Regression from Jul 2007 - Oct 2013

Rm-Rf SMB HML Alpha R2
1.04 0.06 0.80 -1.81% 0.891
Standard error 0.0632 0.1391 0.1145 0.0028
t-statistics 16.42 0.40 6.95 -0.54

Fund Profile

Symbol FXO
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 -8.58 -3.74 -2.67 -2.99 0.40
200708 -1.96 0.92 -0.14 -2.36 0.42
200709 1.63 3.23 -2.46 -2.13 0.32
200710 -3.08 1.80 0.21 -1.97 0.32
200711 -5.78 -4.82 -2.77 -1.09 0.34
200712 -2.70 -0.86 0.05 -0.03 0.27
200801 -0.21 -6.35 -0.77 3.05 0.21
200802 -7.98 -3.09 -0.55 -0.03 0.13
200803 -4.68 -0.94 0.83 0.28 0.17
200804 4.83 4.60 -1.49 -0.03 0.18
200805 -1.28 1.86 2.98 -0.34 0.18
200806 -15.37 -8.44 1.07 -1.02 0.17
200807 4.25 -0.77 3.58 3.69 0.15
200808 3.03 1.53 3.75 1.48 0.13
200809 -4.21 -9.24 -0.34 4.40 0.15
200810 -20.11 -17.23 -2.28 -2.99 0.08
200811 -9.23 -7.86 -3.63 -4.94 0.03
200812 5.45 1.66 3.97 -1.20 0.09
200901 -18.94 -8.12 -0.98 -9.86 0.00
200902 -14.31 -10.09 -0.35 -6.90 0.01
200903 12.89 8.95 0.73 2.60 0.02
200904 22.40 10.19 5.40 5.42 0.01
200905 8.97 5.21 -2.66 0.56 0.00
200906 -2.41 0.43 2.67 -2.44 0.01
200907 9.34 7.72 2.50 4.73 0.01
200908 12.04 3.32 -0.51 7.59 0.01
200909 5.14 4.08 2.47 1.40 0.01
200910 -4.63 -2.59 -4.22 -4.37 0.00
200911 3.75 5.56 -2.65 0.17 0.00
200912 2.74 2.75 5.79 0.73 0.01
201001 -1.03 -3.36 0.19 0.61 0.00
201002 2.60 3.40 1.44 2.74 0.00
201003 7.78 6.32 1.58 2.03 0.01
201004 1.96 2.00 4.94 3.15 0.00
201005 -7.39 -7.89 -0.08 -2.33 0.01
201006 -5.32 -5.56 -2.13 -4.26 0.01
201007 7.81 6.92 0.17 0.22 0.01
201008 -3.83 -4.77 -2.94 -1.64 0.01
201009 7.28 9.54 3.84 -3.02 0.01
201010 2.37 3.88 1.04 -2.30 0.01
201011 -0.39 0.60 3.66 -0.54 0.01
201012 7.43 6.82 0.78 3.58 0.01
201101 2.09 2.01 -2.46 0.86 0.01
201102 4.09 3.49 1.63 1.67 0.01
201103 -0.95 0.48 2.62 -1.22 0.01
201104 1.78 2.90 -0.32 -2.25 0.00
201105 -2.15 -1.27 -0.65 -2.21 0.00
201106 -2.96 -1.75 -0.08 -0.42 0.00
201107 -4.18 -2.34 -1.40 -1.20 0.00
201108 -7.76 -6.00 -3.30 -1.56 0.01
201109 -9.13 -7.60 -3.68 -1.06 0.00
201110 13.67 11.34 3.58 -0.90 0.00
201111 -1.94 -0.26 -0.26 -0.17 0.00
201112 1.50 0.74 -0.57 1.53 0.00
201201 6.47 5.06 2.52 -2.13 0.00
201202 5.34 4.43 -1.65 0.04 0.00
201203 4.52 3.11 -0.23 -0.07 0.00
201204 -1.46 -0.84 -0.61 -0.20 0.00
201205 -7.15 -6.20 -0.10 0.10 0.01
201206 3.92 3.88 0.82 0.46 0.00
201207 -0.91 0.79 -2.59 0.02 0.00
201208 3.11 2.56 0.72 0.59 0.01
201209 1.98 2.74 0.49 1.57 0.01
201210 1.68 -1.75 -1.07 4.17 0.01
201211 0.40 0.77 0.67 -1.10 0.01
201212 2.10 1.18 1.66 3.28 0.01
201301 8.11 5.58 0.49 1.35 0.00
201302 2.62 1.28 -0.38 0.31 0.00
201303 4.59 4.03 0.84 -0.06 0.00
201304 1.17 1.56 -2.43 0.36 0.00
201305 3.13 2.81 1.93 1.31 0.00
201306 -0.32 -1.21 1.23 -0.45 0.00
201307 5.44 5.65 1.85 0.79 0.00
201308 -3.64 -2.69 0.28 -2.46 0.00
201309 3.78 3.76 2.85 -1.51 0.00
201310 -1.57 4.17 -1.52 1.39 0.00

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