Regression from Jul 2006 - Aug 2014

Rm-Rf SMB HML Mom Alpha R2
1.51 0.09 -0.48 0.01 -3.17% 0.563
Standard error 0.1591 0.3116 0.2863 0.1347 0.0063
t-statistics 9.50 0.30 -1.69 0.10 -0.42

Fund Profile

Symbol IEZ
Issuer iShares
Type ETF
Region USA
Style Sector

Rolling Charts:


Fund Returns from Jul 2006 - Aug 2014

Month RaR Rm-Rf SMB HML Mom Rf
200607 -1.83 -0.78 -3.99 3.27 -2.20 0.40
200608 -6.63 2.03 0.83 -1.75 -3.47 0.42
200609 -4.01 1.84 -1.24 -0.42 -0.94 0.41
200610 3.76 3.23 1.64 0.48 -0.26 0.41
200611 8.96 1.71 0.77 0.48 -1.03 0.42
200612 -5.18 0.87 -0.89 2.51 0.82 0.40
200701 -1.57 1.41 0.09 -0.02 0.26 0.44
200702 0.12 -1.95 1.38 0.24 -1.33 0.38
200703 7.96 0.68 -0.26 0.39 2.52 0.43
200704 7.41 3.49 -2.09 -0.96 -0.15 0.44
200705 7.49 3.24 -0.04 -0.13 -0.30 0.41
200706 3.62 -1.96 0.76 -1.06 0.24 0.40
200707 2.88 -3.74 -2.67 -2.99 2.78 0.40
200708 0.39 0.92 -0.14 -2.36 0.10 0.42
200709 7.61 3.23 -2.46 -2.13 4.61 0.32
200710 -1.14 1.80 0.21 -1.97 4.89 0.32
200711 -3.84 -4.82 -2.77 -1.09 0.88 0.34
200712 6.05 -0.86 0.05 -0.03 6.55 0.27
200801 -14.97 -6.35 -0.77 3.05 -7.83 0.21
200802 12.23 -3.09 -0.55 -0.03 6.11 0.13
200803 0.12 -0.94 0.83 0.28 4.12 0.17
200804 12.22 4.60 -1.49 -0.03 -0.22 0.18
200805 8.24 1.86 2.98 -0.34 3.20 0.18
200806 6.38 -8.44 1.07 -1.02 12.53 0.17
200807 -13.54 -0.77 3.58 3.69 -5.32 0.15
200808 -3.61 1.53 3.75 1.48 -3.80 0.13
200809 -21.80 -9.24 -0.34 4.40 0.34 0.15
200810 -33.81 -17.23 -2.28 -2.99 7.83 0.08
200811 -13.48 -7.86 -3.63 -4.94 7.13 0.03
200812 -10.35 1.66 3.97 -1.20 -5.03 0.09
200901 0.08 -8.12 -0.98 -9.86 -1.88 0.00
200902 -8.02 -10.09 -0.35 -6.90 4.29 0.01
200903 3.40 8.95 0.73 2.60 -11.35 0.02
200904 23.57 10.19 5.40 5.42 -34.72 0.01
200905 17.58 5.21 -2.66 0.56 -12.47 0.00
200906 -8.81 0.43 2.67 -2.44 5.31 0.01
200907 6.52 7.72 2.50 4.73 -5.47 0.01
200908 3.53 3.32 -0.51 7.59 -8.87 0.01
200909 12.42 4.08 2.47 1.40 -5.02 0.01
200910 -0.30 -2.59 -4.22 -4.37 2.67 0.00
200911 1.43 5.56 -2.65 0.17 0.37 0.00
200912 3.49 2.75 5.79 0.73 2.89 0.01
201001 -2.35 -3.36 0.19 0.61 -5.34 0.00
201002 3.19 3.40 1.44 2.74 3.62 0.00
201003 1.57 6.32 1.58 2.03 3.70 0.01
