Regression from Aug 2000 - Aug 2014

Rm-Rf SMB HML Alpha R2
0.92 -0.13 0.31 5.58% 0.471
Standard error 0.0806 0.1439 0.1170 0.0035
t-statistics 11.46 -0.90 2.66 1.32

Fund Profile

Symbol IYE
Issuer iShares
Type ETF
Region USA
Style Sector

Rolling Charts:


Fund Returns from Aug 2000 - Aug 2014

Month RaR Rm-Rf SMB HML Rf
200008 11.75 7.14 -0.89 -1.28 0.50
200009 1.59 -5.44 -1.87 6.85 0.51
200010 -4.22 -2.77 -3.66 4.79 0.56
200011 -4.48 -10.73 -3.10 12.42 0.51
200012 12.65 1.19 1.55 6.13 0.50
200101 -4.49 3.12 7.03 -5.70 0.54
200102 0.62 -10.08 -1.15 13.87 0.39
200103 -1.79 -7.27 0.55 6.36 0.44
200104 10.57 7.95 0.27 -4.36 0.39
200105 -1.20 0.73 2.99 2.77 0.32
200106 -9.99 -1.93 6.38 -2.14 0.28
200107 -0.85 -2.13 -4.22 5.62 0.30
200108 -4.31 -6.46 2.13 3.37 0.31
200109 -8.78 -9.26 -6.61 1.80 0.28
200110 6.66 2.47 6.88 -7.03 0.22
200111 -3.86 7.54 0.38 0.69 0.17
200112 6.66 1.60 5.14 0.43 0.15
200201 -5.49 -1.44 1.12 3.45 0.14
200202 4.30 -2.29 -1.61 3.91 0.13
200203 8.39 4.24 4.30 1.17 0.13
200204 -4.15 -5.20 5.86 4.21 0.15
200205 -2.57 -1.38 -3.72 2.54 0.14
200206 -2.41 -7.21 3.49 1.56 0.13
200207 -12.43 -8.18 -5.14 -3.63 0.15
200208 1.76 0.50 -2.26 2.24 0.14
200209 -7.63 -10.35 2.70 1.23 0.14
200210 1.78 7.83 -2.98 -6.49 0.14
200211 3.41 5.96 3.17 -1.57 0.12
200212 -0.53 -5.76 -0.45 3.90 0.11
200301 -2.06 -2.57 1.40 -0.88 0.10
200302 2.10 -1.89 -0.26 -1.46 0.09
200303 1.08 1.09 0.77 -1.67 0.10
200304 -0.98 8.22 1.15 -0.06 0.10
200305 10.74 6.05 4.78 0.15 0.09
200306 -0.24 1.42 1.51 0.68 0.10
200307 -4.21 2.34 5.57 -2.11 0.07
200308 6.51 2.34 2.67 1.71 0.07
200309 -1.91 -1.23 0.55 1.00 0.08
200310 1.05 6.08 2.89 1.80 0.07
200311 0.72 1.35 2.21 1.46 0.07
200312 13.76 4.30 -2.78 2.68 0.08
200401 1.54 2.15 2.63 1.64 0.07
200402 4.89 1.40 -1.15 0.42 0.06
200403 -0.53 -1.33 1.85 0.04 0.09
200404 2.44 -1.83 -2.54 -1.69 0.08
200405 -1.10 1.18 -0.16 -0.29 0.06
200406 6.25 1.86 2.32 1.66 0.08
200407 3.07 -4.07 -3.82 4.48 0.10
200408 -0.89 0.08 -1.59 1.13 0.11
200409 9.48 1.61 2.89 0.36 0.11
200410 -0.49 1.43 0.43 -0.84 0.11
200411 6.78 4.54 4.17 1.93 0.15
200412 -2.79 3.43 0.19 -0.35 0.16
200501 3.40 -2.75 -1.65 2.66 0.16
200502 16.68 1.89 -0.72 2.83 0.16
200503 -2.73 -1.96 -1.38 1.75 0.21
200504 -6.29 -2.61 -4.00 -0.46 0.21
200505 2.80 3.65 2.99 -1.23 0.24
200506 6.48 0.56 2.56 2.78 0.23
200507 6.26 3.92 2.77 -0.45 0.24
200508 6.10 -1.22 -0.88 1.41 0.30
200509 5.28 0.48 -0.68 1.16 0.29
200510 -9.03 -2.00 -1.03 -0.70 0.27
200511 1.63 3.62 1.00 -1.85 0.31
200512 1.93 -0.25 -0.51 0.48 0.32
200601 13.13 3.04 5.33 1.17 0.35
200602 -8.36 -0.30 -0.31 -0.85 0.34
200603 3.92 1.46 3.56 -0.11 0.37
200604 5.12 0.72 -1.24 3.08 0.36
200605 -2.78 -3.57 -3.04 2.77 0.43
200606 2.69 -0.35 -0.53 1.51 0.40
200607 3.70 -0.78 -3.99 3.27 0.40
200608 -4.30 2.03 0.83 -1.75 0.42
200609 -2.71 1.84 -1.24 -0.42 0.41
200610 4.04 3.23 1.64 0.48 0.41
200611 8.50 1.71 0.77 0.48 0.42
200612 -2.50 0.87 -0.89 2.51 0.40
200701 -1.02 1.41 0.09 -0.02 0.44
200702 -2.19 -1.95 1.38 0.24 0.38
200703 6.17 0.68 -0.26 0.39 0.43
200704 5.71 3.49 -2.09 -0.96 0.44
