Regression from Jan 2004 - Aug 2014

Rm-Rf SMB HML Alpha R2
0.76 -0.11 0.55 -0.17% 0.797
Standard error 0.0467 0.0852 0.0773 0.0017
t-statistics 16.19 -1.23 7.16 -0.08

Fund Profile

Symbol DVY
Issuer iShares
Type ETF
Region USA
Style Mid Value

Rolling Charts:


Fund Returns from Jan 2004 - Aug 2014

Month RaR Rm-Rf SMB HML Rf
200401 1.66 2.15 2.63 1.64 0.07
200402 3.37 1.40 -1.15 0.42 0.06
200403 -1.42 -1.33 1.85 0.04 0.09
200404 -2.79 -1.83 -2.54 -1.69 0.08
200405 1.97 1.18 -0.16 -0.29 0.06
200406 2.44 1.86 2.32 1.66 0.08
200407 -1.03 -4.07 -3.82 4.48 0.10
200408 3.22 0.08 -1.59 1.13 0.11
200409 1.80 1.61 2.89 0.36 0.11
200410 1.59 1.43 0.43 -0.84 0.11
200411 4.65 4.54 4.17 1.93 0.15
200412 1.40 3.43 0.19 -0.35 0.16
200501 -3.02 -2.75 -1.65 2.66 0.16
200502 2.55 1.89 -0.72 2.83 0.16
200503 -1.04 -1.96 -1.38 1.75 0.21
200504 -0.68 -2.61 -4.00 -0.46 0.21
200505 2.95 3.65 2.99 -1.23 0.24
200506 1.44 0.56 2.56 2.78 0.23
200507 3.62 3.92 2.77 -0.45 0.24
200508 -1.64 -1.22 -0.88 1.41 0.30
200509 -0.27 0.48 -0.68 1.16 0.29
200510 -1.65 -2.00 -1.03 -0.70 0.27
200511 1.38 3.62 1.00 -1.85 0.31
200512 -0.62 -0.25 -0.51 0.48 0.32
200601 1.73 3.04 5.33 1.17 0.35
200602 1.65 -0.30 -0.31 -0.85 0.34
200603 -0.13 1.46 3.56 -0.11 0.37
200604 2.06 0.72 -1.24 3.08 0.36
200605 -1.38 -3.57 -3.04 2.77 0.43
200606 0.82 -0.35 -0.53 1.51 0.40
200607 3.32 -0.78 -3.99 3.27 0.40
200608 1.14 2.03 0.83 -1.75 0.42
200609 1.68 1.84 -1.24 -0.42 0.41
200610 3.35 3.23 1.64 0.48 0.41
200611 1.62 1.71 0.77 0.48 0.42
200612 2.13 0.87 -0.89 2.51 0.40
200701 1.00 1.41 0.09 -0.02 0.44
200702 -0.61 -1.95 1.38 0.24 0.38
200703 1.44 0.68 -0.26 0.39 0.43
200704 2.77 3.49 -2.09 -0.96 0.44
200705 1.98 3.24 -0.04 -0.13 0.41
200706 -3.22 -1.96 0.76 -1.06 0.40
200707 -5.82 -3.74 -2.67 -2.99 0.40
200708 2.05 0.92 -0.14 -2.36 0.42
200709 1.17 3.23 -2.46 -2.13 0.32
200710 0.06 1.80 0.21 -1.97 0.32
200711 -2.79 -4.82 -2.77 -1.09 0.34
200712 -3.43 -0.86 0.05 -0.03 0.27
200801 0.18 -6.35 -0.77 3.05 0.21
200802 -8.39 -3.09 -0.55 -0.03 0.13
200803 -1.13 -0.94 0.83 0.28 0.17
200804 2.59 4.60 -1.49 -0.03 0.18
200805 -1.88 1.86 2.98 -0.34 0.18
200806 -14.42 -8.44 1.07 -1.02 0.17
200807 4.21 -0.77 3.58 3.69 0.15
200808 3.74 1.53 3.75 1.48 0.13
200809 1.01 -9.24 -0.34 4.40 0.15
200810 -11.46 -17.23 -2.28 -2.99 0.08
200811 -8.91 -7.86 -3.63 -4.94 0.03
200812 -2.49 1.66 3.97 -1.20 0.09
