Assignment

SMB %
SMB %
HML %
WML %
Rm-Rf %
Rm %
Rf %
1
0.150473
-0.003323
-0.359343
-0.359635
-0.038434
HML %
WML %
Rm-Rf %
1
-0.077115
1
0.029217 -0.106908
1
0.029011 -0.106832 0.999986
-0.039792 0.01894 -0.047253
Rm %
1
-0.0419
Rf %
SUMMARY OUTPUT
Regression Statistics
Multiple R
0.9612484759
R Square
0.9239986323
Adjusted R Square
0.923944978
Standard Error
0.4055072285
Observations
5671
Multiple R refers to the
R is also known as 'Goo

ac
The s
ANOVA
df
Regression
Residual
Total
SS
MS
F
4 11327.2292841 2831.807321 17221.322494
5666 931.6950127913 0.1644361124
5670 12258.92429689
Coefficients
0.0014539711
0.5928150376
0.3641083783
-0.0640532146
0.965451831
Intercept
SMB %
HML %
WML %
Rm-Rf %
Standard Error
0.0054045775
0.0062793463
0.0051972552
0.0049537181
0.004002524
RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
Predicted SM-RF
Residuals
0.5770851794
-0.0209814894
-0.8320581694
0.3522264594
-0.152058281
-0.052690019
-0.903222638
0.047475198
0.0697117755
0.1015448745
1.6384315958
0.3929730842
2.1168956158
0.2735620842
0.4182863959
0.3442867941
0.769265967
-0.403700787
0.4220350466
0.5188058234
-2.2817546273
-0.1877132027
0.8296781995
0.1847640205
0.2864351067
0.0321305233
-1.0271696071
-0.0823341929
-0.8591180103
-0.4655648497
-0.4399269671
-0.1392638229
-0.7346650217
-0.2707473583
t Stat
P-value
0.2690258575 0.7879195799
94.40712545
0
70.057821433
0
-12.930330956 1.03232E-037
241.21075559
0
18
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42
43
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46
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60
61
62
-1.9738410492
-0.4559631381
0.419488921
0.4370437573
0.569750271
1.3172352793
0.3708436764
0.4707045109
1.8228931995
1.5590875322
1.1557671785
1.1778868484
1.4065786904
0.3819868193
-1.0765582353
-1.0291930871
2.1911659481
1.3737851896
1.473518402
0.2016640848
-0.9959262153
0.2981373294
0.9509526624
1.5793758662
1.3526026025
2.8524312767
0.4881620327
5.3824807013
3.3464675235
-0.246124461
1.5139898024
4.6296763985
3.2848439108
-1.3015071103
-1.1901271916
0.5814673051
0.0450240865
1.4610118582
-0.9095020564
-4.0323777461
-0.0738207334
0.8262999455
1.7594385586
1.507831469
2.0136655115
0.5854614692
-0.3191599119
0.209266879
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0.185504449
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0.0473161736
0.0010207591
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0.0346233007
0.2433170753
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0.5320980219
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0.3744922652
0.5064525253
0.2941211006
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-0.6986457735
0.047604291
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0.5824749192
-0.1787372697
0.2808067016
0.0848852249
0.7452986435
-0.0881616282
-0.1690971136
0.3269132461
-0.0218836466
0.0397684145
-0.4246402786
0.129121171
0.2884068085
63
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0.2986358105
-0.425433759
1.6976154827
1.894813597
-0.7364878477
0.7861355671
-0.8187728409
-3.5349442199
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3.551413204
-0.7012825799
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0.6206301116
0.6057286262
1.5918367497
-0.2578898858
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2.9071940433
0.9289536486
-1.2893379264
-4.7395217039
-2.142743234
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-2.3777719851
0.1016595851
1.5072852784
-0.4920043605
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0.6632135122
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0.0821322461
0.2897401627
0.7086898807
0.511444188
1.3178540784
0.3603098106
0.3511039631
0.4879330895
1.239421429
2.1768723573
0.640127903
0.6051852977
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0.7986043709
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0.0997698192
0.304445206
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0.2428041603
0.3826592458
0.5846816999
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0.9178965964
0.2676652439
-0.467088726
0.0856036153
-1.0790359849
0.7182461349
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0.5166557005
0.5192766066
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0.414752433
0.4016821022
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0.3319617395
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0.1170020373
0.5680813393
-0.574900498
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0.0863968869
108
