Project 1: Measuring Portfolio Risk and Performance

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Data_Factors

FIN 686
Project 1
Members
Jose O. Esquerdo
Santiago Diaz Coba
Alfredo Vergara
Market Factors
Mkt-RF Mkt - Rf (Dec) Mkt - Rf (Dec) +1 RF Rf (Dec) Mkt + Rf (%) Mkt + Rf (Dec) SMB SMB (Dec) HML HML (Dec) MOM MOM (Dec)
201501 -3.11 -0.0311 0.9689 0 0 -3.11 -0.0311 201501 -0.51 -0.0051 -3.56 -0.0356 3.81 0.0381
201502 6.14 0.0614 1.0614 0 0 6.14 0.0614 201502 0.52 0.0052 -1.81 -0.0181 -2.83 -0.0283
201503 -1.12 -0.0112 0.9888 0 0 -1.12 -0.0112 201503 3.02 0.0302 -0.41 -0.0041 3 0.03
201504 0.59 0.0059 1.0059 0 0 0.59 0.0059 201504 -3.04 -0.0304 1.88 0.0188 -7.32 -0.0732
201505 1.36 0.0136 1.0136 0 0 1.36 0.0136 201505 0.89 0.0089 -1.1 -0.011 6.03 0.0603
201506 -1.53 -0.0153 0.9847 0 0 -1.53 -0.0153 201506 2.85 0.0285 -0.74 -0.0074 3.07 0.0307
201507 1.54 0.0154 1.0154 0 0 1.54 0.0154 201507 -4.09 -0.0409 -4.21 -0.0421 10.29 0.1029
201508 -6.04 -0.0604 0.9396 0 0 -6.04 -0.0604 201508 0.44 0.0044 2.73 0.0273 -2.09 -0.0209
201509 -3.07 -0.0307 0.9693 0 0 -3.07 -0.0307 201509 -2.61 -0.0261 0.39 0.0039 5.35 0.0535
201510 7.75 0.0775 1.0775 0 0 7.75 0.0775 201510 -1.98 -0.0198 -0.25 -0.0025 -4.03 -0.0403
201511 0.56 0.0056 1.0056 0 0 0.56 0.0056 201511 3.68 0.0368 -0.49 -0.0049 2.21 0.0221
201512 -2.17 -0.0217 0.9783 0.01 0.0001 -2.16 -0.0216 201512 -2.86 -0.0286 -2.45 -0.0245 3.41 0.0341
201601 -5.77 -0.0577 0.9423 0.01 0.0001 -5.76 -0.0576 201601 -3.36 -0.0336 2.01 0.0201 1.34 0.0134
201602 -0.08 -0.0008 0.9992 0.02 0.0002 -0.06 -0.0006 201602 0.83 0.0083 -0.6 -0.006 -4.06 -0.0406
201603 6.96 0.0696 1.0696 0.02 0.0002 6.98 0.0698 201603 0.82 0.0082 1.11 0.0111 -5.13 -0.0513
201604 0.92 0.0092 1.0092 0.01 0.0001 0.93 0.0093 201604 0.69 0.0069 3.28 0.0328 -6.26 -0.0626
201605 1.78 0.0178 1.0178 0.01 0.0001 1.79 0.0179 201605 -0.27 -0.0027 -1.6 -0.016 2.14 0.0214
201606 -0.05 -0.0005 0.9995 0.02 0.0002 -0.03 -0.0003 201606 0.64 0.0064 -1.4 -0.014 4.11 0.0411
201607 3.95 0.0395 1.0395 0.02 0.0002 3.97 0.0397 201607 2.6 0.026 -1.23 -0.0123 -3.08 -0.0308
201608 0.5 0.005 1.005 0.02 0.0002 0.52 0.0052 201608 1.13 0.0113 3.31 0.0331 -3.17 -0.0317
201609 0.25 0.0025 1.0025 0.02 0.0002 0.27 0.0027 201609 2.04 0.0204 -1.21 -0.0121 -0.53 -0.0053
201610 -2.02 -0.0202 0.9798 0.02 0.0002 -2 -0.02 201610 -4.43 -0.0443 4.07 0.0407 0.69 0.0069
201611 4.86 0.0486 1.0486 0.01 0.0001 4.87 0.0487 201611 5.47 0.0547 8.22 0.0822 -4.07 -0.0407
201612 1.81 0.0181 1.0181 0.03 0.0003 1.84 0.0184 201612 0.11 0.0011 3.51 0.0351 -0.38 -0.0038
201701 1.94 0.0194 1.0194 0.04 0.0004 1.98 0.0198 201701 -1.06 -0.0106 -2.81 -0.0281 -0.98 -0.0098
201702 3.57 0.0357 1.0357 0.04 0.0004 3.61 0.0361 201702 -2.01 -0.0201 -1.79 -0.0179 -1.63 -0.0163
201703 0.17 0.0017 1.0017 0.03 0.0003 0.2 0.002 201703 1.17 0.0117 -3.33 -0.0333 -0.92 -0.0092
201704 1.09 0.0109 1.0109 0.05 0.0005 1.14 0.0114 201704 0.72 0.0072 -2.11 -0.0211 0.44 0.0044
201705 1.06 0.0106 1.0106 0.06 0.0006 1.12 0.0112 201705 -2.61 -0.0261 -3.67 -0.0367 1.46 0.0146
201706 0.78 0.0078 1.0078 0.06 0.0006 0.84 0.0084 201706 2.15 0.0215 1.45 0.0145 -0.32 -0.0032
201707 1.87 0.0187 1.0187 0.07 0.0007 1.94 0.0194 201707 -1.47 -0.0147 -0.36 -0.0036 1.66 0.0166
201708 0.16 0.0016 1.0016 0.09 0.0009 0.25 0.0025 201708 -1.62 -0.0162 -2.19 -0.0219 3.55 0.0355
201709 2.51 0.0251 1.0251 0.09 0.0009 2.6 0.026 201709 4.47 0.0447 3.14 0.0314 -1.18 -0.0118
201710 2.25 0.0225 1.0225 0.09 0.0009 2.34 0.0234 201710 -1.95 -0.0195 0.12 0.0012 4.3 0.043
201711 3.12 0.0312 1.0312 0.08 0.0008 3.2 0.032 201711 -0.58 -0.0058 -0.09 -0.0009 -0.71 -0.0071
201712 1.06 0.0106 1.0106 0.09 0.0009 1.15 0.0115 201712 -1.29 -0.0129 0.17 0.0017 -1.63 -0.0163
201801 5.58 0.0558 1.0558 0.11 0.0011 5.69 0.0569 201801 -3.09 -0.0309 -1.32 -0.0132 3.94 0.0394
201802 -3.65 -0.0365 0.9635 0.11 0.0011 -3.54 -0.0354 201802 0.3 0.003 -1.01 -0.0101 3.97 0.0397
201803 -2.35 -0.0235 0.9765 0.12 0.0012 -2.23 -0.0223 201803 4.05 0.0405 -0.12 -0.0012 -1.28 -0.0128
201804 0.29 0.0029 1.0029 0.14 0.0014 0.43 0.0043 201804 1.13 0.0113 0.5 0.005 0.27 0.0027
201805 2.65 0.0265 1.0265 0.14 0.0014 2.79 0.0279 201805 5.28 0.0528 -3.15 -0.0315 3.8 0.038
201806 0.48 0.0048 1.0048 0.14 0.0014 0.62 0.0062 201806 1.19 0.0119 -2.31 -0.0231 -2.38 -0.0238
201807 3.19 0.0319 1.0319 0.16 0.0016 3.35 0.0335 201807 -2.21 -0.0221 0.57 0.0057 -1.67 -0.0167
201808 3.44 0.0344 1.0344 0.16 0.0016 3.6 0.036 201808 1.15 0.0115 -3.92 -0.0392 5.22 0.0522
201809 0.06 0.0006 1.0006 0.15 0.0015 0.21 0.0021 201809 -2.28 -0.0228 -1.63 -0.0163 -0.06 -0.0006
201810 -7.68 -0.0768 0.9232 0.19 0.0019 -7.49 -0.0749 201810 -4.78 -0.0478 3.46 0.0346 -1.84 -0.0184
201811 1.69 0.0169 1.0169 0.18 0.0018 1.87 0.0187 201811 -0.71 -0.0071 0.34 0.0034 -1.33 -0.0133
201812 -9.55 -0.0955 0.9045 0.19 0.0019 -9.36 -0.0936 201812 -2.48 -0.0248 -1.89 -0.0189 1.85 0.0185
201901 8.41 0.0841 1.0841 0.21 0.0021 8.62 0.0862 201901 2.89 0.0289 -0.46 -0.0046 -8.65 -0.0865
201902 3.4 0.034 1.034 0.18 0.0018 3.58 0.0358 201902 2.12 0.0212 -2.71 -0.0271 0.86 0.0086
201903 1.1 0.011 1.011 0.19 0.0019 1.29 0.0129 201903 -3.05 -0.0305 -4.19 -0.0419 2.14 0.0214
201904 3.96 0.0396 1.0396 0.21 0.0021 4.17 0.0417 201904 -1.75 -0.0175 2.02 0.0202 -2.55 -0.0255
201905 -6.94 -0.0694 0.9306 0.21 0.0021 -6.73 -0.0673 201905 -1.18 -0.0118 -2.28 -0.0228 7.6 0.076
201906 6.93 0.0693 1.0693 0.18 0.0018 7.11 0.0711 201906 0.22 0.0022 -0.79 -0.0079 -2.14 -0.0214
201907 1.19 0.0119 1.0119 0.19 0.0019 1.38 0.0138 201907 -2.08 -0.0208 0.34 0.0034 2.72 0.0272
201908 -2.58 -0.0258 0.9742 0.16 0.0016 -2.42 -0.0242 201908 -2.4 -0.024 -4.85 -0.0485 7.64 0.0764
201909 1.43 0.0143 1.0143 0.18 0.0018 1.61 0.0161 201909 -1.05 -0.0105 6.77 0.0677 -6.85 -0.0685
201910 2.06 0.0206 1.0206 0.15 0.0015 2.21 0.0221 201910 0.24 0.0024 -1.88 -0.0188 0.29 0.0029
201911 3.87 0.0387 1.0387 0.12 0.0012 3.99 0.0399 201911 0.91 0.0091 -2.05 -0.0205 -2.6 -0.026
201912 2.77 0.0277 1.0277 0.14 0.0014 2.91 0.0291 201912 0.67 0.0067 1.91 0.0191 -2.27 -0.0227
202001 -0.11 -0.0011 0.9989 0.13 0.0013 0.02 0.0002 202001 -3.08 -0.0308 -6.27 -0.0627 5.43 0.0543
202002 -8.13 -0.0813 0.9187 0.12 0.0012 -8.01 -0.0801 202002 1.02 0.0102 -3.92 -0.0392 -0.23 -0.0023
202003 -13.38 -0.1338 0.8662 0.12 0.0012 -13.26 -0.1326 202003 -5.03 -0.0503 -13.96 -0.1396 8.55 0.0855
202004 13.65 0.1365 1.1365 0 0 13.65 0.1365 202004 2.75 0.0275 -1.39 -0.0139 -5.49 -0.0549
202005 5.58 0.0558 1.0558 0.01 0.0001 5.59 0.0559 202005 2.49 0.0249 -5.05 -0.0505 0.67 0.0067
202006 2.46 0.0246 1.0246 0.01 0.0001 2.47 0.0247 202006 2.71 0.0271 -2.35 -0.0235 -0.75 -0.0075
202007 5.77 0.0577 1.0577 0.01 0.0001 5.78 0.0578 202007 -2.18 -0.0218 -1.39 -0.0139 7.61 0.0761
202008 7.63 0.0763 1.0763 0.01 0.0001 7.64 0.0764 202008 -0.25 -0.0025 -2.94 -0.0294 0.51 0.0051
202009 -3.63 -0.0363 0.9637 0.01 0.0001 -3.62 -0.0362 202009 0.06 0.0006 -2.51 -0.0251 3.05 0.0305
202010 -2.1 -0.021 0.979 0.01 0.0001 -2.09 -0.0209 202010 4.44 0.0444 4.03 0.0403 -3.03 -0.0303
202011 12.47 0.1247 1.1247 0.01 0.0001 12.48 0.1248 202011 5.48 0.0548 2.11 0.0211 -12.25 -0.1225
202012 4.63 0.0463 1.0463 0.01 0.0001 4.64 0.0464 202012 4.91 0.0491 -1.46 -0.0146 -2.34 -0.0234

Exhibit 1 - Summary Stats (Mkt)

