Regression from Aug 2007 - Aug 2014

Rm-Rf SMB HML Mom Alpha R2
1.03 -0.33 0.33 -0.18 0.21% 0.967
Standard error 0.0265 0.0806 0.0879 0.0399 0.0014
t-statistics 38.88 -4.08 3.80 -4.62 0.12

Fund Profile

Symbol PXF
Issuer PowerShares
Type ETF
Region Developed Markets
Style Large Value

Rolling Charts:


Fund Returns from Aug 2007 - Aug 2014

Month RaR Rm-Rf SMB HML Mom Rf
200708 -0.79 -2.60 -4.67 0.33 -0.65 0.42
200709 3.16 5.27 -2.11 -1.53 4.50 0.32
200710 5.36 4.28 0.72 -2.32 2.33 0.32
200711 -3.46 -4.62 -3.55 -0.33 -0.02 0.34
200712 -2.16 -2.18 -0.87 1.42 1.14 0.27
200801 -8.63 -8.76 -0.73 1.14 -2.04 0.21
200802 -0.80 2.07 2.46 -1.42 2.65 0.13
200803 -0.65 -1.52 -1.55 3.07 0.52 0.17
200804 4.93 5.18 -3.10 -0.91 -1.34 0.18
200805 1.04 1.79 1.26 -1.34 2.60 0.18
200806 -9.57 -7.90 1.75 -0.28 7.83 0.17
200807 -2.83 -4.03 -2.11 2.47 -2.06 0.15
200808 -3.64 -4.38 -1.59 0.19 -1.99 0.13
200809 -12.12 -14.58 -1.28 2.27 1.58 0.15
200810 -20.31 -21.14 -1.79 0.96 8.57 0.08
200811 -6.68 -5.39 1.14 -1.71 3.93 0.03
200812 9.03 6.63 0.60 0.87 -1.38 0.09
200901 -16.56 -9.05 4.54 -2.71 0.89 0.00
200902 -10.46 -10.02 1.77 -4.01 1.83 0.01
200903 7.21 6.11 -2.17 0.42 -9.29 0.02
200904 21.75 12.46 -1.46 2.74 -22.48 0.01
200905 13.47 13.70 3.01 -1.78 -9.25 0.00
200906 -1.47 -0.87 2.71 0.14 1.40 0.01
200907 12.16 9.28 -3.25 3.60 -1.59 0.01
200908 7.67 4.25 1.97 3.90 -5.87 0.01
200909 5.14 4.60 1.36 0.13 -1.21 0.01
200910 -5.60 -1.93 1.60 -1.31 2.11 0.00
200911 2.78 2.34 -1.80 -1.54 1.26 0.00
200912 1.28 1.27 -1.50 0.86 1.67 0.01
201001 -5.58 -4.01 3.67 -0.77 -0.93 0.00
201002 -0.35 -0.35 0.11 -1.29 0.56 0.00
201003 5.67 6.45 -1.36 4.26 4.17 0.01
201004 -1.72 -0.80 4.33 -0.31 0.93 0.00
201005 -12.12 -10.71 0.32 -2.76 -0.74 0.01
201006 -2.79 -1.24 0.50 -2.17 0.09 0.01
201007 13.65 9.24 -2.76 2.84 -0.82 0.01
201008 -5.06 -3.30 0.85 -2.43 2.92 0.01
201009 11.06 10.02 0.54 -0.50 2.57 0.01
201010 4.77 4.11 -0.52 -0.44 0.30 0.01
201011 -5.95 -4.42 2.91 -2.22 5.69 0.01
201012 8.37 8.28 2.09 1.08 0.64 0.01
201101 4.18 2.12 -1.17 4.41 -2.77 0.01
201102 2.59 3.43 -0.47 -0.28 0.48 0.01
201103 -2.23 -1.60 0.95 -0.88 0.87 0.01
201104 6.40 5.71 -1.67 -1.01 2.15 0.00
201105 -3.64 -2.79 -0.08 -0.92 1.07 0.00
201106 -1.57 -1.37 -0.82 1.30 1.72 0.00
201107 -4.53 -1.32 2.42 -2.86 2.52 0.00
201108 -10.43 -8.51 1.35 -2.51 -0.81 0.01
201109 -10.56 -10.31 -0.01 1.37 -1.84 0.00
201110 10.13 8.79 -4.06 -2.02 -0.59 0.00
201111 -2.24 -4.57 -0.28 -1.44 5.25 0.00
201112 -4.08 -1.35 0.04 0.55 2.59 0.00
201201 6.81 6.02 1.72 0.76 -7.00 0.00
201202 5.33 5.36 -0.47 0.07 -4.18 0.00
201203 -0.75 -0.28 0.37 -0.34 3.97 0.00
201204 -3.89 -1.50 0.85 -2.18 6.47 0.00
201205 -12.57 -11.27 0.74 -0.62 6.35 0.01
201206 7.62 5.85 -3.82 2.09 -0.46 0.00
201207 -1.17 0.81 -0.97 -2.09 4.40 0.00
201208 4.46 2.99 -0.71 1.06 -1.13 0.01
201209 2.75 3.37 0.82 1.37 -1.45 0.01
201210 1.79 0.81 -0.99 0.60 0.06 0.01
201211 1.79 1.81 -2.30 0.68 2.02 0.01
201212 5.29 3.33 0.61 3.47 -1.33 0.01
201301 4.24 5.22 -0.18 2.90 0.93 0.00
201302 -2.19 -0.94 0.84 -0.98 4.10 0.00
201303 -0.31 0.75 1.15 -2.75 4.98 0.00
201304 5.79 4.37 -2.02 2.60 4.51 0.00
201305 -1.53 -1.52 -1.13 2.06 -1.99 0.00
201306 -3.57 -3.74 0.56 -0.89 2.17 0.00
201307 6.56 5.58 -0.81 1.39 1.39 0.00
201308 -1.43 -1.01 1.77 0.16 -1.92 0.00
201309 8.23 7.04 0.80 0.66 2.98 0.00
201310 4.08 3.37 -1.30 2.17 0.84 0.00
201311 0.31 0.59 -0.46 -0.01 3.52 0.00
201312 2.21 1.71 0.20 -0.17 1.61 0.00
201401 -4.38 -3.23 3.93 1.33 0.81 0.00
201402 5.21 5.37 -1.52 0.13 0.96 0.00
201403 0.23 -0.22 0.58 0.91 -1.39 0.00
201404 2.17 1.10 -1.93 0.78 -2.95 0.00
201405 1.51 1.39 -0.74 -0.17 -0.34 0.00
201406 1.45 1.46 1.75 -0.45 0.01 0.00
201407 -2.61 -1.98 0.54 0.14 0.18 0.00
201408 -0.14 -0.28 0.35 -0.52 0.56 0.00

Other Funds


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.