Regression from Jul 2000 - Aug 2014

Rm-Rf SMB HML Alpha R2
1.37 0.24 -0.95 0.20% 0.873
Standard error 0.0511 0.0909 0.0727 0.0022
t-statistics 26.76 2.63 -13.07 0.08

Fund Profile

Symbol IYW
Issuer iShares
Type ETF
Region USA
Style Sector

Rolling Charts:


Fund Returns from Jul 2000 - Aug 2014

Month RaR Rm-Rf SMB HML Rf
200007 -5.70 -2.45 -2.80 8.51 0.48
200008 13.74 7.14 -0.89 -1.28 0.50
200009 -15.16 -5.44 -1.87 6.85 0.51
200010 -8.08 -2.77 -3.66 4.79 0.56
200011 -23.44 -10.73 -3.10 12.42 0.51
200012 -8.72 1.19 1.55 6.13 0.50
200101 17.23 3.12 7.03 -5.70 0.54
200102 -29.06 -10.08 -1.15 13.87 0.39
200103 -14.04 -7.27 0.55 6.36 0.44
200104 19.51 7.95 0.27 -4.36 0.39
200105 -5.17 0.73 2.99 2.77 0.32
200106 1.81 -1.93 6.38 -2.14 0.28
200107 -7.31 -2.13 -4.22 5.62 0.30
200108 -13.16 -6.46 2.13 3.37 0.31
200109 -21.92 -9.26 -6.61 1.80 0.28
200110 21.60 2.47 6.88 -7.03 0.22
200111 14.89 7.54 0.38 0.69 0.17
200112 -1.47 1.60 5.14 0.43 0.15
200201 0.93 -1.44 1.12 3.45 0.14
200202 -14.53 -2.29 -1.61 3.91 0.13
200203 7.95 4.24 4.30 1.17 0.13
200204 -12.30 -5.20 5.86 4.21 0.15
200205 -3.88 -1.38 -3.72 2.54 0.14
200206 -13.69 -7.21 3.49 1.56 0.13
200207 -9.29 -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 21.22 7.83 -2.98 -6.49 0.14
200211 18.10 5.96 3.17 -1.57 0.12
200212 -14.65 -5.76 -0.45 3.90 0.11
200301 -1.12 -2.57 1.40 -0.88 0.10
200302 1.30 -1.89 -0.26 -1.46 0.09
200303 -0.20 1.09 0.77 -1.67 0.10
200304 9.21 8.22 1.15 -0.06 0.10
200305 9.59 6.05 4.78 0.15 0.09
200306 -0.72 1.42 1.51 0.68 0.10
200307 5.81 2.34 5.57 -2.11 0.07
200308 6.46 2.34 2.67 1.71 0.07
200309 -0.84 -1.23 0.55 1.00 0.08
200310 9.68 6.08 2.89 1.80 0.07
200311 1.63 1.35 2.21 1.46 0.07
200312 0.92 4.30 -2.78 2.68 0.08
200401 4.09 2.15 2.63 1.64 0.07
200402 -3.08 1.40 -1.15 0.42 0.06
200403 -3.05 -1.33 1.85 0.04 0.09
200404 -6.31 -1.83 -2.54 -1.69 0.08
200405 6.01 1.18 -0.16 -0.29 0.06
200406 2.28 1.86 2.32 1.66 0.08
200407 -8.68 -4.07 -3.82 4.48 0.10
200408 -5.24 0.08 -1.59 1.13 0.11
200409 3.01 1.61 2.89 0.36 0.11
200410 5.74 1.43 0.43 -0.84 0.11
200411 5.53 4.54 4.17 1.93 0.15
200412 2.53 3.43 0.19 -0.35 0.16
200501 -5.87 -2.75 -1.65 2.66 0.16
200502 0.53 1.89 -0.72 2.83 0.16
200503 -2.21 -1.96 -1.38 1.75 0.21
200504 -4.25 -2.61 -4.00 -0.46 0.21
200505 9.12 3.65 2.99 -1.23 0.24
200506 -2.14 0.56 2.56 2.78 0.23
200507 6.32 3.92 2.77 -0.45 0.24
200508 -0.69 -1.22 -0.88 1.41 0.30
200509 0.66 0.48 -0.68 1.16 0.29
200510 -2.43 -2.00 -1.03 -0.70 0.27
200511 7.45 3.62 1.00 -1.85 0.31
200512 -2.51 -0.25 -0.51 0.48 0.32
200601 4.16 3.04 5.33 1.17 0.35
200602 -1.26 -0.30 -0.31 -0.85 0.34
200603 2.46 1.46 3.56 -0.11 0.37
200604 -0.62 0.72 -1.24 3.08 0.36
200605 -7.61 -3.57 -3.04 2.77 0.43
200606 -1.01 -0.35 -0.53 1.51 0.40
200607 -3.61 -0.78 -3.99 3.27 0.40
200608 7.98 2.03 0.83 -1.75 0.42
200609 4.01 1.84 -1.24 -0.42 0.41
200610 3.54 3.23 1.64 0.48 0.41
200611 3.86 1.71 0.77 0.48 0.42
200612 -1.37 0.87 -0.89 2.51 0.40
200701 1.60 1.41 0.09 -0.02 0.44
200702 -2.72 -1.95 1.38 0.24 0.38
200703 0.29 0.68 -0.26 0.39 0.43
200704 4.95 3.49 -2.09 -0.96 0.44
