Regression from May 2001 - Aug 2014

Rm-Rf Alpha R2
1.36 -2.69% 0.773
Standard error 0.0586 0.0026
t-statistics 23.20 -0.86

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 Rf
200105 -3.34 0.73 0.32
200106 1.92 -1.93 0.28
200107 -7.81 -2.13 0.30
200108 -13.79 -6.46 0.31
200109 -20.48 -9.26 0.28
200110 16.63 2.47 0.22
200111 16.08 7.54 0.17
200112 -1.09 1.60 0.15
200201 -1.08 -1.44 0.14
200202 -13.34 -2.29 0.13
200203 7.59 4.24 0.13
200204 -12.56 -5.20 0.15
200205 -4.08 -1.38 0.14
200206 -14.23 -7.21 0.13
200207 -10.93 -8.18 0.15
200208 0.53 0.50 0.14
200209 -18.21 -10.35 0.14
200210 21.36 7.83 0.14
200211 17.11 5.96 0.12
200212 -14.16 -5.76 0.11
200301 -2.07 -2.57 0.10
200302 2.23 -1.89 0.09
200303 -0.81 1.09 0.10
200304 10.45 8.22 0.10
200305 11.03 6.05 0.09
200306 -0.23 1.42 0.10
200307 5.93 2.34 0.07
200308 6.56 2.34 0.07
200309 -1.46 -1.23 0.08
200310 9.91 6.08 0.07
200311 1.61 1.35 0.07
200312 1.12 4.30 0.08
200401 5.35 2.15 0.07
200402 -3.37 1.40 0.06
200403 -2.92 -1.33 0.09
200404 -5.20 -1.83 0.08
200405 5.16 1.18 0.06
200406 2.62 1.86 0.08
200407 -9.78 -4.07 0.10
200408 -5.46 0.08 0.11
200409 3.61 1.61 0.11
200410 5.39 1.43 0.11
200411 5.90 4.54 0.15
200412 3.00 3.43 0.16
200501 -6.73 -2.75 0.16
200502 0.19 1.89 0.16
200503 -2.66 -1.96 0.21
200504 -4.93 -2.61 0.21
200505 9.29 3.65 0.24
200506 -2.21 0.56 0.23
200507 6.84 3.92 0.24
200508 -0.91 -1.22 0.30
200509 0.78 0.48 0.29
200510 -1.75 -2.00 0.27
200511 6.88 3.62 0.31
200512 -1.93 -0.25 0.32
200601 3.87 3.04 0.35
200602 -1.77 -0.30 0.34
200603 2.38 1.46 0.37
200604 -0.68 0.72 0.36
200605 -7.58 -3.57 0.43
200606 -1.20 -0.35 0.40
200607 -4.55 -0.78 0.40
200608 7.91 2.03 0.42
200609 4.14 1.84 0.41
200610 3.63 3.23 0.41
200611 4.01 1.71 0.42
200612 -0.79 0.87 0.40
200701 1.36 1.41 0.44
200702 -1.97 -1.95 0.38
200703 0.33 0.68 0.43
200704 5.02 3.49 0.44
200705 4.47 3.24 0.41
200706 0.69 -1.96 0.40
200707 -0.85 -3.74 0.40
200708 2.70 0.92 0.42
200709 4.40 3.23 0.32
200710 6.34 1.80 0.32
200711 -7.76 -4.82 0.34
200712 1.12 -0.86 0.27
200801 -12.88 -6.35 0.21
200802 -2.93 -3.09 0.13
200803 0.62 -0.94 0.17
200804 7.28 4.60 0.18
200805 6.29 1.86 0.18
200806 -9.44 -8.44 0.17
200807 -0.76 -0.77 0.15
200808 2.23 1.53 0.13
200809 -14.20 -9.24 0.15
200810 -18.10 -17.23 0.08
200811 -11.40 -7.86 0.03
200812 1.86 1.66 0.09
200901 -2.11 -8.12 0.00
200902 -4.24 -10.09 0.01
200903 11.33 8.95 0.02
200904 13.76 10.19 0.01
200905 2.79 5.21 0.00
200906 3.35 0.43 0.01
200907 8.98 7.72 0.01
200908 2.36 3.32 0.01
200909 4.42 4.08 0.01
200910 -0.95 -2.59 0.00
200911 5.40 5.56 0.00
200912 5.87 2.75 0.01
201001 -8.33 -3.36 0.00
201002 4.35 3.40 0.00
201003 6.99 6.32 0.01
201004 1.56 2.00 0.00
201005 -8.01 -7.89 0.01
201006 -6.54 -5.56 0.01
201007 7.53 6.92 0.01
201008 -6.78 -4.77 0.01
201009 12.90 9.54 0.01
201010 6.13 3.88 0.01
201011 -0.52 0.60 0.01
201012 4.89 6.82 0.01
201101 3.90 2.01 0.01
201102 2.36 3.49 0.01
201103 -1.95 0.48 0.01
201104 3.09 2.90 0.00
201105 -1.66 -1.27 0.00
201106 -2.64 -1.75 0.00
201107 -0.07 -2.34 0.00
201108 -6.39 -6.00 0.01
201109 -4.51 -7.60 0.00
201110 11.72 11.34 0.00
201111 -1.99 -0.26 0.00
201112 -1.78 0.74 0.00
201201 7.88 5.06 0.00
201202 5.86 4.43 0.00
201203 4.54 3.11 0.00
201204 -1.36 -0.84 0.00
201205 -8.70 -6.20 0.01
201206 2.96 3.88 0.00
201207 0.22 0.79 0.00
201208 4.62 2.56 0.01
201209 0.95 2.74 0.01
201210 -5.63 -1.75 0.01
201211 2.10 0.77 0.01
201212 1.49 1.18 0.01
201301 4.21 5.58 0.00
201302 0.76 1.28 0.00
201303 2.70 4.03 0.00
201304 0.49 1.56 0.00
201305 4.80 2.81 0.00
201306 -2.47 -1.21 0.00
201307 4.25 5.65 0.00
201308 -1.04 -2.69 0.00
201309 4.19 3.76 0.00
201310 4.06 4.17 0.00
201311 3.66 3.12 0.00
201312 4.32 2.81 0.00
201401 -2.04 -3.26 0.00
201402 4.97 4.65 0.00
201403 -1.01 0.41 0.00
201404 -1.58 -0.14 0.00
201405 3.56 2.06 0.00
201406 2.89 2.59 0.00
201407 0.44 -2.05 0.00
201408 3.94 4.23 0.00

Other Funds


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.