FIN 686
Project 1
Members
Jose O. Esquerdo
Santiago Diaz Coba
Alfredo Vergara
Exhibit I Market Risk and Performance Measures Long & Short Portfolio Selections
Stock Mean Monthly Arith. Return Mean Monthly Geom. Return Std. Deviation of Return Beta Relative to the Market Idiosyncratic Volatility Using CAPM Sharpe Ratio Jensen's Alpha Four Factor Monthly Alpha Beta Mkt Beta SMB Beta HML Beta MOM Stock Mean Monthly Arith. Return Mean Monthly Geom. Return Std. Deviation of Return Beta Relative to the Market Idiosyncratic Volatility Using CAPM Sharpe Ratio Jensen's Alpha Four Factor Monthly Alpha Beta Mkt Beta SMB Beta HML Beta MOM
1 ABEV -0.00296 -0.01100 0.12208 0.99716 -0.00542 -0.0242642531 -0.01549 -0.00377 0.71326 1.40793 1.19966 0.41596 1 31 MSFT 0.0266030592 0.0249110769 0.0591784599 0.8291515102 -0.0105521939 0.4495395667 0.0161839267 0.013360755 0.9993476005 -0.8316144094 -0.3161307568 -0.1135977961
2 AMAT 0.02393 0.01920 0.09904 1.45064 -0.03321 0.2416354647 0.00570 0.01044 1.18640 0.45823 -0.03267 -0.40746 2 3 AMD 0.063730652 0.0501398536 0.1680151611 2.1046245159 -0.0623212659 0.3793148883 0.0372839031 0.032976067 2.3038531986 0.0754040207 -0.4113121186 0.3770546564
3 AMD 0.06373 0.05014 0.16802 2.10462 -0.06232 0.3793148883 0.03728 0.03298 2.30385 0.07540 -0.41131 0.37705 3 44 V 0.0185215005 0.0171042831 0.0535470766 0.9166701952 -0.0143104953 0.3458919085 0.0070026066 0.0028160671 1.0978722417 -0.4068108215 -0.3918513467 0.1000525956
4 AR 0.01205 -0.02618 0.40822 4.04621 -0.16805 0.0295112034 -0.03880 -0.02669 3.34260 0.44708 -0.37235 -1.56244 4 16 FB 0.0199806077 0.0171866913 0.0763155375 1.0595637159 -0.0171265939 0.2618157236 0.0066661113 0.0038870589 1.1773251464 -0.2002570589 -0.310357009 0.0791094966
5 AUY 0.02031 0.00474 0.18925 1.45091 -0.00722 0.1073390763 0.00208 0.00106 1.10421 -0.65752 -1.31000 -1.57000 5 38 PLUG 0.0562305985 0.0351647811 0.2306401066 2.0560378847 -0.0332229317 0.2438023436 0.03039439 0.0219837682 1.49444772 1.3347186357 -2.4543829973 -1.4527315554
6 BABA 0.01776 0.01268 0.10332 1.12920 -0.01539 0.1719308277 0.00357 -0.00126 1.29418 -0.42533 -0.55506 -0.00006 6 2 AMAT 0.0239316447 0.0192027613 0.0990402824 1.4506384286 -0.0332099212 0.2416354647 0.0057028965 0.0104449177 1.1864041711 0.4582284907 -0.0326696528 -0.4074597261
7 BBD 0.00643 -0.00402 0.14410 1.04227 -0.00144 0.0446334212 -0.00667 0.00853 0.66940 -1.37472 0.80172 -1.31086 7 50 ZNGA 0.022257135 0.0181752633 0.0924158095 0.1918210177 0.0077884819 0.2408368773 0.0198467087 0.0137818786 0.0349325955 1.8406663106 -0.8023275899 0.2889462145
8 BMY 0.00453 0.00186 0.07171 0.62590 -0.00287 0.0631873538 -0.00333 -0.00363 0.68097 0.26285 0.06544 0.28256 8 25 JPM 0.0157755973 0.0134582302 0.0678371145 1.1556170824 -0.0226985151 0.2325511257 0.0012540926 0.0109663443 1.0636356243 0.0116093693 1.0032284115 0.1105626505
9 BP -0.00115 -0.00409 0.07712 0.88785 -0.01017 -0.0149098682 -0.01231 -0.00497 0.64863 -0.07666 0.33940 -0.49548 9 11 CMCSA 0.0124147759 0.0103178367 0.064664033 0.9975649826 -0.0161619528 0.1919888899 -0.0001206433 0.0009787557 1.0274971361 -0.4959176233 -0.030735434 -0.1864347632
10 C 0.00956 0.00465 0.09782 1.79756 -0.05649 0.0976943325 -0.01303 -0.00179 1.54053 0.09973 0.76889 -0.31155 10 6 BABA 0.0177632794 0.0126752171 0.1033164307 1.1292020219 -0.0153923055 0.1719308277 0.0035737068 -0.0012638448 1.294182166 -0.4253295393 -0.5550597087 -0.0000626955
11 CMCSA 0.01241 0.01032 0.06466 0.99756 -0.01616 0.1919888899 -0.00012 0.00098 1.02750 -0.49592 -0.03074 -0.18643 11 33 MVIS 0.059149267 0.0130107594 0.3488354414 3.1577015934 -0.0821508753 0.1695620915 0.0194695329 0.0135793446 2.4247851706 5.420341562 -1.6562984553 0.4365885385
12 CSCO 0.01167 0.00930 0.06922 0.95411 -0.01382 0.1685959173 -0.00032 -0.00086 0.91865 -0.32751 -0.36810 -0.36568 12 12 CSCO 0.0116704551 0.0093002099 0.0692214574 0.9541050024 -0.0138178287 0.1685959173 -0.0003188452 -0.0008583307 0.9186514381 -0.3275101633 -0.368098634 -0.3656759495
13 DAL 0.00355 -0.00155 0.09849 1.24211 -0.02184 0.0360038918 -0.01206 -0.00371 1.21550 -0.15105 0.91186 0.15481 13 45 VALE 0.025143597 0.0143273094 0.1508684423 1.19758723 -0.0065581244 0.166659088 0.0100946947 0.0220276021 0.7675984014 -1.1603795612 0.2379413034 -1.5204169397
14 ET -0.00057 -0.01563 0.17833 2.33080 -0.07926 -0.003219842 -0.02986 -0.01532 1.84458 0.70288 0.77357 -0.55176 14 32 MU 0.0198350365 0.0124329003 0.1206118235 1.461940847 -0.0291446481 0.1644534996 0.0014642619 0.0050785001 1.1869336179 1.1166451377 -0.0588834105 -0.112902846
15 F -0.00014 -0.00357 0.08060 1.18784 -0.02235 -0.0017758784 -0.01507 -0.00708 0.97904 0.43294 0.58448 -0.09042 15 27 KO 0.0069652108 0.0059882121 0.0435186007 0.5423422245 -0.0041190838 0.1600513502 0.0001501288 0.0014024649 0.706644278 -0.7398501674 0.3071344237 0.1186081942
16 FB 0.01998 0.01719 0.07632 1.05956 -0.01713 0.2618157236 0.00667 0.00389 1.17733 -0.20026 -0.31036 0.07911 16 29 MRK 0.0072176626 0.0059529513 0.0500350701 0.4958386016 -0.0025224815 0.1442520736 0.000986946 -0.0006531719 0.5612184929 -0.4691795482 -0.2603678078 -0.1629991672
17 FCEL 0.06747 -0.03827 0.65910 5.01152 -0.07901 0.102367504 0.00450 0.03119 2.77198 2.49353 -1.53204 -4.55059 17 23 INTC 0.0097614939 0.007268797 0.0699441556 0.680561142 -0.0045761853 0.1395612514 0.0012095505 0.0008618807 0.667413097 -0.0968675215 -0.1957932931 -0.1424028016
18 FCX 0.02371 0.00617 0.19170 2.31398 -0.07271 0.1237032093 -0.00536 0.00871 1.33047 0.42382 -0.51891 -2.28381 18 26 KGC 0.0240490793 0.0101416988 0.1839949834 0.7499243318 0.0223573845 0.1307050814 0.0146255169 0.0135982682 0.4613220373 -0.8649729042 -1.1305263622 -1.478264542
19 GME 0.00993 -0.00538 0.18708 1.42808 -0.00669 0.0530747677 -0.00802 -0.00116 0.83211 0.43415 -0.51080 -1.35858 19 20 GOLD 0.0173133626 0.0081900374 0.1394867267 0.1193446253 0.0191653769 0.1241219363 0.0158136759 0.0167353464 -0.1472625289 -1.32448507 -0.8296878326 -1.5587269285
20 GOLD 0.01731 0.00819 0.13949 0.11934 0.01917 0.1241219363 0.01581 0.01674 -0.14726 -1.32449 -0.82969 -1.55873 20 18 FCX 0.0237133359 0.0061693763 0.191695398 2.3139774137 -0.072713812 0.1237032093 -0.0053641452 0.0087080053 1.3304721508 0.423821541 -0.5189073797 -2.2838124558
21 GSAT -0.00666 -0.02766 0.21738 0.63976 0.03889 -0.0306361866 -0.01470 -0.00109 0.35072 0.14719 1.19647 -0.22619 21 34 NLY 0.009227051 0.0054493395 0.0813458361 1.115342925 -0.0188135228 0.113429911 -0.004788368 0.0024687057 1.0745003751 -0.2861046914 0.7089392772 -0.0115119208
22 HST -0.00024 -0.00347 0.08120 1.32278 -0.02918 -0.0029004306 -0.01686 -0.00860 1.08915 0.45165 0.55119 -0.15059 22 5 AUY 0.0203139491 0.0047442933 0.1892502696 1.450907021 -0.007219166 0.1073390763 0.0020818258 0.001061757 1.1042119089 -0.6575176912 -1.3100010573 -1.5699979268
23 INTC 0.00976 0.00727 0.06994 0.68056 -0.00458 0.1395612514 0.00121 0.00086 0.66741 -0.09687 -0.19579 -0.14240 23 17 FCEL 0.0674707736 -0.0382684099 0.6591034358 5.011522136 -0.0790114758 0.102367504 0.0044958977 0.0311857036 2.7719781985 2.4935313079 -1.5320383523 -4.5505881087
24 ITUB 0.00926 0.00127 0.12674 0.92535 -0.00144 0.0730858053 -0.00237 0.01358 0.51923 -1.02184 0.93185 -1.17169 24 42 TWTR 0.013831309 0.004354194 0.136210431 0.9841392939 -0.0012462118 0.1015436839 0.0014645972 -0.0006163869 0.9824877317 0.8876681789 -0.2161490267 0.3694634225
25 JPM 0.01578 0.01346 0.06784 1.15562 -0.02270 0.2325511257 0.00125 0.01097 1.06364 0.01161 1.00323 0.11056 25 10 C 0.0095565869 0.0046531591 0.0978213033 1.7975565099 -0.0564860444 0.0976943325 -0.01303154 -0.0017854322 1.5405324928 0.0997271556 0.7688890583 -0.3115497954
26 KGC 0.02405 0.01014 0.18399 0.74992 0.02236 0.1307050814 0.01463 0.01360 0.46132 -0.86497 -1.13053 -1.47826 26 47 X 0.016121044 -0.005217613 0.2179972026 2.4420278569 -0.0743880137 0.073950692 -0.0145655213 0.0032480934 1.5863805733 0.9393147953 0.4157917212 -1.4234236888
27 KO 0.00697 0.00599 0.04352 0.54234 -0.00412 0.1600513502 0.00015 0.00140 0.70664 -0.73985 0.30713 0.11861 27 24 ITUB 0.0092625979 0.0012716792 0.1267359358 0.9253459679 -0.0014424823 0.0730858053 -0.0023653159 0.0135849764 0.5192316181 -1.0218352291 0.9318454584 -1.1716852538
28 M -0.00728 -0.02066 0.15307 1.91323 -0.05140 -0.0475749801 -0.03132 -0.01266 1.40098 0.86966 1.39236 -0.33123 28 41 T 0.0035218559 0.002083772 0.0529900424 0.6203753229 -0.0050597947 0.0664625984 -0.0042737914 -0.0006736431 0.5328960566 0.1007999434 0.2446137964 -0.0781731797
29 MRK 0.00722 0.00595 0.05004 0.49584 -0.00252 0.1442520736 0.00099 -0.00065 0.56122 -0.46918 -0.26037 -0.16300 29 8 BMY 0.0045313301 0.0018566239 0.0717126104 0.625902403 -0.0028658567 0.0631873538 -0.0033337706 -0.003629834 0.6809729413 0.2628481223 0.0654418165 0.2825550433
30 MRO 0.00029 -0.01848 0.19560 3.13266 -0.16236 0.0014705752 -0.03908 -0.01751 2.33085 1.40260 1.09009 -0.84805 30 19 GME 0.0099294672 -0.0053762082 0.1870845158 1.4280844046 -0.0066909958 0.0530747677 -0.0080158667 -0.0011581334 0.832108298 0.4341474504 -0.5107989021 -1.3585848
31 MSFT 0.02660 0.02491 0.05918 0.82915 -0.01055 0.4495395667 0.01618 0.01336 0.99935 -0.83161 -0.31613 -0.11360 31 7 BBD 0.0064316682 -0.0040213649 0.1440998248 1.0422674019 -0.0014427186 0.0446334212 -0.0066654825 0.0085331163 0.6694017154 -1.3747187205 0.8017155877 -1.3108624
32 MU 0.01984 0.01243 0.12061 1.46194 -0.02914 0.1644534996 0.00146 0.00508 1.18693 1.11665 -0.05888 -0.11290 32 13 DAL 0.003545995 -0.001553443 0.0984892136 1.2421087066 -0.0218397627 0.0360038918 -0.012062365 -0.0037141923 1.2155007777 -0.1510519278 0.9118598008 0.1548056431
33 MVIS 0.05915 0.01301 0.34884 3.15770 -0.08215 0.1695620915 0.01947 0.01358 2.42479 5.42034 -1.65630 0.43659 33 4 AR 0.0120469355 -0.0261787483 0.4082156649 4.0462068092 -0.1680456163 0.0295112034 -0.0387977709 -0.0266859927 3.342599547 0.4470809586 -0.3723536497 -1.562437437
34 NLY 0.00923 0.00545 0.08135 1.11534 -0.01881 0.113429911 -0.00479 0.00247 1.07450 -0.28610 0.70894 -0.01151 34 39 SABR 0.0037987149 -0.0062286739 0.1374945514 1.9423245816 -0.0582183604 0.0276281125 -0.0206085702 -0.0104909826 1.6937373476 0.9376597606 0.8128362569 0.1406043951
35 NOK -0.00301 -0.00762 0.09373 0.75962 -0.00301 -0.0320846538 -0.01255 -0.01368 0.80696 0.11169 -0.12515 0.12756 35 36 OPK 0.0028670433 -0.0162445932 0.1985933441 2.0754647727 -0.0486192612 0.014436754 -0.0232132838 -0.0235245241 1.7505349773 1.3790071888 -0.7496745316 -0.3222867061
36 OPK 0.00287 -0.01624 0.19859 2.07546 -0.04862 0.014436754 -0.02321 -0.02352 1.75053 1.37901 -0.74967 -0.32229 36 30 MRO 0.0002876432 -0.0184781921 0.1955990748 3.1326586417 -0.1623577007 0.0014705752 -0.0390774008 -0.0175118778 2.3308470926 1.4026009084 1.0900877454 -0.8480468755
37 OXY -0.00434 -0.01812 0.16066 2.13518 -0.06739 -0.0270139737 -0.03117 -0.01306 1.47866 0.75866 0.92051 -0.87986 37 43 UAL 0.0001167831 -0.0072999403 0.1159101041 1.4271511607 -0.028201987 0.0010075314 -0.0178168237 -0.0053334471 1.2011154243 0.2581806356 1.1048000788 -0.0511373087
38 PLUG 0.05623 0.03516 0.23064 2.05604 -0.03322 0.2438023436 0.03039 0.02198 1.49445 1.33472 -2.45438 -1.45273 38 15 F -0.0001431371 -0.0035689743 0.0806007461 1.1878404249 -0.0223476292 -0.0017758784 -0.0150695609 -0.0070843355 0.979043992 0.4329380219 0.5844807172 -0.0904169625
39 SABR 0.00380 -0.00623 0.13749 1.94232 -0.05822 0.0276281125 -0.02061 -0.01049 1.69374 0.93766 0.81284 0.14060 39 22 HST -0.0002355041 -0.0034654539 0.0811962427 1.3227830202 -0.0291771056 -0.0029004306 -0.0168576189 -0.0085999945 1.0891466294 0.451645956 0.5511938667 -0.1505932637
40 SWN -0.01004 -0.02976 0.21115 1.46247 0.00086 -0.0475329678 -0.02841 -0.01592 0.38075 1.18523 -0.67115 -2.18541 40 14 ET -0.0005741798 -0.0156279122 0.178325443 2.3308034066 -0.0792586432 -0.003219842 -0.0298630966 -0.0153206975 1.8445767594 0.7028833713 0.7735665141 -0.551760093
41 T 0.00352 0.00208 0.05299 0.62038 -0.00506 0.0664625984 -0.00427 -0.00067 0.53290 0.10080 0.24461 -0.07817 41 9 BP -0.0011499102 -0.0040931124 0.0771241019 0.8878486009 -0.0101664444 -0.0149098682 -0.0123066314 -0.0049667321 0.6486305685 -0.076659375 0.339397735 -0.4954753973
42 TWTR 0.01383 0.00435 0.13621 0.98414 -0.00125 0.1015436839 0.00146 -0.00062 0.98249 0.88767 -0.21615 0.36946 42 1 ABEV -0.0029621402 -0.011004992 0.1220783606 0.9971639088 -0.0054239089 -0.0242642531 -0.0154925196 -0.0037703053 0.7132550341 1.4079258312 1.1996638996 0.4159645709
43 UAL 0.00012 -0.00730 0.11591 1.42715 -0.02820 0.0010075314 -0.01782 -0.00533 1.20112 0.25818 1.10480 -0.05114 43 49 UAA -0.0029621402 -0.011004992 0.1220783606 0.9971639088 -0.0054239089 -0.0242642531 -0.0154925196 -0.0037703053 0.7132550341 1.4079258312 1.1996638996 0.4159645709
44 V 0.01852 0.01710 0.05355 0.91667 -0.01431 0.3458919085 0.00700 0.00282 1.09787 -0.40681 -0.39185 0.10005 44 37 OXY -0.0043400511 -0.018121584 0.1606594865 2.1351785539 -0.0673871168 -0.0270139737 -0.0311707427 -0.0130590167 1.4786603313 0.7586563745 0.9205069477 -0.8798561307
45 VALE 0.02514 0.01433 0.15087 1.19759 -0.00656 0.166659088 0.01009 0.02203 0.76760 -1.16038 0.23794 -1.52042 45 21 GSAT -0.0066597699 -0.027658112 0.217382469 0.6397553746 0.0388881561 -0.0306361866 -0.0146989473 -0.0010926732 0.3507208344 0.147191131 1.1964678281 -0.2261885956
46 WFC -0.00250 -0.00559 0.07729 1.14828 -0.02098 -0.0323816919 -0.01693 -0.00590 1.00038 0.11608 1.08494 0.05656 46 35 NOK -0.0030074298 -0.0076180414 0.0937342126 0.759617144 -0.0030097802 -0.0320846538 -0.0125527922 -0.0136818929 0.8069558388 0.1116854938 -0.1251495194 0.1275591614
47 X 0.01612 -0.00522 0.21800 2.44203 -0.07439 0.073950692 -0.01457 0.00325 1.58638 0.93931 0.41579 -1.42342 47 46 WFC -0.002502649 -0.0055859739 0.0772859244 1.1482805961 -0.02098174 -0.0323816919 -0.0169319633 -0.0059040446 1.0003778891 0.1160750746 1.0849381079 0.0565582162
48 XOM -0.00473 -0.00742 0.07239 1.19240 -0.02383 -0.0653533256 -0.01971 -0.01201 0.97063 0.24505 0.46842 -0.25217 48 40 SWN -0.0100367984 -0.0297645078 0.2111544653 1.4624719352 0.000862598 -0.0475329678 -0.0284142466 -0.0159242009 0.3807492691 1.18523117 -0.6711519106 -2.1854134096
49 UAA -0.00296 -0.01100 0.12208 0.99716 -0.00542 -0.0242642531 -0.01549 -0.00377 0.71326 1.40793 1.19966 0.41596 49 28 M -0.0072824902 -0.020658465 0.1530739521 1.9132311819 -0.0513983804 -0.0475749801 -0.0313241871 -0.0126600348 1.4009797098 0.8696634763 1.3923570492 -0.3312259914
50 ZNGA 0.02226 0.01818 0.09242 0.19182 0.00779 0.2408368773 0.01985 0.01378 0.03493 1.84067 -0.80233 0.28895 50 48 XOM -0.0047310133 -0.0074248501 0.0723913163 1.1923977831 -0.0238253624 -0.0653533256 -0.0197147049 -0.0120096209 0.9706340055 0.2450523049 0.4684201954 -0.2521677953
Total 0.01257 0.00082 0.14298 1.43696 -0.02824 0.09808 -0.00549 Total 0.0125660177 0.000821343 0.142978411 1.4369627224 -0.0282377242 0.0980777605 -0.0054908813

Exhibit 2 - Summ. Stats (Portf)

FIN 686
Project 1
Members
Jose O. Esquerdo
Santiago Diaz Coba
Alfredo Vergara
Exhibit 2 Portfolios' Risk and Performance Measures
Stock Mean Monthly Arith. Return Mean Monthly Geom. Return Std. Deviation of Return Beta Relative to the Market Idiosyncratic Volatility Using CAPM Sharpe Ratio Jensen's Alpha Four Factor Monthly Alpha Beta Mkt Beta SMB Beta HML Beta MOM
1 Long Portfolio 0.02775 0.02612 0.05805 1.14528 -0.00105 0.47806 -0.00403 0.01177 1.10515 0.19021 -0.42834 -0.13782
2 Short Portfolio -0.00093 -0.00496 0.08906 1.60823 -0.01258 -0.01049 0.00057 -0.01118 1.26661 0.70769 0.56368 -0.27449
3 L-S Portfolio 0.01341 0.01112 0.06811 1.37675 -0.00415 0.19688 -0.00505 0.00029 1.18588 0.44895 0.06767 -0.20615

