Regression from Mar 2004 - Aug 2014

Rm-Rf SMB HML Alpha R2
0.95 0.43 0.32 3.33% 0.727
Standard error 0.0743 0.1361 0.1228 0.0027
t-statistics 12.82 3.15 2.64 1.01

Fund Profile

Symbol IYT
Issuer iShares
Type ETF
Region USA
Style Sector

Rolling Charts:


Fund Returns from Mar 2004 - Aug 2014

Month RaR Rm-Rf SMB HML Rf
200403 -0.54 -1.33 1.85 0.04 0.09
200404 0.63 -1.83 -2.54 -1.69 0.08
200405 2.10 1.18 -0.16 -0.29 0.06
200406 8.55 1.86 2.32 1.66 0.08
200407 -2.84 -4.07 -3.82 4.48 0.10
200408 -0.12 0.08 -1.59 1.13 0.11
200409 4.53 1.61 2.89 0.36 0.11
200410 7.82 1.43 0.43 -0.84 0.11
200411 4.79 4.54 4.17 1.93 0.15
200412 3.82 3.43 0.19 -0.35 0.16
200501 -5.50 -2.75 -1.65 2.66 0.16
200502 3.34 1.89 -0.72 2.83 0.16
200503 -0.37 -1.96 -1.38 1.75 0.21
200504 -7.34 -2.61 -4.00 -0.46 0.21
200505 5.28 3.65 2.99 -1.23 0.24
200506 -3.34 0.56 2.56 2.78 0.23
200507 8.84 3.92 2.77 -0.45 0.24
200508 -3.03 -1.22 -0.88 1.41 0.30
200509 1.38 0.48 -0.68 1.16 0.29
200510 2.34 -2.00 -1.03 -0.70 0.27
200511 8.16 3.62 1.00 -1.85 0.31
200512 2.04 -0.25 -0.51 0.48 0.32
200601 3.59 3.04 5.33 1.17 0.35
200602 1.78 -0.30 -0.31 -0.85 0.34
200603 3.46 1.46 3.56 -0.11 0.37
200604 1.73 0.72 -1.24 3.08 0.36
200605 0.37 -3.57 -3.04 2.77 0.43
200606 5.60 -0.35 -0.53 1.51 0.40
200607 -11.26 -0.78 -3.99 3.27 0.40
200608 -1.95 2.03 0.83 -1.75 0.42
200609 4.14 1.84 -1.24 -0.42 0.41
200610 5.79 3.23 1.64 0.48 0.41
200611 0.09 1.71 0.77 0.48 0.42
200612 -3.44 0.87 -0.89 2.51 0.40
200701 7.75 1.41 0.09 -0.02 0.44
200702 -0.82 -1.95 1.38 0.24 0.38
200703 -1.27 0.68 -0.26 0.39 0.43
200704 4.98 3.49 -2.09 -0.96 0.44
200705 5.07 3.24 -0.04 -0.13 0.41
200706 -3.64 -1.96 0.76 -1.06 0.40
200707 -1.31 -3.74 -2.67 -2.99 0.40
200708 -2.79 0.92 -0.14 -2.36 0.42
200709 -0.75 3.23 -2.46 -2.13 0.32
200710 1.30 1.80 0.21 -1.97 0.32
200711 -4.72 -4.82 -2.77 -1.09 0.34
200712 -2.59 -0.86 0.05 -0.03 0.27
200801 4.45 -6.35 -0.77 3.05 0.21
200802 -4.00 -3.09 -0.55 -0.03 0.13
200803 5.15 -0.94 0.83 0.28 0.17
200804 8.06 4.60 -1.49 -0.03 0.18
200805 5.30 1.86 2.98 -0.34 0.18
200806 -8.94 -8.44 1.07 -1.02 0.17
200807 2.99 -0.77 3.58 3.69 0.15
200808 0.86 1.53 3.75 1.48 0.13
200809 -9.69 -9.24 -0.34 4.40 0.15
200810 -15.63 -17.23 -2.28 -2.99 0.08
200811 -9.49 -7.86 -3.63 -4.94 0.03
200812 0.67 1.66 3.97 -1.20 0.09
200901 -16.80 -8.12 -0.98 -9.86 0.00
