Regression from May 2001 - Aug 2014

Rm-Rf SMB HML Alpha R2
1.38 0.23 -0.88 -1.11% 0.876
Standard error 0.0472 0.0811 0.0799 0.0020
t-statistics 29.35 2.84 -11.04 -0.47

Fund Profile

Symbol IGM
Issuer iShares
Type ETF
Region USA
Style Sector

Rolling Charts:


Fund Returns from May 2001 - Aug 2014

Month RaR Rm-Rf SMB HML Rf
200105 -3.34 0.73 2.99 2.77 0.32
200106 1.92 -1.93 6.38 -2.14 0.28
200107 -7.81 -2.13 -4.22 5.62 0.30
200108 -13.79 -6.46 2.13 3.37 0.31
200109 -20.48 -9.26 -6.61 1.80 0.28
200110 16.63 2.47 6.88 -7.03 0.22
200111 16.08 7.54 0.38 0.69 0.17
200112 -1.09 1.60 5.14 0.43 0.15
200201 -1.08 -1.44 1.12 3.45 0.14
200202 -13.34 -2.29 -1.61 3.91 0.13
200203 7.59 4.24 4.30 1.17 0.13
200204 -12.56 -5.20 5.86 4.21 0.15
200205 -4.08 -1.38 -3.72 2.54 0.14
200206 -14.23 -7.21 3.49 1.56 0.13
200207 -10.93 -8.18 -5.14 -3.63 0.15
200208 0.53 0.50 -2.26 2.24 0.14
200209 -18.21 -10.35 2.70 1.23 0.14
200210 21.36 7.83 -2.98 -6.49 0.14
200211 17.11 5.96 3.17 -1.57 0.12
200212 -14.16 -5.76 -0.45 3.90 0.11
200301 -2.07 -2.57 1.40 -0.88 0.10
200302 2.23 -1.89 -0.26 -1.46 0.09
200303 -0.81 1.09 0.77 -1.67 0.10
200304 10.45 8.22 1.15 -0.06 0.10
200305 11.03 6.05 4.78 0.15 0.09
200306 -0.23 1.42 1.51 0.68 0.10
200307 5.93 2.34 5.57 -2.11 0.07
200308 6.56 2.34 2.67 1.71 0.07
200309 -1.46 -1.23 0.55 1.00 0.08
200310 9.91 6.08 2.89 1.80 0.07
200311 1.61 1.35 2.21 1.46 0.07
200312 1.12 4.30 -2.78 2.68 0.08
200401 5.35 2.15 2.63 1.64 0.07
200402 -3.37 1.40 -1.15 0.42 0.06
200403 -2.92 -1.33 1.85 0.04 0.09
200404 -5.20 -1.83 -2.54 -1.69 0.08
200405 5.16 1.18 -0.16 -0.29 0.06
200406 2.62 1.86 2.32 1.66 0.08
200407 -9.78 -4.07 -3.82 4.48 0.10
200408 -5.46 0.08 -1.59 1.13 0.11
200409 3.61 1.61 2.89 0.36 0.11
200410 5.39 1.43 0.43 -0.84 0.11
200411 5.90 4.54 4.17 1.93 0.15
200412 3.00 3.43 0.19 -0.35 0.16
200501 -6.73 -2.75 -1.65 2.66 0.16
200502 0.19 1.89 -0.72 2.83 0.16
200503 -2.66 -1.96 -1.38 1.75 0.21
200504 -4.93 -2.61 -4.00 -0.46 0.21
200505 9.29 3.65 2.99 -1.23 0.24
200506 -2.21 0.56 2.56 2.78 0.23
200507 6.84 3.92 2.77 -0.45 0.24
200508 -0.91 -1.22 -0.88 1.41 0.30
200509 0.78 0.48 -0.68 1.16 0.29
200510 -1.75 -2.00 -1.03 -0.70 0.27
200511 6.88 3.62 1.00 -1.85 0.31
200512 -1.93 -0.25 -0.51 0.48 0.32
200601 3.87 3.04 5.33 1.17 0.35
200602 -1.77 -0.30 -0.31 -0.85 0.34
200603 2.38 1.46 3.56 -0.11 0.37
200604 -0.68 0.72 -1.24 3.08 0.36
200605 -7.58 -3.57 -3.04 2.77 0.43
200606 -1.20 -0.35 -0.53 1.51 0.40
200607 -4.55 -0.78 -3.99 3.27 0.40
200608 7.91 2.03 0.83 -1.75 0.42
200609 4.14 1.84 -1.24 -0.42 0.41
200610 3.63 3.23 1.64 0.48 0.41
200611 4.01 1.71 0.77 0.48 0.42
200612 -0.79 0.87 -0.89 2.51 0.40
200701 1.36 1.41 0.09 -0.02 0.44
200702 -1.97 -1.95 1.38 0.24 0.38
200703 0.33 0.68 -0.26 0.39 0.43
200704 5.02 3.49 -2.09 -0.96 0.44
200705 4.47 3.24 -0.04 -0.13 0.41
200706 0.69 -1.96 0.76 -1.06 0.40
200707 -0.85 -3.74 -2.67 -2.99 0.40
200708 2.70 0.92 -0.14 -2.36 0.42