Long Portfolio

FIN 686
Project 1
Members
Jose O. Esquerdo
Santiago Diaz Coba
Alfredo Vergara
MSFT AMD V FB PLUG AMAT ZNGA JPM CMCSA BABA MVIS CSCO VALE MU KO MRK Portfolio of Returns SUMMARY OUTPUT
Dates Ret - Rf Portfolio Weight 1 + Return Ret - Rf Mkt - Rf (Dec) SMB (Dec) HML (Dec) MOM (Dec)
1/1/15 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 MSFT 0.13 1.00000 0.00000 -0.0311 -0.0051 -0.0356 0.0381 Regression Statistics
2/1/15 0.08540 0.21012 0.06434 0.04031 0.15356 0.09676 -0.10156 0.13413 0.12162 -0.04445 0.09500 0.12677 0.05548 0.04783 0.05174 -0.02887 AMD 0.1 1.07252 0.07252 0.0614 0.0052 -0.0181 -0.0283 Multiple R 0.9143047509
3/1/15 -0.06615 -0.13826 -0.03389 0.04115 -0.15909 -0.09565 0.23913 -0.01142 -0.04901 -0.02209 0.56621 -0.06710 -0.23854 -0.11542 -0.06351 -0.01811 V 0.1 0.97389 -0.02611 -0.0112 0.0302 -0.0041 0.03 R Square 0.8359531776
4/1/15 0.19626 -0.15672 0.00978 -0.04196 -0.01931 -0.12278 -0.14035 0.04424 0.02744 -0.02343 -0.05248 0.05524 0.35929 0.03686 0.00855 0.04457 FB 0.1 0.99138 -0.00862 0.0059 -0.0304 0.0188 -0.0732 Adjusted R Square 0.8261593374
5/1/15 -0.03660 0.00885 0.03982 0.00533 0.07087 0.01718 0.20408 0.04675 0.01212 0.09878 -0.00615 0.01665 -0.15288 -0.00711 0.00986 0.02233 PLUG 0.1 1.03648 0.03648 0.0136 0.0089 -0.011 0.0603 Standard Error 0.0243741197
6/1/15 -0.05171 0.05263 -0.02057 0.08309 -0.09926 -0.04045 -0.03051 0.03010 0.02874 -0.07893 -0.07121 -0.06312 -0.06508 -0.32546 -0.04224 -0.06504 AMAT 0.1 0.97810 -0.02190 -0.0153 0.0285 -0.0074 0.0307 Observations 72
7/1/15 0.05776 -0.19583 0.12197 0.09607 0.05714 -0.09677 -0.13287 0.01136 0.04200 -0.04777 0.01667 0.03496 -0.10696 -0.01752 0.05580 0.04354 ZNGA 0.1 0.99774 -0.00226 0.0154 -0.0409 -0.0421 0.1029
8/1/15 -0.06809 -0.06218 -0.05362 -0.04872 -0.33977 -0.07316 0.02016 -0.05853 -0.09742 -0.15599 0.03607 -0.08236 -0.05894 -0.11345 -0.04284 -0.08667 JPM 0.1 0.91575 -0.08425 -0.0604 0.0044 0.0273 -0.0209 ANOVA
9/1/15 0.02371 -0.04972 -0.02140 0.00526 0.07018 -0.08162 -0.09881 -0.04883 0.00976 -0.10814 0.00949 0.01430 -0.15152 -0.08714 0.02035 -0.08282 CMCSA 0.01 0.96938 -0.03062 -0.0307 -0.0261 0.0039 0.0535 df SS MS F Significance F
10/1/15 0.18934 0.23256 0.11370 0.13426 0.31694 0.14159 0.03947 0.05380 0.10091 0.42157 -0.07524 0.09905 0.03810 0.10547 0.06473 0.11623 BABA 0.01 1.14701 0.14701 0.0775 -0.0198 -0.0025 -0.0403 Regression 4 0.2028368286 0.0507092072 85.3549951114 1.45843275874743E-25
11/1/15 0.03248 0.11321 0.01843 0.02226 -0.08714 0.11926 0.08861 0.04531 -0.02395 0.00298 -0.14915 -0.04784 -0.21177 -0.03804 0.00638 -0.03019 MVIS 0.01 1.02858 0.02858 0.0056 0.0368 -0.0049 0.0221 Residual 67 0.0398045466 0.0005940977
12/1/15 0.02757 0.21600 -0.01681 0.00393 -0.04101 0.00021 0.03866 -0.00985 -0.07289 -0.03352 0.13934 -0.00340 -0.02384 -0.11121 0.01561 -0.00368 CSCO 0.01 1.02143 0.02143 -0.0216 -0.0286 -0.0245 0.0341 Total 71 0.2426413752
1/1/16 -0.00713 -0.23355 -0.03956 0.07204 -0.11384 -0.05473 -0.08219 -0.09899 -0.01286 -0.17532 -0.00709 -0.12418 -0.25542 -0.22115 -0.00103 -0.03251 VALE 0.01 0.93277 -0.06723 -0.0576 -0.0336 0.0201 0.0134
2/1/16 -0.07662 -0.02747 -0.02839 -0.04734 0.11210 0.06892 -0.14248 -0.04763 0.04067 0.02636 0.03853 0.10884 0.19980 -0.03646 0.00469 -0.00928 MU 0.01 0.98171 -0.01829 -0.0006 0.0083 -0.006 -0.0406 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
3/1/16 0.09309 0.33158 0.05838 0.06695 -0.01462 0.12829 0.08037 0.05167 0.05783 0.14832 -0.36630 0.08727 0.43177 -0.01525 0.07539 0.05357 KO 0.01 1.09191 0.09191 0.0698 0.0082 0.0111 -0.0513 Intercept 0.0117666361 0.003095856 3.8007698127 0.0003138624 0.0055872816 0.0179459905 0.0055872816 0.0179459905
4/1/16 -0.09715 0.24551 0.00984 0.03040 0.00478 -0.03362 0.04376 0.06711 -0.00534 -0.02655 0.15498 -0.03452 0.34669 0.02664 -0.02684 0.04544 MRK 0.1 1.03304 0.03304 0.0093 0.0069 0.0328 -0.0626 X Variable 1 1.1051470292 0.0739689927 14.9406797175 5.18027482731108E-23 0.9575043018 1.2527897566 0.9575043018 1.2527897566
5/1/16 0.06266 0.28722 0.02191 0.01036 -0.06806 0.19287 0.07973 0.04030 0.04636 0.06567 -0.12047 0.06631 -0.30698 0.18316 -0.00456 0.02579 Total 1 1.06645 0.06645 0.0179 -0.0027 -0.016 0.0214 X Variable 2 0.1902080631 0.1257237764 1.5129044677 0.1350069485 -0.060737645 0.4411537712 -0.060737645 0.4411537712
6/1/16 -0.02798 0.12453 -0.05896 -0.03833 -0.03145 -0.01432 -0.03133 -0.04815 0.02966 -0.03032 -0.11599 -0.01259 0.28733 0.08156 0.01617 0.02380 0.99150 -0.00850 -0.0003 0.0064 -0.014 0.0411 X Variable 3 -0.4283410086 0.1125300363 -3.8064593464 0.0003079946 -0.6529519012 -0.203730116 -0.6529519012 -0.203730116
7/1/16 0.10748 0.33443 0.05211 0.08433 -0.03783 0.09659 0.15241 0.02925 0.03140 0.03689 -0.07163 0.06393 0.13616 -0.00165 -0.03032 0.02634 Summary Statistics 1.08938 0.08938 0.0397 0.026 -0.0123 -0.0308 X Variable 4 -0.1378171616 0.0958588887 -1.4377087343 0.1551710463 -0.3291523043 0.0535179811 -0.3291523043 0.0535179811
8/1/16 0.01356 0.07852 0.03631 0.01739 -0.13428 0.13483 -0.04898 0.06320 -0.02568 0.17815 -0.03225 0.03899 -0.08368 0.19995 -0.00478 0.07021 Mean Monthly Arith. Return 0.02775 1.02619 0.02619 0.0052 0.0113 0.0331 -0.0317
9/1/16 0.00848 -0.06642 0.02382 0.01685 0.10303 0.01367 0.06573 -0.01368 0.01635 0.08829 -0.08629 0.00871 0.04344 0.07803 -0.02576 -0.00625 Mean Monthly Geom. Return 0.02612 1.01601 0.01601 0.0027 0.0204 -0.0121 -0.0053
10/1/16 0.04008 0.04611 -0.00250 0.02101 -0.10546 -0.03569 -0.03456 0.03990 -0.06833 -0.03896 -0.26107 -0.03299 0.25798 -0.03507 0.00988 -0.05243 Std. Deviation of Return 0.05805 0.99116 -0.00884 -0.02 -0.0443 0.0407 0.0069
11/1/16 0.00557 0.23227 -0.06300 -0.09606 -0.10468 0.10719 0.01769 0.16584 0.12897 -0.07553 0.61755 -0.02010 0.22678 0.13801 -0.04845 0.04196 Beta Relative to the Market 1.14528 1.04052 0.04052 0.0487 0.0547 0.0822 -0.0407
12/1/16 0.03786 0.27243 0.01088 -0.02876 -0.12439 0.00508 -0.10170 0.07604 -0.00692 -0.06635 -0.23666 0.01311 -0.10277 0.12208 0.03590 -0.03821 Idiosyncratic Volatility Using CAPM -0.00105 1.00964 0.00964 0.0184 0.0011 0.0351 -0.0038
1/1/17 0.03999 -0.08594 0.05971 0.13232 -0.11707 0.06096 -0.01986 -0.01964 0.09615 0.15334 0.07103 0.01615 0.34358 0.09951 0.00225 0.06068 Sharpe Ratio 0.47806 1.02014 0.02014 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 -0.01076 0.39401 0.06283 0.03966 0.01847 0.05712 0.05119 0.07630 -0.00809 0.01529 0.18479 0.12178 0.01630 -0.02819 0.00898 0.06219 Jensen's Alpha -0.00403 1.07789 0.07789 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 0.03532 0.00592 0.01220 0.04773 0.27748 0.07675 0.07517 -0.03098 0.00424 0.04761 0.55595 -0.01142 -0.08243 0.23264 0.01114 -0.03567 Four Factor Monthly Alpha 0.01177 1.05503 0.05503 0.002 0.0117 -0.0333 -0.0092
4/1/17 0.03898 -0.08641 0.02594 0.05723 0.62269 0.04346 0.01354 -0.01006 0.04206 0.07063 -0.09689 0.00749 -0.09734 -0.04306 0.02520 -0.01246 Beta Mkt 1.10515 1.06954 0.06954 0.0114 0.0072 -0.0211 0.0044
5/1/17 0.01956 -0.15925 0.04336 0.00745 -0.17024 0.12917 0.21739 -0.05092 0.06768 0.05966 -0.12504 -0.06709 0.00766 0.11143 0.05317 0.04400 Beta SMB 0.19021 1.00971 0.00971 0.0112 -0.0261 -0.0367 0.0146
6/1/17 -0.00797 0.11468 -0.01408 -0.00377 0.09617 -0.09819 0.03349 0.11200 -0.06704 0.14998 0.07554 -0.00789 0.04480 -0.03017 -0.01424 -0.01627 Beta HML -0.42834 1.02288 0.02288 0.0084 0.0215 0.0145 -0.0032
7/1/17 0.05399 0.08984 0.06093 0.12031 0.10714 0.07192 -0.00894 0.00368 0.04285 0.09902 0.07005 0.00409 0.14559 -0.05897 0.02978 0.00335 Beta MOM -0.13782 1.05517 0.05517 0.0194 -0.0147 -0.0036 0.0166
8/1/17 0.02757 -0.04572 0.03887 0.01517 -0.05400 0.01738 0.03788 -0.00537 0.00306 0.10746 0.04315 0.03283 0.10279 0.13601 -0.00723 -0.00121 1.00807 0.00807 0.0025 -0.0162 -0.0219 0.0355
9/1/17 0.00066 -0.02013 0.01735 -0.00730 0.21873 0.15625 0.00710 0.04993 -0.05335 0.00475 0.17210 0.04319 -0.09123 0.22932 -0.01276 0.00176 1.04538 0.04538 0.026 0.0447 0.0314 -0.0118
10/1/17 0.11576 -0.13894 0.04414 0.05288 0.09105 0.08242 0.03085 0.05250 -0.06457 0.06962 -0.20594 0.01456 -0.02871 0.12572 0.02878 -0.13430 1.02250 0.02250 0.0234 -0.0195 0.0012 0.043
11/1/17 0.01110 -0.00990 0.02293 -0.01679 -0.16922 -0.06566 0.05048 0.04414 0.04546 -0.04304 -0.23609 0.10088 0.09215 -0.04413 -0.00537 0.00247 0.98639 -0.01361 0.032 -0.0058 -0.0009 -0.0071
12/1/17 0.02048 -0.05691 0.01360 -0.00496 -0.00512 -0.03052 -0.02529 0.02225 0.06596 -0.02716 -0.03640 0.02591 0.14209 -0.03086 0.00972 0.01719 0.99718 -0.00282 0.0115 -0.0129 0.0017 -0.0163
1/1/18 0.10961 0.33548 0.08845 0.05801 -0.18330 0.04800 -0.10610 0.08053 0.06082 0.18367 -0.27104 0.08350 0.08062 0.06213 0.03617 0.06082 1.05480 0.05480 0.0569 -0.0309 -0.0132 0.0394
2/1/18 -0.01415 -0.11973 -0.01148 -0.04696 -0.03737 0.07274 -0.03462 0.00263 -0.14633 -0.08994 -0.07673 0.08494 0.04779 0.11532 -0.09293 -0.08599 0.97050 -0.02950 -0.0354 0.003 -0.0101 0.0397
3/1/18 -0.02329 -0.17131 -0.02651 -0.10511 0.01493 -0.03382 0.05660 -0.04908 -0.05754 -0.01517 0.02607 -0.04341 -0.07476 0.06702 0.00366 0.00341 0.96494 -0.03506 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 0.02325 0.08119 0.05929 0.07501 -0.03315 -0.10822 -0.05878 -0.01222 -0.08276 -0.02864 0.13134 0.03124 0.09893 -0.11954 0.00232 0.08883 1.01255 0.01255 0.0043 0.0113 0.005 0.0027
5/1/18 0.05549 0.26055 0.02886 0.11360 0.02046 0.02095 0.27396 -0.01268 -0.00243 0.10765 0.27204 -0.02932 -0.01874 0.25110 -0.00626 0.00981 1.08450 0.08450 0.0279 0.0528 -0.0315 0.038
6/1/18 0.00060 0.09037 0.01346 0.01184 0.07881 -0.08815 -0.07640 -0.02766 0.05088 -0.06443 -0.31428 0.00609 -0.05875 -0.09083 0.01860 0.01825 0.99760 -0.00240 0.0062 0.0119 -0.0231 -0.0238
7/1/18 0.07415 0.22122 0.03079 -0.11348 -0.01150 0.05123 -0.07040 0.10157 0.08892 0.00756 -0.19803 -0.01880 0.14193 0.00507 0.07102 0.09196 1.04075 0.04075 0.0335 -0.0221 0.0057 -0.0167
8/1/18 0.05732 0.37156 0.07263 0.01665 -0.01660 -0.11696 0.09603 0.00060 0.03824 -0.06687 0.18729 0.13679 -0.10119 -0.00671 -0.04578 0.03969 1.05523 0.05523 0.036 0.0115 -0.0392 0.0522
9/1/18 0.02058 0.22575 0.02182 -0.06563 -0.02688 -0.09896 -0.03756 -0.01669 -0.04421 -0.06007 0.12934 0.01692 0.15554 -0.14030 0.03485 0.03276 1.00706 0.00706 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 -0.06800 -0.41239 -0.08345 -0.07894 -0.03836 -0.15119 -0.09417 -0.03575 0.07520 -0.13834 -0.10934 -0.06151 0.01562 -0.16794 0.04351 0.04282 0.90259 -0.09741 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 0.03640 0.16789 0.02620 -0.07545 -0.05585 0.13202 -0.00729 0.02525 0.02651 0.12879 -0.27032 0.05161 -0.09452 0.02047 0.05083 0.07604 1.03275 0.03275 0.0187 -0.0071 0.0034 -0.0133
12/1/18 -0.08199 -0.13523 -0.06917 -0.06961 -0.29333 -0.11874 0.08374 -0.12394 -0.12905 -0.14979 -0.24241 -0.09674 -0.03913 -0.17903 -0.05499 -0.03883 0.90392 -0.09608 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 0.02606 0.32022 0.02117 0.26947 0.10274 0.19155 0.13785 0.05813 0.07788 0.22713 0.46457 0.08929 -0.05896 0.20244 0.01437 -0.02118 1.12155 0.12155 0.0862 0.0289 -0.0046 -0.0865
2/1/19 0.07098 -0.03785 0.09530 -0.03324 0.30477 -0.02074 0.16338 0.01470 0.05562 0.08450 0.29365 0.10141 0.00142 0.06780 -0.05977 0.09037 1.07234 0.07234 0.0358 0.0212 -0.0271 0.0086
3/1/19 0.05535 0.08267 0.05442 0.03056 0.33888 0.03782 0.01917 -0.03189 0.03198 -0.00507 -0.15102 0.04098 0.04457 0.00911 0.03162 0.02123 1.06250 0.06250 0.0129 -0.0305 -0.0419 0.0214
4/1/19 0.10524 0.08058 0.05066 0.15814 0.03540 0.10910 0.05981 0.14430 0.08669 0.01500 0.02883 0.03420 -0.02354 0.01556 0.05399 -0.04930 1.07466 0.07466 0.0417 -0.0175 0.0202 -0.0255
5/1/19 -0.05509 -0.01006 -0.02095 -0.08447 0.02601 -0.12418 0.10921 -0.08206 -0.05529 -0.19777 -0.16210 -0.06627 -0.02636 -0.22678 -0.00067 0.00425 0.96726 -0.03274 -0.0673 -0.0118 -0.0228 0.076
6/1/19 0.08533 0.10619 0.07560 0.08571 -0.12289 0.16490 -0.02724 0.05332 0.02942 0.13347 -0.03751 0.05009 0.07599 0.18158 0.03463 0.05678 1.05501 0.05501 0.0711 0.0022 -0.0079 -0.0214
7/1/19 0.01534 0.00073 0.02374 0.00447 -0.01968 0.09741 0.03888 0.03567 0.01915 0.01970 -0.21178 0.01034 -0.03538 0.16135 0.03975 -0.00555 1.01959 0.01959 0.0138 -0.0208 0.0034 0.0272
8/1/19 0.01007 0.03124 0.01424 -0.04567 -0.01970 -0.02894 -0.10662 -0.04783 0.02871 0.00949 -0.04848 -0.15132 -0.15479 0.00687 0.04419 0.04033 0.98236 -0.01764 -0.0242 -0.024 -0.0485 0.0764
9/1/19 0.01004 -0.08002 -0.04915 -0.04268 0.21018 0.04204 0.01746 0.06947 0.01673 -0.04636 -0.01819 0.05374 0.04365 -0.05526 -0.01270 -0.02828 1.01502 0.01502 0.0161 -0.0105 0.0677 -0.0685
10/1/19 0.02972 0.16890 0.03832 0.07470 0.00610 0.08587 0.05864 0.05993 -0.00727 0.05495 0.23183 -0.03995 0.01937 0.10818 0.00563 0.03480 1.06032 0.06032 0.0221 0.0024 -0.0188 0.0029
11/1/19 0.05467 0.15265 0.03039 0.05093 0.47050 0.06588 0.00852 0.06200 -0.01154 0.13085 0.06637 -0.04028 0.00050 -0.00204 -0.02012 0.00480 1.09291 0.09291 0.0399 0.0091 -0.0205 -0.026
12/1/19 0.04389 0.16999 0.01868 0.01650 -0.19114 0.05648 -0.01906 0.05658 0.01717 0.05910 -0.09001 0.05709 0.12105 0.13057 0.04286 0.04184 1.02407 0.02407 0.0291 0.0067 0.0191 -0.0227
1/1/20 0.07815 0.02356 0.05761 -0.01757 0.22338 -0.05127 -0.01764 -0.05180 -0.04088 -0.02728 -0.09852 -0.04279 -0.08920 -0.01413 0.05380 -0.05544 1.01865 0.01865 0.0002 -0.0308 -0.0627 0.0543
2/1/20 -0.04949 -0.03354 -0.08770 -0.04795 0.12025 0.00104 0.11342 -0.11834 -0.06068 0.00563 -0.61658 -0.12620 -0.16403 -0.01118 -0.08528 -0.10513 0.96719 -0.03281 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 -0.02508 -0.00120 -0.11347 -0.13457 -0.18553 -0.21035 0.01966 -0.22581 -0.15084 -0.06620 -0.32120 -0.01673 -0.15700 -0.20097 -0.17394 0.00376 0.90112 -0.09888 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 0.13633 0.15193 0.10924 0.22728 0.18079 0.08424 0.10073 0.06365 0.10167 0.04211 1.05882 0.07810 -0.00483 0.13861 0.04616 0.03971 1.12809 0.12809 0.1365 0.0275 -0.0139 -0.0549
5/1/20 0.02244 0.02681 0.09234 0.09946 0.00708 0.13074 0.21343 0.02665 0.05225 0.02319 1.51419 0.13896 0.18293 0.00032 0.01712 0.01729 1.08359 0.08359 0.0559 0.0249 -0.0505 0.0067
6/1/20 0.11355 -0.02222 -0.00905 0.00870 0.95002 0.08019 0.04252 -0.03350 -0.01576 0.03997 0.54535 -0.02478 0.05625 0.07525 -0.04294 -0.04210 1.11855 0.11855 0.0247 0.0271 -0.0235 -0.0075
7/1/20 0.00727 0.47167 -0.01444 0.11704 -0.06100 0.06409 0.03030 0.02733 0.10442 0.16365 0.48519 0.00976 0.12890 -0.02844 0.06680 0.04578 1.07832 0.07832 0.0578 -0.0218 -0.0139 0.0761
8/1/20 0.09999 0.17283 0.11329 0.15573 0.68343 -0.04254 -0.07843 0.04674 0.04686 0.14335 -0.21792 -0.09665 -0.05508 -0.09099 0.04838 0.06259 1.12214 0.12214 0.0764 -0.0025 -0.0294 0.0051
9/1/20 -0.06524 -0.09733 -0.05537 -0.10685 0.03303 -0.03180 0.00652 -0.03923 0.03226 0.02411 0.23408 -0.06713 -0.03828 0.03176 -0.00333 -0.02731 0.96182 -0.03818 -0.0362 0.0006 -0.0251 0.0305
10/1/20 -0.03747 -0.08182 -0.09141 0.00452 0.04390 -0.00380 -0.01435 0.01829 -0.08700 0.03633 -0.11292 -0.08870 0.04173 0.07188 -0.01875 -0.08681 0.97240 -0.02760 -0.0209 0.0444 0.0403 -0.0303
11/1/20 0.05719 0.23061 0.15751 0.05258 0.88490 0.39244 -0.08241 0.21342 0.19530 -0.13575 0.33516 0.20928 0.37738 0.27304 0.07356 0.06877 1.21250 0.21250 0.1248 0.0548 0.0211 -0.1225
12/1/20 0.04163 -0.01035 0.04131 -0.01386 0.28486 0.04932 0.19626 0.07786 0.04289 -0.11640 1.32890 0.04011 0.15100 0.17294 0.07102 0.01744 1.08660 0.08660 0.0464 0.0491 -0.0146 -0.0234