200902 -14.93 -10.09 -0.35 -6.90 0.01
200903 7.57 8.95 0.73 2.60 0.02
200904 17.66 10.19 5.40 5.42 0.01
200905 2.39 5.21 -2.66 0.56 0.00
200906 1.73 0.43 2.67 -2.44 0.01
200907 10.47 7.72 2.50 4.73 0.01
200908 2.61 3.32 -0.51 7.59 0.01
200909 4.31 4.08 2.47 1.40 0.01
200910 -5.71 -2.59 -4.22 -4.37 0.00
200911 9.36 5.56 -2.65 0.17 0.00
200912 4.56 2.75 5.79 0.73 0.01
201001 -5.08 -3.36 0.19 0.61 0.00
201002 7.04 3.40 1.44 2.74 0.00
201003 5.80 6.32 1.58 2.03 0.01
201004 6.67 2.00 4.94 3.15 0.00
201005 -6.66 -7.89 -0.08 -2.33 0.01
201006 -7.73 -5.56 -2.13 -4.26 0.01
201007 10.21 6.92 0.17 0.22 0.01
201008 -6.41 -4.77 -2.94 -1.64 0.01
201009 9.75 9.54 3.84 -3.02 0.01
201010 5.04 3.88 1.04 -2.30 0.01
201011 2.44 0.60 3.66 -0.54 0.01
201012 5.35 6.82 0.78 3.58 0.01
201101 -1.73 2.01 -2.46 0.86 0.01
201102 1.64 3.49 1.63 1.67 0.01
201103 4.26 0.48 2.62 -1.22 0.01
201104 4.10 2.90 -0.32 -2.25 0.00
201105 -0.64 -1.27 -0.65 -2.21 0.00
201106 -0.88 -1.75 -0.08 -0.42 0.00
201107 -4.76 -2.34 -1.40 -1.20 0.00
201108 -9.85 -6.00 -3.30 -1.56 0.01
201109 -9.99 -7.60 -3.68 -1.06 0.00
201110 16.33 11.34 3.58 -0.90 0.00
201111 0.92 -0.26 -0.26 -0.17 0.00
201112 1.62 0.74 -0.57 1.53 0.00
201201 6.01 5.06 2.52 -2.13 0.00
201202 -3.07 4.43 -1.65 0.04 0.00
201203 2.11 3.11 -0.23 -0.07 0.00
201204 -0.52 -0.84 -0.61 -0.20 0.00
201205 -2.11 -6.20 -0.10 0.10 0.01
201206 2.67 3.88 0.82 0.46 0.00
201207 -2.63 0.79 -2.59 0.02 0.00
201208 -1.71 2.56 0.72 0.59 0.01
201209 -2.22 2.74 0.49 1.57 0.01
201210 3.34 -1.75 -1.07 4.17 0.01
201211 1.11 0.77 0.67 -1.10 0.01
201212 3.99 1.18 1.66 3.28 0.01
201301 9.22 5.58 0.49 1.35 0.00
201302 3.51 1.28 -0.38 0.31 0.00
201303 4.58 4.03 0.84 -0.06 0.00
201304 -1.15 1.56 -2.43 0.36 0.00
201305 2.16 2.81 1.93 1.31 0.00
201306 -1.97 -1.21 1.23 -0.45 0.00
201307 5.06 5.65 1.85 0.79 0.00
201308 -3.29 -2.69 0.28 -2.46 0.00
201309 5.62 3.76 2.85 -1.51 0.00
201310 5.96 4.17 -1.52 1.39 0.00
201311 3.98 3.12 1.32 -0.38 0.00
201312 2.00 2.81 -0.44 -0.17 0.00
201401 -1.13 -3.26 0.85 -1.83 0.00
201402 1.02 4.65 0.27 -0.48 0.00
201403 3.09 0.41 -1.81 4.72 0.00
201404 1.27 -0.14 -4.23 1.57 0.00
201405 5.93 2.06 -1.88 -0.40 0.00
201406 1.35 2.59 2.98 -0.63 0.00
201407 -0.80 -2.05 -4.28 0.03 0.00
201408 3.41 4.23 0.49 -0.75 0.00

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