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0.121758574
1.7194502619
1.0295841788
-0.4843315346
-0.60603009
-1.1644885708
-1.4255870806
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0.0271368853
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0.7021235722
0.7787221983
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0.0761995763
2.3189335896
1.0419831229
1.2838556106
0.5384123853
0.5129986468
1.7019911178
0.427053345
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0.2712793011
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1.1545830007
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1.5205167531
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0.9981418171
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0.0107460332
0.0060082089
0.4025697606
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0.5038263125
-0.0931070537
0.1425372393
-0.2677223788
0.7413829358
0.2174258815
0.2553361953
0.4962123469
-0.1726849602
0.3358294823
0.1104875374
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197
0.5669071204
2.1753358902
1.0584631223
0.3524988715
0.239970004
-0.611274515
-0.2556819222
0.2244946759
0.2219717534
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0.825359052
0.4441666292
0.0048617346
0.1522777008
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1.7078415881
0.6408942391
0.7503575587
0.8793414206
-0.1186537899
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1.6810625709
0.3032424451
0.6868754491
-0.4077135998
0.5773095487
2.6038614093
1.7623700774
-0.1156898658
-1.3335210287
0.5407576191
1.5065832673
0.1008283034
0.5590088796
0.0865909471
0.762952785
2.4704180384
0.6154149659
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0.2407462698
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0.3019980255
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0.6369035021
198
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0.0119212502
-0.511840793
3.0236238458
1.9382865269
-0.0274775243
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0.3273275791
3.0688031139
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1.3315346832
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-2.7295951965
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0.8752490121
0.2249934153
0.2847093199
2.3880139763
0.1240184872
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2.1591480835
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0.5243706724
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243
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0.3483998099
-0.300699905
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-0.8947672824
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0.2523762656
0.8994159536
1.3937812222
0.6898583223
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1.1378499353
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288
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0.5080701949
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377
-0.065963471
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1953
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1.3771327138
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1998
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2014
2015
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-0.255752152
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2043
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1.4612819316
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2088
2089
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2100
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2133
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2171
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2174
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0.6284073127
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2178
2179
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2223
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ple R refers to the correlation between dependent variable and independent variable, ie., there is 96.12% corre
between dependent variable and independent variables.
also known as 'Goodness of fit' or 'coefficient of determination'. Here, we will look for Adjusted R Square to get
accurate value as there is more then 1 independent variable. It means 92.39%
The standard error here refers to the estimated standard deviation of the error term.
The total number of observations used in regression are 5671.
Significance F
From ANOVA table, the F - value(17221.32249) is significant at