Short Portfolio

FIN 686
Project 1
Members
Jose O. Esquerdo
Santiago Diaz Coba
Alfredo Vergara
OPK MRO UAL F HST ET BP ABEV UAA OXY GSAT NOK WFC SWN M XOM Portfolio of Returns SUMMARY OUTPUT
Dates Ret - Rf Portfolio Weight 1 + Return Ret - Rf Mkt - Rf (Dec) SMB (Dec) HML (Dec) MOM (Dec)
1/1/15 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 0.00000 OPK 0.13 1.00000 0.00000 -0.0311 -0.0051 -0.0356 0.0381 Regression Statistics
2/1/15 0.20033 0.04737 -0.06040 0.12214 -0.08257 0.07489 0.06722 0.06840 0.06840 -0.02650 0.06612 0.05395 0.05528 0.01170 -0.00250 0.01281 MRO 0.1 1.05329 0.05329 0.0614 0.0052 -0.0181 -0.0283 Multiple R 0.8945498417
3/1/15 -0.02679 -0.05593 0.03176 -0.01224 -0.03905 -0.00040 -0.04230 0.04857 0.04857 -0.06266 0.29070 -0.05368 -0.00057 -0.07536 0.01868 -0.03276 UAL 0.1 0.98794 -0.01206 -0.0112 0.0302 -0.0041 0.03 R Square 0.8002194193
4/1/15 -0.02893 0.19111 -0.11167 -0.02107 0.00796 0.05208 0.10355 -0.03963 -0.03963 0.10755 -0.22222 -0.13193 0.01287 0.20871 0.00063 0.02788 F 0.1 1.01662 0.01662 0.0059 -0.0304 0.0188 -0.0732 Adjusted R Square 0.7882922205
5/1/15 0.28488 -0.12572 -0.08621 -0.03082 -0.01092 0.03015 -0.03939 0.01109 0.01109 -0.02384 0.02317 0.10790 0.01561 -0.08063 0.03590 -0.02484 HST 0.1 1.01026 0.01026 0.0136 0.0089 -0.011 0.0603 Standard Error 0.0412637876
6/1/15 -0.09050 -0.01644 -0.02894 -0.01055 -0.00452 -0.05863 -0.02257 0.06415 0.06415 -0.00537 -0.20377 -0.03694 0.01181 -0.11797 0.00777 -0.01540 ET 0.1 0.97614 -0.02386 -0.0153 0.0285 -0.0074 0.0307 Observations 72
7/1/15 0.01803 -0.20836 0.06376 -0.01199 -0.01297 -0.06249 -0.07482 0.19044 0.19044 -0.08870 -0.01896 0.02920 0.02898 -0.18170 0.02894 -0.04796 BP 0.1 0.98579 -0.01421 0.0154 -0.0409 -0.0421 0.1029
8/1/15 -0.33903 -0.17706 0.01029 -0.05518 -0.08514 -0.06749 -0.09278 -0.03826 -0.03826 0.04003 -0.14976 -0.11489 -0.07845 -0.12688 -0.15132 -0.05012 ABEV 0.1 0.89416 -0.10584 -0.0604 0.0044 0.0273 -0.0209 ANOVA
9/1/15 -0.22274 -0.09843 -0.06881 -0.02163 -0.10829 -0.25142 -0.07364 0.01308 0.01308 -0.09396 -0.10795 0.08654 -0.03084 -0.21860 -0.12438 -0.00258 UAA 0.01 0.90511 -0.09489 -0.0307 -0.0261 0.0039 0.0535 df SS MS F Significance F
10/1/15 0.12366 0.19351 0.13685 0.09138 0.10980 0.03556 0.16819 -0.01757 -0.01757 0.13910 0.14650 0.09440 0.05433 -0.13002 -0.00046 0.11284 OXY 0.01 1.10200 0.10200 0.0775 -0.0198 -0.0025 -0.0403 Regression 4 0.4569501203 0.1142375301 67.0919827501 1.02966083680706E-22
11/1/15 0.15767 -0.04733 -0.07594 -0.02256 -0.04212 -0.12111 -0.03081 -0.09318 -0.09318 0.01409 0.21111 -0.02830 0.01773 -0.18388 -0.23342 -0.01305 GSAT 0.01 0.97293 -0.02707 0.0056 0.0368 -0.0049 0.0221 Residual 67 0.114080911 0.0017027002
12/1/15 -0.08145 -0.27898 0.02807 -0.01685 -0.07600 -0.26500 -0.08183 -0.06517 -0.06517 -0.10567 -0.33955 -0.02645 -0.00675 -0.21098 -0.10501 -0.03721 NOK 0.01 0.90152 -0.09848 -0.0216 -0.0286 -0.0245 0.0341 Total 71 0.5710310313
1/1/16 -0.20010 -0.22726 -0.15752 -0.15269 -0.08564 -0.36837 0.03541 0.05969 0.05969 0.02908 -0.11121 0.02554 -0.07608 0.25025 0.16622 -0.00138 WFC 0.01 0.88765 -0.11235 -0.0576 -0.0336 0.0201 0.0134
2/1/16 0.15652 -0.15642 0.18580 0.08288 0.10522 -0.19375 -0.10153 -0.02057 -0.02057 0.00136 0.21855 -0.16270 -0.06610 -0.35003 0.06909 0.02934 SWN 0.01 1.01034 0.01034 -0.0006 0.0083 -0.006 -0.0406 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
3/1/16 0.11700 0.36636 0.04521 0.07894 0.09059 0.05664 0.05923 0.01342 0.01342 -0.00587 -0.05789 -0.02010 0.03847 0.39599 0.02017 0.05219 M 0.01 1.09531 0.09531 0.0698 0.0082 0.0111 -0.0513 Intercept -0.0111788109 0.0052410814 -2.132920688 0.0365982874 -0.0216400531 -0.0007175687 -0.0216400531 -0.0007175687
4/1/16 0.03455 0.26471 -0.23481 0.00434 -0.04106 0.74324 0.11256 0.03585 0.03585 0.13209 0.32643 -0.00687 0.03340 0.66409 -0.09479 0.05744 XOM 0.1 1.10962 0.10962 0.0093 0.0069 0.0328 -0.0626 X Variable 1 1.2666114867 0.125224658 10.1147130801 0 1.0166620231 1.5165609503 1.0166620231 1.5165609503
5/1/16 -0.01126 -0.07249 -0.01582 0.00571 -0.02665 0.01679 -0.06502 -0.14143 -0.14143 -0.01589 0.11785 -0.02906 0.01471 0.01777 -0.16125 0.00691 Total 1 0.96736 -0.03264 0.0179 -0.0027 -0.016 0.0214 X Variable 2 0.7076919855 0.2128421158 3.3249621808 0.0014371311 0.2828573443 1.1325266267 0.2828573443 1.1325266267
6/1/16 -0.12155 0.15292 -0.09002 -0.06840 0.05240 0.16425 0.15192 0.06341 0.06341 0.00139 -0.44515 -0.00195 -0.05989 -0.07994 0.01184 0.06167 1.02791 0.02791 -0.0003 0.0064 -0.014 0.0411 X Variable 3 0.5636797101 0.1905059783 2.9588557544 0.0042643084 0.183428186 0.9439312343 0.183428186 0.9439312343
7/1/16 0.06511 -0.09147 0.14234 0.00696 0.10919 0.15429 -0.03146 -0.01690 -0.01690 -0.00144 -0.01673 0.07084 0.01332 0.15878 0.07811 -0.05130 Summary Statistics 1.03349 0.03349 0.0397 0.026 -0.0123 -0.0308 X Variable 4 -0.2744866061 0.1622828177 -1.6914089239 0.0954055538 -0.598404466 0.0494312538 -0.598404466 0.0494312538
8/1/16 -0.08563 0.10097 0.07487 0.00597 0.00431 0.07876 -0.01590 0.00411 0.00411 0.02817 0.31072 -0.01753 0.05880 -0.04615 0.00957 -0.02055 Mean Monthly Arith. Return -0.00093 1.01560 0.01560 0.0052 0.0113 0.0331 -0.0317
9/1/16 0.16354 0.05598 0.04066 -0.04226 -0.12646 -0.04604 0.05716 -0.02417 -0.02417 -0.05134 -0.22456 0.02096 -0.12155 -0.00523 0.02385 0.00995 Mean Monthly Geom. Return -0.00496 1.00992 0.00992 0.0027 0.0204 -0.0121 -0.0053
10/1/16 -0.11068 -0.16655 0.07146 -0.02754 0.00682 -0.11098 0.01089 -0.19617 -0.19617 0.00950 -0.23160 -0.22645 0.03887 -0.24948 -0.00476 -0.04557 Std. Deviation of Return 0.08906 0.93125 -0.06875 -0.02 -0.0443 0.0407 0.0069
11/1/16 0.10287 0.37016 0.22611 0.03133 0.15235 0.14056 -0.01529 -0.00975 -0.00975 -0.02136 -0.15064 -0.04028 0.15008 0.09230 0.15638 0.04767 Beta Relative to the Market 1.60823 1.10946 0.10946 0.0487 0.0547 0.0822 -0.0407
12/1/16 -0.10521 -0.03860 0.05670 0.01391 0.05575 0.15617 0.08656 -0.05712 -0.05712 -0.00212 0.99970 0.11830 0.04976 -0.04700 -0.15172 0.04276 Idiosyncratic Volatility Using CAPM -0.01258 1.02704 0.02704 0.0184 0.0011 0.0351 -0.0038
1/1/17 -0.06599 -0.03275 -0.03347 0.01856 -0.02845 -0.07083 -0.03785 -0.26064 -0.26064 -0.03859 -0.00040 -0.06069 0.02174 -0.16768 -0.16771 -0.07097 Sharpe Ratio -0.01049 0.93304 -0.06696 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 -0.03492 -0.04518 0.05097 0.02969 -0.00483 0.04918 -0.05765 -0.04088 -0.04088 -0.03316 -0.13331 0.13677 0.02712 -0.16688 0.12418 -0.03104 Jensen's Alpha 0.00057 0.98963 -0.01037 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 -0.04678 -0.00974 -0.04686 -0.07133 0.03694 0.06332 0.03536 -0.04104 -0.04104 -0.03371 0.16758 0.05417 -0.03212 0.08758 -0.10807 0.01741 Four Factor Monthly Alpha -0.01118 0.99327 -0.00673 0.002 0.0117 -0.0333 -0.0092
4/1/17 -0.02925 -0.05936 -0.00659 -0.01510 -0.02784 -0.05473 -0.00629 0.08595 0.08595 -0.01768 0.19325 0.05670 -0.03320 -0.08128 -0.00278 -0.00489 Beta Mkt 1.26661 0.98932 -0.01068 0.0114 0.0072 -0.0211 0.0044
5/1/17 -0.21038 -0.12501 0.13414 -0.01805 0.00163 -0.08742 0.05272 -0.10902 -0.10902 -0.04301 0.03605 0.10237 -0.05075 -0.19368 -0.19636 -0.01468 Beta SMB 0.70769 0.95154 -0.04846 0.0112 -0.0261 -0.0367 0.0146
6/1/17 0.07106 -0.08727 -0.05608 0.00569 0.01496 0.07058 -0.02554 0.13510 0.13510 0.01535 0.07516 0.00198 0.09050 0.00270 -0.01166 0.01173 Beta HML 0.56368 1.01925 0.01925 0.0084 0.0215 0.0145 -0.0032
7/1/17 -0.02046 0.03137 -0.10130 0.00198 0.03162 -0.01685 0.01344 -0.08066 -0.08066 0.04662 -0.13216 0.03664 -0.02723 -0.06320 0.03857 -0.00925 Beta MOM -0.27449 0.98256 -0.01744 0.0194 -0.0147 -0.0036 0.0166
8/1/17 -0.00865 -0.09166 -0.08542 -0.00521 -0.02984 -0.01788 -0.01257 -0.19421 -0.19421 -0.03691 0.03694 -0.03376 -0.05411 -0.04476 -0.12637 -0.04725 0.94594 -0.05406 0.0025 -0.0162 -0.0219 0.0355
9/1/17 0.07098 0.22358 -0.01833 0.08432 0.01952 0.01596 0.12411 0.01953 0.01953 0.07464 -0.15194 -0.03326 0.08683 0.12020 0.04965 0.08353 1.06611 0.06611 0.026 0.0447 0.0314 -0.0118
10/1/17 -0.01985 0.04777 -0.04032 0.02416 0.06851 0.02039 0.05739 -0.24119 -0.24119 0.01738 -0.01317 -0.18317 0.01705 -0.09255 -0.12655 0.01581 0.98645 -0.01355 0.0234 -0.0195 0.0012 0.043
11/1/17 -0.22071 0.04280 0.08196 0.03225 0.01096 -0.08812 -0.01555 0.06070 0.06070 0.09104 -0.01943 0.02374 0.00508 0.14515 0.26786 -0.00152 0.98940 -0.01060 0.032 -0.0058 -0.0009 -0.0071
12/1/17 -0.06757 0.14362 0.06353 -0.00330 0.00213 0.08250 0.06344 0.08488 0.08488 0.04392 -0.17179 -0.07076 0.08098 -0.12354 0.05750 0.01260 1.03517 0.03517 0.0115 -0.0129 0.0017 -0.0163
1/1/18 -0.09090 0.07332 0.00513 -0.12280 0.05788 0.05916 0.01698 -0.04060 -0.04060 0.02810 -0.19957 0.03109 0.08313 -0.24124 0.04437 0.04266 0.99441 -0.00559 0.0569 -0.0309 -0.0132 0.0394
2/1/18 -0.24101 -0.20286 -0.00154 -0.01010 -0.10707 -0.15411 -0.09294 0.19515 0.19515 -0.12608 -0.09634 0.20472 -0.11314 -0.15912 0.13223 -0.13352 0.91834 -0.08166 -0.0354 0.003 -0.0101 0.0397
3/1/18 -0.06610 0.11324 0.02358 0.04310 0.00311 -0.06815 0.05777 -0.01507 -0.01507 -0.01096 -0.27488 -0.05810 -0.09857 0.21169 0.01002 -0.00605 1.00420 0.00420 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 -0.04241 0.13003 -0.02918 0.01304 0.05953 0.11049 0.09850 0.08484 0.08484 0.20216 -0.11734 0.09732 -0.00999 -0.05452 0.05673 0.04069 1.04787 0.04787 0.0043 0.0113 0.005 0.0027
5/1/18 0.27492 0.17285 0.02895 0.03997 0.10443 0.09227 0.02618 0.17540 0.17540 0.08843 -0.11615 -0.03801 0.03767 0.15226 0.12219 0.04349 1.10831 0.10831 0.0279 0.0528 -0.0315 0.038
6/1/18 0.20994 -0.02572 0.00061 -0.04296 -0.02729 0.01591 0.00806 0.07420 0.07420 -0.00758 -0.09399 0.03257 0.03319 0.11911 0.07079 0.02726 1.03258 0.03258 0.0062 0.0119 -0.0231 -0.0238
7/1/18 0.19414 0.01086 0.15142 -0.09464 0.00176 0.05405 -0.01408 -0.11325 -0.11325 0.01040 0.14126 -0.06247 0.03177 -0.03179 0.07041 -0.01635 1.02368 0.02368 0.0335 -0.0221 0.0057 -0.0167
8/1/18 0.05178 0.01687 0.08571 -0.04410 0.02658 -0.04059 -0.05061 0.02244 0.02244 -0.04997 -0.09089 0.02618 0.01917 0.09179 -0.08164 -0.01804 1.00593 0.00593 0.036 0.0115 -0.0392 0.0522
9/1/18 -0.41704 0.08349 0.01726 -0.02576 -0.02147 0.01079 0.08862 0.03615 0.03615 0.02730 -0.00150 0.00391 -0.09615 -0.09225 -0.05129 0.06993 0.96995 -0.03005 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 -0.02502 -0.18618 -0.04176 0.03053 -0.08751 -0.11033 -0.06112 0.04004 0.04004 -0.17737 -0.31563 0.00527 0.01085 0.04311 -0.00421 -0.06471 0.94466 -0.05534 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 0.10471 -0.12292 0.12906 0.00124 -0.00756 -0.06422 -0.07143 0.07825 0.07825 0.04591 0.11249 -0.02849 0.01793 -0.09918 -0.00384 -0.00406 1.00868 0.00868 0.0187 -0.0071 0.0034 -0.0133
12/1/18 -0.19709 -0.14019 -0.13603 -0.18894 -0.12453 -0.07751 -0.04852 -0.26195 -0.26195 -0.12841 0.63913 0.06209 -0.14610 -0.29443 -0.13165 -0.13547 0.86045 -0.13955 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 0.22049 0.09902 0.04018 0.14823 0.09761 0.11145 0.08229 0.17164 0.17164 0.09859 0.02915 0.08897 0.05931 0.27942 -0.10847 0.07254 1.11715 0.11715 0.0862 0.0289 -0.0046 -0.0865
2/1/19 -0.30887 0.04950 0.00439 0.01215 0.08403 0.00364 0.03541 0.08547 0.08547 -0.01123 -0.24422 -0.04274 0.02748 -0.03384 -0.05921 0.07667 0.99219 -0.00781 0.0358 0.0212 -0.0271 0.0086
3/1/19 0.02163 0.00768 -0.09335 -0.00076 -0.03811 0.05891 0.03819 -0.06443 -0.06443 -0.00114 -0.14190 -0.06266 -0.03337 0.10685 -0.03256 0.03185 0.99452 -0.00548 0.0129 -0.0305 -0.0419 0.0214
4/1/19 -0.08639 0.01765 0.11171 0.18811 0.02672 -0.01837 -0.00187 0.09014 0.09014 -0.10199 0.23046 -0.07902 -0.00024 -0.15988 -0.00683 -0.00854 1.02905 0.02905 0.0417 -0.0175 0.0202 -0.0255
5/1/19 -0.25315 -0.23039 -0.12825 -0.07648 -0.06083 -0.09337 -0.07093 -0.01466 -0.01466 -0.15682 0.05450 -0.04566 -0.08555 -0.09324 -0.12827 -0.12056 0.88285 -0.11715 -0.0673 -0.0118 -0.0228 0.076
6/1/19 0.36133 0.08242 0.12570 0.07278 0.00427 0.04371 0.03738 0.11004 0.11004 0.00845 -0.14466 0.00129 0.07500 -0.12158 0.04147 0.09341 1.10364 0.10364 0.0711 0.0022 -0.0079 -0.0214
7/1/19 -0.13715 -0.01175 0.04790 -0.07033 -0.03662 0.01941 -0.04890 -0.09184 -0.09184 0.03609 -0.00190 0.07794 0.02113 -0.30570 0.07628 -0.03152 0.95793 -0.04207 0.0138 -0.0208 0.0034 0.0272
8/1/19 -0.12956 -0.16009 -0.08429 -0.02501 -0.07923 -0.05515 -0.07181 -0.19492 -0.19492 -0.15503 -0.20993 -0.07571 -0.03961 -0.28342 -0.35224 -0.08067 0.89493 -0.10507 -0.0242 -0.024 -0.0485 0.0764
9/1/19 0.13407 0.03856 0.04683 -0.00289 0.07613 -0.01956 0.04347 0.06967 0.06967 0.02097 0.07715 0.01836 0.09349 0.21972 0.05105 0.04212 1.05237 0.05237 0.0161 -0.0105 0.0677 -0.0685
10/1/19 -0.32207 -0.06181 0.02599 -0.06373 -0.04220 -0.03896 -0.00361 0.03411 0.03411 -0.07467 -0.07467 -0.28016 0.02209 0.06068 -0.00484 -0.04455 0.93548 -0.06452 0.0221 0.0024 -0.0188 0.0029
11/1/19 0.11852 0.00921 0.02038 0.07082 0.06591 -0.06315 -0.01413 -0.08643 -0.08643 -0.04885 0.02512 -0.04230 0.05361 -0.11340 0.00935 0.00709 1.01435 0.01435 0.0399 0.0091 -0.0205 -0.026
12/1/19 -0.07687 0.16923 -0.05215 0.02509 0.05921 0.11125 0.02314 0.14206 0.14206 0.06705 0.33193 0.05860 -0.00406 0.32827 0.10826 0.03517 1.05163 0.05163 0.0291 0.0067 0.0191 -0.0227
1/1/20 -0.01491 -0.16404 -0.15217 -0.05291 -0.10860 -0.02001 -0.04396 -0.06704 -0.06704 -0.01753 -0.07822 0.04452 -0.12881 -0.35254 -0.03992 -0.11107 0.91969 -0.08031 0.0002 -0.0308 -0.0627 0.0543
2/1/20 0.03328 -0.27297 -0.17780 -0.19866 -0.11503 -0.12114 -0.13516 -0.29803 -0.29803 -0.17693 -0.14703 -0.00378 -0.13094 -0.09674 -0.17173 -0.17313 0.84488 -0.15512 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 -0.10787 -0.60198 -0.48894 -0.30723 -0.23877 -0.57606 -0.20828 -0.35215 -0.35215 -0.64750 -0.29388 -0.20017 -0.29113 0.18894 -0.63007 -0.25246 0.66113 -0.33887 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 0.65672 0.86018 -0.06244 0.05383 0.13516 0.82609 -0.02419 0.13138 0.13138 0.47695 0.10345 0.15484 0.01220 0.91124 0.24299 0.22386 1.32009 0.32009 0.1365 0.0275 -0.0139 -0.0549
5/1/20 0.02693 -0.12755 -0.05216 0.12171 -0.03016 -0.02867 -0.02783 -0.16037 -0.16037 -0.21998 -0.06260 0.10325 -0.08891 -0.06821 0.08522 -0.02162 0.96672 -0.03328 0.0559 0.0249 -0.0505 0.0067
6/1/20 0.49551 0.14597 0.23421 0.06470 -0.09641 -0.09393 0.03478 0.11304 0.11304 0.41303 0.09990 0.11382 -0.01332 -0.14960 0.08166 0.00248 1.11148 0.11148 0.0247 0.0271 -0.0235 -0.0075
7/1/20 0.51016 -0.10304 -0.09343 0.08707 -0.00103 -0.08016 -0.05499 0.07998 0.07998 -0.13950 0.18172 0.08626 -0.05244 -0.05088 -0.11929 -0.05913 1.04371 0.04371 0.0578 -0.0218 -0.0139 0.0761
8/1/20 -0.37097 -0.03835 0.14713 0.03167 0.04164 -0.01995 -0.05046 -0.06759 -0.06759 -0.19070 -0.15395 0.02500 -0.00463 0.14393 0.15007 -0.05096 0.95011 -0.04989 0.0764 -0.0025 -0.0294 0.0051
9/1/20 0.13879 -0.22548 -0.03482 -0.02356 -0.03928 -0.11825 -0.15492 0.14465 0.14465 -0.21439 -0.06071 -0.20214 -0.02259 -0.15478 -0.18231 -0.12360 0.95359 -0.04641 -0.0362 0.0006 -0.0251 0.0305
10/1/20 -0.04617 -0.03189 -0.02571 0.16056 -0.02883 -0.04992 -0.11350 0.23231 0.23231 -0.08712 -0.03236 -0.13821 -0.08772 0.13607 0.08937 -0.04991 1.00443 0.00443 -0.0209 0.0444 0.0403 -0.0303
11/1/20 0.31808 0.49485 0.33038 0.17454 0.33864 0.19990 0.26347 0.19715 0.19715 0.72608 0.06657 0.19575 0.27496 0.16469 0.64402 0.16881 1.28082 0.28082 0.1248 0.0548 0.0211 -0.1225
12/1/20 -0.14881 0.13279 -0.04006 -0.03204 0.04267 0.02934 0.06988 0.03611 0.03611 0.09825 0.06240 -0.02988 0.10844 -0.04190 0.10176 0.10702 1.01858 0.01858 0.0464 0.0491 -0.0146 -0.0234

