Date Close(Y) Mkt-RF(X1) SMB(X2) HML(X3) Returns of Mkt-RF(X1SMB(X2) HML(X3)

5/1/2019 540.10 -5.34 1.32 -1.54 0.00 -5.34 1.32 -1.54

6/1/2019 548.60 5.87 -2.64 -1.32 1.573783 5.87 -2.64 -1.32
7/1/2019 545.70 -2.56 -1.28 0.09 -0.528612 -2.56 -1.28 0.09
8/1/2019 500.20 -2.4 -0.59 -1.96 -8.337914 -2.4 -0.59 -1.96
9/1/2019 515.80 2.15 -0.89 3.08 3.118748 2.15 -0.89 3.08
10/1/2019 489.30 3.27 0.93 -0.5 -5.13765 3.27 0.93 -0.5
11/1/2019 480.20 1.77 2.07 -2.24 -1.859795 1.77 2.07 -2.24
12/1/2019 471.60 4.07 2.79 0.41 -1.790922 4.07 2.79 0.41
1/1/2020 456.70 -2.55 0.36 -2.88 -3.159456 -2.55 0.36 -2.88
2/1/2020 396.15 -8.98 0.28 -0.74 -13.25816 -8.98 0.28 -0.74
3/1/2020 344.20 -15.44 -4.22 -11.3 -13.11372 -15.44 -4.22 -11.3
4/1/2020 313.10 6.7 5.03 -3.82 -9.035446 6.7 5.03 -3.82
5/1/2020 305.75 5.43 1.21 -4.14 -2.347495 5.43 1.21 -4.14
6/1/2020 307.20 4.04 -1.2 1.74 0.474248 4.04 -1.2 1.74
7/1/2020 275.15 3.99 2.69 -4.75 -10.43295 3.99 2.69 -4.75
8/1/2020 264.20 4.95 2.91 -1.74 -3.979641 4.95 2.91 -1.74
9/1/2020 225.20 -2.97 0.85 -3.74 -14.76155 -2.97 0.85 -3.74
10/1/2020 196.60 -4.72 1.21 -0.2 -12.69982 -4.72 1.21 -0.2
11/1/2020 247.65 16.62 0.3 10.76 25.96642 16.62 0.3 10.76
12/1/2020 254.80 5.67 4.66 -1.77 2.887143 5.67 4.66 -1.77
1/1/2021 271.50 -1.25 1.66 -0.29 6.554159 -1.25 1.66 -0.29
2/1/2021 291.75 2.6 0.87 5.73 7.458564 2.6 0.87 5.73
3/1/2021 294.65 3.18 -1.97 3.46 0.994 3.18 -1.97 3.46
4/1/2021 303.00 5.29 2.14 -3.19 2.833873 5.29 2.14 -3.19
5/1/2021 306.15 4.52 -0.99 2.06 1.039602 4.52 -0.99 2.06
6/1/2021 315.00 -1.66 -1.49 -2.5 2.890742 -1.66 -1.49 -2.5
7/1/2021 289.20 2.09 0.6 -2.98 -8.190472 2.09 0.6 -2.98
8/1/2021 296.95 1.45 1.83 -1.18 2.679806 1.45 1.83 -1.18
9/1/2021 340.30 -4.99 -0.6 4.3 14.59841 -4.99 -0.6 4.3
10/1/2021 350.20 4.2 -1.62 -0.64 2.909205 4.2 -1.62 -0.64
11/1/2021 325.45 -4.29 -0.92 -2.11 -7.06739 -4.29 -0.92 -2.11
12/1/2021 330.50 5.16 -1.34 1.86 1.551694 5.16 -1.34 1.86
1/1/2022 382.80 -5.39 -3.22 12.09 15.8245 -5.39 -3.22 12.09
2/1/2022 363.55 -3.77 0.39 0.57 -5.028736 -3.77 0.39 0.57
3/1/2022 375.35 -0.33 0.59 0.4 3.245776 -0.33 0.59 0.4
4/1/2022 391.55 -5.86 -1.34 2.64 4.315967 -5.86 -1.34 2.64
5/1/2022 434.25 1.27 -1.57 5.23 10.90538 1.27 -1.57 5.23
6/1/2022 388.30 -10.32 -1.05 -2.46 -10.58147 -10.32 -1.05 -2.46
7/1/2022 400.00 5.26 0.62 -6.01 3.013137 5.26 0.62 -6.01
8/1/2022 441.50 -6.68 -0.72 5.41 10.375 -6.68 -0.72 5.41
9/1/2022 433.10 -9.84 -3.71 1.25 -1.902603 -9.84 -3.71 1.25
10/1/2022 479.80 6.66 -0.95 2.44 10.78272 6.66 -0.95 2.44
11/1/2022 497.50 12.64 -1.8 -1.15 3.68904 12.64 -1.8 -1.15
12/1/2022 474.90 -1.09 1.45 2.58 -4.542715 -1.09 1.45 2.58
1/1/2023 488.85 8.13 -1.57 1.14 2.937463 8.13 -1.57 1.14
2/1/2023 550.50 -1.37 0.15 3.36 12.61123 -1.37 0.15 3.36
3/1/2023 510.80 2.04 -3.61 -6.14 -7.211628 2.04 -3.61 -6.14
 4/1/2023 534.40 3.5 -1.02 1.14 4.620211 3.5 -1.02 1.14
5/1/2023 453.30 -5.7 1.18 -1.23 -15.1759 -5.7 1.18 -1.23
6/1/2023 458.35 4.2 -2.38 2.41 1.114057 4.2 -2.38 2.41
7/1/2023 483.00 2.44 0.29 2.74 5.377985 2.44 0.29 2.74
8/1/2023 487.50 -4.6 -0.59 1.66 0.931677 -4.6 -0.59 1.66
9/1/2023 531.40 -4.97 -1.75 3.54 9.005133 -4.97 -1.75 3.54
10/1/2023 502.60 -5.419649
11/1/2023 479.10 -4.675686
12/1/2023 466.15 -2.702987
1/1/2024 462.45 -0.793732
2/1/2024 460.70 -0.378419
3/1/2024 495.70 7.597135
4/1/2024 526.30 6.173084
 2a Plot y in prices+ descriptive statistics .

