Regression from Feb 2008 - Aug 2014

Rm-Rf SMB HML Alpha R2
0.99 -0.18 0.03 -0.05% 0.996
Standard error 0.0083 0.0168 0.0148 0.0004
t-statistics 118.44 -10.55 1.75 -0.13

Fund Profile

Symbol MGC
Issuer Vanguard
Type ETF
Region USA
Style Large Blend

Rolling Charts:


Fund Returns from Feb 2008 - Aug 2014

Month RaR Rm-Rf SMB HML Rf
200802 -3.61 -3.09 -0.55 -0.03 0.13
200803 -0.28 -0.94 0.83 0.28 0.17
200804 4.82 4.60 -1.49 -0.03 0.18
200805 1.01 1.86 2.98 -0.34 0.18
200806 -8.15 -8.44 1.07 -1.02 0.17
200807 -0.52 -0.77 3.58 3.69 0.15
200808 1.49 1.53 3.75 1.48 0.13
200809 -8.79 -9.24 -0.34 4.40 0.15
200810 -15.76 -17.23 -2.28 -2.99 0.08
200811 -7.59 -7.86 -3.63 -4.94 0.03
200812 1.38 1.66 3.97 -1.20 0.09
200901 -8.43 -8.12 -0.98 -9.86 0.00
200902 -10.49 -10.09 -0.35 -6.90 0.01
200903 8.28 8.95 0.73 2.60 0.02
200904 9.09 10.19 5.40 5.42 0.01
200905 6.01 5.21 -2.66 0.56 0.00
200906 0.24 0.43 2.67 -2.44 0.01
200907 7.39 7.72 2.50 4.73 0.01
200908 3.26 3.32 -0.51 7.59 0.01
200909 3.44 4.08 2.47 1.40 0.01
200910 -1.60 -2.59 -4.22 -4.37 0.00
200911 6.15 5.56 -2.65 0.17 0.00
200912 1.59 2.75 5.79 0.73 0.01
201001 -3.54 -3.36 0.19 0.61 0.00
201002 2.54 3.40 1.44 2.74 0.00
201003 6.00 6.32 1.58 2.03 0.01
201004 1.33 2.00 4.94 3.15 0.00
201005 -8.24 -7.89 -0.08 -2.33 0.01
201006 -5.24 -5.56 -2.13 -4.26 0.01
201007 7.10 6.92 0.17 0.22 0.01
201008 -4.61 -4.77 -2.94 -1.64 0.01
201009 8.88 9.54 3.84 -3.02 0.01
201010 3.97 3.88 1.04 -2.30 0.01
201011 -0.21 0.60 3.66 -0.54 0.01
201012 6.69 6.82 0.78 3.58 0.01
201101 2.43 2.01 -2.46 0.86 0.01
201102 3.23 3.49 1.63 1.67 0.01
201103 -0.24 0.48 2.62 -1.22 0.01
201104 3.02 2.90 -0.32 -2.25 0.00
201105 -1.18 -1.27 -0.65 -2.21 0.00
201106 -1.56 -1.75 -0.08 -0.42 0.00
201107 -1.75 -2.34 -1.40 -1.20 0.00
201108 -5.43 -6.00 -3.30 -1.56 0.01
201109 -6.66 -7.60 -3.68 -1.06 0.00
201110 10.56 11.34 3.58 -0.90 0.00
201111 -0.20 -0.26 -0.26 -0.17 0.00
201112 1.16 0.74 -0.57 1.53 0.00
201201 4.39 5.06 2.52 -2.13 0.00
201202 4.44 4.43 -1.65 0.04 0.00
201203 3.37 3.11 -0.23 -0.07 0.00
201204 -0.57 -0.84 -0.61 -0.20 0.00
201205 -5.95 -6.20 -0.10 0.10 0.01
201206 4.21 3.88 0.82 0.46 0.00
201207 1.43 0.79 -2.59 0.02 0.00
201208 2.44 2.56 0.72 0.59 0.01
201209 2.51 2.74 0.49 1.57 0.01
201210 -1.95 -1.75 -1.07 4.17 0.01
201211 0.49 0.77 0.67 -1.10 0.01
201212 0.77 1.18 1.66 3.28 0.01
201301 4.98 5.58 0.49 1.35 0.00
201302 1.11 1.28 -0.38 0.31 0.00
201303 3.78 4.03 0.84 -0.06 0.00
201304 2.03 1.56 -2.43 0.36 0.00
201305 2.33 2.81 1.93 1.31 0.00
201306 -1.72 -1.21 1.23 -0.45 0.00
201307 5.56 5.65 1.85 0.79 0.00
201308 -3.02 -2.69 0.28 -2.46 0.00
201309 3.17 3.76 2.85 -1.51 0.00
201310 4.70 4.17 -1.52 1.39 0.00
201311 2.97 3.12 1.32 -0.38 0.00
201312 2.61 2.81 -0.44 -0.17 0.00
201401 -3.63 -3.26 0.85 -1.83 0.00
201402 4.44 4.65 0.27 -0.48 0.00
201403 0.92 0.41 -1.81 4.72 0.00
201404 0.80 -0.14 -4.23 1.57 0.00
201405 2.42 2.06 -1.88 -0.40 0.00
201406 1.96 2.59 2.98 -0.63 0.00
201407 -1.21 -2.05 -4.28 0.03 0.00
201408 3.90 4.23 0.49 -0.75 0.00

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