Regression from Jul 2007 - Oct 2013

Rm-Rf SMB HML Alpha R2
1.27 0.65 -0.53 -4.25% 0.898
Standard error 0.0629 0.1384 0.1139 0.0028
t-statistics 20.19 4.69 -4.66 -1.28

Fund Profile

Symbol FXL
Issuer First Trust
Type ETF
Region USA
Style Sector

Rolling Charts:


Fund Returns from Jul 2007 - Oct 2013

Month RaR Rm-Rf SMB HML Rf
200707 -1.26 -3.74 -2.67 -2.99 0.40
200708 1.82 0.92 -0.14 -2.36 0.42
200709 5.18 3.23 -2.46 -2.13 0.32
200710 2.71 1.80 0.21 -1.97 0.32
200711 -6.67 -4.82 -2.77 -1.09 0.34
200712 -0.72 -0.86 0.05 -0.03 0.27
200801 -13.82 -6.35 -0.77 3.05 0.21
200802 -1.23 -3.09 -0.55 -0.03 0.13
200803 -1.76 -0.94 0.83 0.28 0.17
200804 6.36 4.60 -1.49 -0.03 0.18
200805 8.15 1.86 2.98 -0.34 0.18
200806 -9.15 -8.44 1.07 -1.02 0.17
200807 -3.04 -0.77 3.58 3.69 0.15
200808 2.45 1.53 3.75 1.48 0.13
200809 -16.93 -9.24 -0.34 4.40 0.15
200810 -22.79 -17.23 -2.28 -2.99 0.08
200811 -13.89 -7.86 -3.63 -4.94 0.03
200812 7.66 1.66 3.97 -1.20 0.09
200901 -2.34 -8.12 -0.98 -9.86 0.00
200902 -8.25 -10.09 -0.35 -6.90 0.01
200903 12.43 8.95 0.73 2.60 0.02
200904 14.59 10.19 5.40 5.42 0.01
200905 4.79 5.21 -2.66 0.56 0.00
200906 1.32 0.43 2.67 -2.44 0.01
200907 10.24 7.72 2.50 4.73 0.01
200908 3.60 3.32 -0.51 7.59 0.01
200909 7.22 4.08 2.47 1.40 0.01
200910 -5.43 -2.59 -4.22 -4.37 0.00
200911 5.41 5.56 -2.65 0.17 0.00
200912 11.45 2.75 5.79 0.73 0.01
201001 -7.92 -3.36 0.19 0.61 0.00
201002 6.22 3.40 1.44 2.74 0.00
201003 6.20 6.32 1.58 2.03 0.01
201004 3.19 2.00 4.94 3.15 0.00
201005 -4.66 -7.89 -0.08 -2.33 0.01
201006 -7.47 -5.56 -2.13 -4.26 0.01
201007 6.95 6.92 0.17 0.22 0.01
201008 -5.11 -4.77 -2.94 -1.64 0.01
201009 12.76 9.54 3.84 -3.02 0.01
201010 6.18 3.88 1.04 -2.30 0.01
201011 2.88 0.60 3.66 -0.54 0.01
201012 7.13 6.82 0.78 3.58 0.01
201101 4.61 2.01 -2.46 0.86 0.01
201102 5.04 3.49 1.63 1.67 0.01
201103 -1.65 0.48 2.62 -1.22 0.01
201104 3.32 2.90 -0.32 -2.25 0.00
201105 -2.30 -1.27 -0.65 -2.21 0.00
201106 -4.47 -1.75 -0.08 -0.42 0.00
201107 -7.83 -2.34 -1.40 -1.20 0.00
201108 -9.65 -6.00 -3.30 -1.56 0.01
201109 -7.36 -7.60 -3.68 -1.06 0.00
201110 15.94 11.34 3.58 -0.90 0.00
201111 -3.81 -0.26 -0.26 -0.17 0.00
201112 -1.53 0.74 -0.57 1.53 0.00
201201 10.40 5.06 2.52 -2.13 0.00
201202 3.91 4.43 -1.65 0.04 0.00
201203 3.02 3.11 -0.23 -0.07 0.00
201204 -2.76 -0.84 -0.61 -0.20 0.00
201205 -11.36 -6.20 -0.10 0.10 0.01
201206 2.17 3.88 0.82 0.46 0.00
201207 0.53 0.79 -2.59 0.02 0.00
201208 3.94 2.56 0.72 0.59 0.01
201209 -1.06 2.74 0.49 1.57 0.01
201210 -5.93 -1.75 -1.07 4.17 0.01
201211 3.47 0.77 0.67 -1.10 0.01
201212 3.65 1.18 1.66 3.28 0.01
201301 5.65 5.58 0.49 1.35 0.00
201302 1.01 1.28 -0.38 0.31 0.00
201303 3.60 4.03 0.84 -0.06 0.00
201304 0.13 1.56 -2.43 0.36 0.00
201305 3.60 2.81 1.93 1.31 0.00
201306 -1.57 -1.21 1.23 -0.45 0.00
201307 6.56 5.65 1.85 0.79 0.00
201308 -1.08 -2.69 0.28 -2.46 0.00
201309 5.80 3.76 2.85 -1.51 0.00
201310 -1.95 4.17 -1.52 1.39 0.00

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