FMAGX FLPSX BSCFX
Mkt-RF SMB HML RF Adj Close Adj Close Adj Close
201010 3.88 1.01 -2.23 0.01 51.42 26.50 18.53
201012 6.82 0.85 3.47 0.01 55.60 28.31 20.46
201102 3.49 1.62 1.73 0.01 58.85 29.71 22.06
201104 2.9 -0.34 -2.15 0 60.09 31.40 23.17
201105 -1.27 -0.68 -2.12 0 58.75 31.04 23.00
201110 11.35 3.58 -0.96 0 50.45 28.80 20.33
201111 -0.28 -0.24 -0.18 0 49.31 28.33 20.29
201201 5.05 2.51 -2.14 0 52.13 29.99 21.24
201203 3.11 -0.27 -0.06 0 57.22 32.20 22.83
201206 3.89 0.81 0.54 054.25 30.38 21.95
201208 2.55 0.69 0.6 0.01 56.71 31.81 22.48
201211 0.78 0.68 -1.12 0.01 57.57 32.51 23.24
201301 5.57 0.5 1.34 060.97 35.17 25.27
201303 4.03 0.88 -0.07 0 63.31 36.95 26.76
201305 2.8 21.33 066.23 38.67 27.36
201306 -1.2 1.18 -0.4 0 65.12 38.60 27.20
201309 3.77 2.86 -1.57 0 71.02 41.69 29.76
201311 3.12 1.33 -0.38 0 76.62 44.21 31.60
201402 4.65 0.32 -0.49 0 81.07 45.36 33.13
201405 2.06 -1.84 -0.38 0 81.67 45.96 31.82
201408 4.23 0.5 -0.76 0 86.56 47.98 33.04
201409 -1.97 -3.8 -1.68 0 85.17 46.47 31.70
201411 2.55 -2.08 -3.37 0 89.69 48.24 33.32
201502 6.13 0.47 -2.16 0 93.02 49.75 34.73
201503 -1.12 3.14 -0.72 0 92.16 49.27 35.19
The Fama-French Multi-Factor Model and Mutual Fund Returns
Chapter 12
Input area:
201505 1.36 0.95 -1.9 0 94.07 50.86 34.68
201506 -1.53 2.84 -1.04 0 93.19 50.50 34.70
201507 1.54 -4.17 -4.49 0 95.69 50.72 34.78
Output area:
Mkt-RF SMB HML FMAGX FLPSX BSCFX
201010 0.0060 0.0369 -0.0058 0.0135 0.0018 0.0431
201012 0.0199 -0.0240 0.0068 0.0161 0.0132 0.0226
201102 0.0045 0.0268 -0.0116 -0.0041 0.0118 0.0206
201103 0.0290 -0.0034 -0.0215 0.0251 0.0444 0.0290
201104 -0.0127 -0.0068 -0.0212 -0.0222 -0.0115 -0.0074
201109 0.1135 0.0358 -0.0096 0.1086 0.1149 0.1339
201110 -0.0028 -0.0024 -0.0018 -0.0226 -0.0161 -0.0023
201111 0.0074 -0.0055 0.0157 -0.0027 -0.0030 -0.0074
201201 0.0442 -0.0165 0.0001 0.0598 0.0501 0.0496
201202 0.0311 -0.0027 -0.0006 0.0358 0.0223 0.0240
201206 0.0079 -0.0260 0.0001 0.0117 0.0026 –0.0276
201208 0.0273 0.0050 0.0156 0.0320 0.0197 0.0214
201209 -0.0176 -0.0107 0.0416 -0.0259 -0.0103 -0.0093
201211 0.0118 0.0161 0.0326 0.0077 0.0296 0.0225
201301 0.0129 -0.0040 0.0028 0.0069 0.0031 0.0108
201303 0.0156 -0.0240 0.0035 0.0100 0.0287 –0.0007
201306 0.0565 0.0188 0.0071 0.0662 0.0505 0.0500
201307 -0.0271 0.0024 -0.0248 -0.0186 -0.0180 -0.0098
201309 0.0418 -0.0155 0.0136 0.0426 0.0356 0.0372
201311 0.0281 -0.0043 -0.0020 0.0251 0.0172 0.0363
201312 -0.0332 0.0083 -0.0188 -0.0188 -0.0336 -0.0351
201402 0.0043 -0.0181 0.0460 -0.0114 0.0114 -0.0210
201403 -0.0019 -0.0417 0.0162 -0.0115 -0.0119 -0.0372
201405 0.0261 0.0294 -0.0060 0.0262 0.0263 0.0479
201406 -0.0204 -0.0425 0.0004 -0.0149 -0.0164 -0.0525
201409 0.0252 0.0428 -0.0181 0.0296 0.0223 0.0401
201410 0.0255 -0.0208 -0.0337 0.0228 0.0154 0.0106
Risk premium for mutual funds
201412 -0.0311 -0.0062 -0.0306 -0.0246 -0.0308 -0.0207
201503 0.0059 -0.0303 0.0213 0.0019 0.0213 –0.0222
201506 0.0154 -0.0417 -0.0449 0.0268 0.0044 0.0023
201507 -0.0604 0.0043 0.0288 -0.0649 -0.0382 -0.0638
SUMMARY OUTPUT
Regression Statistics
Multiple R 0.97626
R Square 0.95309
Adjusted R Square 0.95058
ANOVA
df SS MS F Significance F
Regression 3 0.08640 0.02880 379.24369 3.69487E-37
Residual 56 0.00425 0.00008
Total 59 0.09066
Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept -0.00216 0.00120 -1.79745 0.07766 -0.00456 0.00025 -0.00456 0.00025
Mkt-RF 1.08816 0.03546 30.69090 0.00000 1.01713 1.15918 1.01713 1.15918
SUMMARY OUTPUT
Regression Statistics
Multiple R 0.96584
R Square 0.93284
ANOVA
df SS MS F Significance F
Regression 3.00000 0.10239 0.03413 259.28367 0.00000
Total 59.00000 0.10976
Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
SMB 0.58630 0.07552 7.76379 0.00000 0.43502 0.73758 0.43502 0.73758