Regression from Jan 2006 - Feb 2014

Rm-Rf SMB HML Alpha R2
0.72 -0.03 0.58 1.62% 0.795
Standard error 0.0543 0.1103 0.0957 0.0022
t-statistics 13.31 -0.31 6.07 0.62

Fund Profile

Symbol SDY
Issuer SPDR
Type ETF
Region USA
Style Large Blend

Rolling Charts:


Fund Returns from Jan 2006 - Feb 2014

Month RaR Rm-Rf SMB HML Rf
200601 2.24 3.04 5.33 1.17 0.35
200602 0.67 -0.30 -0.31 -0.85 0.34
200603 0.60 1.46 3.56 -0.11 0.37
200604 1.97 0.72 -1.24 3.08 0.36
200605 -1.75 -3.57 -3.04 2.77 0.43
200606 0.66 -0.35 -0.53 1.51 0.40
200607 2.67 -0.78 -3.99 3.27 0.40
200608 2.23 2.03 0.83 -1.75 0.42
200609 1.33 1.84 -1.24 -0.42 0.41
200610 3.06 3.23 1.64 0.48 0.41
200611 0.80 1.71 0.77 0.48 0.42
200612 2.05 0.87 -0.89 2.51 0.40
200701 0.79 1.41 0.09 -0.02 0.44
200702 0.31 -1.95 1.38 0.24 0.38
200703 0.21 0.68 -0.26 0.39 0.43
200704 2.91 3.49 -2.09 -0.96 0.44
200705 2.19 3.24 -0.04 -0.13 0.41
200706 -3.87 -1.96 0.76 -1.06 0.40
200707 -5.02 -3.74 -2.67 -2.99 0.40
200708 2.82 0.92 -0.14 -2.36 0.42
200709 -0.56 3.23 -2.46 -2.13 0.32
200710 -0.84 1.80 0.21 -1.97 0.32
200711 -2.97 -4.82 -2.77 -1.09 0.34
200712 -2.49 -0.86 0.05 -0.03 0.27
200801 0.13 -6.35 -0.77 3.05 0.21
200802 -6.67 -3.09 -0.55 -0.03 0.13
200803 1.10 -0.94 0.83 0.28 0.17
200804 2.82 4.60 -1.49 -0.03 0.18
200805 0.00 1.86 2.98 -0.34 0.18
200806 -15.02 -8.44 1.07 -1.02 0.17
200807 5.40 -0.77 3.58 3.69 0.15
200808 3.68 1.53 3.75 1.48 0.13
200809 3.93 -9.24 -0.34 4.40 0.15
200810 -11.53 -17.23 -2.28 -2.99 0.08
200811 -6.43 -7.86 -3.63 -4.94 0.03
200812 -2.05 1.66 3.97 -1.20 0.09
200901 -13.36 -8.12 -0.98 -9.86 0.00
200902 -13.34 -10.09 -0.35 -6.90 0.01
200903 12.14 8.95 0.73 2.60 0.02
200904 13.63 10.19 5.40 5.42 0.01
200905 0.62 5.21 -2.66 0.56 0.00
200906 -0.31 0.43 2.67 -2.44 0.01
200907 9.71 7.72 2.50 4.73 0.01
200908 3.78 3.32 -0.51 7.59 0.01
200909 3.00 4.08 2.47 1.40 0.01
200910 -1.34 -2.59 -4.22 -4.37 0.00
200911 4.70 5.56 -2.65 0.17 0.00
200912 2.51 2.75 5.79 0.73 0.01
201001 -2.43 -3.36 0.19 0.61 0.00
201002 4.03 3.40 1.44 2.74 0.00
201003 5.05 6.32 1.58 2.03 0.01
201004 2.09 2.00 4.94 3.15 0.00
201005 -6.80 -7.89 -0.08 -2.33 0.01
201006 -2.95 -5.56 -2.13 -4.26 0.01
201007 7.41 6.92 0.17 0.22 0.01
201008 -4.26 -4.77 -2.94 -1.64 0.01
201009 9.07 9.54 3.84 -3.02 0.01
201010 1.77 3.88 1.04 -2.30 0.01
201011 -0.81 0.60 3.66 -0.54 0.01
201012 3.62 6.82 0.78 3.58 0.01
201101 0.36 2.01 -2.46 0.86 0.01
201102 3.50 3.49 1.63 1.67 0.01
201103 1.01 0.48 2.62 -1.22 0.01
201104 2.41 2.90 -0.32 -2.25 0.00
201105 -0.16 -1.27 -0.65 -2.21 0.00
201106 -1.58 -1.75 -0.08 -0.42 0.00
201107 -3.49 -2.34 -1.40 -1.20 0.00
201108 -0.67 -6.00 -3.30 -1.56 0.01
201109 -5.50 -7.60 -3.68 -1.06 0.00
201110 9.38 11.34 3.58 -0.90 0.00
201111 1.29 -0.26 -0.26 -0.17 0.00
201112 1.11 0.74 -0.57 1.53 0.00
201201 1.78 5.06 2.52 -2.13 0.00
201202 1.96 4.43 -1.65 0.04 0.00
201203 2.02 3.11 -0.23 -0.07 0.00
201204 0.04 -0.84 -0.61 -0.20 0.00
201205 -3.70 -6.20 -0.10 0.10 0.01
201206 2.82 3.88 0.82 0.46 0.00
201207 1.49 0.79 -2.59 0.02 0.00
201208 1.22 2.56 0.72 0.59 0.01
201209 2.47 2.74 0.49 1.57 0.01
201210 -0.27 -1.75 -1.07 4.17 0.01
201211 0.85 0.77 0.67 -1.10 0.01
201212 0.50 1.18 1.66 3.28 0.01
201301 6.43 5.58 0.49 1.35 0.00
201302 2.19 1.28 -0.38 0.31 0.00
201303 4.89 4.03 0.84 -0.06 0.00
201304 1.92 1.56 -2.43 0.36 0.00
201305 0.37 2.81 1.93 1.31 0.00
201306 -1.15 -1.21 1.23 -0.45 0.00
201307 5.78 5.65 1.85 0.79 0.00
201308 -4.60 -2.69 0.28 -2.46 0.00
201309 3.63 3.76 2.85 -1.51 0.00
201310 4.93 4.17 -1.52 1.39 0.00
201311 0.96 3.12 1.32 -0.38 0.00
201312 1.79 2.81 -0.44 -0.17 0.00
201401 -3.00 -3.26 0.85 -1.83 0.00
201402 1.63 4.65 0.27 -0.48 0.00

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