Rm-Rf | SMB | HML | Alpha | R2 | |
---|---|---|---|---|---|
1.48 | 0.08 | -0.40 | -3.77% | 0.627 | |
Standard error | 0.1541 | 0.3390 | 0.2790 | 0.0068 | |
t-statistics | 9.58 | 0.24 | -1.42 | -0.46 |
Symbol | FXN |
---|---|
Issuer | First Trust |
Type | ETF |
Region | USA |
Style | Sector |
Month | RaR | Rm-Rf | SMB | HML | Rf |
---|---|---|---|---|---|
200707 | -2.96 | -3.74 | -2.67 | -2.99 | 0.40 |
200708 | -2.05 | 0.92 | -0.14 | -2.36 | 0.42 |
200709 | 7.15 | 3.23 | -2.46 | -2.13 | 0.32 |
200710 | 3.43 | 1.80 | 0.21 | -1.97 | 0.32 |
200711 | -5.20 | -4.82 | -2.77 | -1.09 | 0.34 |
200712 | 8.26 | -0.86 | 0.05 | -0.03 | 0.27 |
200801 | -8.93 | -6.35 | -0.77 | 3.05 | 0.21 |
200802 | 11.83 | -3.09 | -0.55 | -0.03 | 0.13 |
200803 | -3.53 | -0.94 | 0.83 | 0.28 | 0.17 |
200804 | 11.28 | 4.60 | -1.49 | -0.03 | 0.18 |
200805 | 10.71 | 1.86 | 2.98 | -0.34 | 0.18 |
200806 | 6.75 | -8.44 | 1.07 | -1.02 | 0.17 |
200807 | -19.80 | -0.77 | 3.58 | 3.69 | 0.15 |
200808 | -1.21 | 1.53 | 3.75 | 1.48 | 0.13 |
200809 | -23.72 | -9.24 | -0.34 | 4.40 | 0.15 |
200810 | -26.44 | -17.23 | -2.28 | -2.99 | 0.08 |
200811 | -13.91 | -7.86 | -3.63 | -4.94 | 0.03 |
200812 | 0.45 | 1.66 | 3.97 | -1.20 | 0.09 |
200901 | -5.06 | -8.12 | -0.98 | -9.86 | 0.00 |
200902 | -13.42 | -10.09 | -0.35 | -6.90 | 0.01 |
200903 | 2.42 | 8.95 | 0.73 | 2.60 | 0.02 |
200904 | 20.39 | 10.19 | 5.40 | 5.42 | 0.01 |
200905 | 20.41 | 5.21 | -2.66 | 0.56 | 0.00 |
200906 | -11.10 | 0.43 | 2.67 | -2.44 | 0.01 |
200907 | 10.24 | 7.72 | 2.50 | 4.73 | 0.01 |
200908 | 1.89 | 3.32 | -0.51 | 7.59 | 0.01 |
200909 | 13.12 | 4.08 | 2.47 | 1.40 | 0.01 |
200910 | -0.07 | -2.59 | -4.22 | -4.37 | 0.00 |
200911 | 1.51 | 5.56 | -2.65 | 0.17 | 0.00 |
200912 | 4.78 | 2.75 | 5.79 | 0.73 | 0.01 |
201001 | -4.99 | -3.36 | 0.19 | 0.61 | 0.00 |
201002 | 5.13 | 3.40 | 1.44 | 2.74 | 0.00 |
201003 | 4.14 | 6.32 | 1.58 | 2.03 | 0.01 |
201004 | 4.21 | 2.00 | 4.94 | 3.15 | 0.00 |
201005 | -13.37 | -7.89 | -0.08 | -2.33 | 0.01 |
201006 | -5.98 | -5.56 | -2.13 | -4.26 | 0.01 |
201007 | 9.50 | 6.92 | 0.17 | 0.22 | 0.01 |
201008 | -5.61 | -4.77 | -2.94 | -1.64 | 0.01 |
201009 | 12.64 | 9.54 | 3.84 | -3.02 | 0.01 |
201010 | 5.16 | 3.88 | 1.04 | -2.30 | 0.01 |
201011 | 7.36 | 0.60 | 3.66 | -0.54 | 0.01 |
201012 | 9.99 | 6.82 | 0.78 | 3.58 | 0.01 |
201101 | 6.38 | 2.01 | -2.46 | 0.86 | 0.01 |
201102 | 7.22 | 3.49 | 1.63 | 1.67 | 0.01 |
201103 | 2.84 | 0.48 | 2.62 | -1.22 | 0.01 |
201104 | 1.15 | 2.90 | -0.32 | -2.25 | 0.00 |
201105 | -4.56 | -1.27 | -0.65 | -2.21 | 0.00 |
201106 | -2.26 | -1.75 | -0.08 | -0.42 | 0.00 |
201107 | 1.53 | -2.34 | -1.40 | -1.20 | 0.00 |
201108 | -12.30 | -6.00 | -3.30 | -1.56 | 0.01 |
201109 | -20.49 | -7.60 | -3.68 | -1.06 | 0.00 |
201110 | 23.00 | 11.34 | 3.58 | -0.90 | 0.00 |
201111 | 0.30 | -0.26 | -0.26 | -0.17 | 0.00 |
201112 | -5.20 | 0.74 | -0.57 | 1.53 | 0.00 |
201201 | 2.53 | 5.06 | 2.52 | -2.13 | 0.00 |
201202 | 7.61 | 4.43 | -1.65 | 0.04 | 0.00 |
201203 | -5.16 | 3.11 | -0.23 | -0.07 | 0.00 |
201204 | -2.57 | -0.84 | -0.61 | -0.20 | 0.00 |
201205 | -12.67 | -6.20 | -0.10 | 0.10 | 0.01 |
201206 | 3.91 | 3.88 | 0.82 | 0.46 | 0.00 |
201207 | 4.16 | 0.79 | -2.59 | 0.02 | 0.00 |
201208 | 2.79 | 2.56 | 0.72 | 0.59 | 0.01 |
201209 | 2.61 | 2.74 | 0.49 | 1.57 | 0.01 |
201210 | -1.56 | -1.75 | -1.07 | 4.17 | 0.01 |
201211 | 0.00 | 0.77 | 0.67 | -1.10 | 0.01 |
201212 | 3.90 | 1.18 | 1.66 | 3.28 | 0.01 |
201301 | 10.24 | 5.58 | 0.49 | 1.35 | 0.00 |
201302 | 0.69 | 1.28 | -0.38 | 0.31 | 0.00 |
201303 | 1.78 | 4.03 | 0.84 | -0.06 | 0.00 |
201304 | -3.37 | 1.56 | -2.43 | 0.36 | 0.00 |
201305 | 3.58 | 2.81 | 1.93 | 1.31 | 0.00 |
201306 | -3.45 | -1.21 | 1.23 | -0.45 | 0.00 |
201307 | 4.88 | 5.65 | 1.85 | 0.79 | 0.00 |
201308 | -2.08 | -2.69 | 0.28 | -2.46 | 0.00 |
201309 | 3.75 | 3.76 | 2.85 | -1.51 | 0.00 |
201310 | 0.04 | 4.17 | -1.52 | 1.39 | 0.00 |
Use the form below to perform a regression analysis for a specific fund.
Pick a fund symbol, regression type, and optional start and end months to perform the calculation.