Long-Short Portfolio

FIN 686
Project 1
Members
Jose O. Esquerdo
Santiago Diaz Coba
Alfredo Vergara
Long Portfolio Short Portfolio Summary Statistics Portfolio of Returns SUMMARY OUTPUT
Dates Ret - Rf Mean Monthly Arith. Return 0.01341 1 + Return Ret - Rf Mkt - Rf (Dec) SMB (Dec) HML (Dec) MOM (Dec)
1/1/15 0.00000 0.00000 Mean Monthly Geom. Return 0.01112 1.00000 0.00000 -0.0311 -0.0051 -0.0356 0.0381 Regression Statistics
2/1/15 0.07252 0.05329 Std. Deviation of Return 0.06811 1.06291 0.06291 0.0614 0.0052 -0.0181 -0.0283 Multiple R 0.9423885989
3/1/15 -0.02611 -0.01206 Beta Relative to the Market 1.37675 0.98092 -0.01908 -0.0112 0.0302 -0.0041 0.03 R Square 0.8880962713
4/1/15 -0.00862 0.01662 Idiosyncratic Volatility Using CAPM -0.00415 1.00400 0.00400 0.0059 -0.0304 0.0188 -0.0732 Adjusted R Square 0.8814154516
5/1/15 0.03648 0.01026 Sharpe Ratio 0.19688 1.02337 0.02337 0.0136 0.0089 -0.011 0.0603 Standard Error 0.0236183177
6/1/15 -0.02190 -0.02386 Jensen's Alpha -0.00505 0.97712 -0.02288 -0.0153 0.0285 -0.0074 0.0307 Observations 72
7/1/15 -0.00226 -0.01421 Four Factor Monthly Alpha 0.00029 0.99176 -0.00824 0.0154 -0.0409 -0.0421 0.1029
8/1/15 -0.08425 -0.10584 Beta Mkt 1.18588 0.90495 -0.09505 -0.0604 0.0044 0.0273 -0.0209 ANOVA
9/1/15 -0.03062 -0.09489 Beta SMB 0.44895 0.93724 -0.06276 -0.0307 -0.0261 0.0039 0.0535 df SS MS F Significance F
10/1/15 0.14701 0.10200 Beta HML 0.06767 1.12451 0.12451 0.0775 -0.0198 -0.0025 -0.0403 Regression 4 0.2966116546 0.0741529136 132.932233028 4.20876918856712E-31
11/1/15 0.02858 -0.02707 Beta MOM -0.20615 1.00076 0.00076 0.0056 0.0368 -0.0049 0.0221 Residual 67 0.0373742703 0.0005578249
12/1/15 0.02143 -0.09848 0.96147 -0.03853 -0.0216 -0.0286 -0.0245 0.0341 Total 71 0.3339859249
1/1/16 -0.06723 -0.11235 0.91021 -0.08979 -0.0576 -0.0336 0.0201 0.0134
2/1/16 -0.01829 0.01034 0.99602 -0.00398 -0.0006 0.0083 -0.006 -0.0406 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
3/1/16 0.09191 0.09531 1.09361 0.09361 0.0698 0.0082 0.0111 -0.0513 Intercept 0.0002939126 0.0029998585 0.0979754821 0.9222442824 -0.0056938301 0.0062816553 -0.0056938301 0.0062816553
4/1/16 0.03304 0.10962 1.07133 0.07133 0.0093 0.0069 0.0328 -0.0626 X Variable 1 1.185879258 0.071675334 16.5451514727 2.34715195891589E-25 1.0428146925 1.3289438234 1.0428146925 1.3289438234
5/1/16 0.06645 -0.03264 1.01691 0.01691 0.0179 -0.0027 -0.016 0.0214 X Variable 2 0.4489500243 0.1218252857 3.6851957441 0.0004589648 0.2057857364 0.6921143122 0.2057857364 0.6921143122
6/1/16 -0.00850 0.02791 1.00970 0.00970 -0.0003 0.0064 -0.014 0.0411 X Variable 3 0.0676693508 0.1090406621 0.6205882234 0.536975957 -0.1499767217 0.2853154232 -0.1499767217 0.2853154232
7/1/16 0.08938 0.03349 1.06144 0.06144 0.0397 0.026 -0.0123 -0.0308 X Variable 4 -0.2061518839 0.0928864598 -2.2193965011 0.0298494782 -0.3915540336 -0.0207497341 -0.3915540336 -0.0207497341
8/1/16 0.02619 0.01560 1.02089 0.02089 0.0052 0.0113 0.0331 -0.0317
9/1/16 0.01601 0.00992 1.01296 0.01296 0.0027 0.0204 -0.0121 -0.0053
10/1/16 -0.00884 -0.06875 0.96120 -0.03880 -0.02 -0.0443 0.0407 0.0069
11/1/16 0.04052 0.10946 1.07499 0.07499 0.0487 0.0547 0.0822 -0.0407
12/1/16 0.00964 0.02704 1.01834 0.01834 0.0184 0.0011 0.0351 -0.0038
1/1/17 0.02014 -0.06696 0.97659 -0.02341 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 0.07789 -0.01037 1.03376 0.03376 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 0.05503 -0.00673 1.02415 0.02415 0.002 0.0117 -0.0333 -0.0092
4/1/17 0.06954 -0.01068 1.02943 0.02943 0.0114 0.0072 -0.0211 0.0044
5/1/17 0.00971 -0.04846 0.98063 -0.01937 0.0112 -0.0261 -0.0367 0.0146
6/1/17 0.02288 0.01925 1.02106 0.02106 0.0084 0.0215 0.0145 -0.0032
7/1/17 0.05517 -0.01744 1.01886 0.01886 0.0194 -0.0147 -0.0036 0.0166
8/1/17 0.00807 -0.05406 0.97700 -0.02300 0.0025 -0.0162 -0.0219 0.0355
9/1/17 0.04538 0.06611 1.05574 0.05574 0.026 0.0447 0.0314 -0.0118
10/1/17 0.02250 -0.01355 1.00448 0.00448 0.0234 -0.0195 0.0012 0.043
11/1/17 -0.01361 -0.01060 0.98789 -0.01211 0.032 -0.0058 -0.0009 -0.0071
12/1/17 -0.00282 0.03517 1.01617 0.01617 0.0115 -0.0129 0.0017 -0.0163
1/1/18 0.05480 -0.00559 1.02460 0.02460 0.0569 -0.0309 -0.0132 0.0394
2/1/18 -0.02950 -0.08166 0.94442 -0.05558 -0.0354 0.003 -0.0101 0.0397
3/1/18 -0.03506 0.00420 0.98457 -0.01543 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 0.01255 0.04787 1.03021 0.03021 0.0043 0.0113 0.005 0.0027
5/1/18 0.08450 0.10831 1.09641 0.09641 0.0279 0.0528 -0.0315 0.038
6/1/18 -0.00240 0.03258 1.01509 0.01509 0.0062 0.0119 -0.0231 -0.0238
7/1/18 0.04075 0.02368 1.03222 0.03222 0.0335 -0.0221 0.0057 -0.0167
8/1/18 0.05523 0.00593 1.03058 0.03058 0.036 0.0115 -0.0392 0.0522
9/1/18 0.00706 -0.03005 0.98850 -0.01150 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 -0.09741 -0.05534 0.92363 -0.07637 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 0.03275 0.00868 1.02071 0.02071 0.0187 -0.0071 0.0034 -0.0133
12/1/18 -0.09608 -0.13955 0.88219 -0.11781 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 0.12155 0.11715 1.11935 0.11935 0.0862 0.0289 -0.0046 -0.0865
2/1/19 0.07234 -0.00781 1.03227 0.03227 0.0358 0.0212 -0.0271 0.0086
3/1/19 0.06250 -0.00548 1.02851 0.02851 0.0129 -0.0305 -0.0419 0.0214
4/1/19 0.07466 0.02905 1.05185 0.05185 0.0417 -0.0175 0.0202 -0.0255
5/1/19 -0.03274 -0.11715 0.92505 -0.07495 -0.0673 -0.0118 -0.0228 0.076
6/1/19 0.05501 0.10364 1.07932 0.07932 0.0711 0.0022 -0.0079 -0.0214
7/1/19 0.01959 -0.04207 0.98876 -0.01124 0.0138 -0.0208 0.0034 0.0272
8/1/19 -0.01764 -0.10507 0.93865 -0.06135 -0.0242 -0.024 -0.0485 0.0764
9/1/19 0.01502 0.05237 1.03370 0.03370 0.0161 -0.0105 0.0677 -0.0685
10/1/19 0.06032 -0.06452 0.99790 -0.00210 0.0221 0.0024 -0.0188 0.0029
11/1/19 0.09291 0.01435 1.05363 0.05363 0.0399 0.0091 -0.0205 -0.026
12/1/19 0.02407 0.05163 1.03785 0.03785 0.0291 0.0067 0.0191 -0.0227
1/1/20 0.01865 -0.08031 0.96917 -0.03083 0.0002 -0.0308 -0.0627 0.0543
2/1/20 -0.03281 -0.15512 0.90604 -0.09396 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 -0.09888 -0.33887 0.78112 -0.21888 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 0.12809 0.32009 1.22409 0.22409 0.1365 0.0275 -0.0139 -0.0549
5/1/20 0.08359 -0.03328 1.02515 0.02515 0.0559 0.0249 -0.0505 0.0067
6/1/20 0.11855 0.11148 1.11502 0.11502 0.0247 0.0271 -0.0235 -0.0075
7/1/20 0.07832 0.04371 1.06102 0.06102 0.0578 -0.0218 -0.0139 0.0761
8/1/20 0.12214 -0.04989 1.03613 0.03613 0.0764 -0.0025 -0.0294 0.0051
9/1/20 -0.03818 -0.04641 0.95771 -0.04229 -0.0362 0.0006 -0.0251 0.0305
10/1/20 -0.02760 0.00443 0.98842 -0.01158 -0.0209 0.0444 0.0403 -0.0303
11/1/20 0.21250 0.28082 1.24666 0.24666 0.1248 0.0548 0.0211 -0.1225
12/1/20 0.08660 0.01858 1.05259 0.05259 0.0464 0.0491 -0.0146 -0.0234

Graph

FIN 686
Project 1
Members
Jose O. Esquerdo
Santiago Diaz Coba
Alfredo Vergara
Market Long Portfolio Short Portfolio L-S Portfolio Market Long Portfolio Short Portfolio L-S Portfolio
Dates Ret - Rf Dates Cummulative Return
1/1/15 -0.03110 0.00000 0.00000 0.00000 1/1/15
2/1/15 0.06140 0.07252 0.05329 0.06291 2/1/15 3% 7% 5% 6%
3/1/15 -0.01120 -0.02611 -0.01206 -0.01908 3/1/15 5% 5% 4% 4%
4/1/15 0.00590 -0.00862 0.01662 0.00400 4/1/15 -1% -3% 0% -2%
5/1/15 0.01360 0.03648 0.01026 0.02337 5/1/15 2% 3% 3% 3%
6/1/15 -0.01530 -0.02190 -0.02386 -0.02288 6/1/15 -0% 1% -1% 0%
7/1/15 0.01540 -0.00226 -0.01421 -0.00824 7/1/15 0% -2% -4% -3%
8/1/15 -0.06040 -0.08425 -0.10584 -0.09505 8/1/15 -5% -9% -12% -10%
9/1/15 -0.03070 -0.03062 -0.09489 -0.06276 9/1/15 -9% -11% -20% -16%
10/1/15 0.07750 0.14701 0.10200 0.12451 10/1/15 5% 12% 1% 6%
11/1/15 0.00560 0.02858 -0.02707 0.00076 11/1/15 8% 18% 7% 13%
12/1/15 -0.02170 0.02143 -0.09848 -0.03853 12/1/15 -2% 5% -13% -4%
1/1/16 -0.05770 -0.06723 -0.11235 -0.08979 1/1/16 -8% -5% -21% -13%
2/1/16 -0.00080 -0.01829 0.01034 -0.00398 2/1/16 -6% -9% -10% -9%
3/1/16 0.06960 0.09191 0.09531 0.09361 3/1/16 7% 7% 11% 9%
4/1/16 0.00920 0.03304 0.10962 0.07133 4/1/16 8% 12% 20% 16%
5/1/16 0.01780 0.06645 -0.03264 0.01691 5/1/16 3% 10% 8% 9%
6/1/16 -0.00050 -0.00850 0.02791 0.00970 6/1/16 2% 6% -0% 3%
7/1/16 0.03950 0.08938 0.03349 0.06144 7/1/16 4% 8% 6% 7%
8/1/16 0.00500 0.02619 0.01560 0.02089 8/1/16 4% 12% 5% 8%
9/1/16 0.00250 0.01601 0.00992 0.01296 9/1/16 1% 4% 3% 3%
10/1/16 -0.02020 -0.00884 -0.06875 -0.03880 10/1/16 -2% 1% -6% -3%
11/1/16 0.04860 0.04052 0.10946 0.07499 11/1/16 3% 3% 4% 4%
12/1/16 0.01810 0.00964 0.02704 0.01834 12/1/16 7% 5% 14% 9%
1/1/17 0.01940 0.02014 -0.06696 -0.02341 1/1/17 4% 3% -4% -1%
2/1/17 0.03570 0.07789 -0.01037 0.03376 2/1/17 6% 10% -8% 1%
3/1/17 0.00170 0.05503 -0.00673 0.02415 3/1/17 4% 13% -2% 6%
4/1/17 0.01090 0.06954 -0.01068 0.02943 4/1/17 1% 12% -2% 5%
5/1/17 0.01060 0.00971 -0.04846 -0.01937 5/1/17 2% 8% -6% 1%
6/1/17 0.00780 0.02288 0.01925 0.02106 6/1/17 2% 3% -3% 0%
7/1/17 0.01870 0.05517 -0.01744 0.01886 7/1/17 3% 8% 0% 4%
8/1/17 0.00160 0.00807 -0.05406 -0.02300 8/1/17 2% 6% -7% -0%
9/1/17 0.02510 0.04538 0.06611 0.05574 9/1/17 3% 5% 1% 3%
10/1/17 0.02250 0.02250 -0.01355 0.00448 10/1/17 5% 7% 5% 6%
11/1/17 0.03120 -0.01361 -0.01060 -0.01211 11/1/17 5% 1% -2% -1%
12/1/17 0.01060 -0.00282 0.03517 0.01617 12/1/17 4% -2% 2% 0%
1/1/18 0.05580 0.05480 -0.00559 0.02460 1/1/18 7% 5% 3% 4%
2/1/18 -0.03650 -0.02950 -0.08166 -0.05558 2/1/18 2% 3% -9% -3%
3/1/18 -0.02350 -0.03506 0.00420 -0.01543 3/1/18 -6% -6% -8% -7%
4/1/18 0.00290 0.01255 0.04787 0.03021 4/1/18 -2% -2% 5% 1%
5/1/18 0.02650 0.08450 0.10831 0.09641 5/1/18 3% 10% 16% 13%
6/1/18 0.00480 -0.00240 0.03258 0.01509 6/1/18 3% 8% 14% 11%
7/1/18 0.03190 0.04075 0.02368 0.03222 7/1/18 4% 4% 6% 5%
8/1/18 0.03440 0.05523 0.00593 0.03058 8/1/18 7% 10% 3% 6%
9/1/18 0.00060 0.00706 -0.03005 -0.01150 9/1/18 4% 6% -2% 2%
10/1/18 -0.07680 -0.09741 -0.05534 -0.07637 10/1/18 -8% -9% -9% -9%
11/1/18 0.01690 0.03275 0.00868 0.02071 11/1/18 -6% -6% -5% -6%
12/1/18 -0.09550 -0.09608 -0.13955 -0.11781 12/1/18 -8% -6% -13% -10%
1/1/19 0.08410 0.12155 0.11715 0.11935 1/1/19 -1% 3% -2% 0%
2/1/19 0.03400 0.07234 -0.00781 0.03227 2/1/19 12% 19% 11% 15%
3/1/19 0.01100 0.06250 -0.00548 0.02851 3/1/19 5% 13% -1% 6%
4/1/19 0.03960 0.07466 0.02905 0.05185 4/1/19 5% 14% 2% 8%
5/1/19 -0.06940 -0.03274 -0.11715 -0.07495 5/1/19 -3% 4% -9% -2%
6/1/19 0.06930 0.05501 0.10364 0.07932 6/1/19 -0% 2% -1% 0%
7/1/19 0.01190 0.01959 -0.04207 -0.01124 7/1/19 8% 7% 6% 7%
8/1/19 -0.02580 -0.01764 -0.10507 -0.06135 8/1/19 -1% 0% -15% -7%
9/1/19 0.01430 0.01502 0.05237 0.03370 9/1/19 -1% -0% -5% -3%
10/1/19 0.02060 0.06032 -0.06452 -0.00210 10/1/19 3% 8% -1% 3%
11/1/19 0.03870 0.09291 0.01435 0.05363 11/1/19 6% 15% -5% 5%
12/1/19 0.02770 0.02407 0.05163 0.03785 12/1/19 7% 12% 7% 9%
1/1/20 -0.00110 0.01865 -0.08031 -0.03083 1/1/20 3% 4% -3% 1%
2/1/20 -0.08130 -0.03281 -0.15512 -0.09396 2/1/20 -8% -1% -24% -12%
3/1/20 -0.13380 -0.09888 -0.33887 -0.21888 3/1/20 -22% -13% -49% -31%
4/1/20 0.13650 0.12809 0.32009 0.22409 4/1/20 0% 3% -2% 1%
5/1/20 0.05580 0.08359 -0.03328 0.02515 5/1/20 19% 21% 29% 25%
6/1/20 0.02460 0.11855 0.11148 0.11502 6/1/20 8% 20% 8% 14%
7/1/20 0.05770 0.07832 0.04371 0.06102 7/1/20 8% 20% 16% 18%
8/1/20 0.07630 0.12214 -0.04989 0.03613 8/1/20 13% 20% -1% 10%
9/1/20 -0.03630 -0.03818 -0.04641 -0.04229 9/1/20 4% 8% -10% -1%
10/1/20 -0.02100 -0.02760 0.00443 -0.01158 10/1/20 -6% -7% -4% -5%
11/1/20 0.12470 0.21250 0.28082 0.24666 11/1/20 10% 18% 29% 24%
12/1/20 0.04630 0.08660 0.01858 0.05259 12/1/20 17% 30% 30% 30%

