Regression from Feb 2008 - Aug 2014

Rm-Rf SMB HML Mom Alpha R2
1.09 0.37 0.11 -0.01 1.00% 0.961
Standard error 0.0298 0.0933 0.0959 0.0431 0.0016
t-statistics 36.68 3.92 1.16 -0.29 0.53

Fund Profile

Symbol SCZ
Issuer iShares
Type ETF
Region Developed Markets
Style Mid Blend

Rolling Charts:


Fund Returns from Feb 2008 - Aug 2014

Month RaR Rm-Rf SMB HML Mom Rf
200802 -0.37 2.07 2.46 -1.42 2.65 0.13
200803 1.92 -1.52 -1.55 3.07 0.52 0.17
200804 1.91 5.18 -3.10 -0.91 -1.34 0.18
200805 2.13 1.79 1.26 -1.34 2.60 0.18
200806 -7.76 -7.90 1.75 -0.28 7.83 0.17
200807 -6.61 -4.03 -2.11 2.47 -2.06 0.15
200808 -3.60 -4.38 -1.59 0.19 -1.99 0.13
200809 -14.69 -14.58 -1.28 2.27 1.58 0.15
200810 -23.77 -21.14 -1.79 0.96 8.57 0.08
200811 -7.39 -5.39 1.14 -1.71 3.93 0.03
200812 8.73 6.63 0.60 0.87 -1.38 0.09
200901 -11.58 -9.05 4.54 -2.71 0.89 0.00
200902 -9.28 -10.02 1.77 -4.01 1.83 0.01
200903 9.72 6.11 -2.17 0.42 -9.29 0.02
200904 13.78 12.46 -1.46 2.74 -22.48 0.01
200905 15.94 13.70 3.01 -1.78 -9.25 0.00
200906 1.73 -0.87 2.71 0.14 1.40 0.01
200907 8.42 9.28 -3.25 3.60 -1.59 0.01
200908 6.37 4.25 1.97 3.90 -5.87 0.01
200909 4.92 4.60 1.36 0.13 -1.21 0.01
200910 -2.52 -1.93 1.60 -1.31 2.11 0.00
200911 0.98 2.34 -1.80 -1.54 1.26 0.00
200912 1.56 1.27 -1.50 0.86 1.67 0.01
201001 -2.14 -4.01 3.67 -0.77 -0.93 0.00
201002 -0.62 -0.35 0.11 -1.29 0.56 0.00
201003 7.38 6.45 -1.36 4.26 4.17 0.01
201004 0.61 -0.80 4.33 -0.31 0.93 0.00
201005 -12.45 -10.71 0.32 -2.76 -0.74 0.01
201006 -0.45 -1.24 0.50 -2.17 0.09 0.01
201007 10.39 9.24 -2.76 2.84 -0.82 0.01
201008 -4.52 -3.30 0.85 -2.43 2.92 0.01
201009 11.97 10.02 0.54 -0.50 2.57 0.01
201010 4.49 4.11 -0.52 -0.44 0.30 0.01
201011 -3.42 -4.42 2.91 -2.22 5.69 0.01
201012 11.41 8.28 2.09 1.08 0.64 0.01
201101 0.68 2.12 -1.17 4.41 -2.77 0.01
201102 2.30 3.43 -0.47 -0.28 0.48 0.01
201103 -0.31 -1.60 0.95 -0.88 0.87 0.01
201104 5.88 5.71 -1.67 -1.01 2.15 0.00
201105 -2.44 -2.79 -0.08 -0.92 1.07 0.00
201106 -1.26 -1.37 -0.82 1.30 1.72 0.00
201107 -1.71 -1.32 2.42 -2.86 2.52 0.00
201108 -8.22 -8.51 1.35 -2.51 -0.81 0.01
201109 -11.23 -10.31 -0.01 1.37 -1.84 0.00
201110 7.45 8.79 -4.06 -2.02 -0.59 0.00
201111 -2.56 -4.57 -0.28 -1.44 5.25 0.00
201112 -3.32 -1.35 0.04 0.55 2.59 0.00
201201 8.82 6.02 1.72 0.76 -7.00 0.00
201202 5.29 5.36 -0.47 0.07 -4.18 0.00
201203 0.76 -0.28 0.37 -0.34 3.97 0.00
201204 -0.75 -1.50 0.85 -2.18 6.47 0.00
201205 -11.45 -11.27 0.74 -0.62 6.35 0.01
201206 4.12 5.85 -3.82 2.09 -0.46 0.00
201207 -1.17 0.81 -0.97 -2.09 4.40 0.00
201208 4.00 2.99 -0.71 1.06 -1.13 0.01
201209 4.19 3.37 0.82 1.37 -1.45 0.01
201210 0.79 0.81 -0.99 0.60 0.06 0.01
201211 1.47 1.81 -2.30 0.68 2.02 0.01
201212 4.81 3.33 0.61 3.47 -1.33 0.01
201301 4.26 5.22 -0.18 2.90 0.93 0.00
201302 1.32 -0.94 0.84 -0.98 4.10 0.00
201303 2.22 0.75 1.15 -2.75 4.98 0.00
201304 3.57 4.37 -2.02 2.60 4.51 0.00
201305 -3.99 -1.52 -1.13 2.06 -1.99 0.00
201306 -2.73 -3.74 0.56 -0.89 2.17 0.00
201307 7.01 5.58 -0.81 1.39 1.39 0.00
201308 -0.68 -1.01 1.77 0.16 -1.92 0.00
201309 8.83 7.04 0.80 0.66 2.98 0.00
201310 2.98 3.37 -1.30 2.17 0.84 0.00
201311 0.31 0.59 -0.46 -0.01 3.52 0.00
201312 3.11 1.71 0.20 -0.17 1.61 0.00
201401 -2.76 -3.23 3.93 1.33 0.81 0.00
201402 6.38 5.37 -1.52 0.13 0.96 0.00
201403 -1.02 -0.22 0.58 0.91 -1.39 0.00
201404 -0.35 1.10 -1.93 0.78 -2.95 0.00
201405 1.13 1.39 -0.74 -0.17 -0.34 0.00
201406 1.71 1.46 1.75 -0.45 0.01 0.00
201407 -3.31 -1.98 0.54 0.14 0.18 0.00
201408 0.20 -0.28 0.35 -0.52 0.56 0.00

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