5% level of significance because its p-value is less then 0.05.
Thus we can conclude that we have specified the model
correctly.
Lower 95%
-0.0091410691
0.5805051157
0.3539197691
-0.0737643979
0.9576053522
Upper 95%
0.0120490113
0.6051249596
0.3742969876
-0.0543420313
0.9732983097
Lower 95.0%
-0.0091410691
0.5805051157
0.3539197691
-0.0737643979
0.9576053522
Upper 95.0%
0.0120490113
0.6051249596
0.3742969876
-0.0543420313
0.9732983097
For interpreting the signific

value as it shows the
The p-value of intercept if 0

value of
The p-value of all the independent

or 5% significance level.Thus
e., there is 96.12% correlation
Adjusted R Square to get more

92.39%
error term.
49) is significant at
e is less then 0.05.
cified the model
For interpreting the significance of all the variables, we will look for pvalue as it shows the level of significance of the variable.
The p-value of intercept if 0.787919 which is more than 0.05. So, the
value of intercept is not reliable.
he p-value of all the independent variables(HML, SMB, WML, Rm-Rf) are less than 0.05
or 5% significance level.Thus the coefficeint of all the variables are significant.
Date
SMB %
HML %
WML %
Rm-Rf % Rm %
Rf %
SM-RF
19931001 1.67319 0.642297 -0.119661 -0.68133 -0.649173 0.032158 0.556104
19931004 0.341202 -0.070164 0.958167 -0.982815 -0.950658 0.032158 -0.479832
19931005 -0.397723 0.603893 -0.765941 -0.19336 -0.161203 0.032158 -0.204748
19931006 -0.281254 -1.073005 -0.048519
-0.3629 -0.330742 0.032158 -0.855747
19931007 -0.504046 0.358531 0.765474 0.295769 0.327927 0.032158 0.171257
19931008 1.092142 1.227857 0.32146 0.583205 0.615363 0.032158 2.031405
19931011 1.672131 -0.129294 0.068806 1.217732 1.249114 0.031381 2.390458
19931012 -0.020832 -0.056566 0.809785 0.519599 0.55098 0.031381 0.762573
19931019 -0.689975
0.4952 0.235616 1.047826 1.078911 0.031085 0.365565
19931020 1.138289 -0.018871 0.258102 -0.23907 -0.207985 0.031085 0.940841
19931021 -0.389545 -0.198453 2.034912 -1.915869 -1.884784 0.031085 -2.469468
19931022 0.100524 -0.312449 -0.268297 0.896173 0.927259 0.031085 1.014442
19931025 -0.637623 0.632261 -0.143854 0.438704 0.470419 0.031714 0.318566
19931026 0.548188 -0.490286 0.551321 -1.180552 -1.148838 0.031714 -1.109504
19931027 -1.034527 0.774749 -0.175155 -0.559946 -0.528231 0.031714 -1.324683
19931028 -0.129075 -0.337512 0.224493 -0.235737 -0.204023 0.031714 -0.579191
19931029 -0.171766 0.317786 0.491404 -0.744238 -0.712524 0.031714 -1.005412
19931101 0.618166 -0.812937 -0.427007 -2.147292 -2.115911 0.031381 -1.38838
19931102 0.072673 -0.23415 -0.796532 -0.482948 -0.451567 0.031381 -0.775123
19931103 0.376094 -0.381236 1.707997 0.459158 0.490539 0.031381 0.628756
19931104 0.340934 -0.367449 -0.100329 0.373756 0.405138 0.031381 0.410344
19931105 -0.307758 0.043439 1.70128 0.874095 0.905476 0.031381 0.755255
19931108 -0.668321 -0.004493 0.461109 1.805521 1.837235 0.031714 1.149864
19931109 -1.124253 0.066649 -0.384854 1.022262 1.053977 0.031714 0.41816
19931110 -0.887816 0.643952 0.203284 0.801815 0.83353 0.031714 0.471725
19931116 -0.661898 -0.413549 1.611714 2.555937 2.587319 0.031381 1.305919
19931117 -0.755855 1.851608 1.446366 1.475137 1.506519 0.031381 1.382388
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0.026506
0.026506
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0.026356
0.026356
0.026356
0.026356
0.026356
0.026356
0.026356
0.026356
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0.026356
0.026356
0.026356
0.026506
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0.026506
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0.026506
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0.026506
0.026506
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0.026506
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0.645874
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0.877321
1.106981
0.057218
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0.060964
0.869297
1.133242
20160616
20160617
20160620
20160621
20160622
20160623
20160624
20160627
20160628
20160629
20160630
20160701
20160704
20160705
20160707
20160708
20160711
20160712
20160713
20160714
20160715
20160718
20160719
20160720
20160721
20160722
20160725
20160726
20160727
20160728
20160729
20160801
20160802
20160803
20160804
20160805
20160808
20160809
20160810
20160811
20160812
20160816
20160817
20160818
20160819
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1.267762
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0.001568
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1.485879
