Regression from Dec 2003 - Oct 2013

Rm-Rf SMB HML Alpha R2
0.79 -0.11 0.22 2.33% 0.796
Standard error 0.0452 0.0843 0.0755 0.0017
t-statistics 17.49 -1.36 2.93 1.15

Fund Profile

Symbol FVD
Issuer First Trust
Type ETF
Region USA
Style Large Value

Rolling Charts:


Fund Returns from Dec 2003 - Oct 2013

Month RaR Rm-Rf SMB HML Rf
200312 2.44 4.30 -2.78 2.68 0.08
200401 0.95 2.15 2.63 1.64 0.07
200402 0.35 1.40 -1.15 0.42 0.06
200403 -0.82 -1.33 1.85 0.04 0.09
200404 -5.46 -1.83 -2.54 -1.69 0.08
200405 1.00 1.18 -0.16 -0.29 0.06
200406 2.73 1.86 2.32 1.66 0.08
200407 -0.48 -4.07 -3.82 4.48 0.10
200408 2.43 0.08 -1.59 1.13 0.11
200409 1.07 1.61 2.89 0.36 0.11
200410 2.46 1.43 0.43 -0.84 0.11
200411 3.67 4.54 4.17 1.93 0.15
200412 8.18 3.43 0.19 -0.35 0.16
200501 -7.05 -2.75 -1.65 2.66 0.16
200502 2.20 1.89 -0.72 2.83 0.16
200503 -1.72 -1.96 -1.38 1.75 0.21
200504 -0.22 -2.61 -4.00 -0.46 0.21
200505 2.41 3.65 2.99 -1.23 0.24
200506 1.07 0.56 2.56 2.78 0.23
200507 3.07 3.92 2.77 -0.45 0.24
200508 -1.44 -1.22 -0.88 1.41 0.30
200509 0.42 0.48 -0.68 1.16 0.29
200510 -0.93 -2.00 -1.03 -0.70 0.27
200511 3.25 3.62 1.00 -1.85 0.31
200512 3.25 -0.25 -0.51 0.48 0.32
200601 3.44 3.04 5.33 1.17 0.35
200602 1.05 -0.30 -0.31 -0.85 0.34
200603 1.03 1.46 3.56 -0.11 0.37
200604 -0.56 0.72 -1.24 3.08 0.36
200605 -1.59 -3.57 -3.04 2.77 0.43
200606 6.47 -0.35 -0.53 1.51 0.40
200607 7.95 -0.78 -3.99 3.27 0.40
200608 3.48 2.03 0.83 -1.75 0.42
200609 2.08 1.84 -1.24 -0.42 0.41
200610 3.53 3.23 1.64 0.48 0.41
200611 3.33 1.71 0.77 0.48 0.42
200612 2.42 0.87 -0.89 2.51 0.40
200701 1.07 1.41 0.09 -0.02 0.44
200702 0.00 -1.95 1.38 0.24 0.38
200703 0.71 0.68 -0.26 0.39 0.43
200704 2.46 3.49 -2.09 -0.96 0.44
200705 2.19 3.24 -0.04 -0.13 0.41
200706 -4.30 -1.96 0.76 -1.06 0.40
200707 -4.70 -3.74 -2.67 -2.99 0.40
200708 2.35 0.92 -0.14 -2.36 0.42
200709 1.73 3.23 -2.46 -2.13 0.32
200710 0.35 1.80 0.21 -1.97 0.32
200711 -3.10 -4.82 -2.77 -1.09 0.34
200712 -3.42 -0.86 0.05 -0.03 0.27
200801 -2.03 -6.35 -0.77 3.05 0.21
200802 -4.07 -3.09 -0.55 -0.03 0.13
200803 0.48 -0.94 0.83 0.28 0.17
200804 4.62 4.60 -1.49 -0.03 0.18
200805 1.83 1.86 2.98 -0.34 0.18
200806 -9.27 -8.44 1.07 -1.02 0.17