30.00
2d plots +ds for returns
25.00

2e scatter 20.00
3a cov/corr 15.00
10.00
5.00
0.00
1 4 7
-5.00
-10.00
-15.00
-20.00

3b and 3c

Chart Title
20

15

10

0
-20.00 -15.00 -10.00 -5.00 0.00 5.00 10.00 15.00 20.00

-5

-10

-15

-20

Column G Linear (Column G) Column H

Linear (Column H) Column I Linear (Column I)
 -15

-20

Column G Linear (Column G) Column H

Linear (Column H) Column I Linear (Column I)
 Returns of a stock (Y)
30.00
25.00
20.00
15.00
10.00
5.00
0.00
1 4 7 10 13 16 19 22 25 28 31 34 37 40 43 46 49 52 55 58
-5.00
-10.00
-15.00
-20.00

15.00 20.00 25.00 30.00

Column H
Linear (Column I)
Column H
Linear (Column I)
This file was created using the 202403 Bloomberg database.
Regression Equation
Missing data are indicated by -99.99. Returns=β0​+β1​×Mkt−RF+β2​×SMB+β3​×HML+ϵ

Where
X1 X2 X3
Return Mkt-RF SMB HML
201905 -5.34 1.32 -1.54
201906 5.87 -2.64 -1.32
201907 -2.56 -1.28 0.09 Slope -0.342086373431
201908 -2.4 -0.59 -1.96 Y-intercept 0.118179177722
201909 2.15 -0.89 3.08
201910 3.27 0.93 -0.5 y =mx+b
201911 1.77 2.07 -2.24 y = -0.342X+ 0.118
201912 4.07 2.79 0.41 r 0.179722007556
202001 -2.55 0.36 -2.88
202002 -8.98 0.28 -0.74 Covariance -1.335119549971
202003 -15.44 -4.22 -11.3
202004 6.7 5.03 -3.82
202005 5.43 1.21 -4.14
202006 4.04 -1.2 1.74
202007 3.99 2.69 -4.75
202008 4.95 2.91 -1.74
202009 -2.97 0.85 -3.74
202010 -4.72 1.21 -0.2
202011 16.62 0.3 10.76
202012 5.67 4.66 -1.77
202101 -1.25 1.66 -0.29
202102 2.6 0.87 5.73
202103 3.18 -1.97 3.46
202104 5.29 2.14 -3.19
202105 4.52 -0.99 2.06
202106 -1.66 -1.49 -2.5
202107 2.09 0.6 -2.98
202108 1.45 1.83 -1.18
202109 -4.99 -0.6 4.3
202110 4.2 -1.62 -0.64
202111 -4.29 -0.92 -2.11
202112 5.16 -1.34 1.86
202201 -5.39 -3.22 12.09
202202 -3.77 0.39 0.57
202203 -0.33 0.59 0.4
202204 -5.86 -1.34 2.64
202205 1.27 -1.57 5.23
202206 -10.32 -1.05 -2.46
 202207 5.26 0.62 -6.01
202208 -6.68 -0.72 5.41
202209 -9.84 -3.71 1.25
202210 6.66 -0.95 2.44
202211 12.64 -1.8 -1.15
202212 -1.09 1.45 2.58
202301 8.13 -1.57 1.14
202302 -1.37 0.15 3.36
202303 2.04 -3.61 -6.14
202304 3.5 -1.02 1.14
202305 -5.7 1.18 -1.23
202306 4.2 -2.38 2.41
202307 2.44 0.29 2.74
202308 -4.6 -0.59 1.66
202309 -4.97 -1.75 3.54
202310 -4.37 -2.04 0.78
202311 9.21 0.11 -0.91
202312 5.06 3.57 -0.61
202401 -1.56 -1.48 -1
202402 1.27 -2.85 -0.76
202403 3.26 -1.41 3.58