Cummulative Return Comparison

Market 42036 42064 42095 42125 42156 42186 42217 42248 42278 42309 42339 42370 42401 42430 42461 42491 42522 42552 42583 42614 42644 42675 42705 42736 42767 42795 42826 42856 42887 42917 42948 42979 43009 43040 43070 43101 43132 43160 43191 43221 43252 43282 43313 43344 43374 43405 43435 43466 43497 43525 43556 43586 43617 43647 43678 43709 43739 43770 43800 43831 43862 43891 43922 43952 43983 44013 44044 44075 44105 44136 44166 3.0299999999999997E-2 5.0199999999999995E-2 -5.3000000000000018E-3 1.95E-2 -1.7000000000000001E-3 9.9999999999999395E-5 -4.4999999999999998E-2 -9.11E-2 4.6800000000000001E-2 8.3100000000000007E-2 -1.61E-2 -7.9399999999999998E-2 -5.8499999999999996E-2 6.88E-2 7.8799999999999995E-2 2.7E-2 1.7299999999999999E-2 3.9E-2 4.4499999999999998E-2 7.4999999999999997E-3 -1.77E-2 2.8400000000000005E-2 6.6700000000000009E-2 3.7500000000000006E-2 5.5099999999999996E-2 3.7399999999999996E-2 1.26E-2 2.1499999999999998E-2 1.84E-2 2.6500000000000003E-2 2.0300000000000002E-2 2.6699999999999998E-2 4.7599999999999996E-2 5.3699999999999998E-2 4.1800000000000004E-2 6.6400000000000001E-2 1.9300000000000005E-2 -0.06 -2.06E-2 2.9399999999999999E-2 3.1300000000000001E-2 3.6699999999999997E-2 6.6299999999999998E-2 3.5000000000000003E-2 -7.619999999999999E-2 -5.9899999999999995E-2 -7.8600000000000003E-2 -1.1399999999999993E-2 0.11810000000000001 4.5000000000000005E-2 5.0599999999999999E-2 -2.9800000000000007E-2 -1.0000000000000286E-4 8.1199999999999994E-2 -1.3900000000000001E-2 -1.15E-2 3.49E-2 5.9299999999999999E-2 6.6400000000000001E-2 2.6599999999999999E-2 -8.2400000000000015E-2 -0.21510000000000001 2.7000000000000079E-3 0.19230000000000003 8.0399999999999999E-2 8.2299999999999998E-2 0.13399999999999998 3.9999999999999994E-2 -5.7300000000000004E-2 0.1037 0.17100000000000001 Long Portfolio 42036 42064 42095 42125 42156 42186 42217 42248 42278 42309 42339 42370 42401 42430 42461 42491 42522 42552 42583 42614 42644 42675 42705 42736 42767 42795 42826 42856 42887 42917 42948 42979 43009 43040 43070 43101 43132 43160 43191 43221 43252 43282 43313 43344 43374 43405 43435 43466 43497 43525 43556 43586 43617 43647 43678 43709 43739 43770 43800 43831 43862 43891 43922 43952 43983 44013 44044 44075 44105 44136 44166 7.2520111022270101E-2 4.6411776198462512E-2 -3.473183108404887E-2 2.7852403462180209E-2 1.4580342710677568E-2 -2.4154901529916277E-2 -8.6508944996501427E-2 -0.11487405205803278 0.11638983832753845 0.17559888682218644 5.0014269986109972E-2 -4.5802146794823112E-2 -8.5525798552310059E-2 7.3616347991368306E-2 0.124953471025224 9.9496485099215881E-2 5.7952290739845841E-2 8.08816233839766E-2 0.11557227546912521 4.2194975388579928E-2 7.1670199554953774E-3 3.1679825634544662E-2 5.0160777580843585E-2 2.9779305248042391E-2 9.8022439432689401E-2 0.13291592945900421 0.12456964060380504 7.9253369909197555E-2 3.2591369399974951E-2 7.8044685291382809E-2 6.3233511471175674E-2 5.3441832887669447E-2 6.7879081034955671E-2 8.8896316797875737E-3 -1.6435152415525737E-2 5.1974041905937518E-2 2.5298517841925897E-2 -6.455464585961436E-2 -2.2510039488948148E-2 9.7052391533672094E-2 8.2108103975168656E-2 3.8358420461211976E-2 9.5983375504870683E-2 6.2286863659021946E-2 -9.035303570314189E-2 -6.466630872199855E-2 -6.3336843570563239E-2 2.546669216221939E-2 0.19389130705143703 0.13484603680861845 0.13716021090795827 4.1918368689844027E-2 2.226693812648084E-2 7.4599908816301477E-2 1.9559200329664628E-3 -2.6138090900196167E-3 7.5343334688757244E-2 0.15323031474070628 0.11698416686633577 4.272576325840477E-2 -1.4158854449341344E-2 -0.13169273651154079 2.9205301305942108E-2 0.21167152614422602 0.20213782779510353 0.19687707308362723 0.20046730730701273 8.3962340834403071E-2 -6.5775222645524739E-2 0.18490163746528221 0.29909644267748203 Short Portfolio 42036 42064 42095 42125 42156 42186 42217 42248 42278 42309 42339 42370 42401 42430 42461 42491 42522 42552 42583 42614 42644 42675 42705 42736 42767 42795 42826 42856 42887 42917 42948 42979 43009 43040 43070 43101 43132 43160 43191 43221 43252 43282 43313 43344 43374 43405 43435 43466 43497 43525 43556 43586 43617 43647 43678 43709 43739 43770 43800 43831 43862 43891 43922 43952 43983 44013 44044 44075 44105 44136 44166 5.3292813565672267E-2 4.1233521798381363E-2 4.5617260265248139E-3 2.6881968104185406E-2 -1.359701585792198E-2 -3.8071213449444571E-2 -0.12005614858342208 -0.20073116389276066 7.1075428748136188E-3 7.4921991231292784E-2 -0.12555544844119892 -0.21 083586305861857 -0.10201395148242588 0.10564987185492554 0.2049307777058936 7.6985183954820846E-2 -4.7255272771400923E-3 6.1400303388799093E-2 4.9090200951296542E-2 2.5521183820599792E-2 -5.8832939182520652E-2 4.0701618694275077E-2 0.13649084752362561 -3.9924316616039214E-2 -7.7334735413426114E-2 -1.7107654944272303E-2 -1.7411748391520265E-2 -5.9142061288216002E-2 -2.9216964208316504E-2 1.8082025936789724E-3 -7.1497175522590661E-2 1.2045767850098588E-2 5.2554042889020096E-2 -2.4154886771957595E-2 2.4564218238749415E-2 2.9577899870977014E-2 -8.7246446976125491E-2 -7.7453606006157222E-2 5.207567780511807E-2 0.1561838209951823 0.14089282348931187 5.6260884724691478E-2 2.9605697456901059E-2 -2.4125814515821582E-2 -8.5388724099053848E-2 -4.6656040072946603E-2 -0.13086765930365613 -2.2402311045225123E-2 0.10933476424069741 -1. 3291699909910399E-2 2.3569987024759816E-2 -8.8102216774946035E-2 -1.3509512108269964E-2 6.1568996751445802E-2 -0.14714444516615077 -5.2703773156106457E-2 -1.215488942808203E-2 -5.0172267170058446E-2 6.5976936906898959E-2 -2.8685311636079798E-2 -0.2354306106417409 -0.49398731708105925 -1.8779683421842885E-2 0.2868099771224501 7.8204026566497831E-2 0.1551927467617128 -6.183887602149038E-3 -9.6297715526778946E-2 -4.1972653475515397E-2 0.28525080655826263 0.29939535096995801 L-S Portfolio 42036 42064 42095 42125 42156 42186 42217 42248 42278 42309 42339 42370 42401 42430 42461 42491 42522 42552 42583 42614 42644 42675 42705 42736 42767 42795 42826 42856 42887 42917 42948 42979 43009 43040 43070 43101 43132 43160 43191 43221 43252 43282 43313 43344 43374 43405 43435 43466 43497 43525 43556 43586 43617 43647 43678 43709 43739 43770 43800 43831 43862 43891 43922 43952 43983 44013 44044 44075 44105 44136 44166 6.2906462293971177E-2 4.3822648998421934E-2 -1.5085052528762025E-2 2.7367185783182809E-2 4.9166342637779747E-4 -3.1113057489680424E-2 -0.10328254678996174 -0.15780260797539672 6.1748690601176021E-2 0.12526043902673961 -3.7770589227544477E-2 -0.12831900492672083 -9.3769875017367971E-2 8.9633109923146922E-2 0.1649421243655588 8.8240834527018364E-2 2.6613381731352873E-2 7.114096338638784E-2 8.2331238210210878E-2 3.3858079604589864E-2 -2.5832959613512639E-2 3.6190722164409876E-2 9.3325812552234613E-2 -5.0725056839984115E-3 1.034385200963164E-2 5.7904137257365956E-2 5.35 78946106142389E-2 1.0055654310490776E-2 1.6872025958292181E-3 3.9926443942530893E-2 -4.1318320257074971E-3 3.2743800368884017E-2 6.0216561961987887E-2 -7.6326275460850109E-3 4.0645329116118407E-3 4.0775970888457268E-2 -3.0973964567099797E-2 -7.1004125932885798E-2 1.4782819158084961E-2 0.12661810626442718 0.11150046373224026 4.7309652592951723E-2 6.2794536480885871E-2 1.9080524571600182E-2 -8.7870879901097862E-2 -5.5661174397472576E-2 -9.7102251437109682E-2 1.5321905584971263E-3 0.15161303564606721 6.0777168449354033E-2 8.0365098966359044E-2 -2.3091924042551004E-2 4.3787130091054449E-3 6.808445278387365E-2 -7.2594262566592155E-2 -2.7658791123063041E-2 3.1594222630337607E-2 5.1529023785323924E-2 9.1480551886617356E-2 7.0202258111624893E-3 -0.12479473254554112 -0.31284002679629996 5.2128089420496182E-3 0.24924075163333806 0.14017092718080068 0.17603490992267001 9.7141709852431854E-2 -6.1676873461879375E-3 -5.3873938060520071E-2 0.23507622201177242 0.29924589682372005

ABEV

ABEV
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Rf (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 34.209999 36.834999 31.885 36.040001 36.040001 95423400 1.00 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 36.099998 38.639999 35.505001 38.505001 38.505001 99312000 0.0683962245 1.07 0.0683962245 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 38.494999 41.334999 37.200001 40.375 40.375 78064600 0.0485650942 1.05 0.0485650942 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5356161719
4/1/15 40.314999 44.075001 38.529999 38.775002 38.775002 137075000 -0.0396284334 0.96 -0.0396284334 0.0059 -0.0304 0.0188 -0.0732 R Square 0.2868846836
5/1/15 38.904999 39.845001 38.075001 39.205002 39.205002 70144000 0.011089619 1.01 0.011089619 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2443106349
6/1/15 39.290001 43.150002 38.775002 41.720001 41.720001 72424400 0.0641499521 1.06 0.0641499521 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1068679349
7/1/15 42.130001 50.009998 41.654999 49.665001 49.665001 117772600 0.190436237 1.19 0.190436237 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 49.830002 50.91 40.060001 47.764999 47.764999 124133000 -0.0382563568 0.96 -0.0382563568 -0.0604 0.0044 0.0273 -0.0209
9/1/15 46.68 52.945 46.259998 48.389999 48.389999 124841000 0.0130848951 1.01 0.0130848951 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 48.529999 52.369999 44.005001 47.540001 47.540001 150088600 -0.0175655718 0.98 -0.0175655718 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 47.619999 48.77 42.095001 43.110001 43.110001 136937000 -0.0931846846 0.91 -0.0931846846 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.3078344607 0.0769586152 6.7384872273 0.0001278185
12/1/15 43.395 44.279999 38.889999 40.305 40.305 124259800 -0.0650661316 0.93 -0.0651661316 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.7651906197 0.0114207555
1/1/16 39.834999 43.145 31.615 42.715 42.715 227761800 0.0597940702 1.06 0.0596940702 -0.0576 -0.0336 0.0201 0.0134 Total 71 1.0730250805
2/1/16 42.400002 42.974998 35.165001 41.845001 41.845001 161189400 -0.020367529 0.98 -0.020567529 -0.0006 0.0083 -0.006 -0.0406
3/1/16 42.07 43.415001 39.450001 42.415001 42.415001 105838800 0.0136216988 1.01 0.0134216988 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 42.025002 47.950001 40.009998 43.939999 43.939999 143157300 0.0359542135 1.04 0.0358542135 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0037703053 0.0135737308 -0.277764852 0.7820482012 -0.0308635853 0.0233229747 -0.0308635853 0.0233229747
5/1/16 43.889999 44.099998 36.200001 37.73 37.73 136912300 -0.1413290656 0.86 -0.1414290656 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.7132550341 0.3243158565 2.1992604423 0.0313148793 0.0659178751 1.360592193 0.0659178751 1.360592193
6/1/16 37.73 40.279999 35.349998 40.130001 40.130001 161171600 0.063609886 1.06 0.063409886 -0.0003 0.0064 -0.014 0.0411 X Variable 2 1.4079258312 0.5512338717 2.5541351928 0.0129252709 0.3076584182 2.5081932442 0.3076584182 2.5081932442
7/1/16 40.119999 44.68 38.849998 39.459999 39.459999 101315900 -0.0166957883 0.98 -0.0168957883 0.0397 0.026 -0.0123 -0.0308 X Variable 3 1.1996638996 0.4933861309 2.4314909247 0.0177174561 0.2148610606 2.1844667386 0.2148610606 2.1844667386
8/1/16 39.549999 43.849998 37.23 39.630001 39.630001 82417400 0.004308211 1.00 0.004108211 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.4159645709 0.4202917529 0.9897043377 0.3258795082 -0.4229412789 1.2548704207 -0.4229412789 1.2548704207
9/1/16 39.869999 40.150002 37.720001 38.68 38.68 84321900 -0.0239717632 0.98 -0.0241717632 0.0027 0.0204 -0.0121 -0.0053
10/1/16 38.810001 39.200001 30.57 31.1 31.1 170872300 -0.195966908 0.80 -0.196166908 -0.02 -0.0443 0.0407 0.0069
11/1/16 31.26 32.610001 30.059999 30.799999 30.799999 117972600 -0.0096463344 0.99 -0.0097463344 0.0487 0.0547 0.0822 -0.0407
12/1/16 30.799999 33.450001 29 29.049999 29.049999 86922500 -0.0568181837 0.94 -0.0571181837 0.0184 0.0011 0.0351 -0.0038
1/1/17 29.34 31.059999 20.799999 21.49 21.49 120134000 -0.2602409384 0.74 -0.2606409384 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 21.65 22.34 20.440001 20.620001 20.620001 124389300 -0.0404838995 0.96 -0.0408838995 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 20.73 21.049999 18.4 19.780001 19.780001 113889500 -0.0407371464 0.96 -0.0410371464 0.002 0.0117 -0.0333 -0.0092
4/1/17 19.969999 22.120001 18.809999 21.49 21.49 121808300 0.0864509056 1.09 0.0859509056 0.0114 0.0072 -0.0211 0.0044
5/1/17 21.52 21.610001 18.35 19.16 19.16 98839300 -0.1084225221 0.89 -0.1090225221 0.0112 -0.0261 -0.0367 0.0146
6/1/17 19.24 23.459999 19.049999 21.76 21.76 113351000 0.1356993737 1.14 0.1350993737 0.0084 0.0215 0.0145 -0.0032
7/1/17 21.940001 22.370001 19.129999 20.02 20.02 87107500 -0.0799632353 0.92 -0.0806632353 0.0194 -0.0147 -0.0036 0.0166
8/1/17 19.1 19.450001 16.120001 16.15 16.15 111187500 -0.1933066933 0.81 -0.1942066933 0.0025 -0.0162 -0.0219 0.0355
9/1/17 16.209999 18.190001 15.92 16.48 16.48 81819200 0.0204334365 1.02 0.0195334365 0.026 0.0447 0.0314 -0.0118
10/1/17 16.459999 17.610001 12.48 12.52 12.52 152740700 -0.2402912621 0.76 -0.2411912621 0.0234 -0.0195 0.0012 0.043
11/1/17 12.47 13.88 11.4 13.29 13.29 160281000 0.0615015974 1.06 0.0607015974 0.032 -0.0058 -0.0009 -0.0071
12/1/17 13.3 16.190001 12.73 14.43 14.43 109711200 0.085778781 1.08 0.084878781 0.0115 -0.0129 0.0017 -0.0163
1/1/18 14.59 16.85 13.48 13.86 13.86 136540800 -0.0395010395 0.96 -0.0406010395 0.0569 -0.0309 -0.0132 0.0394
2/1/18 13.78 18.75 12.5 16.58 16.58 176457700 0.1962481962 1.20 0.1951481962 -0.0354 0.003 -0.0101 0.0397
3/1/18 16.690001 17.73 15.6 16.35 16.35 126556100 -0.0138721351 0.98 -0.0150721351 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 16 18.280001 15.85 17.76 17.76 117729600 0.0862385321 1.08 0.0848385321 0.0043 0.0113 0.005 0.0027
5/1/18 16.85 21.809999 16.41 20.9 20.9 128787500 0.1768018018 1.18 0.1754018018 0.0279 0.0528 -0.0315 0.038
6/1/18 21.200001 24.690001 21.07 22.48 22.48 129784200 0.0755980861 1.07 0.0741980861 0.0062 0.0119 -0.0231 -0.0238
7/1/18 22.290001 22.860001 19.76 19.969999 19.969999 98257000 -0.1116548488 0.89 -0.1132548488 0.0335 -0.0221 0.0057 -0.0167
8/1/18 19.84 22.08 18.9 20.450001 20.450001 93975500 0.0240361554 1.02 0.0224361554 0.036 0.0115 -0.0392 0.0522
9/1/18 20.51 21.610001 18.450001 21.219999 21.219999 84390500 0.0376527121 1.04 0.0361527121 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 21.379999 23.879999 17.34 22.110001 22.110001 144816400 0.0419416608 1.04 0.0400416608 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 22.110001 24.58 20.290001 23.879999 23.879999 98680700 0.08005418 1.08 0.07825418 0.0187 -0.0071 0.0034 -0.0133
12/1/18 24.43 24.959999 16.52 17.67 17.67 134621000 -0.2600502203 0.74 -0.2619502203 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 17.440001 21.52 17.110001 20.74 20.74 83496800 0.1737408036 1.17 0.1716408036 0.0862 0.0289 -0.0046 -0.0865
2/1/19 20.690001 23.08 19.75 22.549999 22.549999 137525600 0.0872709257 1.09 0.0854709257 0.0358 0.0212 -0.0271 0.0086
3/1/19 22.91 23.41 20.450001 21.139999 21.139999 78115600 -0.062527719 0.94 -0.064427719 0.0129 -0.0305 -0.0419 0.0214
4/1/19 21.280001 23.17 20.559999 23.09 23.09 76256100 0.0922422466 1.09 0.0901422466 0.0417 -0.0175 0.0202 -0.0255
5/1/19 23.16 24.309999 20.84 22.799999 22.799999 133275500 -0.0125595929 0.99 -0.0146595929 -0.0673 -0.0118 -0.0228 0.076
6/1/19 22.73 27.5 22.709999 25.35 25.35 92508000 0.111842154 1.11 0.110042154 0.0711 0.0022 -0.0079 -0.0214
7/1/19 25.809999 27.719999 22.049999 23.07 23.07 103837600 -0.0899408284 0.91 -0.0918408284 0.0138 -0.0208 0.0034 0.0272
8/1/19 23.049999 23.16 17.639999 18.610001 18.610001 110116600 -0.1933246207 0.81 -0.1949246207 -0.0242 -0.024 -0.0485 0.0764
9/1/19 18.610001 21.879999 18.24 19.940001 19.940001 78627300 0.0714669494 1.07 0.0696669494 0.0161 -0.0105 0.0677 -0.0685
10/1/19 20.01 21.469999 18.68 20.65 20.65 72877000 0.0356067685 1.03 0.0341067685 0.0221 0.0024 -0.0188 0.0029
11/1/19 20.809999 21.309999 16.74 18.889999 18.889999 144497700 -0.0852300726 0.91 -0.0864300726 0.0399 0.0091 -0.0205 -0.026
12/1/19 18.950001 21.889999 17.91 21.6 21.6 80278900 0.1434622098 1.14 0.1420622098 0.0291 0.0067 0.0191 -0.0227
1/1/20 21.83 21.959999 19.549999 20.18 20.18 104085900 -0.0657407407 0.93 -0.0670407407 0.0002 -0.0308 -0.0627 0.0543
2/1/20 20.33 21.16 13.51 14.19 14.19 194793200 -0.2968285431 0.70 -0.2980285431 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 14.36 14.37 7.61 9.21 9.21 155363700 -0.3509513742 0.65 -0.3521513742 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 8.78 11.31 7.39 10.42 10.42 109558600 0.1313789359 1.13 0.1313789359 0.1365 0.0275 -0.0139 -0.0549
5/1/20 10.08 10.15 7.15 8.75 8.75 244854600 -0.160268714 0.84 -0.160368714 0.0559 0.0249 -0.0505 0.0067
6/1/20 8.82 11.8 8.73 9.74 9.74 187970200 0.1131428571 1.11 0.1130428571 0.0247 0.0271 -0.0235 -0.0075
7/1/20 9.68 11.9 9.07 10.52 10.52 175710200 0.0800821355 1.08 0.0799821355 0.0578 -0.0218 -0.0139 0.0761
8/1/20 10.62 11.32 9.63 9.81 9.81 132153600 -0.0674904943 0.93 -0.0675904943 0.0764 -0.0025 -0.0294 0.0051
9/1/20 9.72 12.42 9.66 11.23 11.23 172138900 0.1447502548 1.14 0.1446502548 -0.0362 0.0006 -0.0251 0.0305
10/1/20 11.37 15.39 11.34 13.84 13.84 166400200 0.232413179 1.23 0.232313179 -0.0209 0.0444 0.0403 -0.0303
11/1/20 14.14 17.15 14.01 16.57 16.57 128665500 0.1972543353 1.20 0.1971543353 0.1248 0.0548 0.0211 -0.1225
12/1/20 16.780001 17.940001 16.219999 17.17 17.17 112077200 0.0362100181 1.04 0.0361100181 0.0464 0.0491 -0.0146 -0.0234