200705 7.00 3.24 -0.04 -0.13 0.41
200706 1.78 -1.96 0.76 -1.06 0.40
200707 0.30 -3.74 -2.67 -2.99 0.40
200708 0.44 0.92 -0.14 -2.36 0.42
200709 8.23 3.23 -2.46 -2.13 0.32
200710 1.40 1.80 0.21 -1.97 0.32
200711 -3.71 -4.82 -2.77 -1.09 0.34
200712 7.73 -0.86 0.05 -0.03 0.27
200801 -11.55 -6.35 -0.77 3.05 0.21
200802 8.72 -3.09 -0.55 -0.03 0.13
200803 -2.04 -0.94 0.83 0.28 0.17
200804 10.88 4.60 -1.49 -0.03 0.18
200805 3.75 1.86 2.98 -0.34 0.18
200806 2.57 -8.44 1.07 -1.02 0.17
200807 -14.33 -0.77 3.58 3.69 0.15
200808 -0.28 1.53 3.75 1.48 0.13
200809 -12.68 -9.24 -0.34 4.40 0.15
200810 -18.95 -17.23 -2.28 -2.99 0.08
200811 -2.45 -7.86 -3.63 -4.94 0.03
200812 -4.24 1.66 3.97 -1.20 0.09
200901 -1.93 -8.12 -0.98 -9.86 0.00
200902 -11.78 -10.09 -0.35 -6.90 0.01
200903 3.83 8.95 0.73 2.60 0.02
200904 7.63 10.19 5.40 5.42 0.01
200905 12.43 5.21 -2.66 0.56 0.00
200906 -6.20 0.43 2.67 -2.44 0.01
200907 5.14 7.72 2.50 4.73 0.01
200908 0.68 3.32 -0.51 7.59 0.01
200909 5.42 4.08 2.47 1.40 0.01
200910 1.83 -2.59 -4.22 -4.37 0.00
200911 2.82 5.56 -2.65 0.17 0.00
200912 0.10 2.75 5.79 0.73 0.01
201001 -4.39 -3.36 0.19 0.61 0.00
201002 1.86 3.40 1.44 2.74 0.00
201003 3.02 6.32 1.58 2.03 0.01
201004 4.31 2.00 4.94 3.15 0.00
201005 -11.76 -7.89 -0.08 -2.33 0.01
201006 -5.94 -5.56 -2.13 -4.26 0.01
201007 7.99 6.92 0.17 0.22 0.01
201008 -4.34 -4.77 -2.94 -1.64 0.01
201009 9.86 9.54 3.84 -3.02 0.01
201010 4.98 3.88 1.04 -2.30 0.01
201011 5.71 0.60 3.66 -0.54 0.01
201012 8.77 6.82 0.78 3.58 0.01
201101 7.49 2.01 -2.46 0.86 0.01
201102 7.40 3.49 1.63 1.67 0.01
201103 1.32 0.48 2.62 -1.22 0.01
201104 1.28 2.90 -0.32 -2.25 0.00
201105 -4.33 -1.27 -0.65 -2.21 0.00
201106 -1.84 -1.75 -0.08 -0.42 0.00
201107 1.27 -2.34 -1.40 -1.20 0.00
201108 -10.29 -6.00 -3.30 -1.56 0.01
201109 -13.02 -7.60 -3.68 -1.06 0.00
201110 17.26 11.34 3.58 -0.90 0.00
201111 1.71 -0.26 -0.26 -0.17 0.00
201112 -1.09 0.74 -0.57 1.53 0.00
201201 1.86 5.06 2.52 -2.13 0.00
201202 6.37 4.43 -1.65 0.04 0.00
201203 -3.45 3.11 -0.23 -0.07 0.00
201204 -1.15 -0.84 -0.61 -0.20 0.00
201205 -10.71 -6.20 -0.10 0.10 0.01
201206 5.13 3.88 0.82 0.46 0.00
201207 4.34 0.79 -2.59 0.02 0.00
201208 2.51 2.56 0.72 0.59 0.01
201209 3.25 2.74 0.49 1.57 0.01
201210 -2.44 -1.75 -1.07 4.17 0.01
201211 -1.20 0.77 0.67 -1.10 0.01
201212 0.91 1.18 1.66 3.28 0.01
201301 8.36 5.58 0.49 1.35 0.00
201302 0.16 1.28 -0.38 0.31 0.00
201303 2.24 4.03 0.84 -0.06 0.00
201304 -1.04 1.56 -2.43 0.36 0.00
201305 2.63 2.81 1.93 1.31 0.00
201306 -2.38 -1.21 1.23 -0.45 0.00
201307 5.41 5.65 1.85 0.79 0.00
201308 -1.62 -2.69 0.28 -2.46 0.00
201309 2.40 3.76 2.85 -1.51 0.00
201310 4.23 4.17 -1.52 1.39 0.00
201311 -0.37 3.12 1.32 -0.38 0.00
201312 3.62 2.81 -0.44 -0.17 0.00
201401 -6.23 -3.26 0.85 -1.83 0.00
201402 5.43 4.65 0.27 -0.48 0.00
201403 2.48 0.41 -1.81 4.72 0.00
201404 4.95 -0.14 -4.23 1.57 0.00
201405 1.28 2.06 -1.88 -0.40 0.00
201406 5.32 2.59 2.98 -0.63 0.00
201407 -3.57 -2.05 -4.28 0.03 0.00
201408 2.48 4.23 0.49 -0.75 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.