Annual Factors: January-December

Mkt-RF SMB HML
1991 4.55 -10.7 -6.87 slope -0.147413665039
1992 -11.29 -11.65 -1.31 Y-intercept 3.150140982783
1993 25.52 3.42 22.25
1994 -0.48 7.95 6.68 y=mx+b
1995 13.33 -10.12 -6.66 y = -0.1474x+3.15
1996 16.52 -2.29 2.01
1997 14.85 -13.49 12.51 r 0.097979589711
1998 20.52 -15.51 -0.95
1999 15.03 15.6 -23.26 Covariance -12.32901477273
2000 -15.88 -5.61 27.73
2001 -23.92 0.41 26.12
2002 -15.72 7.92 21.57
2003 41.69 14.03 20.26
2004 22.56 8.61 11.18
2005 8.82 5.87 9.44
2006 32.2 7.56 11.07
2007 9.69 -9.26 -0.06
2008 -47.45 -6.47 -3.29
2009 35.15 14.32 1.55
2010 6.31 9.92 -8.62
2011 -13.12 -7.22 -12.89
2012 20.77 1.21 1.9
2013 28 8.58 10.35
2014 -6.34 -2.36 -5.29
2015 -0.51 10.57 -16.75
2016 -0.04 4.11 11.08
2017 28.21 6.39 3.01
2018 -16.08 -4.27 -3.34
2019 21.81 -1.18 -11.77
2020 9.23 14.86 -30.11
2021 16.77 -2.12 4.98
2022 -18.61 -9.01 19.15
2023 13.37 -8.67 9.13
RF
5.6
3.51
2.9
3.9
5.6
5.21
5.26
4.86
4.68
5.89
3.83
1.65
1.02
1.2
2.98
4.8
4.66
1.6
0.1
0.12
0.04
0.06
0.02
0.02
0.02
0.2
0.8
1.81
2.14
0.44
0.04
1.42
4.95
 15

10

5
SMB

f(x) = − 0.342086373430735
0 x + 0.118179177722366
-6 -4R² = 0.0323348873052035
-2 0 2 4 6 Column D
Linear (Column D)
-5

-10

-15
HML
 40

30

20

10
f(x) = − 0.147413665039196 x + 3.15014098278299
SMB

0
R² = 0.00964958173864661 Column D
-20 -15 -10 -5 0 5 10 15 20
-10 Linear (Column D)

-20

-30

-40
HML
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.38106994
R Square 0.1452143
Adjusted R Square 0.09858963
Standard Error 139.217779
Observations 59

ANOVA
df SS MS F Significance F
Regression 3 181094.1 60364.69 3.114538 0.033457
Residual 55 1065987 19381.59
Total 58 1247082

CoefficientsStandard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%Upper 95.0%

Intercept 202129.239 18.3687 11004.01 4E-176 202092.4 202166.1 202092.4 202166.1
Mkt-RF 1.0264493 3.367228 0.304835 0.761642 -5.721626 7.774524 -5.721626 7.774524
SMB -24.0108432 9.928056 -2.418484 0.018923 -43.90711 -4.114575 -43.90711 -4.114575
HML 6.28382006 5.045666 1.24539 0.218268 -3.82792 16.39556 -3.82792 16.39556