200705 4.27 3.24 -0.04 -0.13 0.41
200706 0.91 -1.96 0.76 -1.06 0.40
200707 -1.06 -3.74 -2.67 -2.99 0.40
200708 2.85 0.92 -0.14 -2.36 0.42
200709 3.73 3.23 -2.46 -2.13 0.32
200710 6.82 1.80 0.21 -1.97 0.32
200711 -7.95 -4.82 -2.77 -1.09 0.34
200712 1.17 -0.86 0.05 -0.03 0.27
200801 -12.94 -6.35 -0.77 3.05 0.21
200802 -3.65 -3.09 -0.55 -0.03 0.13
200803 0.30 -0.94 0.83 0.28 0.17
200804 7.49 4.60 -1.49 -0.03 0.18
200805 6.26 1.86 2.98 -0.34 0.18
200806 -9.55 -8.44 1.07 -1.02 0.17
200807 -1.28 -0.77 3.58 3.69 0.15
200808 2.45 1.53 3.75 1.48 0.13
200809 -13.38 -9.24 -0.34 4.40 0.15
200810 -16.73 -17.23 -2.28 -2.99 0.08
200811 -12.51 -7.86 -3.63 -4.94 0.03
200812 2.45 1.66 3.97 -1.20 0.09
200901 -2.78 -8.12 -0.98 -9.86 0.00
200902 -3.50 -10.09 -0.35 -6.90 0.01
200903 11.91 8.95 0.73 2.60 0.02
200904 12.39 10.19 5.40 5.42 0.01
200905 2.58 5.21 -2.66 0.56 0.00
200906 4.42 0.43 2.67 -2.44 0.01
200907 9.05 7.72 2.50 4.73 0.01
200908 2.27 3.32 -0.51 7.59 0.01
200909 4.82 4.08 2.47 1.40 0.01
200910 -0.92 -2.59 -4.22 -4.37 0.00
200911 5.15 5.56 -2.65 0.17 0.00
200912 6.41 2.75 5.79 0.73 0.01
201001 -8.77 -3.36 0.19 0.61 0.00
201002 4.91 3.40 1.44 2.74 0.00
201003 6.15 6.32 1.58 2.03 0.01
201004 1.99 2.00 4.94 3.15 0.00
201005 -7.44 -7.89 -0.08 -2.33 0.01
201006 -6.27 -5.56 -2.13 -4.26 0.01
201007 7.43 6.92 0.17 0.22 0.01
201008 -7.03 -4.77 -2.94 -1.64 0.01
201009 12.38 9.54 3.84 -3.02 0.01
201010 6.60 3.88 1.04 -2.30 0.01
201011 -1.19 0.60 3.66 -0.54 0.01
201012 5.77 6.82 0.78 3.58 0.01
201101 3.96 2.01 -2.46 0.86 0.01
201102 2.05 3.49 1.63 1.67 0.01
201103 -2.50 0.48 2.62 -1.22 0.01
201104 2.79 2.90 -0.32 -2.25 0.00
201105 -1.78 -1.27 -0.65 -2.21 0.00
201106 -3.04 -1.75 -0.08 -0.42 0.00
201107 1.09 -2.34 -1.40 -1.20 0.00
201108 -6.65 -6.00 -3.30 -1.56 0.01
201109 -3.46 -7.60 -3.68 -1.06 0.00
201110 11.85 11.34 3.58 -0.90 0.00
201111 -2.07 -0.26 -0.26 -0.17 0.00
201112 -1.18 0.74 -0.57 1.53 0.00
201201 8.28 5.06 2.52 -2.13 0.00
201202 7.20 4.43 -1.65 0.04 0.00
201203 5.04 3.11 -0.23 -0.07 0.00
201204 -2.70 -0.84 -0.61 -0.20 0.00
201205 -7.99 -6.20 -0.10 0.10 0.01
201206 2.44 3.88 0.82 0.46 0.00
201207 0.40 0.79 -2.59 0.02 0.00
201208 5.41 2.56 0.72 0.59 0.01
201209 0.86 2.74 0.49 1.57 0.01
201210 -7.35 -1.75 -1.07 4.17 0.01
201211 0.81 0.77 0.67 -1.10 0.01
201212 0.17 1.18 1.66 3.28 0.01
201301 1.44 5.58 0.49 1.35 0.00
201302 0.16 1.28 -0.38 0.31 0.00
201303 2.31 4.03 0.84 -0.06 0.00
201304 0.44 1.56 -2.43 0.36 0.00
201305 4.26 2.81 1.93 1.31 0.00
201306 -3.79 -1.21 1.23 -0.45 0.00
201307 4.92 5.65 1.85 0.79 0.00
201308 -0.62 -2.69 0.28 -2.46 0.00
201309 2.95 3.76 2.85 -1.51 0.00
201310 4.42 4.17 -1.52 1.39 0.00
201311 3.56 3.12 1.32 -0.38 0.00
201312 4.12 2.81 -0.44 -0.17 0.00
201401 -1.71 -3.26 0.85 -1.83 0.00
201402 4.65 4.65 0.27 -0.48 0.00
201403 0.36 0.41 -1.81 4.72 0.00
201404 -0.20 -0.14 -4.23 1.57 0.00
201405 3.70 2.06 -1.88 -0.40 0.00
201406 3.11 2.59 2.98 -0.63 0.00
201407 1.00 -2.05 -4.28 0.03 0.00
201408 4.24 4.23 0.49 -0.75 0.00

Other Funds


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