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-0.358826
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-0.04149
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0.692052
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0.026206
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0.026206
0.026056
0.026056
0.026056
0.026056
0.025569
0.025569
0.025569
0.025569
0.025569
0.025418
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0.025418
0.025418
0.025418
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0.025418
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-0.435791
0.179373
0.382125
0.154866
-0.73196
-0.254161
-1.746022
2.372199
1.203219
1.577456
0.77651
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1.123358
-0.014651
0.580678
-0.351034
0.893142
0.025535
-0.675212
0.913905
-0.619744
-0.609468
-0.192792
1.123979
-0.23936
0.868574
1.496213
-0.805821
0.31932
0.387722
-0.160553
-0.202034
-0.891233
-1.29371
0.333039
1.558482
0.583557
-0.382771
-1.57759
-0.193512
0.136539
-0.248365
0.82236
1.318519
0.921953
20160822
20160823
20160824
20160825
20160826
20160829
20160830
20160831
20160901
20160902
20160906
20160907
20160908
20160909
20160912
20160914
20160915
20160916
20160919
20160920
20160921
20160922
20160923
20160926
20160927
20160928
20160929
20160930
20161003
20161004
20161005
20161006
20161007
20161010
20161013
20161014
20161017
20161018
20161019
20161020
20161021
20161024
20161025
20161026
20161027
0.648685
0.115047
0.381878
0.681381
-0.302217
-0.534654
-0.675663
0.316938
0.432946
-0.051818
-0.488273
-0.001064
0.248202
0.066466
0.764147
0.402035
0.929725
0.380439
0.098577
0.006216
0.235561
-0.672618
0.062076
0.436717
0.414656
-0.19272
-1.451261
0.847764
0.626265
-0.385472
0.602461
-0.207961
0.056246
0.316345
0.151039
0.309065
0.71687
-0.290982
0.380948
-0.03973
0.321887
0.641246
0.17215
0.495463
-0.095512
-0.160689
0.566456
-0.238983
-0.487006
-0.581816
0.031285
0.465236
-0.275094
-1.256422
0.828024
0.523529
1.35331
1.541895
0.230146
-2.310013
1.379593
-0.835216
-1.359951
0.346433
-0.266366
-0.205003
0.863991
-0.486175
-0.112258
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1.142657
-3.392035
1.235759
1.202966
1.351437
0.701289
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0.603961
0.220865
-1.314488
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0.33364
0.435684
1.450033
0.116
0.367845
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0.790437
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0.424295
1.376843
0.115867
0.37504
0.322255
0.331994
-0.325951
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1.055829
0.285683
-0.1521
0.051751
0.199286
-0.355671
0.686074
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0.381327
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1.269561
0.166514
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1.168437
0.029706
0.364461
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0.498171
0.020842
0.354776
0.40067
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0.016452
0.977282
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0.593784
-2.597664
0.975319
1.96243
0.527512
0.084318
-0.245504
-0.136939
0.080472
-1.482251
0.461237
-0.736194
1.442001
0.143212
0.355907
0.100013
0.284365
-0.172245
-0.704278
-0.487448
-0.420372
-0.100113
0.406745
-0.48073
-0.216385
0.176331
1.294979
0.191932
-0.357222
0.402157
1.193855
0.055125
0.38988
-0.630313
-2.036632
0.523589
0.04611
0.380045
0.425938
-0.212594
0.04172
1.002551
-0.095243
-0.76539
-0.099859
0.619052
-2.572396
1.000587
1.987698
0.55278
0.109586
-0.220837
-0.112272
0.105139
-1.457584
0.485903
-0.711527
1.466668
0.167879
0.380724
0.124831
0.309182
-0.147428
-0.679461
-0.462782
0.025418
0.025418
0.025418
0.025418
0.025418
0.025418
0.025418
0.025418
0.025418
0.025418
0.025418
0.025418
0.025418
0.025418
0.025418
0.025418
0.025268
0.025268
0.025268
0.025268
0.025268
0.025268
0.025268
0.025268
0.025268
0.025268
0.025268
0.025268
0.025268
0.025268
0.025268
0.024667
0.024667
0.024667
0.024667
0.024667
0.024667
0.024667
0.024667
0.024817
0.024817
0.024817
0.024817
0.024817
0.024667
0.39914
0.10132
0.747057
-0.043411
-0.430733
0.186978
0.784814
0.044076
-0.487645
0.864596
1.072885
0.383855
0.932563
-0.475994
-2.406934
1.532209
0.553394
0.152402
0.724651
-0.008683
0.250094
0.761992
-0.274689
-0.521386
-0.051631
1.053958
-5.417214
2.633021
3.079039
0.554572
1.219095
-0.231625
0.103817
0.55891
-1.571085
0.901469
-0.159086
1.496317
0.910502
0.572481
0.204589
0.746159
-0.235627
-0.524571
-0.632413
20161028 0.030125 0.375795 0.61172 0.544172 0.568839 0.024667 0.889891

