Regression from Feb 2001 - Aug 2014

Rm-Rf SMB HML Mom Alpha R2
0.98 -0.52 0.01 -0.04 -1.21% 0.966
Standard error 0.0171 0.0427 0.0364 0.0207 0.0007
t-statistics 57.08 -12.23 0.30 -1.84 -1.35

Fund Profile

Symbol IOO
Issuer iShares
Type ETF
Region Global
Style Large Blend

Rolling Charts:


Fund Returns from Feb 2001 - Aug 2014

Month RaR Rm-Rf SMB HML Mom Rf
200102 -10.02 -8.75 2.64 11.23 8.48 0.38
200103 -5.88 -7.76 -0.84 7.09 5.39 0.44
200104 8.20 7.64 -0.62 -3.04 -4.99 0.39
200105 -0.94 -1.10 2.19 2.48 3.51 0.32
200106 -2.89 -2.73 1.71 3.34 4.44 0.28
200107 -3.39 -2.52 -3.07 3.16 3.81 0.30
200108 -5.40 -4.42 2.48 3.67 6.61 0.31
200109 -7.36 -9.93 -4.77 1.87 9.22 0.28
200110 3.67 2.46 3.83 -5.10 -5.81 0.22
200111 6.33 5.66 -1.02 -1.29 -8.89 0.17
200112 0.39 0.63 0.04 1.84 1.44 0.15
200201 -5.20 -3.20 1.18 1.95 3.40 0.14
200202 -1.01 -0.68 -0.01 2.93 5.05 0.13
200203 3.41 4.71 1.38 0.60 -2.11 0.13
200204 -6.53 -2.56 4.04 4.93 5.80 0.15
200205 -0.50 0.36 0.42 2.81 2.45 0.14
200206 -6.12 -5.43 2.21 2.19 6.46 0.13
200207 -8.07 -8.62 -1.33 -0.48 3.14 0.15
200208 0.79 -0.05 -1.29 2.07 2.11 0.14
200209 -12.33 -10.34 3.10 0.62 8.81 0.14
200210 9.84 5.95 -5.12 -3.08 -4.29 0.14
200211 6.73 5.12 -0.28 0.06 -10.40 0.12
200212 -5.80 -4.22 1.98 3.19 9.32 0.11
200301 -3.68 -2.70 1.87 0.77 1.57 0.10
200302 -2.45 -1.84 0.62 1.38 3.23 0.09
200303 0.92 -0.34 0.43 -0.85 1.59 0.10
200304 9.02 8.70 -0.36 -0.06 -8.01 0.10
200305 4.31 6.53 3.11 0.82 -5.39 0.09
200306 2.33 2.00 2.13 0.52 -2.78 0.10
200307 1.06 2.18 2.18 1.51 -2.33 0.07
200308 1.21 2.66 2.78 1.14 -0.97 0.07
200309 1.77 1.31 2.86 -0.50 -0.03 0.08
200310 4.55 5.82 0.72 2.43 4.56 0.07
200311 1.77 1.69 -0.27 0.68 0.15 0.07
200312 7.27 5.63 -1.67 1.07 -1.95 0.08
200401 0.96 2.26 2.48 1.87 2.70 0.07
200402 2.48 1.89 -0.07 0.76 -0.27 0.06
200403 -2.71 -0.04 3.84 -0.16 0.57 0.09
200404 -1.59 -2.23 -0.68 -1.63 -3.07 0.08
200405 0.44 0.61 -1.51 0.46 -0.13 0.06
200406 1.67 2.39 2.21 0.86 2.08 0.08
200407 -3.63 -3.77 -1.62 2.50 -1.76 0.10
200408 0.77 0.37 -0.65 1.30 0.37 0.11
200409 0.02 2.16 1.31 0.64 2.65 0.11
200410 2.72 2.57 0.46 0.24 -0.29 0.11
200411 4.50 5.36 2.06 1.46 1.80 0.15
200412 3.57 3.77 -0.01 0.62 -0.62 0.16
200501 -2.13 -1.89 1.99 1.36 2.52 0.16
200502 3.50 3.00 0.35 1.40 2.53 0.16