AMAT

AMAT
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Rf (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 24.99 25.16 22.790001 22.84 20.796827 277572000 1.00 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 22.92 25.57 22.290001 25.049999 22.809132 292385700 0.096760193 1.10 0.096760193 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 24.940001 25.639999 21.799999 22.559999 20.627327 356468700 -0.095654889 0.90 -0.095654889 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.6932013122
4/1/15 22.530001 22.709999 19.629999 19.790001 18.094627 639079300 -0.122783723 0.88 -0.122783723 0.0059 -0.0304 0.0188 -0.0732 R Square 0.4805280593
5/1/15 19.93 20.6 19.17 20.129999 18.405499 425587000 0.017180349 1.02 0.017180349 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.4495148091
6/1/15 20.030001 20.59 19.059999 19.219999 17.660929 324240500 -0.040453671 0.96 -0.040453671 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0739983037
7/1/15 19.34 19.719999 17.129999 17.360001 15.951812 359212200 -0.096773901 0.90 -0.096773901 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 17.459999 17.690001 14.25 16.09 14.78483 403004100 -0.073156705 0.93 -0.073156705 -0.0604 0.0044 0.0273 -0.0209
9/1/15 15.68 16.309999 14.29 14.69 13.57812 348502000 -0.081618118 0.92 -0.081618118 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 14.72 16.83 14.44 16.77 15.500691 362991700 0.141593313 1.14 0.141593313 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 16.790001 18.92 16.5 18.77 17.349314 237923300 0.119260683 1.12 0.119260683 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.3393712038 0.0848428009 15.4942824844 0.0000000051
12/1/15 18.74 19.41 17.82 18.67 17.354706 284412200 0.00031079 1.00 0.00021079 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.3668751792 0.0054757489
1/1/16 18.309999 18.629999 15.85 17.65 16.406565 364799800 -0.054633078 0.95 -0.054733078 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.706246383
2/1/16 17.450001 19.23 15.44 18.870001 17.540617 271878000 0.069121842 1.07 0.068921842 -0.0006 0.0083 -0.006 -0.0406
3/1/16 19.09 21.41 18.76 21.18 19.794355 259469500 0.128486814 1.13 0.128286814 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 20.99 21.67 20.17 20.469999 19.130808 220915100 -0.033522032 0.97 -0.033622032 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0104449177 0.0093988253 1.1113003355 0.2704111528 -0.0083152161 0.0292050516 -0.0083152161 0.0292050516
5/1/16 20.5 24.58 19.459999 24.42 22.82239 318169200 0.192965295 1.19 0.192865295 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.1864041711 0.2245652379 5.2831158658 0.0000014873 0.7381700803 1.6346382619 0.7381700803 1.6346382619
6/1/16 24.299999 24.65 22.17 23.969999 22.500082 312526900 -0.014122447 0.99 -0.014322447 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.4582284907 0.3816895259 1.2005267622 0.2341622424 -0.3036269917 1.2200839731 -0.3036269917 1.2200839731
7/1/16 23.77 27.110001 23.49 26.290001 24.677814 220545400 0.096787736 1.10 0.096587736 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.0326696528 0.3416341558 -0.0956275954 0.9241017944 -0.7145742817 0.6492349761 -0.7145742817 0.6492349761
8/1/16 26.41 30.27 25.68 29.84 28.010115 293294300 0.13503226 1.13 0.13483226 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.4074597261 0.2910215938 -1.4001013492 0.1660967427 -0.9883412585 0.1734218063 -0.9883412585 0.1734218063
9/1/16 29.940001 31.07 28.530001 30.15 28.398527 290903100 0.013866848 1.01 0.013666848 0.0027 0.0204 -0.0121 -0.0053
10/1/16 30.18 30.4 27.559999 29.08 27.390688 239841100 -0.035489129 0.96 -0.035689129 -0.02 -0.0443 0.0407 0.0069
11/1/16 29.110001 32.540001 28.02 32.200001 30.329439 253655700 0.107290149 1.11 0.107190149 0.0487 0.0547 0.0822 -0.0407
12/1/16 32.139999 33.68 29.85 32.27 30.492641 205985500 0.005380977 1.01 0.005080977 0.0184 0.0011 0.0351 -0.0038
1/1/17 32.360001 35.150002 31.66 34.25 32.363583 183134100 0.061357165 1.06 0.060957165 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 34.59 36.82 34.5 36.220001 34.22509 202717500 0.05751857 1.06 0.05711857 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 36.52 39.810001 36.330002 38.900002 36.862259 196209500 0.077053676 1.08 0.076753676 0.002 0.0117 -0.0333 -0.0092
4/1/17 38.990002 41.82 37.41 40.610001 38.482677 145367700 0.043958728 1.04 0.043458728 0.0114 0.0072 -0.0211 0.0044
5/1/17 40.98 46.040001 40.849998 45.880001 43.476608 230868800 0.129770884 1.13 0.129170884 0.0112 -0.0261 -0.0367 0.0146
6/1/17 45.970001 47.860001 40.790001 41.310001 39.233723 244092000 -0.097590065 0.90 -0.098190065 0.0084 0.0215 0.0145 -0.0032
7/1/17 41.330002 47.59 40.98 44.310001 42.082939 194338500 0.072621607 1.07 0.071921607 0.0194 -0.0147 -0.0036 0.0166
8/1/17 44.389999 45.490002 41.939999 45.119999 42.85223 226591700 0.018280353 1.02 0.017380353 0.0025 -0.0162 -0.0219 0.0355
9/1/17 45.189999 52.279999 43.869999 52.09 49.586407 224927600 0.157148811 1.16 0.156248811 0.026 0.0447 0.0314 -0.0118
10/1/17 52.209999 56.82 50.77 56.43 53.717812 214988600 0.083317289 1.08 0.082417289 0.0234 -0.0195 0.0012 0.043
11/1/17 57 60.889999 51.59 52.77 50.233723 228866300 -0.064859101 0.93 -0.065659101 0.032 -0.0058 -0.0009 -0.0071
12/1/17 52 54.25 48.25 51.119999 48.745926 240811900 -0.029617494 0.97 -0.030517494 0.0115 -0.0129 0.0017 -0.0163
1/1/18 51.68 58.73 51.220001 53.630001 51.139362 261782700 0.049100226 1.05 0.048000226 0.0569 -0.0309 -0.0132 0.0394
2/1/18 53.16 59 45.130001 57.59 54.915455 337379000 0.073839267 1.07 0.072739267 -0.0354 0.003 -0.0101 0.0397
3/1/18 57.540001 62.400002 53.73 55.610001 53.12394 323026600 -0.032623148 0.97 -0.033823148 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 55.27 58.400002 47.740002 49.669998 47.449482 274419500 -0.106815458 0.89 -0.108215458 0.0043 0.0113 0.005 0.0027
5/1/18 49.740002 56.939999 48.529999 50.779999 48.509861 326039800 0.022347536 1.02 0.020947536 0.0279 0.0528 -0.0315 0.038
6/1/18 51.299999 53.23 44.57 46.189999 44.301392 300989700 -0.086754918 0.91 -0.088154918 0.0062 0.0119 -0.0231 -0.0238
7/1/18 45.099998 49.48 44.740002 48.630001 46.641624 215355400 0.052825248 1.05 0.051225248 0.0335 -0.0221 0.0057 -0.0167
8/1/18 48.889999 50.389999 42.52 43.02 41.261005 276552000 -0.115360885 0.88 -0.116960885 0.036 0.0115 -0.0392 0.0522
9/1/18 42.84 43 37.389999 38.650002 37.239887 247698300 -0.097455648 0.90 -0.098955648 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 38.5 39.650002 30.530001 32.880001 31.680401 321299800 -0.149288477 0.85 -0.151188477 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 32.98 37.279999 32.07 37.279999 35.919868 260792300 0.133819865 1.13 0.132019865 0.0187 -0.0071 0.0034 -0.0133
12/1/18 38.299999 38.639999 28.790001 32.740002 31.722879 264368600 -0.116843108 0.88 -0.118743108 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 32.040001 40 31.48 39.080002 37.865917 249011700 0.193646926 1.19 0.191546926 0.0862 0.0289 -0.0046 -0.0865
2/1/19 39.080002 41.240002 37.919998 38.34 37.148903 221789600 -0.018935604 0.98 -0.020735604 0.0358 0.0212 -0.0271 0.0086
3/1/19 38.66 41.990002 36.799999 39.66 38.624458 209348100 0.039720015 1.04 0.037820015 0.0129 -0.0305 -0.0419 0.0214
4/1/19 40.299999 45.75 40.209999 44.07 42.919308 166338300 0.111195088 1.11 0.109095088 0.0417 -0.0175 0.0202 -0.0255
5/1/19 44.040001 44.669998 38.400002 38.689999 37.679779 232766800 -0.122078599 0.88 -0.124178599 -0.0673 -0.0118 -0.0228 0.076
6/1/19 38.970001 45.389999 38.540001 44.91 43.961071 200453900 0.166701933 1.16 0.164901933 0.0711 0.0022 -0.0079 -0.0214
7/1/19 46.630001 52.419998 42.880001 49.369999 48.326832 204337500 0.099309705 1.10 0.097409705 0.0138 -0.0208 0.0034 0.0272
8/1/19 49.439999 51.049999 44.619999 48.02 47.005352 175689600 -0.027344644 0.97 -0.028944644 -0.0242 -0.024 -0.0485 0.0764
9/1/19 47.639999 52.619999 47.16 49.900002 49.066128 144479600 0.043841306 1.04 0.042041306 0.0161 -0.0105 0.0677 -0.0685
10/1/19 50.41 57.290001 48.779999 54.259998 53.353268 158035400 0.087374736 1.09 0.085874736 0.0221 0.0024 -0.0188 0.0029
11/1/19 54.93 63.07 54.41 57.900002 56.932446 163724200 0.067084513 1.07 0.065884513 0.0399 0.0091 -0.0205 -0.026
12/1/19 58.139999 62 54.950001 61.040001 60.227512 130725000 0.057876769 1.06 0.056476769 0.0291 0.0067 0.0191 -0.0227
1/1/20 62 64.93 57.529999 57.990002 57.218117 141444900 -0.049967115 0.95 -0.051267115 0.0002 -0.0308 -0.0627 0.0543
2/1/20 58.68 69.440002 54.080002 58.119999 57.346382 190766100 0.002241685 1.00 0.001041685 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 58.700001 61.380001 36.639999 45.82 45.35257 278980900 -0.209146795 0.79 -0.210346795 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 43.830002 54.650002 41.580002 49.68 49.173195 196898700 0.084242745 1.08 0.084242745 0.1365 0.0275 -0.0139 -0.0549
5/1/20 48.080002 58.16 46.220001 56.18 55.606884 195045400 0.130837319 1.13 0.130737319 0.0559 0.0249 -0.0505 0.0067
6/1/20 55.630001 62.330002 54.52 60.450001 60.071575 162975500 0.080290257 1.08 0.080190257 0.0247 0.0271 -0.0235 -0.0075
7/1/20 60.43 65.330002 59.540001 64.330002 63.927288 126161300 0.064185316 1.06 0.064085316 0.0578 -0.0218 -0.0139 0.0761
8/1/20 64.790001 69.900002 61.290001 61.599998 61.214375 162658700 -0.04243748 0.96 -0.04253748 0.0764 -0.0025 -0.0294 0.0051
9/1/20 61.98 65.300003 54.150002 59.450001 59.274136 205468200 -0.031695807 0.97 -0.031795807 -0.0362 0.0006 -0.0251 0.0305
10/1/20 60.369999 65.419998 56.869999 59.23 59.054787 141605000 -0.003700585 1.00 -0.003800585 -0.0209 0.0444 0.0403 -0.0303
11/1/20 59.950001 83.529999 59.529999 82.480003 82.236015 169506500 0.392537662 1.39 0.392437662 0.1248 0.0548 0.0211 -0.1225
12/1/20 83.050003 90.610001 82.879997 86.300003 86.300003 126017600 0.049418591 1.05 0.049318591 0.0464 0.0491 -0.0146 -0.0234

AMD

AMD
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 2.67 2.84 2.14 2.57 2.57 435408400 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 2.69 3.37 2.65 3.11 3.11 339665200 0.210116732 1.210116732 0.210116732 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 3.13 3.23 2.53 2.68 2.68 269815500 -0.138263666 0.861736334 -0.138263666 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5821274113
4/1/15 2.66 2.94 2.25 2.26 2.26 335187000 -0.156716418 0.843283582 -0.156716418 0.0059 -0.0304 0.0188 -0.0732 R Square 0.338872323
5/1/15 2.26 2.39 2.2 2.28 2.28 210397100 0.008849558 1.008849558 0.008849558 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2994020139
6/1/15 2.29 2.67 2.25 2.4 2.4 389269100 0.052631579 1.052631579 0.052631579 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1416184996
7/1/15 2.47 2.63 1.61 1.93 1.93 406747300 -0.195833333 0.804166667 -0.195833333 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 1.93 2.21 1.65 1.81 1.81 252729100 -0.062176166 0.937823834 -0.062176166 -0.0604 0.0044 0.0273 -0.0209
9/1/15 1.77 2.14 1.65 1.72 1.72 188468000 -0.049723757 0.950276243 -0.049723757 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 1.77 2.21 1.72 2.12 2.12 205349000 0.23255814 1.23255814 0.23255814 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 2.13 2.4 1.94 2.36 2.36 136451200 0.113207547 1.113207547 0.113207547 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.6887562319 0.172189058 8.5854996053 0.0000117843
12/1/15 2.36 3.06 2.2 2.87 2.87 266450600 0.216101695 1.216001695 0.216001695 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 1.3437385609 0.0200557994
1/1/16 2.77 2.82 1.75 2.2 2.2 355489300 -0.233449477 0.766450523 -0.233549477 -0.0576 -0.0336 0.0201 0.0134 Total 71 2.0324947927
2/1/16 2.17 2.19 1.81 2.14 2.14 192749800 -0.027272727 0.972527273 -0.027472727 -0.0006 0.0083 -0.006 -0.0406
3/1/16 2.16 2.98 2.12 2.85 2.85 333321700 0.331775701 1.331575701 0.331575701 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 2.79 3.99 2.6 3.55 3.55 472576300 0.245614035 1.245514035 0.245514035 0.0093 0.0069 0.0328 -0.0626 Intercept 0.032976067 0.0179875412 1.8332726279 0.0712046538 -0.0029272156 0.0688793495 -0.0029272156 0.0688793495
5/1/16 3.58 4.71 3.45 4.57 4.57 394438600 0.287323944 1.287223944 0.287223944 0.0179 -0.0027 -0.016 0.0214 X Variable 1 2.3038531986 0.4297746093 5.3606079767 0.0000011027 1.4460194882 3.1616869091 1.4460194882 3.1616869091
6/1/16 4.6 5.52 4.07 5.14 5.14 625642500 0.124726477 1.124526477 0.124526477 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.0754040207 0.7304802311 0.1032252722 0.9180925361 -1.3826406231 1.5334486645 -1.3826406231 1.5334486645
7/1/16 5.09 7.16 4.82 6.86 6.86 700562400 0.33463035 1.33443035 0.33443035 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.4113121186 0.6538219682 -0.629088863 0.5314300129 -1.7163462291 0.8937219919 -1.7163462291 0.8937219919
8/1/16 6.89 8 6.15 7.4 7.4 606398900 0.078717201 1.078517201 0.078517201 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.3770546564 0.5569592736 0.6769878415 0.5007444694 -0.7346407065 1.4887500194 -0.7346407065 1.4887500194
9/1/16 7.18 7.64 5.66 6.91 6.91 1041904000 -0.066216216 0.933583784 -0.066416216 0.0027 0.0204 -0.0121 -0.0053
10/1/16 6.95 7.53 6.24 7.23 7.23 869559700 0.046309696 1.046109696 0.046109696 -0.02 -0.0443 0.0407 0.0069
11/1/16 7.32 9.23 6.22 8.91 8.91 990277900 0.232365145 1.232265145 0.232265145 0.0487 0.0547 0.0822 -0.0407
12/1/16 8.92 12.42 8.26 11.34 11.34 1155647500 0.272727273 1.272427273 0.272427273 0.0184 0.0011 0.0351 -0.0038
1/1/17 11.42 11.69 9.42 10.37 10.37 878890400 -0.085537919 0.914062081 -0.085937919 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 10.9 15.55 10.81 14.46 14.46 1571999700 0.394406943 1.394006943 0.394006943 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 15.08 15.09 12.38 14.55 14.55 1733593200 0.006224066 1.005924066 0.005924066 0.002 0.0117 -0.0333 -0.0092
4/1/17 14.6 14.74 12.22 13.3 13.3 943383500 -0.085910653 0.913589347 -0.086410653 0.0114 0.0072 -0.0211 0.0044
5/1/17 13.43 13.63 9.85 11.19 11.19 1716437000 -0.158646617 0.840753383 -0.159246617 0.0112 -0.0261 -0.0367 0.0146
6/1/17 11.25 14.67 10.57 12.48 12.48 2208152100 0.115281501 1.114681501 0.114681501 0.0084 0.0215 0.0145 -0.0032
7/1/17 12.57 15.65 12.13 13.61 13.61 1710461400 0.090544872 1.089844872 0.089844872 0.0194 -0.0147 -0.0036 0.0166
8/1/17 13.72 13.93 11.86 13 13 1190382100 -0.044819985 0.954280015 -0.045719985 0.0025 -0.0162 -0.0219 0.0355
9/1/17 13.12 14.24 12.04 12.75 12.75 1209201600 -0.019230769 0.979869231 -0.020130769 0.026 0.0447 0.0314 -0.0118
10/1/17 12.8 14.41 10.65 10.99 10.99 1358068500 -0.138039216 0.861060784 -0.138939216 0.0234 -0.0195 0.0012 0.043
11/1/17 11.25 12.27 10.66 10.89 10.89 1039199400 -0.009099181 0.990100819 -0.009899181 0.032 -0.0058 -0.0009 -0.0071
12/1/17 10.81 11.19 9.7 10.28 10.28 795755000 -0.056014692 0.943085308 -0.056914692 0.0115 -0.0129 0.0017 -0.0163
1/1/18 10.42 13.85 10.34 13.74 13.74 1335288900 0.336575875 1.335475875 0.335475875 0.0569 -0.0309 -0.0132 0.0394
2/1/18 13.62 13.84 10.63 12.11 12.11 1103985800 -0.118631732 0.880268268 -0.119731732 -0.0354 0.003 -0.0101 0.0397
3/1/18 12.26 12.82 9.79 10.05 10.05 1483511900 -0.170107349 0.828692651 -0.171307349 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 9.99 11.36 9.04 10.88 10.88 1163360900 0.082587065 1.081187065 0.081187065 0.0043 0.0113 0.005 0.0027
5/1/18 10.83 13.95 10.77 13.73 13.73 1020602700 0.261948529 1.260548529 0.260548529 0.0279 0.0528 -0.0315 0.038
6/1/18 13.98 17.34 13.92 14.99 14.99 1632781900 0.091769847 1.090369847 0.090369847 0.0062 0.0119 -0.0231 -0.0238
7/1/18 14.8 20.18 14.74 18.33 18.33 1456419400 0.22281521 1.22121521 0.22121521 0.0335 -0.0221 0.0057 -0.0167
8/1/18 18.34 27.299999 18 25.17 25.17 2201119100 0.373158756 1.371558756 0.371558756 0.036 0.0115 -0.0392 0.0522
9/1/18 25.620001 34.139999 25.57 30.889999 30.889999 3063055900 0.227254629 1.225754629 0.225754629 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 30.690001 31.91 16.17 18.209999 18.209999 2655213100 -0.410488845 0.587611155 -0.412388845 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 18.41 22.219999 17.18 21.299999 21.299999 2140346900 0.169686994 1.167886994 0.167886994 0.0187 -0.0071 0.0034 -0.0133
12/1/18 22.48 23.75 16.030001 18.459999 18.459999 1981674300 -0.13333334 0.86476666 -0.13523334 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 18.01 25.139999 16.940001 24.41 24.41 2311913200 0.322318598 1.320218598 0.320218598 0.0862 0.0289 -0.0046 -0.0865
2/1/19 24.610001 25.52 22.27 23.530001 23.530001 1301360800 -0.036050758 0.962149242 -0.037850758 0.0358 0.0212 -0.0271 0.0086
3/1/19 23.969999 28.110001 21.040001 25.52 25.52 1499160400 0.08457284 1.08267284 0.08267284 0.0129 -0.0305 -0.0419 0.0214
4/1/19 26.42 29.950001 25.83 27.629999 27.629999 1275793800 0.082680212 1.080580212 0.080580212 0.0417 -0.0175 0.0202 -0.0255
5/1/19 28.950001 29.67 26.030001 27.41 27.41 1675142900 -0.007962324 0.989937676 -0.010062324 -0.0673 -0.0118 -0.0228 0.076
6/1/19 28.75 34.299999 27.290001 30.370001 30.370001 1578411200 0.107989821 1.106189821 0.106189821 0.0711 0.0022 -0.0079 -0.0214
7/1/19 31.790001 34.860001 30.1 30.450001 30.450001 1155469400 0.002634178 1.000734178 0.000734178 0.0138 -0.0208 0.0034 0.0272
8/1/19 30.5 35.549999 27.65 31.450001 31.450001 1645871800 0.032840721 1.031240721 0.031240721 -0.0242 -0.024 -0.0485 0.0764
9/1/19 30.83 32.049999 28.35 28.99 28.99 1012749700 -0.078219425 0.919980575 -0.080019425 0.0161 -0.0105 0.0677 -0.0685
10/1/19 29.049999 34.34 27.43 33.93 33.93 1067281800 0.170403587 1.168903587 0.168903587 0.0221 0.0024 -0.0188 0.0029
11/1/19 34.369999 41.790001 34.099998 39.150002 39.150002 1202279900 0.153846213 1.152646213 0.152646213 0.0399 0.0091 -0.0205 -0.026
12/1/19 39.32 47.310001 37.150002 45.860001 45.860001 982440800 0.171392047 1.169992047 0.169992047 0.0291 0.0067 0.0191 -0.0227
1/1/20 46.860001 52.810001 46.099998 47 47 1227882000 0.024858242 1.023558242 0.023558242 0.0002 -0.0308 -0.0627 0.0543
2/1/20 46.400002 59.27 41.040001 45.48 45.48 1283576300 -0.032340426 0.966459574 -0.033540426 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 47.419998 50.200001 36.75 45.48 45.48 2095887300 0 0.9988 -0.0012 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 44.18 58.630001 41.700001 52.389999 52.389999 1714919300 0.151934894 1.151934894 0.151934894 0.1365 0.0275 -0.0139 -0.0549
5/1/20 51.07 56.98 49.09 53.799999 53.799999 1193177700 0.026913534 1.026813534 0.026813534 0.0559 0.0249 -0.0505 0.0067
6/1/20 53.310001 59 48.419998 52.610001 52.610001 1174606200 -0.022118922 0.977781078 -0.022218922 0.0247 0.0271 -0.0235 -0.0075
7/1/20 52.630001 78.959999 51.599998 77.43 77.43 1563822600 0.471773399 1.471673399 0.471673399 0.0578 -0.0218 -0.0139 0.0761
8/1/20 78.190002 92.639999 76.099998 90.82 90.82 1220524100 0.172930389 1.172830389 0.172830389 0.0764 -0.0025 -0.0294 0.0051
9/1/20 91.919998 94.279999 73.849998 81.989998 81.989998 1168554500 -0.097225303 0.902674697 -0.097325303 -0.0362 0.0006 -0.0251 0.0305
10/1/20 83.059998 88.720001 74.230003 75.290001 75.290001 1181161700 -0.081717248 0.918182752 -0.081817248 -0.0209 0.0444 0.0403 -0.0303
11/1/20 75.849998 92.739998 73.760002 92.660004 92.660004 907041400 0.230707966 1.230607966 0.230607966 0.1248 0.0548 0.0211 -0.1225
12/1/20 92.25 97.980003 89.029999 91.709999 91.709999 848860700 -0.01025259 0.98964741 -0.01035259 0.0464 0.0491 -0.0146 -0.0234