RESIDUAL OUTPUT PROBABILITY OUTPUT

Observation Predicted ReturnResiduals

Standard Residuals Percentile Return
1 202082.386 -177.3859 -1.30845 0.847458 201905
2 202190.358 -284.3578 -2.097506 2.542373 201906
3 202157.91 -250.9103 -1.850787 4.237288 201907
4 202128.625 -220.6252 -1.627395 5.932203 201908
5 202172.169 -263.1693 -1.941213 7.627119 201909
6 202107.123 -197.1231 -1.454037 9.322034 201910
7 202067.277 -156.2772 -1.152746 11.01695 201911
8 202069.002 -157.0023 -1.158095 12.71186 201912
9 202099.88 -98.87983 -0.729366 14.40678 202001
10 202108.648 -106.648 -0.786667 16.10169 202002
11 202143.709 -140.7088 -1.037909 17.79661 202003
12 201991.337 12.66295 0.093406 19.49153 202004
13 202079.744 -74.74406 -0.551334 21.18644 202005
14 202173.132 -167.1323 -1.232816 22.88136 202006
15 202038.897 -31.8968 -0.23528 24.57627 202007
16 202053.514 -45.5141 -0.335725 26.27119 202008
17 202082.279 -73.27932 -0.540529 27.9661 202009
18 202094.084 -84.08385 -0.620227 29.66102 202010
19 202206.709 -195.7088 -1.443605 31.35593 202011
20 202012.046 -0.045654 -0.000337 33.05085 202012
21 202086.275 14.72479 0.108614 34.74576 202101
22 202147.024 -45.0242 -0.332112 36.44068 202102
23 202201.546 -98.54606 -0.726904 38.13559 202103
24 202063.24 40.7601 0.300658 39.83051 202104
25 202170.594 -65.59353 -0.483837 41.52542 202105
26 202147.601 -41.60128 -0.306863 43.22034 202106
27 202098.252 8.748433 0.064531 44.91525 202107
28 202079.372 28.62782 0.211167 46.61017 202108
29 202165.544 -56.54353 -0.417081 48.30508 202109
30 202168.426 -58.42559 -0.430964 50 202110
31 202133.666 -22.66623 -0.167193 51.69492 202111
32 202178.397 -66.39749 -0.489767 53.38983 202112
33 202276.992 -75.99232 -0.560541 55.08475 202201
34 202119.586 82.41359 0.607906 56.77966 202202
35 202117.247 85.75302 0.632539 58.47458 202203
36 202171.987 32.0126 0.236134 60.16949 202204
37 202201.104 3.896429 0.028741 61.86441 202205
38 202128.399 77.60119 0.572409 63.55932 202206
39 202081.985 125.0148 0.922145 65.25424 202207
40 202173.665 34.33483 0.253264 66.94915 202208
41 202216.073 -7.07332 -0.052175 68.64407 202209
42 202174.218 35.78245 0.263942 70.33898 202210
43 202178.206 32.79398 0.241898 72.0339 202211
44 202109.516 102.4837 0.75595 73.72881 202212
45 202182.444 118.5558 0.874502 75.42373 202301
46 202145.344 156.6556 1.155537 77.11864 202302
47 202179.429 123.571 0.911495 78.81356 202303
48 202164.486 139.5142 1.029097 80.50847 202304
49 202087.326 217.6741 1.605627 82.20339 202305
50 202205.839 100.1605 0.738813 83.89831 202306
51 202141.998 165.0024 1.217105 85.59322 202307
52 202149.114 158.8856 1.171986 87.28814 202308
53 202188.401 120.5992 0.889574 88.98305 202309
54 202178.636 131.3635 0.968975 90.67797 202310
55 202130.333 180.6673 1.332654 92.37288 202311
56 202044.881 267.1194 1.97035 94.0678 202312
57 202156.89 244.1105 1.800629 95.76271 202401
58 202194.197 207.8026 1.532812 97.45763 202402
59 202188.936 214.0638 1.578997 99.15254 202403
 Mkt-RF Residual Plot
400
SMB
200
Residual Plot
Residuals

400
-20 -15 -10 -5
0
0
HML
5
200
Residual
10 15 20
Plot
-200
Residuals

400
-6 -4
-400
-2
0
0
Mkt-RF
2002
Line
4
Fit6 Plot
Mkt-RF -200
Residuals
202600
-15 -10
-400
-5
0
202400
0
SMB
5
Line
10
Fit 15Plot
-200
SMB 202200 Return
Return 202600
202000
-400
201800
202400 HML Line Fit Plot
Predicted Return
HML 202200 Return

Return
201600 202600
-20 -15 -10 -5 0
202000
5 10 15202400
201800
20 Normal Probability Plot
Predicted Return
Upper 95.0% Mkt-RF201600 202200 Return

Return
202600
202000 Predicted Return
-6 -4 -2 0 202400
2 4 6
201800
202200
SMB 201600

Return
202000
-15 -10 -5 0 5 10 15
201800
HML
201600
0 20 40 60 80 100
Sample Percentile
 Plot
eturn
Probability Plot
edicted Return
Return
Predicted Return

15

40 60 80 100 120
Sample Percentile