20161030 0.918302 -0.156984 0.014904 0.34967 0.374337 0.024667 1.144295
Portfolio BH returns %
Portfolio BM returns %
Portfolio BL returns %
-0.74064629
-0.52521104
-1.18908664
-1.80513579
-1.02241683
-0.71462856
0.41638572
0.28539263
-0.3182661
-1.79745516
-0.42029457
-0.4300912
1.13584171
0.21703172
0.63105357
2.47668594
-0.41206938
0.79269709
1.075794
0.09064759
0.85416861
-0.32288708
1.36736441
0.51148796
2.08844918
0.94306722
1.09905149
-0.10089014
-0.58607727
-0.08437013
-2.4631558
-2.040325
-1.7311105
0.06251597
0.80729891
0.9013791
1.32900554
0.20730299
0.50708439
-2.37922427
-1.07866648
-1.01776553
0.99478746
-1.06457598
0.01353447
-1.11111618
0.33372393
-0.34435654
-0.17756884
-0.55642493
-0.84184234
-3.19231562
-2.63343864
-1.68105283
-1.26676833
-0.43695562
-0.07329091
-0.20445966
-0.05790378
0.71287043
-0.39646228
0.45757939
0.4423499
1.6478422
0.1293356
1.41363696
2.31972622
2.06140603
1.86369571
1.43293976
1.94619107
1.04547988
1.76395576
1.19940282
0.66904399
1.33404928
2.66004183
2.58762016
4.49879801
1.39788165
0.96861609
6.16320747
1.24585157
1.60346815
1.98462275
0.71687492
1.09944118
1.59150209
3.11550915
1.96364233
-1.41392732
0.71363882
0.87687611
-2.59377002
1.82501944
0.37178071
-0.72423759
-0.51443181
0.35986734
5.03481625
3.70614697
3.85935728
9.62994013
5.19464025
1.46712745
4.64429541
4.62587865
0.267441
-2.949191
-1.69945722
-1.34498192
-0.06316524
-1.7371179
-1.39542871
3.24731521
1.49416286
1.59016626
2.69764205
2.28564784
1.44454381
2.20638408
0.00609055
0.50848958
2.46378684
2.96883191
2.71472059
1.90014235
2.57382593
2.06317192
-3.5618538
-0.02448862
-1.92249357
6.31048974
2.01589884
-2.40031082
-1.29400289
3.04247643
2.63105169
-3.41382875
1.69871394
-2.11194357
0.22349665
3.91596669
-4.17401264
-3.50185293
-1.77618371
2.22912405
2.18432745
2.84455052
1.0145566
-1.71394114
-0.46498445
1.66013312
0.07887704
-1.0280011
5.20910552
1.68050943
-3.70029611
-0.68241186
2.91946516
-3.51169443
-1.58134401
-2.27675707
0.89440163
1.14779952
3.88822179
-1.4243986
-0.70305487
1.49642547
2.17302609
-0.75410143
-5.44715921
-4.11168671
-1.08154694
-4.52965511
-5.25790502
1.40239317
9.63522543
0.50962968
0.12461749
0.91392204
6.33951129
5.69528061
-0.3348855
1.86857437
-1.43064553
1.50838945
2.14447378
-1.05561097
-3.44505651
-2.0416952
0.35456557
1.57344124
3.79454314
-0.27387689
-2.74107267
-3.49532285
2.44928934
-2.0889876
-2.57072616
3.55662218
-1.39250713
-1.52266101
-1.00935846
1.11575027
-3.39028045
-0.20472294
0.07595063
0.78557484
0.2955417
2.50216652
0.29046802
-2.67778059
2.69767833
7.28364609
-0.07141197
-6.88540055
-2.13921276
-3.60019735
-2.17622952
-1.47421979
1.0004309
3.90644932
0.33517002
-0.96063719
0.86684084
4.09706854
3.38494933
-0.56540261
2.19661372
0.08755032
0.58809111
1.21986627
-1.00652921
-3.1938251
-1.63019611
2.8687306
2.82862306
2.20017912
0.45227285
-1.32350639
-0.5838124
2.7608392
-0.02806074
-2.02667049
4.6766273
-0.11937062
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-0.76164647
0.61892074
0.30276498
-0.3079854
-0.90369322
-0.49098624
-0.23573857
-0.08218844
1.84693824
1.20268312
1.03567539
0.56018969
-0.45211412
0.47417497
0.44176265
0.01915494
-0.13905593
0.62038601
0.16904045
-0.67719165
-0.45967763
-0.41625392
-0.03450001
0.78117672
-3.512037
0.021096
3.747944
0.081827
2.651815
-0.212738
-3.645352
1.31459
-1.236351
0.114979
2.943032
-0.625545
1.551005
-0.204268
2.504127
0.342729
1.050609
-1.568654
1.445953
-0.038942
-1.848238
-0.690827
-0.688326
-0.61972
-4.075729
-0.057107
