
199707 10.06 7.33 -2.52 -0.13 3.84 0.43
199708 -1.56 -4.15 7.34 1.37 -2.52 0.41
199709 5.33 5.35 2.68 -0.25 1.45 0.44
199710 -5.13 -3.79 -0.79 2.21 -0.43 0.42
199711 1.05 2.99 -5.07 1.01 0.28 0.39
199712 -6.26 1.32 -2.40 3.84 3.85 0.48
199801 1.25 0.14 -0.94 -2.07 0.10 0.43
199802 8.79 7.03 0.32 -0.86 -1.10 0.39
199803 5.62 4.77 -0.99 1.23 2.14 0.39
199804 0.54 0.73 0.48 0.27 0.78 0.43
199805 -0.83 -3.06 -3.54 4.12 1.89 0.40
199806 -0.24 3.18 -3.15 -2.22 7.26 0.41
199807 -3.49 -2.46 -4.92 -1.15 3.71 0.40
199808 -18.18 -16.08 -5.75 5.24 1.88 0.43
199809 5.10 6.15 -0.15 -3.88 -0.58 0.46
199810 8.11 7.13 -3.20 -2.77 -5.35 0.32
199811 6.23 6.09 1.14 -3.43 1.18 0.31
199812 -5.80 6.15 -0.30 -4.70 9.04 0.38
199901 1.94 3.50 0.86 -5.56 3.05 0.35
199902 -2.63 -4.08 -5.55 1.56 -0.13 0.35
199903 3.24 3.45 -3.84 -2.93 -1.35 0.43
199904 10.58 4.34 3.18 2.45 -9.13 0.37
199905 -0.06 -2.46 3.64 2.69 -5.25 0.34
199906 1.65 4.77 3.45 -4.19 4.94 0.40
199907 -4.13 -3.47 2.25 0.51 1.59 0.38
199908 -3.58 -1.38 -1.32 -0.95 3.01 0.39
199909 -5.35 -2.81 3.16 -2.98 6.49 0.39
199910 3.79 6.13 -6.78 -3.24 5.47 0.39
199911 -1.54 3.37 7.78 -8.02 5.66 0.36
199912 -15.93 7.72 7.01 -9.20 13.20 0.44
200001 -7.04 -4.73 4.37 0.24 1.90 0.41
200002 -8.99 2.45 22.02 -12.68 18.39 0.43
200003 14.17 5.20 -16.39 7.67 -6.85 0.47
200004 2.96 -6.40 -7.73 9.13 -8.46 0.46
200005 -0.16 -4.43 -4.85 3.72 -9.09 0.50
200006 -6.93 4.64 13.70 -10.05 16.53 0.40
200007 4.44 -2.45 -2.80 8.51 -0.07 0.48
200008 5.77 7.14 -0.89 -1.28 5.77 0.50
200009 -1.67 -5.44 -1.87 6.85 2.22 0.51
200010 4.01 -2.77 -3.66 4.79 -4.68 0.56
200011 -3.19 -10.73 -3.10 12.42 -2.50 0.51
200012 -20.96 1.19 1.55 6.13 6.81 0.50
200101 4.94 3.12 7.03 -5.70 -24.97 0.54
200102 -0.09 -10.08 -1.15 13.87 12.59 0.39
200103 -3.05 -7.27 0.55 6.36 8.38 0.44
200104 6.00 7.95 0.27 -4.36 -8.15 0.39
200105 2.88 0.73 2.99 2.77 2.13 0.32
200106 -1.92 -1.93 6.38 -2.14 0.28 0.28
200107 0.62 -2.13 -4.22 5.62 5.55 0.30
200108 -4.42 -6.46 2.13 3.37 5.57 0.31
200109 -11.11 -9.26 -6.61 1.80 11.55 0.28
200110 -0.10 2.47 6.88 -7.03 -8.43 0.22
200111 9.38 7.54 0.38 0.69 -8.57 0.17
200112 -9.15 1.60 5.14 0.43 -0.03 0.15
200201 1.05 -1.44 1.12 3.45 3.69 0.14
200202 1.25 -2.29 -1.61 3.91 6.80 0.13
200203 4.21 4.24 4.30 1.17 -1.72 0.13
200204 -0.89 -5.20 5.86 4.21 7.92 0.15
200205 0.60 -1.38 -3.72 2.54 3.16 0.14
200206 -6.02 -7.21 3.49 1.56 6.17 0.13
200207 -11.13 -8.18 -5.14 -3.63 3.41 0.15
200208 1.54 0.50 -2.26 2.24 1.73 0.14
200209 -11.06 -10.35 2.70 1.23 9.11 0.14
200210 3.93 7.83 -2.98 -6.49 -5.47 0.14
200211 6.93 5.96 3.17 -1.57 -16.29 0.12
200212 -5.77 -5.76 -0.45 3.90 9.65 0.11
200301 -2.38 -2.57 1.40 -0.88 1.55 0.10
200302 -2.94 -1.89 -0.26 -1.46 1.22 0.09
200303 -0.40 1.09 0.77 -1.67 1.55 0.10
