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 |
Symbol | MGV |
---|---|
Issuer | Vanguard |
Type | ETF |
Region | USA |
Style | Large Value |
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 |
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.