MGV - Vanguard Mega Cap Value ETF Four-factor Model regression

Regression from Feb 2008 - Aug 2014

Rm-Rf SMB HML Mom Alpha R2
0.95 -0.30 0.31 -0.01 -0.82% 0.972
Standard error 0.0245 0.0477 0.0435 0.0201 0.0010
t-statistics 38.79 -6.32 7.24 -0.69 -0.68

Fund Profile

Symbol MGV
Issuer Vanguard
Type ETF
Region USA
Style Large Value
Rolling Charts:

Fund Returns from Feb 2008 - Aug 2014

Month RaR Rm-Rf SMB HML Mom Rf
200802 -4.82 -3.09 -0.55 -0.03 6.11 0.13
200803 0.03 -0.94 0.83 0.28 4.12 0.17
200804 3.96 4.60 -1.49 -0.03 -0.22 0.18
200805 -1.32 1.86 2.98 -0.34 3.20 0.18
200806 -9.39 -8.44 1.07 -1.02 12.53 0.17
200807 -0.09 -0.77 3.58 3.69 -5.32 0.15
200808 1.51 1.53 3.75 1.48 -3.80 0.13
200809 -6.63 -9.24 -0.34 4.40 0.34 0.15
200810 -15.41 -17.23 -2.28 -2.99 7.83 0.08
200811 -5.81 -7.86 -3.63 -4.94 7.13 0.03
200812 1.51 1.66 3.97 -1.20 -5.03 0.09
200901 -12.05 -8.12 -0.98 -9.86 -1.88 0.00
200902 -13.95 -10.09 -0.35 -6.90 4.29 0.01
200903 8.87 8.95 0.73 2.60 -11.35 0.02
200904 9.54 10.19 5.40 5.42 -34.72 0.01
200905 7.40 5.21 -2.66 0.56 -12.47 0.00
200906 -1.19 0.43 2.67 -2.44 5.31 0.01
200907 7.55 7.72 2.50 4.73 -5.47 0.01
200908 5.00 3.32 -0.51 7.59 -8.87 0.01
200909 2.88 4.08 2.47 1.40 -5.02 0.01
200910 -2.40 -2.59 -4.22 -4.37 2.67 0.00
200911 6.28 5.56 -2.65 0.17 0.37 0.00
200912 0.26 2.75 5.79 0.73 2.89 0.01
201001 -2.24 -3.36 0.19 0.61 -5.34 0.00
201002 1.90 3.40 1.44 2.74 3.62 0.00
201003 6.08 6.32 1.58 2.03 3.70 0.01
201004 1.33 2.00 4.94 3.15 3.14 0.00
201005 -7.93 -7.89 -0.08 -2.33 -0.22 0.01
201006 -4.78 -5.56 -2.13 -4.26 -2.90 0.01
201007 6.83 6.92 0.17 0.22 1.92 0.01
201008 -4.54 -4.77 -2.94 -1.64 -0.13 0.01
201009 7.33 9.54 3.84 -3.02 1.35 0.01
201010 2.71 3.88 1.04 -2.30 1.58 0.01
201011 -0.85 0.60 3.66 -0.54 2.51 0.01
201012 8.11 6.82 0.78 3.58 -3.21 0.01
201101 3.03 2.01 -2.46 0.86 -0.30 0.01
201102 4.07 3.49 1.63 1.67 2.05 0.01
201103 -0.37 0.48 2.62 -1.22 3.59 0.01
201104 2.97 2.90 -0.32 -2.25 0.08 0.00
201105 -1.54 -1.27 -0.65 -2.21 -0.58 0.00
201106 -1.99 -1.75 -0.08 -0.42 1.76 0.00
201107 -3.31 -2.34 -1.40 -1.20 0.14 0.00
201108 -5.74 -6.00 -3.30 -1.56 -0.35 0.01
201109 -6.59 -7.60 -3.68 -1.06 -2.52 0.00
201110 10.47 11.34 3.58 -0.90 -1.45 0.00
201111 -1.11 -0.26 -0.26 -0.17 4.00 0.00
201112 2.70 0.74 -0.57 1.53 1.89 0.00
201201 3.13 5.06 2.52 -2.13 -7.95 0.00
201202 3.87 4.43 -1.65 0.04 -0.28 0.00
201203 3.16 3.11 -0.23 -0.07 1.46 0.00
201204 -1.26 -0.84 -0.61 -0.20 3.84 0.00
201205 -5.48 -6.20 -0.10 0.10 6.61 0.01
201206 4.93 3.88 0.82 0.46 -1.14 0.00
201207 1.42 0.79 -2.59 0.02 3.06 0.00
201208 1.17 2.56 0.72 0.59 -2.51 0.01
201209 3.40 2.74 0.49 1.57 -1.02 0.01
201210 -0.78 -1.75 -1.07 4.17 0.12 0.01
201211 -0.83 0.77 0.67 -1.10 0.37 0.01
201212 1.81 1.18 1.66 3.28 -2.92 0.01
201301 6.29 5.58 0.49 1.35 -1.87 0.00
201302 1.19 1.28 -0.38 0.31 1.47 0.00
201303 3.91 4.03 0.84 -0.06 2.08 0.00
201304 2.22 1.56 -2.43 0.36 0.34 0.00
201305 2.68 2.81 1.93 1.31 -1.89 0.00
201306 -0.85 -1.21 1.23 -0.45 0.65 0.00
201307 5.26 5.65 1.85 0.79 1.69 0.00
201308 -3.77 -2.69 0.28 -2.46 0.05 0.00
201309 1.92 3.76 2.85 -1.51 3.01 0.00
201310 4.49 4.17 -1.52 1.39 0.11 0.00
201311 3.25 3.12 1.32 -0.38 0.35 0.00
201312 2.04 2.81 -0.44 -0.17 0.05 0.00
201401 -3.69 -3.26 0.85 -1.83 1.66 0.00
201402 3.70 4.65 0.27 -0.48 2.15 0.00
201403 2.82 0.41 -1.81 4.72 -3.26 0.00
201404 0.93 -0.14 -4.23 1.57 -3.80 0.00
201405 1.52 2.06 -1.88 -0.40 0.84 0.00
201406 1.78 2.59 2.98 -0.63 0.60 0.00
201407 -1.08 -2.05 -4.28 0.03 -0.28 0.00
201408 3.38 4.23 0.49 -0.75 0.74 0.00

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