Regression from May 1999 - Aug 2014

Rm-Rf SMB HML Alpha R2
0.95 0.68 0.38 0.25% 0.944
Standard error 0.0220 0.0302 0.0305 0.0010
t-statistics 43.00 22.67 12.35 0.21

Fund Profile

Symbol VTMSX
Issuer Vanguard
Type Mutual Fund
Region USA
Style Small Blend

Rolling Charts:


Fund Returns from May 1999 - Aug 2014

Month RaR Rm-Rf SMB HML Rf
199905 2.35 -2.46 3.64 2.69 0.34
199906 5.98 4.77 3.45 -4.19 0.40
199907 -0.47 -3.47 2.25 0.51 0.38
199908 -4.44 -1.38 -1.32 -0.95 0.39
199909 0.59 -2.81 3.16 -2.98 0.39
199910 -0.29 6.13 -6.78 -3.24 0.39
199911 4.14 3.37 7.78 -8.02 0.36
199912 8.33 7.72 7.01 -9.20 0.44
200001 -3.06 -4.73 4.37 0.24 0.41
200002 13.53 2.45 22.02 -12.68 0.43
200003 -3.49 5.20 -16.39 7.67 0.47
200004 -1.65 -6.40 -7.73 9.13 0.46
200005 -3.43 -4.43 -4.85 3.72 0.50
200006 6.59 4.64 13.70 -10.05 0.40
200007 -2.28 -2.45 -2.80 8.51 0.48
200008 8.90 7.14 -0.89 -1.28 0.50
200009 -1.53 -5.44 -1.87 6.85 0.51
200010 0.00 -2.77 -3.66 4.79 0.56
200011 -10.47 -10.73 -3.10 12.42 0.51
200012 11.79 1.19 1.55 6.13 0.50
200101 2.87 3.12 7.03 -5.70 0.54
200102 -5.73 -10.08 -1.15 13.87 0.39
200103 -4.48 -7.27 0.55 6.36 0.44
200104 7.36 7.95 0.27 -4.36 0.39
200105 1.87 0.73 2.99 2.77 0.32
200106 3.67 -1.93 6.38 -2.14 0.28
200107 -1.62 -2.13 -4.22 5.62 0.30
200108 -2.18 -6.46 2.13 3.37 0.31
200109 -13.42 -9.26 -6.61 1.80 0.28
200110 5.31 2.47 6.88 -7.03 0.22
200111 7.15 7.54 0.38 0.69 0.17
200112 6.20 1.60 5.14 0.43 0.15
200201 0.81 -1.44 1.12 3.45 0.14
200202 -1.69 -2.29 -1.61 3.91 0.13
200203 7.76 4.24 4.30 1.17 0.13
200204 2.98 -5.20 5.86 4.21 0.15
200205 -4.17 -1.38 -3.72 2.54 0.14
200206 -4.98 -7.21 3.49 1.56 0.13
200207 -14.10 -8.18 -5.14 -3.63 0.15
200208 1.03 0.50 -2.26 2.24 0.14
200209 -6.04 -10.35 2.70 1.23 0.14
200210 3.08 7.83 -2.98 -6.49 0.14
200211 6.50 5.96 3.17 -1.57 0.12
200212 -5.28 -5.76 -0.45 3.90 0.11
200301 -3.48 -2.57 1.40 -0.88 0.10
200302 -3.16 -1.89 -0.26 -1.46 0.09
200303 0.84 1.09 0.77 -1.67 0.10
200304 8.03 8.22 1.15 -0.06 0.10
200305 7.95 6.05 4.78 0.15 0.09
200306 2.61 1.42 1.51 0.68 0.10
200307 5.02 2.34 5.57 -2.11 0.07
200308 4.85 2.34 2.67 1.71 0.07
200309 -2.87 -1.23 0.55 1.00 0.08
200310 8.66 6.08 2.89 1.80 0.07
200311 3.78 1.35 2.21 1.46 0.07