0.314543
1.952799
-0.0942
-1.27981
0.030303
-3.100011
-1.066448
0.519182
1.010724
-1.986231
-1.152257
-1.403083
-0.744329
2.266748
0.500206
2.367624
-0.408402
0.840608
-1.249919
0.83303194
0.39386365
2.01224176
-0.76024973
-0.58696673
1.05390668
-4.31457749
1.57773591
0.95135359
0.8120032
1.97793026
1.14520688
2.86257577
1.39815838
-1.58848177
-1.01026733
3.0646089
1.1791113
-0.3469174
1.65930081
0.23445744
-2.17943484
0.4359142
0.16566214
-2.05540297
0.17898404
1.78664749
-0.3347479
-0.37696658
-0.45495474
1.14850769
-0.32317258
-0.75582798
-0.99017154
2.2305656
2.00867293
-1.12157019
-0.62656088
-2.50586631
-0.63384074
2.12775713
0.14927997
1.59902332
0.36976818
1.24455508
-0.41653759
0.21765754
1.1704826
-0.11689838
-0.32021869
0.26271786
-2.25710422
0.75219326
0.64107031
1.31005839
1.31655438
1.42025431
1.65373716
-0.30678512
-0.25518423
-0.71616825
1.72551967
1.07361946
0.24749592
0.72780226
0.09504655
-1.79961036
0.90641745
0.98395906
-0.96882111
0.86775212
1.56825956
-0.22550325
0.41162887
0.14890397
-0.55521217
0.11612878
-0.34855442
-0.93282197
0.70031268
2.20080909
0.54043756
-0.2585704
-1.41285131
-0.16807862
1.56253076
0.6965116
0.2753349
1.52845951
0.9181097
-0.5435232
0.36057291
0.64529681
-0.03541018
-0.08632993
0.4576653
-1.58108342
0.24008416
0.46403243
0.92075687
1.03808251
0.43657368
0.32293179
-0.26151871
-0.01900136
-0.002162
1.48596877
0.2206612
-0.176658
0.51604472
-0.40756789
-0.11565826
0.08117417
0.81094775
-0.16948365
0.48084376
0.96355786
-0.43928733
0.36671739
0.84917986
0.09705496
0.35273595
-0.29155049
-0.95377915
0.12924445
1.27057981
0.48104001
-0.36883555
-1.05490927
0.28240283
0.31143385
-0.23421095
-0.08616634
0.37399346
-0.19452144
1.649138
-1.991946
0.440058
1.149133
1.327837
0.596336
-0.895343
-2.140733
1.724568
0.795915
0.806826
0.367658
1.986036
-0.786456
-0.613173
1.027701
-4.340784
1.55153
0.925147
0.785797
1.951874
1.119151
2.83652
1.372102
-1.61405
-1.035836
3.03904
1.153543
-0.372486
1.633882
0.209039
-2.204853
0.410496
0.140244
-2.080821
0.153566
1.761229
-0.360166
-0.402385
-0.480373
1.123089
-0.348591
-0.781246
-1.01559
2.205147
-0.53809781
0.61220636
-0.12999391
-0.97724957
-0.83717783
0.58621373
2.21895845
-0.44058054
-1.91737593
1.2385094
1.94018375
1.54040863
1.80255953
-0.41130188
-5.02355378
2.07427229
-1.34795915
-1.76526095
0.64441915
-0.15216992
-0.19594762
2.35485323
-0.93278509
-1.23682598
-0.51134638
2.25092664
-6.26936315
2.22452706
3.05108119
2.2320349
0.87959168
-0.72012647
0.82283399
0.61579161
-2.48224245
0.11965261
-1.20575527
2.02912353
0.49328928
1.93965058
0.17131705
-0.05350618
-0.57778236
-1.51931357
-0.83572246
-0.61440349
-0.67549121
0.81626044
-0.86624283
-0.18248729
0.75596315
0.97648816
-0.23167215
-1.22646049
0.50940259
1.14982236
0.77616574
0.53946922
-0.18840162
-2.89730609
0.97463063
-0.10028071
0.09583115
0.86863522
-0.23604885
-0.17965712
1.66450832
0.23797691
-0.79926172
-0.56206568
1.06374643
-3.03893394
1.70398981
2.22261698
1.13190545
-0.08761772
0.34894253
-0.16909487
-0.40376962
-1.89967807
1.0592267
-0.34738419
1.29482188
0.56963571
0.81022716
-0.32472148
0.88808591
0.06734277
-1.09093903
-0.45650761
-0.4694405
0.04494698
0.24898594
-0.44562333
-0.14198778
0.00753307
1.46023945
0.34333763
-0.04317881
0.30307611
1.27197022
-0.26976425
0.23306951
-0.8254063
-1.70696997
0.21177098
0.03893564
0.54194473
0.25308596
-0.20776305
0.08667576
0.77086337
-0.18029567
-0.8249711
0.02711851
0.3803465
-1.93461823
0.55930858
1.64523339
0.17069669
-0.02326809
