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  • 9ci Part 3

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    wongweiwen77
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    This document contains the results of a covariance analysis performed on stock returns and risk factors from February 1st, 2023 to January 30th, 2024 including 251 observations. It shows the covariance and correlation values between the RETURN factor and common risk factors like MKT_RF, SMB, HML, CMA, and RMW.

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    9ci part 3

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    This document contains the results of a covariance analysis performed on stock returns and risk factors from February 1st, 2023 to January 30th, 2024 including 251 observations. It shows the covariance and correlation values between the RETURN factor and common risk factors like MKT_RF, SMB, HML, CMA, and RMW.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
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    3 views2 pages

    9ci Part 3

    Uploaded by

    wongweiwen77
    This document contains the results of a covariance analysis performed on stock returns and risk factors from February 1st, 2023 to January 30th, 2024 including 251 observations. It shows the covariance and correlation values between the RETURN factor and common risk factors like MKT_RF, SMB, HML, CMA, and RMW.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
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    of 2

    Covariance Analysis: Ordinary

    Date: 03/21/24 Time: 14:55


    Sample: 2/01/2023 1/30/2024
    Included observations: 251

    Covariance
    Correlation RETURN MKT_RF SMB HML CMA RMW RF
    RETURN 0.000185
    1.000000

    MKT_RF 0.005495 0.660844


    0.496909 1.000000

    SMB -0.001838 -0.230507 0.159343


    -0.338545 -0.710342 1.000000

    HML -0.000974 -0.174957 0.027490 0.165025


    -0.176303 -0.529794 0.169522 1.000000

    CMA -0.000443 -0.076784 -0.012103 0.082727 0.150130


    -0.084006 -0.243774 -0.078250 0.525577 1.000000

    RMW -0.000564 0.060199 -0.009831 -0.061073 -0.074406 0.180633


    -0.097636 0.174238 -0.057948 -0.353733 -0.451827 1.000000

    RF 2.01E-36 -2.85E-34 -2.46E-35 6.14E-35 1.23E-35 0.000000 0.000000


    NA NA NA NA NA NA NA

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