200312 1.22 4.30 -2.78 2.68 0.08
200401 2.84 2.15 2.63 1.64 0.07
200402 1.91 1.40 -1.15 0.42 0.06
200403 1.27 -1.33 1.85 0.04 0.09
200404 -3.22 -1.83 -2.54 -1.69 0.08
200405 1.54 1.18 -0.16 -0.29 0.06
200406 5.52 1.86 2.32 1.66 0.08
200407 -5.40 -4.07 -3.82 4.48 0.10
200408 -0.91 0.08 -1.59 1.13 0.11
200409 5.27 1.61 2.89 0.36 0.11
200410 1.92 1.43 0.43 -0.84 0.11
200411 8.57 4.54 4.17 1.93 0.15
200412 2.21 3.43 0.19 -0.35 0.16
200501 -2.26 -2.75 -1.65 2.66 0.16
200502 2.95 1.89 -0.72 2.83 0.16
200503 -2.66 -1.96 -1.38 1.75 0.21
200504 -5.52 -2.61 -4.00 -0.46 0.21
200505 6.62 3.65 2.99 -1.23 0.24
200506 3.23 0.56 2.56 2.78 0.23
200507 5.96 3.92 2.77 -0.45 0.24
200508 -1.43 -1.22 -0.88 1.41 0.30
200509 0.92 0.48 -0.68 1.16 0.29
200510 -3.16 -2.00 -1.03 -0.70 0.27
200511 4.55 3.62 1.00 -1.85 0.31
200512 -0.90 -0.25 -0.51 0.48 0.32
200601 8.31 3.04 5.33 1.17 0.35
200602 -0.71 -0.30 -0.31 -0.85 0.34
200603 4.89 1.46 3.56 -0.11 0.37
200604 -0.13 0.72 -1.24 3.08 0.36
200605 -4.71 -3.57 -3.04 2.77 0.43
200606 0.00 -0.35 -0.53 1.51 0.40
200607 -3.65 -0.78 -3.99 3.27 0.40
200608 1.57 2.03 0.83 -1.75 0.42
200609 0.73 1.84 -1.24 -0.42 0.41
200610 4.92 3.23 1.64 0.48 0.41
200611 2.88 1.71 0.77 0.48 0.42
200612 -0.08 0.87 -0.89 2.51 0.40
200701 1.88 1.41 0.09 -0.02 0.44
200702 -0.45 -1.95 1.38 0.24 0.38
200703 1.86 0.68 -0.26 0.39 0.43
200704 2.27 3.49 -2.09 -0.96 0.44
200705 4.68 3.24 -0.04 -0.13 0.41
200706 -1.74 -1.96 0.76 -1.06 0.40
200707 -4.74 -3.74 -2.67 -2.99 0.40
200708 1.74 0.92 -0.14 -2.36 0.42
200709 1.59 3.23 -2.46 -2.13 0.32
200710 1.92 1.80 0.21 -1.97 0.32
200711 -7.26 -4.82 -2.77 -1.09 0.34
200712 -0.62 -0.86 0.05 -0.03 0.27
200801 -5.33 -6.35 -0.77 3.05 0.21
200802 -2.86 -3.09 -0.55 -0.03 0.13
200803 0.27 -0.94 0.83 0.28 0.17
200804 4.20 4.60 -1.49 -0.03 0.18
200805 4.42 1.86 2.98 -0.34 0.18
200806 -7.26 -8.44 1.07 -1.02 0.17
200807 2.10 -0.77 3.58 3.69 0.15
200808 4.21 1.53 3.75 1.48 0.13
200809 -7.11 -9.24 -0.34 4.40 0.15
200810 -19.79 -17.23 -2.28 -2.99 0.08
200811 -11.58 -7.86 -3.63 -4.94 0.03
200812 6.07 1.66 3.97 -1.20 0.09
200901 -12.58 -8.12 -0.98 -9.86 0.00
200902 -11.91 -10.09 -0.35 -6.90 0.01
200903 8.13 8.95 0.73 2.60 0.02
200904 17.35 10.19 5.40 5.42 0.01