-0.38547376
-0.21881096
0.18397269
-1.20660293
0.1815682
-0.99277827
1.55226065
-0.14715666
0.03131529
0.25584767
-0.0221224
-0.24289428
-0.48715933
-0.38340037
1.983254
-1.146989
1.11322326
0.07975163
0.46233662
0.18963208
0.54008031
0.25997875
Portfolio SH returns %
Portfolio SM returns %
Portfolio SL returns %
1.40625933
0.5882613
0.57010521
-0.56036107
-0.4476741
-1.51054128
-0.08196516
-0.17259069
-0.5550996
-1.72333024
-0.82358983
-0.94468323
0.24032403
0.20341426
0.02805045
2.420952
2.06356229
1.64922631
2.06747495
2.42183919
2.5476888
0.71037852
0.79395468
-0.01086451
0.83249669
0.39665061
0.83149464
0.82519144
0.9719263
0.84641316
-2.31485215
-2.4383824
-2.64999053
0.62060187
1.04552765
0.40663651
0.11142189
0.35027993
-0.33117931
-0.68620862
-1.0777895
-1.06709467
-0.64931115
-1.29296856
-1.21755576
-0.43488105
-0.54747649
-0.52661602
-0.57306837
-0.97369808
-0.54436621
-2.20496053
-1.35699809
-2.09034959
-0.0450377
-0.74374156
-0.77021516
0.53675458
0.66013729
0.38189668
0.594229
0.4417252
0.49031488
0.66678788
0.78663621
0.81411606
1.2966355
1.18157867
1.76165138
0.17390835
0.44987415
0.42807014
0.32925334
0.50343957
0.13626169
1.84259502
1.33730088
1.41612254
1.67849805
1.41376901
1.50546441
1.35906888
0.97181455
0.86582149
0.74004702
1.19499785
1.54930715
1.6796442
0.78994796
1.86890097
0.2722624
0.44924744
0.43106112
-1.4618947
-0.80060384
-0.62244761
-1.07458667
-1.31609103
-0.80355135
1.85714731
2.75590129
2.49897388
1.74197043
0.62308067
1.06693326
1.88026853
1.44647786
0.71337169
-0.25963545
0.60923597
0.52480164
-1.34068294
-0.45654145
-0.86708455
0.17918625
0.62519067
0.52655073
0.75504952
0.75073343
1.60988401
2.06139192
1.36335402
1.06073199
1.38459479
1.22171584
1.3860872
3.24094832
2.1310766
2.52473002
-0.17705638
-0.01782603
-0.37785852
5.28610747
4.66601036
-0.27040758
1.30154944
4.11921833
1.87242209
-1.1006835
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0.50824918
0.02169204
1.42377377
-0.78390074
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-0.30979444
1.33340461
2.54575667
1.77037
2.67594993
0.21420229
-0.69451704
1.36938794
1.59104718
-0.19669982
1.3340085
-0.93884635
-2.75382781
-0.51566604
3.37702382
0.0217447
0.12083016
-1.60721645
0.3787766
0.80502088
2.18219939
-0.34684018
-2.70907604
0.17708691
2.44419419
1.12032153
-1.34579011
-5.50882278
-1.34703604
0.02956322
-2.44432134
-0.43319008
4.67614341
2.67783213
-0.16850979
1.48420931
4.41384987
3.89840426
-1.44915895
-0.87823506
0.69743796
0.82140816
1.40486013
-1.04658927
-3.6734546
-0.06369448
0.8990006
1.36773052
1.66988488
2.33500456
0.81920622
0.84662499
3.90712516
2.56757882
-0.09866523
0.23169565
0.01276377
-3.69079661
-0.44991027
3.88879065
-1.13368929
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0.26579925
0.620387
1.86679852
0.15692697
-1.78740782
-0.34591996
2.86607634
0.16759977
-0.33972703
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-2.57811766
-0.71761589
-3.42664913
0.85006456
3.93313979
3.68233466
-0.29425494
2.16545107
3.25438997
2.98229104
-0.75985566
-1.08267532
0.38095787
0.78003202
1.33194154
-0.79814919
-3.60923024
-0.15529326
1.05920449
2.79982129
2.78750668
3.78804877
1.37695542
1.78473893
4.13100628
2.20654405
-0.80075424
-0.26988158
-1.38947851
-3.04583039
-0.29166676
4.522145
-1.33499064
-0.36620892
-1.6229463
0.67829564
1.36135965
1.65427831
-0.42245811
-2.63264446
-0.89283931
3.56841083
0.78116746
-0.60004268
-5.3171387
-2.5447
-1.40834032
-2.53125002
0.17167788
1.80247836
-0.24388147
-0.8816884