200807 2.14 -0.77 3.58 3.69 0.15
200808 2.34 1.53 3.75 1.48 0.13
200809 -4.02 -9.24 -0.34 4.40 0.15
200810 -13.89 -17.23 -2.28 -2.99 0.08
200811 -4.39 -7.86 -3.63 -4.94 0.03
200812 1.10 1.66 3.97 -1.20 0.09
200901 -9.18 -8.12 -0.98 -9.86 0.00
200902 -13.04 -10.09 -0.35 -6.90 0.01
200903 8.88 8.95 0.73 2.60 0.02
200904 8.96 10.19 5.40 5.42 0.01
200905 3.16 5.21 -2.66 0.56 0.00
200906 1.84 0.43 2.67 -2.44 0.01
200907 7.42 7.72 2.50 4.73 0.01
200908 2.33 3.32 -0.51 7.59 0.01
200909 2.46 4.08 2.47 1.40 0.01
200910 -0.45 -2.59 -4.22 -4.37 0.00
200911 4.83 5.56 -2.65 0.17 0.00
200912 2.99 2.75 5.79 0.73 0.01
201001 -2.73 -3.36 0.19 0.61 0.00
201002 2.64 3.40 1.44 2.74 0.00
201003 5.64 6.32 1.58 2.03 0.01
201004 1.57 2.00 4.94 3.15 0.00
201005 -6.65 -7.89 -0.08 -2.33 0.01
201006 -2.90 -5.56 -2.13 -4.26 0.01
201007 6.91 6.92 0.17 0.22 0.01
201008 -2.47 -4.77 -2.94 -1.64 0.01
201009 7.20 9.54 3.84 -3.02 0.01
201010 2.75 3.88 1.04 -2.30 0.01
201011 -1.11 0.60 3.66 -0.54 0.01
201012 5.26 6.82 0.78 3.58 0.01
201101 1.21 2.01 -2.46 0.86 0.01
201102 3.46 3.49 1.63 1.67 0.01
201103 1.09 0.48 2.62 -1.22 0.01
201104 3.51 2.90 -0.32 -2.25 0.00
201105 0.26 -1.27 -0.65 -2.21 0.00
201106 -1.49 -1.75 -0.08 -0.42 0.00
201107 -3.03 -2.34 -1.40 -1.20 0.00
201108 -1.77 -6.00 -3.30 -1.56 0.01
201109 -5.26 -7.60 -3.68 -1.06 0.00
201110 9.06 11.34 3.58 -0.90 0.00
201111 0.34 -0.26 -0.26 -0.17 0.00
201112 2.00 0.74 -0.57 1.53 0.00
201201 1.51 5.06 2.52 -2.13 0.00
201202 2.71 4.43 -1.65 0.04 0.00
201203 1.82 3.11 -0.23 -0.07 0.00
201204 0.43 -0.84 -0.61 -0.20 0.00
201205 -4.30 -6.20 -0.10 0.10 0.01
201206 4.30 3.88 0.82 0.46 0.00
201207 1.42 0.79 -2.59 0.02 0.00
201208 0.67 2.56 0.72 0.59 0.01
201209 1.87 2.74 0.49 1.57 0.01
201210 -0.65 -1.75 -1.07 4.17 0.01
201211 0.36 0.77 0.67 -1.10 0.01
201212 0.77 1.18 1.66 3.28 0.01
201301 5.06 5.58 0.49 1.35 0.00
201302 2.19 1.28 -0.38 0.31 0.00
201303 4.83 4.03 0.84 -0.06 0.00
201304 2.83 1.56 -2.43 0.36 0.00
201305 -0.81 2.81 1.93 1.31 0.00
201306 -0.67 -1.21 1.23 -0.45 0.00
201307 5.37 5.65 1.85 0.79 0.00
201308 -4.17 -2.69 0.28 -2.46 0.00
201309 2.61 3.76 2.85 -1.51 0.00
201310 -1.40 4.17 -1.52 1.39 0.00

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