200709 4.40 3.23 -2.46 -2.13 0.32
200710 6.34 1.80 0.21 -1.97 0.32
200711 -7.76 -4.82 -2.77 -1.09 0.34
200712 1.12 -0.86 0.05 -0.03 0.27
200801 -12.88 -6.35 -0.77 3.05 0.21
200802 -2.93 -3.09 -0.55 -0.03 0.13
200803 0.62 -0.94 0.83 0.28 0.17
200804 7.28 4.60 -1.49 -0.03 0.18
200805 6.29 1.86 2.98 -0.34 0.18
200806 -9.44 -8.44 1.07 -1.02 0.17
200807 -0.76 -0.77 3.58 3.69 0.15
200808 2.23 1.53 3.75 1.48 0.13
200809 -14.20 -9.24 -0.34 4.40 0.15
200810 -18.10 -17.23 -2.28 -2.99 0.08
200811 -11.40 -7.86 -3.63 -4.94 0.03
200812 1.86 1.66 3.97 -1.20 0.09
200901 -2.11 -8.12 -0.98 -9.86 0.00
200902 -4.24 -10.09 -0.35 -6.90 0.01
200903 11.33 8.95 0.73 2.60 0.02
200904 13.76 10.19 5.40 5.42 0.01
200905 2.79 5.21 -2.66 0.56 0.00
200906 3.35 0.43 2.67 -2.44 0.01
200907 8.98 7.72 2.50 4.73 0.01
200908 2.36 3.32 -0.51 7.59 0.01
200909 4.42 4.08 2.47 1.40 0.01
200910 -0.95 -2.59 -4.22 -4.37 0.00
200911 5.40 5.56 -2.65 0.17 0.00
200912 5.87 2.75 5.79 0.73 0.01
201001 -8.33 -3.36 0.19 0.61 0.00
201002 4.35 3.40 1.44 2.74 0.00
201003 6.99 6.32 1.58 2.03 0.01
201004 1.56 2.00 4.94 3.15 0.00
201005 -8.01 -7.89 -0.08 -2.33 0.01
201006 -6.54 -5.56 -2.13 -4.26 0.01
201007 7.53 6.92 0.17 0.22 0.01
201008 -6.78 -4.77 -2.94 -1.64 0.01
201009 12.90 9.54 3.84 -3.02 0.01
201010 6.13 3.88 1.04 -2.30 0.01
201011 -0.52 0.60 3.66 -0.54 0.01
201012 4.89 6.82 0.78 3.58 0.01
201101 3.90 2.01 -2.46 0.86 0.01
201102 2.36 3.49 1.63 1.67 0.01
201103 -1.95 0.48 2.62 -1.22 0.01
201104 3.09 2.90 -0.32 -2.25 0.00
201105 -1.66 -1.27 -0.65 -2.21 0.00
201106 -2.64 -1.75 -0.08 -0.42 0.00
201107 -0.07 -2.34 -1.40 -1.20 0.00
201108 -6.39 -6.00 -3.30 -1.56 0.01
201109 -4.51 -7.60 -3.68 -1.06 0.00
201110 11.72 11.34 3.58 -0.90 0.00
201111 -1.99 -0.26 -0.26 -0.17 0.00
201112 -1.78 0.74 -0.57 1.53 0.00
201201 7.88 5.06 2.52 -2.13 0.00
201202 5.86 4.43 -1.65 0.04 0.00
201203 4.54 3.11 -0.23 -0.07 0.00
201204 -1.36 -0.84 -0.61 -0.20 0.00
201205 -8.70 -6.20 -0.10 0.10 0.01
201206 2.96 3.88 0.82 0.46 0.00
201207 0.22 0.79 -2.59 0.02 0.00
201208 4.62 2.56 0.72 0.59 0.01
201209 0.95 2.74 0.49 1.57 0.01
201210 -5.63 -1.75 -1.07 4.17 0.01
201211 2.10 0.77 0.67 -1.10 0.01
201212 1.49 1.18 1.66 3.28 0.01
201301 4.21 5.58 0.49 1.35 0.00
201302 0.76 1.28 -0.38 0.31 0.00
201303 2.70 4.03 0.84 -0.06 0.00
201304 0.49 1.56 -2.43 0.36 0.00
201305 4.80 2.81 1.93 1.31 0.00
201306 -2.47 -1.21 1.23 -0.45 0.00
201307 4.25 5.65 1.85 0.79 0.00
201308 -1.04 -2.69 0.28 -2.46 0.00
201309 4.19 3.76 2.85 -1.51 0.00
201310 4.06 4.17 -1.52 1.39 0.00
201311 3.66 3.12 1.32 -0.38 0.00
201312 4.32 2.81 -0.44 -0.17 0.00
201401 -2.04 -3.26 0.85 -1.83 0.00
201402 4.97 4.65 0.27 -0.48 0.00
201403 -1.01 0.41 -1.81 4.72 0.00
201404 -1.58 -0.14 -4.23 1.57 0.00
201405 3.56 2.06 -1.88 -0.40 0.00
201406 2.89 2.59 2.98 -0.63 0.00
201407 0.44 -2.05 -4.28 0.03 0.00
201408 3.94 4.23 0.49 -0.75 0.00

Other Funds


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