200304 9.27 8.22 1.15 -0.06 -9.45 0.10
200305 6.67 6.05 4.78 0.15 -10.73 0.09
200306 1.14 1.42 1.51 0.68 -1.00 0.10
200307 2.47 2.34 5.57 -2.11 -0.33 0.07
200308 3.62 2.34 2.67 1.71 -0.51 0.07
200309 -2.22 -1.23 0.55 1.00 -0.06 0.08
200310 6.71 6.08 2.89 1.80 3.67 0.07
200311 2.23 1.35 2.21 1.46 1.60 0.07
200312 5.56 4.30 -2.78 2.68 -5.70 0.08
200401 1.69 2.15 2.63 1.64 2.59 0.07
200402 2.59 1.40 -1.15 0.42 -1.12 0.06
200403 -0.36 -1.33 1.85 0.04 0.19 0.09
200404 -1.72 -1.83 -2.54 -1.69 -5.37 0.08
200405 0.55 1.18 -0.16 -0.29 1.65 0.06
200406 2.47 1.86 2.32 1.66 2.08 0.08
200407 -3.21 -4.07 -3.82 4.48 -2.37 0.10
200408 0.00 0.08 -1.59 1.13 -1.54 0.11
200409 2.77 1.61 2.89 0.36 5.26 0.11
200410 1.26 1.43 0.43 -0.84 -1.52 0.11
200411 6.56 4.54 4.17 1.93 3.23 0.15
200412 3.49 3.43 0.19 -0.35 -2.85 0.16
200501 -2.57 -2.75 -1.65 2.66 3.12 0.16
200502 3.05 1.89 -0.72 2.83 3.18 0.16
200503 -0.40 -1.96 -1.38 1.75 0.94 0.21
200504 -3.38 -2.61 -4.00 -0.46 -0.83 0.21
200505 4.24 3.65 2.99 -1.23 0.41 0.24
200506 1.84 0.56 2.56 2.78 2.08 0.23
200507 5.02 3.92 2.77 -0.45 0.04 0.24
200508 -0.90 -1.22 -0.88 1.41 2.21 0.30
200509 1.20 0.48 -0.68 1.16 3.48 0.29
200510 -2.60 -2.00 -1.03 -0.70 -1.32 0.27
200511 3.97 3.62 1.00 -1.85 0.37 0.31
200512 -0.96 -0.25 -0.51 0.48 0.76 0.32
200601 4.82 3.04 5.33 1.17 2.80 0.35
200602 -0.35 -0.30 -0.31 -0.85 -1.77 0.34
200603 1.63 1.46 3.56 -0.11 1.21 0.37
200604 2.73 0.72 -1.24 3.08 0.65 0.36
200605 -1.77 -3.57 -3.04 2.77 -3.73 0.43
200606 0.42 -0.35 -0.53 1.51 1.47 0.40
200607 -1.45 -0.78 -3.99 3.27 -2.20 0.40
200608 1.61 2.03 0.83 -1.75 -3.47 0.42
200609 2.48 1.84 -1.24 -0.42 -0.94 0.41
200610 3.97 3.23 1.64 0.48 -0.26 0.41
200611 1.87 1.71 0.77 0.48 -1.03 0.42
200612 -1.02 0.87 -0.89 2.51 0.82 0.40
200701 2.95 1.41 0.09 -0.02 0.26 0.44
200702 -1.49 -1.95 1.38 0.24 -1.33 0.38
200703 0.44 0.68 -0.26 0.39 2.52 0.43
200704 4.28 3.49 -2.09 -0.96 -0.15 0.44
200705 4.16 3.24 -0.04 -0.13 -0.30 0.41
200706 -1.62 -1.96 0.76 -1.06 0.24 0.40
200707 -6.18 -3.74 -2.67 -2.99 2.78 0.40
200708 -1.95 0.92 -0.14 -2.36 0.10 0.42
200709 2.56 3.23 -2.46 -2.13 4.61 0.32
200710 0.56 1.80 0.21 -1.97 4.89 0.32
200711 -5.59 -4.82 -2.77 -1.09 0.88 0.34
200712 -0.33 -0.86 0.05 -0.03 6.55 0.27
200801 -3.83 -6.35 -0.77 3.05 -7.83 0.21
200802 -3.02 -3.09 -0.55 -0.03 6.11 0.13
200803 -0.99 -0.94 0.83 0.28 4.12 0.17
200804 6.29 4.60 -1.49 -0.03 -0.22 0.18
200805 2.42 1.86 2.98 -0.34 3.20 0.18
200806 -10.96 -8.44 1.07 -1.02 12.53 0.17
200807 -1.11 -0.77 3.58 3.69 -5.32 0.15
200808 1.94 1.53 3.75 1.48 -3.80 0.13
200809 -8.99 -9.24 -0.34 4.40 0.34 0.15
200810 -22.49 -17.23 -2.28 -2.99 7.83 0.08
200811 -9.84 -7.86 -3.63 -4.94 7.13 0.03
200812 3.22 1.66 3.97 -1.20 -5.03 0.09