200901 -15.67 -8.12 -0.98 -9.86 0.00
200902 -14.89 -10.09 -0.35 -6.90 0.01
200903 7.11 8.95 0.73 2.60 0.02
200904 11.51 10.19 5.40 5.42 0.01
200905 2.56 5.21 -2.66 0.56 0.00
200906 -0.10 0.43 2.67 -2.44 0.01
200907 9.67 7.72 2.50 4.73 0.01
200908 3.30 3.32 -0.51 7.59 0.01
200909 4.00 4.08 2.47 1.40 0.01
200910 -1.38 -2.59 -4.22 -4.37 0.00
200911 5.35 5.56 -2.65 0.17 0.00
200912 3.40 2.75 5.79 0.73 0.01
201001 -2.75 -3.36 0.19 0.61 0.00
201002 3.05 3.40 1.44 2.74 0.00
201003 5.54 6.32 1.58 2.03 0.01
201004 3.18 2.00 4.94 3.15 0.00
201005 -6.95 -7.89 -0.08 -2.33 0.01
201006 -3.05 -5.56 -2.13 -4.26 0.01
201007 7.30 6.92 0.17 0.22 0.01
201008 -3.11 -4.77 -2.94 -1.64 0.01
201009 7.15 9.54 3.84 -3.02 0.01
201010 2.65 3.88 1.04 -2.30 0.01
201011 -0.66 0.60 3.66 -0.54 0.01
201012 5.32 6.82 0.78 3.58 0.01
201101 0.23 2.01 -2.46 0.86 0.01
201102 2.80 3.49 1.63 1.67 0.01
201103 2.40 0.48 2.62 -1.22 0.01
201104 2.92 2.90 -0.32 -2.25 0.00
201105 0.84 -1.27 -0.65 -2.21 0.00
201106 -1.30 -1.75 -0.08 -0.42 0.00
201107 -2.98 -2.34 -1.40 -1.20 0.00
201108 -0.74 -6.00 -3.30 -1.56 0.01
201109 -4.42 -7.60 -3.68 -1.06 0.00
201110 8.02 11.34 3.58 -0.90 0.00
201111 1.39 -0.26 -0.26 -0.17 0.00
201112 2.62 0.74 -0.57 1.53 0.00
201201 0.02 5.06 2.52 -2.13 0.00
201202 3.04 4.43 -1.65 0.04 0.00
201203 1.91 3.11 -0.23 -0.07 0.00
201204 1.29 -0.84 -0.61 -0.20 0.00
201205 -3.16 -6.20 -0.10 0.10 0.01
201206 3.35 3.88 0.82 0.46 0.00
201207 2.02 0.79 -2.59 0.02 0.00
201208 -0.28 2.56 0.72 0.59 0.01
201209 1.82 2.74 0.49 1.57 0.01
201210 0.26 -1.75 -1.07 4.17 0.01
201211 -0.33 0.77 0.67 -1.10 0.01
201212 0.26 1.18 1.66 3.28 0.01
201301 5.05 5.58 0.49 1.35 0.00
201302 1.59 1.28 -0.38 0.31 0.00
201303 4.71 4.03 0.84 -0.06 0.00
201304 3.27 1.56 -2.43 0.36 0.00
201305 -1.29 2.81 1.93 1.31 0.00
201306 -0.11 -1.21 1.23 -0.45 0.00
201307 5.52 5.65 1.85 0.79 0.00
201308 -4.19 -2.69 0.28 -2.46 0.00
201309 3.35 3.76 2.85 -1.51 0.00
201310 5.20 4.17 -1.52 1.39 0.00
201311 0.54 3.12 1.32 -0.38 0.00
201312 2.47 2.81 -0.44 -0.17 0.00
201401 -2.65 -3.26 0.85 -1.83 0.00
201402 3.64 4.65 0.27 -0.48 0.00
201403 2.71 0.41 -1.81 4.72 0.00
201404 2.06 -0.14 -4.23 1.57 0.00
201405 0.58 2.06 -1.88 -0.40 0.00
201406 3.07 2.59 2.98 -0.63 0.00
201407 -4.34 -2.05 -4.28 0.03 0.00
201408 4.07 4.23 0.49 -0.75 0.00

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