0.03890037
-0.54126149
0.56460699
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0.13609975
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0.61172097
0.85345892
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1.36159764
1.55217589
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2.27756941
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0.55590339
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1.78504955
0.91322844
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1.35205546
0.05481018
0.15592105
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0.26283708
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0.33185175
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0.43504141
1.30507043
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1.23380797
0.33594754
0.46628439
0.5837405
1.94320748
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2.06797655
1.24273444
1.18546683
0.75620054
1.83454656
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2.08329247
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0.00714077
-0.70344759
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1.1167569
0.14872633
-0.96748932
-0.88424295
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0.11472758
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0.56831285
1.15825267
0.14582747
1.65531289
0.81587994
0.64284418
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1.73060635
1.37906866
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1.02952288
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1.36235589
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2.04659097
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2.44687132
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0.37448035
1.68109925
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1.59252913
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0.88925886
2.67438786
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3.1874824
2.50230518
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1.12452321
-12
-10
-8
-6
Since the relationship between bo
10
smb%
15
10
5
SM-RF
0
-8
-6
-4
-2
-5
-10
-15
e relationship between both the variables is , thus it is a linear diagram.
hml %
15
10
5
0
-10
-5
-5
-10
-15
Since the relationship between both the variabl

diagram.
hml %
15
10
5
SM-RF
0
0
10
15
-5
-10
-15
between both the variables is slightly positive, thus it is a linear

diagram.
-10
-8
-6
-4
Since the relationship be
wml%
15
10
5
SM-RF
0
-8
-6
-4
-2
10
-5
-10
-15
Since the relationship between both the variables is negative, thus it is a non-linear
diagram.
-15
-10
-5
rm-rf%
15
10
5
SM-RF
0
-10
-5
10
15
20
-5
-10
-15
Since the relationship between both the variables is positive, thus it is a linear
diagram.

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SMB %

Multiple R refers to the

R is also known as 'Goo

From ANOVA table, the F - value(17221.32249) is significant at

For interpreting the signific

The p-value of intercept if 0

The p-value of all the independent

e., there is 96.12% correlation

Adjusted R Square to get more

20161028 0.030125 0.375795 0.61172 0.544172 0.568839 0.024667 0.889891

Since the relationship between bo

e relationship between both the variables is , thus it is a linear diagram.

Since the relationship between both the variabl

between both the variables is slightly positive, thus it is a linear

Since the relationship be

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