200901 -11.80 -8.12 -0.98 -9.86 -1.88 0.00
200902 -14.02 -10.09 -0.35 -6.90 4.29 0.01
200903 9.99 8.95 0.73 2.60 -11.35 0.02
200904 16.15 10.19 5.40 5.42 -34.72 0.01
200905 7.82 5.21 -2.66 0.56 -12.47 0.00
200906 -1.28 0.43 2.67 -2.44 5.31 0.01
200907 9.50 7.72 2.50 4.73 -5.47 0.01
200908 6.71 3.32 -0.51 7.59 -8.87 0.01
200909 4.34 4.08 2.47 1.40 -5.02 0.01
200910 -4.25 -2.59 -4.22 -4.37 2.67 0.00
200911 5.64 5.56 -2.65 0.17 0.37 0.00
200912 2.71 2.75 5.79 0.73 2.89 0.01
201001 -2.30 -3.36 0.19 0.61 -5.34 0.00
201002 4.36 3.40 1.44 2.74 3.62 0.00
201003 7.78 6.32 1.58 2.03 3.70 0.01
201004 3.18 2.00 4.94 3.15 3.14 0.00
201005 -8.57 -7.89 -0.08 -2.33 -0.22 0.01
201006 -7.57 -5.56 -2.13 -4.26 -2.90 0.01
201007 7.83 6.92 0.17 0.22 1.92 0.01
201008 -6.02 -4.77 -2.94 -1.64 -0.13 0.01
201009 9.75 9.54 3.84 -3.02 1.35 0.01
201010 3.76 3.88 1.04 -2.30 1.58 0.01
201011 -0.77 0.60 3.66 -0.54 2.51 0.01
201012 9.79 6.82 0.78 3.58 -3.21 0.01
201101 3.18 2.01 -2.46 0.86 -0.30 0.01
201102 5.35 3.49 1.63 1.67 2.05 0.01
201103 0.52 0.48 2.62 -1.22 3.59 0.01
201104 2.46 2.90 -0.32 -2.25 0.08 0.00
201105 -1.39 -1.27 -0.65 -2.21 -0.58 0.00
201106 -1.79 -1.75 -0.08 -0.42 1.76 0.00
201107 -4.57 -2.34 -1.40 -1.20 0.14 0.00
201108 -8.48 -6.00 -3.30 -1.56 -0.35 0.01
201109 -10.09 -7.60 -3.68 -1.06 -2.52 0.00
201110 13.88 11.34 3.58 -0.90 -1.45 0.00
201111 -0.80 -0.26 -0.26 -0.17 4.00 0.00
201112 0.74 0.74 -0.57 1.53 1.89 0.00
201201 4.97 5.06 2.52 -2.13 -7.95 0.00
201202 5.85 4.43 -1.65 0.04 -0.28 0.00
201203 1.78 3.11 -0.23 -0.07 1.46 0.00
201204 -2.00 -0.84 -0.61 -0.20 3.84 0.00
201205 -7.12 -6.20 -0.10 0.10 6.61 0.01
201206 5.39 3.88 0.82 0.46 -1.14 0.00
201207 0.94 0.79 -2.59 0.02 3.06 0.00
201208 4.00 2.56 0.72 0.59 -2.51 0.01
201209 3.66 2.74 0.49 1.57 -1.02 0.01
201210 0.31 -1.75 -1.07 4.17 0.12 0.01
201211 0.19 0.77 0.67 -1.10 0.37 0.01
201212 3.02 1.18 1.66 3.28 -2.92 0.01
201301 6.99 5.58 0.49 1.35 -1.87 0.00
201302 1.28 1.28 -0.38 0.31 1.47 0.00
201303 4.80 4.03 0.84 -0.06 2.08 0.00
201304 1.05 1.56 -2.43 0.36 0.34 0.00
201305 4.11 2.81 1.93 1.31 -1.89 0.00
201306 -1.15 -1.21 1.23 -0.45 0.65 0.00
201307 6.02 5.65 1.85 0.79 1.69 0.00
201308 -2.96 -2.69 0.28 -2.46 0.05 0.00
201309 2.95 3.76 2.85 -1.51 3.01 0.00
201310 5.06 4.17 -1.52 1.39 0.11 0.00
201311 4.18 3.12 1.32 -0.38 0.35 0.00
201312 2.66 2.81 -0.44 -0.17 0.05 0.00
201401 -3.95 -3.26 0.85 -1.83 1.66 0.00
201402 3.36 4.65 0.27 -0.48 2.15 0.00
201403 2.36 0.41 -1.81 4.72 -3.26 0.00
201404 0.67 -0.14 -4.23 1.57 -3.80 0.00
201405 2.20 2.06 -1.88 -0.40 0.84 0.00
201406 2.72 2.59 2.98 -0.63 0.60 0.00
201407 -0.75 -2.05 -4.28 0.03 -0.28 0.00
201408 3.19 4.23 0.49 -0.75 0.74 0.00

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