Regression from Nov 2005 - Oct 2013

Rm-Rf SMB HML Alpha R2
0.99 0.99 0.20 -3.80% 0.943
Standard error 0.0394 0.0797 0.0686 0.0016
t-statistics 25.02 12.45 2.96 -1.99

Fund Profile

Symbol FDM
Issuer First Trust
Type ETF
Region USA
Style Small Blend

Rolling Charts:


Fund Returns from Nov 2005 - Oct 2013

Month RaR Rm-Rf SMB HML Rf
200511 5.08 3.62 1.00 -1.85 0.31
200512 -0.05 -0.25 -0.51 0.48 0.32
200601 6.92 3.04 5.33 1.17 0.35
200602 -0.10 -0.30 -0.31 -0.85 0.34
200603 3.57 1.46 3.56 -0.11 0.37
200604 0.64 0.72 -1.24 3.08 0.36
200605 -4.85 -3.57 -3.04 2.77 0.43
200606 -0.43 -0.35 -0.53 1.51 0.40
200607 -3.47 -0.78 -3.99 3.27 0.40
200608 1.45 2.03 0.83 -1.75 0.42
200609 1.18 1.84 -1.24 -0.42 0.41
200610 6.14 3.23 1.64 0.48 0.41
200611 2.52 1.71 0.77 0.48 0.42
200612 1.88 0.87 -0.89 2.51 0.40
200701 1.01 1.41 0.09 -0.02 0.44
200702 -0.26 -1.95 1.38 0.24 0.38
200703 -0.39 0.68 -0.26 0.39 0.43
200704 1.44 3.49 -2.09 -0.96 0.44
200705 4.14 3.24 -0.04 -0.13 0.41
200706 -0.17 -1.96 0.76 -1.06 0.40
200707 -6.14 -3.74 -2.67 -2.99 0.40
200708 0.84 0.92 -0.14 -2.36 0.42
200709 2.76 3.23 -2.46 -2.13 0.32
200710 -1.07 1.80 0.21 -1.97 0.32
200711 -7.51 -4.82 -2.77 -1.09 0.34
200712 -1.68 -0.86 0.05 -0.03 0.27
200801 -7.97 -6.35 -0.77 3.05 0.21
200802 -1.86 -3.09 -0.55 -0.03 0.13
200803 1.00 -0.94 0.83 0.28 0.17
200804 2.60 4.60 -1.49 -0.03 0.18
200805 3.55 1.86 2.98 -0.34 0.18
200806 -7.68 -8.44 1.07 -1.02 0.17
200807 4.14 -0.77 3.58 3.69 0.15
200808 1.88 1.53 3.75 1.48 0.13
200809 -6.45 -9.24 -0.34 4.40 0.15
200810 -20.83 -17.23 -2.28 -2.99 0.08
200811 -9.04 -7.86 -3.63 -4.94 0.03
200812 5.64 1.66 3.97 -1.20 0.09
200901 -16.22 -8.12 -0.98 -9.86 0.00
200902 -11.32 -10.09 -0.35 -6.90 0.01
200903 7.66 8.95 0.73 2.60 0.02
200904 19.58 10.19 5.40 5.42 0.01
200905 -0.51 5.21 -2.66 0.56 0.00
200906 2.21 0.43 2.67 -2.44 0.01
200907 9.46 7.72 2.50 4.73 0.01
200908 1.58 3.32 -0.51 7.59 0.01
200909 6.95 4.08 2.47 1.40 0.01
200910 -6.50 -2.59 -4.22 -4.37 0.00
200911 3.05 5.56 -2.65 0.17 0.00
200912 7.69 2.75 5.79 0.73 0.01
201001 -3.74 -3.36 0.19 0.61 0.00
201002 3.83 3.40 1.44 2.74 0.00
201003 7.08 6.32 1.58 2.03 0.01
201004 6.62 2.00 4.94 3.15 0.00
201005 -8.36 -7.89 -0.08 -2.33 0.01
201006 -6.99 -5.56 -2.13 -4.26 0.01
201007 6.38 6.92 0.17 0.22 0.01
201008 -9.56 -4.77 -2.94 -1.64 0.01
201009 11.88 9.54 3.84 -3.02 0.01
201010 5.42 3.88 1.04 -2.30 0.01
201011 5.25 0.60 3.66 -0.54 0.01
201012 8.11 6.82 0.78 3.58 0.01
201101 -0.47 2.01 -2.46 0.86 0.01
201102 4.59 3.49 1.63 1.67 0.01
201103 3.04 0.48 2.62 -1.22 0.01
201104 1.95 2.90 -0.32 -2.25 0.00
201105 -2.90 -1.27 -0.65 -2.21 0.00
201106 -2.63 -1.75 -0.08 -0.42 0.00
201107 -3.42 -2.34 -1.40 -1.20 0.00
201108 -12.37 -6.00 -3.30 -1.56 0.01
201109 -11.34 -7.60 -3.68 -1.06 0.00
201110 18.26 11.34 3.58 -0.90 0.00
201111 -2.44 -0.26 -0.26 -0.17 0.00
201112 2.08 0.74 -0.57 1.53 0.00
201201 7.29 5.06 2.52 -2.13 0.00
201202 0.57 4.43 -1.65 0.04 0.00
201203 4.11 3.11 -0.23 -0.07 0.00
201204 -2.36 -0.84 -0.61 -0.20 0.00
201205 -6.74 -6.20 -0.10 0.10 0.01
201206 4.14 3.88 0.82 0.46 0.00
201207 -0.96 0.79 -2.59 0.02 0.00
201208 2.17 2.56 0.72 0.59 0.01
201209 3.64 2.74 0.49 1.57 0.01
201210 -2.19 -1.75 -1.07 4.17 0.01
201211 1.35 0.77 0.67 -1.10 0.01
201212 4.47 1.18 1.66 3.28 0.01
201301 4.72 5.58 0.49 1.35 0.00
201302 1.64 1.28 -0.38 0.31 0.00
201303 3.60 4.03 0.84 -0.06 0.00
201304 -0.52 1.56 -2.43 0.36 0.00
201305 6.11 2.81 1.93 1.31 0.00
201306 -0.38 -1.21 1.23 -0.45 0.00
201307 8.10 5.65 1.85 0.79 0.00
201308 -4.22 -2.69 0.28 -2.46 0.00
201309 6.46 3.76 2.85 -1.51 0.00
201310 -2.66 4.17 -1.52 1.39 0.00

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