200905 1.60 5.21 -2.66 0.56 0.00
200906 1.46 0.43 2.67 -2.44 0.01
200907 10.28 7.72 2.50 4.73 0.01
200908 2.38 3.32 -0.51 7.59 0.01
200909 5.19 4.08 2.47 1.40 0.01
200910 -5.79 -2.59 -4.22 -4.37 0.00
200911 2.67 5.56 -2.65 0.17 0.00
200912 8.53 2.75 5.79 0.73 0.01
201001 -3.45 -3.36 0.19 0.61 0.00
201002 4.37 3.40 1.44 2.74 0.00
201003 7.80 6.32 1.58 2.03 0.01
201004 5.83 2.00 4.94 3.15 0.00
201005 -7.17 -7.89 -0.08 -2.33 0.01
201006 -7.14 -5.56 -2.13 -4.26 0.01
201007 6.39 6.92 0.17 0.22 0.01
201008 -7.50 -4.77 -2.94 -1.64 0.01
201009 11.36 9.54 3.84 -3.02 0.01
201010 4.19 3.88 1.04 -2.30 0.01
201011 3.60 0.60 3.66 -0.54 0.01
201012 7.53 6.82 0.78 3.58 0.01
201101 0.15 2.01 -2.46 0.86 0.01
201102 4.48 3.49 1.63 1.67 0.01
201103 2.94 0.48 2.62 -1.22 0.01
201104 2.61 2.90 -0.32 -2.25 0.00
201105 -0.86 -1.27 -0.65 -2.21 0.00
201106 -1.77 -1.75 -0.08 -0.42 0.00
201107 -3.22 -2.34 -1.40 -1.20 0.00
201108 -7.59 -6.00 -3.30 -1.56 0.01
201109 -10.31 -7.60 -3.68 -1.06 0.00
201110 15.02 11.34 3.58 -0.90 0.00
201111 0.61 -0.26 -0.26 -0.17 0.00
201112 1.29 0.74 -0.57 1.53 0.00
201201 6.58 5.06 2.52 -2.13 0.00
201202 2.08 4.43 -1.65 0.04 0.00
201203 2.87 3.11 -0.23 -0.07 0.00
201204 -1.24 -0.84 -0.61 -0.20 0.00
201205 -6.26 -6.20 -0.10 0.10 0.01
201206 4.13 3.88 0.82 0.46 0.00
201207 -0.73 0.79 -2.59 0.02 0.00
201208 3.72 2.56 0.72 0.59 0.01
201209 2.30 2.74 0.49 1.57 0.01
201210 -2.05 -1.75 -1.07 4.17 0.01
201211 0.95 0.77 0.67 -1.10 0.01
201212 3.24 1.18 1.66 3.28 0.01
201301 5.73 5.58 0.49 1.35 0.00
201302 1.35 1.28 -0.38 0.31 0.00
201303 4.20 4.03 0.84 -0.06 0.00
201304 -0.20 1.56 -2.43 0.36 0.00
201305 4.36 2.81 1.93 1.31 0.00
201306 -0.14 -1.21 1.23 -0.45 0.00
201307 6.78 5.65 1.85 0.79 0.00
201308 -2.46 -2.69 0.28 -2.46 0.00
201309 6.24 3.76 2.85 -1.51 0.00
201310 3.58 4.17 -1.52 1.39 0.00
201311 4.40 3.12 1.32 -0.38 0.00
201312 1.47 2.81 -0.44 -0.17 0.00
201401 -3.86 -3.26 0.85 -1.83 0.00
201402 4.49 4.65 0.27 -0.48 0.00
201403 0.69 0.41 -1.81 4.72 0.00
201404 -2.75 -0.14 -4.23 1.57 0.00
201405 0.30 2.06 -1.88 -0.40 0.00
201406 4.66 2.59 2.98 -0.63 0.00
201407 -5.38 -2.05 -4.28 0.03 0.00
201408 4.26 4.23 0.49 -0.75 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.