200503 -2.78 -2.01 -0.44 1.45 0.99 0.21
200504 -1.44 -2.58 -0.98 -0.02 0.28 0.21
200505 0.92 1.37 -0.89 0.15 0.32 0.24
200506 -0.17 1.24 1.84 1.70 2.63 0.23
200507 2.90 3.53 0.90 0.15 1.02 0.24
200508 0.71 1.05 0.62 0.58 3.13 0.30
200509 1.94 2.07 -0.17 0.66 3.36 0.29
200510 -2.55 -2.66 -0.20 -0.07 -1.24 0.27
200511 2.32 2.90 0.16 -0.58 0.85 0.31
200512 1.24 2.54 2.10 -0.89 2.58 0.32
200601 3.14 4.54 2.75 1.21 3.89 0.35
200602 -0.89 -0.44 -0.67 1.29 -1.77 0.34
200603 2.35 2.44 1.96 0.48 2.17 0.37
200604 3.58 2.89 0.40 1.12 1.54 0.36
200605 -2.92 -4.12 -2.22 1.06 -3.16 0.43
200606 -0.06 -0.60 -1.65 0.07 -0.19 0.40
200607 2.08 -0.23 -2.76 2.25 -0.45 0.40
200608 2.93 2.23 0.18 -0.56 -1.31 0.42
200609 1.12 0.59 -1.36 0.50 -0.42 0.41
200610 3.10 3.33 0.53 -0.33 0.60 0.41
200611 2.14 2.33 0.42 0.34 0.40 0.42
200612 1.92 1.86 -0.16 1.23 1.35 0.40
200701 0.94 0.96 0.84 0.23 0.66 0.44
200702 -2.42 -0.59 1.66 0.44 -0.11 0.38
200703 1.41 1.76 0.33 0.28 1.66 0.43
200704 5.50 3.74 -0.81 0.18 0.88 0.44
200705 2.88 2.48 -0.75 0.48 0.72 0.41
200706 -0.11 -0.81 0.98 0.08 0.38 0.40
200707 -2.24 -2.39 0.34 -1.14 2.43 0.40
200708 0.88 -1.16 -3.52 -0.38 -0.97 0.42
200709 4.97 4.38 -2.13 -1.62 4.85 0.32
200710 2.99 3.17 0.76 -2.57 3.76 0.32
200711 -2.94 -4.65 -3.43 -0.67 -0.21 0.34
200712 -0.88 -1.59 -0.77 0.57 2.76 0.27
200801 -8.69 -7.77 -1.02 2.59 -4.61 0.21
200802 -2.07 -0.07 2.19 -1.05 5.01 0.13
200803 0.69 -1.23 -0.80 1.58 0.47 0.17
200804 5.22 4.91 -2.72 -0.65 -0.29 0.18
200805 -0.65 1.84 1.77 -1.47 2.80 0.18
200806 -8.03 -8.04 1.28 -1.43 9.22 0.17
200807 -0.75 -2.77 -0.41 2.09 -4.39 0.15
200808 -1.52 -1.97 -0.42 0.46 -3.66 0.13
200809 -7.83 -12.34 -1.41 2.39 -0.06 0.15
200810 -15.24 -19.46 -2.63 -0.27 7.50 0.08
200811 -7.00 -6.54 -0.61 -2.28 4.50 0.03
200812 3.94 4.25 2.27 0.39 -2.27 0.09
200901 -12.80 -8.48 2.37 -4.79 0.13 0.00
200902 -10.82 -9.94 1.19 -4.36 2.40 0.01
200903 8.35 7.30 -1.59 0.71 -8.82 0.02
200904 9.05 11.42 1.57 3.32 -23.89 0.01
200905 10.29 9.93 1.65 -0.60 -10.27 0.00
200906 -0.77 -0.30 2.66 -1.84 2.70 0.01
200907 9.36 8.60 -1.29 4.13 -2.74 0.01
200908 4.02 3.96 0.83 4.34 -6.39 0.01
200909 3.87 4.40 1.54 0.83 -2.25 0.01
200910 -1.15 -2.15 -0.26 -2.43 1.81 0.00
200911 5.51 3.66 -2.44 -1.32 0.84 0.00