201004 7.34 2.00 4.94 3.15 3.14 0.00
201005 -17.82 -7.89 -0.08 -2.33 -0.22 0.01
201006 -3.79 -5.56 -2.13 -4.26 -2.90 0.01
201007 13.00 6.92 0.17 0.22 1.92 0.01
201008 -8.46 -4.77 -2.94 -1.64 -0.13 0.01
201009 14.62 9.54 3.84 -3.02 1.35 0.01
201010 6.64 3.88 1.04 -2.30 1.58 0.01
201011 10.98 0.60 3.66 -0.54 2.51 0.01
201012 8.09 6.82 0.78 3.58 -3.21 0.01
201101 7.19 2.01 -2.46 0.86 -0.30 0.01
201102 8.71 3.49 1.63 1.67 2.05 0.01
201103 3.34 0.48 2.62 -1.22 3.59 0.01
201104 -1.13 2.90 -0.32 -2.25 0.08 0.00
201105 -4.71 -1.27 -0.65 -2.21 -0.58 0.00
201106 0.14 -1.75 -0.08 -0.42 1.76 0.00
201107 4.35 -2.34 -1.40 -1.20 0.14 0.00
201108 -15.81 -6.00 -3.30 -1.56 -0.35 0.01
201109 -22.73 -7.60 -3.68 -1.06 -2.52 0.00
201110 24.54 11.34 3.58 -0.90 -1.45 0.00
201111 2.27 -0.26 -0.26 -0.17 4.00 0.00
201112 -5.90 0.74 -0.57 1.53 1.89 0.00
201201 5.99 5.06 2.52 -2.13 -7.95 0.00
201202 5.02 4.43 -1.65 0.04 -0.28 0.00
201203 -7.34 3.11 -0.23 -0.07 1.46 0.00
201204 0.08 -0.84 -0.61 -0.20 3.84 0.00
201205 -13.40 -6.20 -0.10 0.10 6.61 0.01
201206 -0.09 3.88 0.82 0.46 -1.14 0.00
201207 9.00 0.79 -2.59 0.02 3.06 0.00
201208 2.44 2.56 0.72 0.59 -2.51 0.01
201209 0.87 2.74 0.49 1.57 -1.02 0.01
201210 -3.91 -1.75 -1.07 4.17 0.12 0.01
201211 1.08 0.77 0.67 -1.10 0.37 0.01
201212 1.19 1.18 1.66 3.28 -2.92 0.01
201301 12.52 5.58 0.49 1.35 -1.87 0.00
201302 -0.46 1.28 -0.38 0.31 1.47 0.00
201303 0.59 4.03 0.84 -0.06 2.08 0.00
201304 -1.64 1.56 -2.43 0.36 0.34 0.00
201305 2.08 2.81 1.93 1.31 -1.89 0.00
201306 -1.37 -1.21 1.23 -0.45 0.65 0.00
201307 5.11 5.65 1.85 0.79 1.69 0.00
201308 0.15 -2.69 0.28 -2.46 0.05 0.00
201309 5.18 3.76 2.85 -1.51 3.01 0.00
201310 5.63 4.17 -1.52 1.39 0.11 0.00
201311 -2.53 3.12 1.32 -0.38 0.35 0.00
201312 0.72 2.81 -0.44 -0.17 0.05 0.00
201401 -5.46 -3.26 0.85 -1.83 1.66 0.00
201402 8.34 4.65 0.27 -0.48 2.15 0.00
201403 3.26 0.41 -1.81 4.72 -3.26 0.00
201404 3.35 -0.14 -4.23 1.57 -3.80 0.00
201405 1.22 2.06 -1.88 -0.40 0.84 0.00
201406 8.72 2.59 2.98 -0.63 0.60 0.00
201407 -6.66 -2.05 -4.28 0.03 -0.28 0.00
201408 1.87 4.23 0.49 -0.75 0.74 0.00

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