200912 0.08 1.98 0.74 0.85 2.04 0.01
201001 -5.52 -3.70 2.70 -0.29 -2.23 0.00
201002 0.76 1.24 0.14 0.10 1.59 0.00
201003 6.02 6.30 -0.26 3.18 4.26 0.01
201004 -2.26 0.45 3.78 0.77 1.60 0.00
201005 -9.75 -9.52 0.17 -2.54 -0.56 0.01
201006 -3.86 -3.12 0.39 -2.89 -1.14 0.01
201007 10.86 8.20 -1.48 1.56 0.20 0.01
201008 -4.46 -3.93 -0.19 -2.07 2.06 0.01
201009 8.54 9.81 1.54 -1.37 1.97 0.01
201010 4.32 4.01 -0.13 -1.09 0.54 0.01
201011 -3.73 -2.23 2.13 -0.78 4.50 0.01
201012 7.12 7.57 1.95 1.84 -0.72 0.01
201101 3.40 2.14 -1.63 2.76 -1.74 0.01
201102 3.14 3.52 0.20 0.44 1.32 0.01
201103 -1.60 -0.68 1.44 -1.39 1.46 0.01
201104 5.40 4.43 -0.67 -1.50 1.33 0.00
201105 -2.59 -2.11 -0.43 -1.46 0.27 0.00
201106 -1.38 -1.49 -0.45 0.33 1.48 0.00
201107 -2.61 -1.80 1.25 -2.40 1.92 0.00
201108 -7.72 -7.47 -0.61 -1.83 -0.95 0.01
201109 -8.22 -9.12 -1.30 0.23 -2.64 0.00
201110 10.73 10.01 -2.03 -1.16 -1.07 0.00
201111 -1.75 -2.60 -1.11 -0.80 4.10 0.00
201112 0.53 -0.39 -0.51 1.79 1.91 0.00
201201 4.51 5.56 2.08 -0.94 -6.54 0.00
201202 3.79 4.92 -0.90 0.00 -1.71 0.00
201203 1.19 1.20 -0.36 -0.06 2.43 0.00
201204 -1.99 -1.13 0.19 -1.66 4.14 0.00
201205 -8.95 -8.84 -0.52 -0.03 6.11 0.01
201206 5.73 4.86 -1.57 1.41 -0.99 0.00
201207 0.78 0.91 -1.59 -1.13 3.69 0.00
201208 2.26 2.77 -0.16 0.88 -1.51 0.01
201209 2.79 3.03 1.11 1.37 -1.20 0.01
201210 0.20 -0.40 -0.61 2.27 0.07 0.01
201211 0.54 1.31 -1.09 0.02 1.29 0.01
201212 2.88 2.33 1.34 3.52 -1.80 0.01
201301 5.11 5.43 -0.07 2.36 -0.06 0.00
201302 -1.03 0.11 0.16 -0.71 3.00 0.00
201303 1.88 2.24 0.49 -1.88 3.34 0.00
201304 3.60 3.01 -1.69 1.42 2.83 0.00
201305 0.63 0.55 -0.78 1.66 1.10 0.00
201306 -2.84 -2.50 0.52 -0.34 1.17 0.00
201307 4.90 5.60 -0.05 0.82 1.62 0.00
201308 -2.91 -1.84 1.39 -0.80 -1.31 0.00
201309 4.54 5.48 1.99 -0.39 3.33 0.00
201310 4.30 3.75 -1.62 1.92 0.42 0.00
201311 2.14 1.82 -0.30 -0.01 2.24 0.00
201312 1.80 2.16 -0.42 0.09 1.13 0.00
201401 -4.93 -3.31 2.69 0.07 1.28 0.00
201402 5.09 5.06 -0.60 -0.14 1.58 0.00
201403 0.89 0.17 -0.39 2.63 -2.31 0.00
201404 2.11 0.57 -2.75 1.21 -3.55 0.00
201405 0.75 1.74 -1.17 -0.41 0.45 0.00
201406 0.74 2.00 2.03 -0.19 0.16 0.00
201407 -1.87 -2.06 -1.07 -0.03 0.50 0.00
201408 2.30 1.92 -0.51 -0.73 0.39 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.