AR

AR
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 40.599998 42.419998 33.25 34.650002 34.650002 40526600 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 35.369999 42.259998 35 39.450001 39.450001 31882200 0.138528102 1.138528102 0.138528102 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 39.450001 39.450001 33.68 35.32 35.32 43581500 -0.104689503 0.895310497 -0.104689503 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.4683782411
4/1/15 35.389999 44.830002 34.990002 44.310001 44.310001 34219600 0.25453004 1.25453004 0.25453004 0.0059 -0.0304 0.0188 -0.0732 R Square 0.2193781767
5/1/15 44.380001 46.060001 39.470001 40.009998 40.009998 35735800 -0.097043622 0.902956378 -0.097043622 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.1727738888
6/1/15 40.110001 40.52 33.889999 34.34 34.34 34611600 -0.141714528 0.858285472 -0.141714528 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.3738857021
7/1/15 34.330002 34.560001 27.23 27.51 27.51 56321700 -0.198893419 0.801106581 -0.198893419 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 27.09 28.01 21.540001 25.84 25.84 52989400 -0.060705198 0.939294802 -0.060705198 -0.0604 0.0044 0.0273 -0.0209
9/1/15 25.27 26.790001 20 21.16 21.16 50780500 -0.181114551 0.818885449 -0.181114551 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 21.450001 26.59 20.52 23.57 23.57 54958300 0.11389414 1.11389414 0.11389414 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 22.959999 26.42 20.32 20.610001 20.610001 46902800 -0.125583326 0.874416674 -0.125583326 0.0056 0.0368 -0.0049 0.0221 Regression 4 2.632117374 0.6580293435 4.7072530518 0.0020816433
12/1/15 20.68 23.629999 18.5 21.799999 21.799999 88996400 0.057738862 1.057638862 0.057638862 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 9.3659647206 0.1397905182
1/1/16 21.75 27.74 19 27.17 27.17 58498400 0.246330332 1.246230332 0.246230332 -0.0576 -0.0336 0.0201 0.0134 Total 71 11.9980820945
2/1/16 25.83 27.85 22.51 22.85 22.85 63534700 -0.158998896 0.840801104 -0.159198896 -0.0006 0.0083 -0.006 -0.0406
3/1/16 22.440001 26.780001 21.450001 24.870001 24.870001 86892200 0.08840267 1.08820267 0.08820267 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 24.68 30.66 24.26 28.299999 28.299999 51876200 0.137917083 1.137817083 0.137817083 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0266859927 0.0474887427 -0.5619435513 0.576029621 -0.1214739198 0.0681019344 -0.1214739198 0.0681019344
5/1/16 27.959999 29.129999 25.07 29.030001 29.030001 55571600 0.025795125 1.025695125 0.025695125 0.0179 -0.0027 -0.016 0.0214 X Variable 1 3.342599547 1.134644005 2.9459456289 0.0044247442 1.0778406341 5.60735846 1.0778406341 5.60735846
6/1/16 28.790001 30.5 25.83 25.98 25.98 106344400 -0.105063758 0.894736242 -0.105263758 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.4470809586 1.92853416 0.2318242362 0.8173811268 -3.4022893357 4.2964512529 -3.4022893357 4.2964512529
7/1/16 26.1 28.24 24.83 26.190001 26.190001 61766500 0.008083179 1.007883179 0.007883179 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.3723536497 1.7261493828 -0.2157134564 0.8298664675 -3.8177622381 3.0730549387 -3.8177622381 3.0730549387
8/1/16 26.02 28.23 25.110001 25.559999 25.559999 78835500 -0.024055058 0.975744942 -0.024255058 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -1.562437437 1.4704230711 -1.062576797 0.2917889071 -4.4974141709 1.3725392968 -4.4974141709 1.3725392968
9/1/16 25.48 27.98 25.26 26.950001 26.950001 61434800 0.054381927 1.054181927 0.054181927 0.0027 0.0204 -0.0121 -0.0053
10/1/16 26.93 28.299999 24.9 26.469999 26.469999 65106300 -0.017810834 0.981989166 -0.018010834 -0.02 -0.0443 0.0407 0.0069
11/1/16 26.610001 26.65 23.58 24.49 24.49 82799200 -0.074801627 0.925098373 -0.074901627 0.0487 0.0547 0.0822 -0.0407
12/1/16 25.09 27.23 23.6 23.65 23.65 68218400 -0.034299714 0.965400286 -0.034599714 0.0184 0.0011 0.0351 -0.0038
1/1/17 23.889999 26.26 23.07 24.41 24.41 69267200 0.032135307 1.031735307 0.031735307 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 24.620001 26.6 23.549999 23.98 23.98 64119500 -0.017615731 0.981984269 -0.018015731 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 24.4 24.99 22.08 22.809999 22.809999 79000500 -0.048790701 0.950909299 -0.049090701 0.002 0.0117 -0.0333 -0.0092
4/1/17 22.809999 23.559999 20.870001 21.190001 21.190001 61682600 -0.071021397 0.928478603 -0.071521397 0.0114 0.0072 -0.0211 0.0044
5/1/17 21.18 22.49 20.129999 20.57 20.57 79469400 -0.02925913 0.97014087 -0.02985913 0.0112 -0.0261 -0.0367 0.0146
6/1/17 20.58 22.68 19.51 21.610001 21.610001 89658300 0.050559115 1.049959115 0.049959115 0.0084 0.0215 0.0145 -0.0032
7/1/17 21.66 22.379999 20.299999 20.620001 20.620001 53173100 -0.045812122 0.953487878 -0.046512122 0.0194 -0.0147 -0.0036 0.0166
8/1/17 20.559999 20.780001 18.23 19.690001 19.690001 74923000 -0.045101841 0.953998159 -0.046001841 0.0025 -0.0162 -0.0219 0.0355
9/1/17 19.68 20.84 18.84 19.9 19.9 63211100 0.010665261 1.009765261 0.009765261 0.026 0.0447 0.0314 -0.0118
10/1/17 19.639999 21.01 17.889999 19.4 19.4 68254100 -0.025125628 0.973974372 -0.026025628 0.0234 -0.0195 0.0012 0.043
11/1/17 19.540001 20.280001 18.25 19 19 70853300 -0.020618557 0.978581443 -0.021418557 0.032 -0.0058 -0.0009 -0.0071
12/1/17 19.23 19.65 17.59 19 19 65594800 0 0.9991 -0.0009 0.0115 -0.0129 0.0017 -0.0163
1/1/18 19.24 20.57 18.360001 19.43 19.43 72688600 0.022631579 1.021531579 0.021531579 0.0569 -0.0309 -0.0132 0.0394
2/1/18 19.440001 19.780001 16.309999 18.809999 18.809999 80096100 -0.03190947 0.96699053 -0.03300947 -0.0354 0.003 -0.0101 0.0397
3/1/18 18.940001 21.24 18.9 19.85 19.85 73954300 0.055289796 1.054089796 0.054089796 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 19.690001 21.24 18.700001 19 19 68237500 -0.042821159 0.955778841 -0.044221159 0.0043 0.0113 0.005 0.0027
5/1/18 18.93 19.780001 17.780001 19.110001 19.110001 63358900 0.005789526 1.004389526 0.004389526 0.0279 0.0528 -0.0315 0.038
6/1/18 19.190001 21.73 18.379999 21.35 21.35 56118500 0.117216059 1.115816059 0.115816059 0.0062 0.0119 -0.0231 -0.0238
7/1/18 21.15 22.690001 20.08 20.540001 20.540001 49022100 -0.037939063 0.960460937 -0.039539063 0.0335 -0.0221 0.0057 -0.0167
8/1/18 20.27 20.4 17.25 18.51 18.51 65304600 -0.098831592 0.899568408 -0.100431592 0.036 0.0115 -0.0392 0.0522
9/1/18 18.58 20.209999 16.76 17.709999 17.709999 73884300 -0.043219935 0.955280065 -0.044719935 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 17.85 19.969999 15.29 15.89 15.89 94712600 -0.102766748 0.895333252 -0.104666748 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 15.87 17.280001 13.04 13.13 13.13 128527700 -0.173694147 0.824505853 -0.175494147 0.0187 -0.0071 0.0034 -0.0133
12/1/18 13.49 13.49 8.86 9.39 9.39 117758900 -0.284843869 0.713256131 -0.286743869 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 9.2 11.03 8.91 10.06 10.06 104081700 0.071352503 1.069252503 0.069252503 0.0862 0.0289 -0.0046 -0.0865
2/1/19 10.1 10.3 8.53 8.66 8.66 138244700 -0.13916501 0.85903499 -0.14096501 0.0358 0.0212 -0.0271 0.0086
3/1/19 8.78 9.41 7.63 8.83 8.83 145903100 0.019630485 1.017730485 0.017730485 0.0129 -0.0305 -0.0419 0.0214
4/1/19 8.92 9.18 7.16 7.25 7.25 131673800 -0.178935447 0.818964553 -0.181035447 0.0417 -0.0175 0.0202 -0.0255
5/1/19 7.28 8.31 6.4 6.57 6.57 163691600 -0.093793103 0.904106897 -0.095893103 -0.0673 -0.0118 -0.0228 0.076
6/1/19 6.6 7.18 5.2 5.53 5.53 187814200 -0.158295282 0.839904718 -0.160095282 0.0711 0.0022 -0.0079 -0.0214
7/1/19 5.6 5.68 3.95 4.61 4.61 212843900 -0.16636528 0.83173472 -0.16826528 0.0138 -0.0208 0.0034 0.0272
8/1/19 4.63 4.8 2.78 3.17 3.17 239290800 -0.312364425 0.686035575 -0.313964425 -0.0242 -0.024 -0.0485 0.0764
9/1/19 3.14 4.41 2.95 3.02 3.02 232376400 -0.047318612 0.950881388 -0.049118612 0.0161 -0.0105 0.0677 -0.0685
10/1/19 3.02 3.38 2.38 2.5 2.5 266993400 -0.17218543 0.82631457 -0.17368543 0.0221 0.0024 -0.0188 0.0029
11/1/19 2.52 3.11 1.86 1.99 1.99 226549000 -0.204 0.7948 -0.2052 0.0399 0.0091 -0.0205 -0.026
12/1/19 2 3.06 1.93 2.85 2.85 211185500 0.432160804 1.430760804 0.430760804 0.0291 0.0067 0.0191 -0.0227
1/1/20 2.88 2.92 1.68 1.85 1.85 232409700 -0.350877193 0.647822807 -0.352177193 0.0002 -0.0308 -0.0627 0.0543
2/1/20 1.87 1.98 1.22 1.6 1.6 224970500 -0.135135135 0.863664865 -0.136335135 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 1.68 1.69 0.64 0.71 0.71 404425600 -0.55625 0.44255 -0.55745 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 0.7 3.08 0.66 2.98 2.98 316548500 3.197183099 4.197183099 3.197183099 0.1365 0.0275 -0.0139 -0.0549
5/1/20 2.93 3.69 2.27 2.99 2.99 216443800 0.003355705 1.003255705 0.003255705 0.0559 0.0249 -0.0505 0.0067
6/1/20 3 4.14 2.3 2.54 2.54 319082500 -0.150501672 0.849398328 -0.150601672 0.0247 0.0271 -0.0235 -0.0075
7/1/20 2.51 3.26 2.46 2.96 2.96 216165900 0.165354331 1.165254331 0.165254331 0.0578 -0.0218 -0.0139 0.0761
8/1/20 3.09 4.64 3.06 3.22 3.22 317860900 0.087837838 1.087737838 0.087737838 0.0764 -0.0025 -0.0294 0.0051
9/1/20 3.19 3.29 2.63 2.75 2.75 203729300 -0.145962733 0.853937267 -0.146062733 -0.0362 0.0006 -0.0251 0.0305
10/1/20 2.76 4.13 2.56 3.4 3.4 194006900 0.236363636 1.236263636 0.236263636 -0.0209 0.0444 0.0403 -0.0303
11/1/20 3.44 4.54 3.24 3.92 3.92 166705300 0.152941176 1.152841176 0.152841176 0.1248 0.0548 0.0211 -0.1225
12/1/20 4.02 5.99 3.71 5.45 5.45 245829800 0.390306122 1.390206122 0.390206122 0.0464 0.0491 -0.0146 -0.0234

AUY

AUY
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 3.94 4.84 3.8 4.11 3.829797 322056000 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 4.02 4.54 3.83 4.27 3.978889 189468800 0.038929479 1.038929479 0.038929479 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 4.25 4.32 3.33 3.59 3.345248 220815400 -0.159250736 0.840749264 -0.159250736 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.4318582775
4/1/15 3.67 4.12 3.65 3.82 3.573348 182891300 0.068186275 1.068186275 0.068186275 0.0059 -0.0304 0.0188 -0.0732 R Square 0.1865015718
5/1/15 3.79 4.09 3.55 3.59 3.358198 129234300 -0.060209641 0.939790359 -0.060209641 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.1379345015
6/1/15 3.61 3.7 2.91 3 2.806293 161603600 -0.164345581 0.835654419 -0.164345581 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1769472073
7/1/15 2.98 3.02 1.83 1.96 1.842418 254773200 -0.343469125 0.656530875 -0.343469125 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 1.99 2.46 1.68 1.88 1.767217 267466400 -0.040816471 0.959183529 -0.040816471 -0.0604 0.0044 0.0273 -0.0209
9/1/15 1.9 1.95 1.42 1.7 1.598015 231345200 -0.095744892 0.904255108 -0.095744892 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 1.69 2.7 1.62 2.19 2.076317 287096900 0.299310082 1.299310082 0.299310082 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 2.18 2.24 1.69 2.1 1.990988 184992500 -0.041096326 0.958903674 -0.041096326 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.4809367965 0.1202341991 3.8400828074 0.0071970814
12/1/15 2.11 2.37 1.78 1.86 1.763446 204125900 -0.114285973 0.885614027 -0.114385973 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 2.0977910493 0.0313103142
1/1/16 1.92 2.15 1.38 1.7 1.624646 232687400 -0.078709527 0.921190473 -0.078809527 -0.0576 -0.0336 0.0201 0.0134 Total 71 2.5787278459
2/1/16 1.75 2.87 1.74 2.84 2.714114 370847500 0.670587931 1.670387931 0.670387931 -0.0006 0.0083 -0.006 -0.0406
3/1/16 2.89 3.35 2.67 3.04 2.905249 330552700 0.070422613 1.070222613 0.070222613 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 2.95 4.99 2.92 4.95 4.738757 334164800 0.631101844 1.631001844 0.631001844 0.0093 0.0069 0.0328 -0.0626 Intercept 0.001061757 0.022474784 0.0472421462 0.9624607744 -0.0437980996 0.0459216136 -0.0437980996 0.0459216136
5/1/16 5.13 5.19 4.08 4.18 4.001617 323973800 -0.15555556 0.84434444 -0.15565556 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.1042119089 0.5369878732 2.0563069746 0.0436512031 0.032379628 2.1760441897 0.032379628 2.1760441897
6/1/16 4.25 5.38 4.08 5.2 4.978088 355559000 0.244019105 1.243819105 0.243819105 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.6575176912 0.9127087018 -0.7204025664 0.4737831128 -2.4792918848 1.1642565025 -2.4792918848 1.1642565025
7/1/16 5.32 5.99 5.15 5.71 5.471709 238402700 0.099158753 1.098958753 0.098958753 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -1.3100010573 0.8169269672 -1.6035718123 0.1135126227 -2.9405941083 0.3205919938 -2.9405941083 0.3205919938
8/1/16 5.7 5.95 4.03 4.03 3.86182 407748800 -0.294220508 0.705579492 -0.294420508 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -1.5699979268 0.6959005239 -2.2560665969 0.0273350879 -2.9590211862 -0.1809746675 -2.9590211862 -0.1809746675
9/1/16 4.03 4.95 4 4.31 4.130135 446276700 0.069478899 1.069278899 0.069278899 0.0027 0.0204 -0.0121 -0.0053
10/1/16 4.31 4.38 3.38 3.56 3.415387 452903900 -0.173056813 0.826743187 -0.173256813 -0.02 -0.0443 0.0407 0.0069
11/1/16 3.68 3.85 2.88 2.99 2.868541 335315800 -0.160112456 0.839787544 -0.160212456 0.0487 0.0547 0.0822 -0.0407
12/1/16 2.99 3.17 2.46 2.81 2.695853 276225100 -0.060200639 0.939499361 -0.060500639 0.0184 0.0011 0.0351 -0.0038
1/1/17 2.84 3.39 2.83 3.31 3.1815 232804000 0.18014595 1.17974595 0.17974595 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 3.25 3.65 2.73 2.78 2.672075 254607300 -0.160121012 0.839478988 -0.160521012 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 2.75 2.92 2.46 2.76 2.652852 273743700 -0.007194035 0.992505965 -0.007494035 0.002 0.0117 -0.0333 -0.0092
4/1/17 2.76 3.19 2.62 2.7 2.599857 231531000 -0.019976614 0.979523386 -0.020476614 0.0114 0.0072 -0.0211 0.0044
5/1/17 2.68 2.87 2.4 2.61 2.513196 277048200 -0.033332987 0.966067013 -0.033932987 0.0112 -0.0261 -0.0367 0.0146
6/1/17 2.59 2.78 2.33 2.43 2.339871 358628300 -0.06896597 0.93043403 -0.06956597 0.0084 0.0215 0.0145 -0.0032
7/1/17 2.38 2.65 2.21 2.6 2.508446 220429800 0.07204457 1.07134457 0.07134457 0.0194 -0.0147 -0.0036 0.0166
8/1/17 2.6 3.01 2.43 2.96 2.85577 202376800 0.138461821 1.137561821 0.137561821 0.0025 -0.0162 -0.0219 0.0355
9/1/17 2.99 3.17 2.63 2.65 2.556686 188742200 -0.104729723 0.894370277 -0.105629723 0.026 0.0447 0.0314 -0.0118
10/1/17 2.62 2.74 2.44 2.61 2.522801 155357500 -0.013253485 0.985846515 -0.014153485 0.0234 -0.0195 0.0012 0.043
11/1/17 2.63 2.77 2.54 2.54 2.45514 161601900 -0.026819793 0.972380207 -0.027619793 0.032 -0.0058 -0.0009 -0.0071
12/1/17 2.55 3.16 2.4 3.12 3.015762 193883900 0.228346245 1.227446245 0.227446245 0.0115 -0.0129 0.0017 -0.0163
1/1/18 3.17 3.8 3.08 3.44 3.330443 327769400 0.104345436 1.103245436 0.103245436 0.0569 -0.0309 -0.0132 0.0394
2/1/18 3.38 3.53 2.79 2.91 2.817322 257420100 -0.154069894 0.844830106 -0.155169894 -0.0354 0.003 -0.0101 0.0397
3/1/18 2.89 3.04 2.58 2.76 2.6721 265523400 -0.051546114 0.947253886 -0.052746114 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 2.81 3.08 2.6 2.87 2.783602 223277900 0.041728229 1.040328229 0.040328229 0.0043 0.0113 0.005 0.0027
5/1/18 2.85 3.07 2.77 2.91 2.822399 194259100 0.013937697 1.012537697 0.012537697 0.0279 0.0528 -0.0315 0.038
6/1/18 2.9 3.17 2.82 2.9 2.812699 217160400 -0.003436793 0.995163207 -0.004836793 0.0062 0.0119 -0.0231 -0.0238
7/1/18 2.89 3.23 2.7 3.19 3.099313 285797900 0.10189999 1.10029999 0.10029999 0.0335 -0.0221 0.0057 -0.0167
8/1/18 3.18 3.23 2.58 2.78 2.700968 289912100 -0.12852687 0.86987313 -0.13012687 0.036 0.0115 -0.0392 0.0522
9/1/18 2.72 2.72 2.3 2.49 2.419213 224113600 -0.104316304 0.894183696 -0.105816304 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 2.49 2.79 2.23 2.27 2.209905 296061100 -0.086519046 0.911580954 -0.088419046 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 2.32 2.44 2 2.08 2.024935 225932800 -0.083700431 0.914499569 -0.085500431 0.0187 -0.0071 0.0034 -0.0133
12/1/18 2.14 2.46 2.09 2.36 2.297522 223448200 0.134615185 1.132715185 0.132715185 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 2.37 2.88 2.29 2.83 2.760979 233951300 0.201720375 1.199620375 0.199620375 0.0862 0.0289 -0.0046 -0.0865
2/1/19 2.8 2.85 2.42 2.58 2.517076 278844200 -0.088339317 0.909860683 -0.090139317 0.0358 0.0212 -0.0271 0.0086
3/1/19 2.55 2.78 2.43 2.61 2.546345 268350400 0.011628175 1.009728175 0.009728175 0.0129 -0.0305 -0.0419 0.0214
4/1/19 2.63 2.69 2.12 2.19 2.140567 260970000 -0.159357039 0.838542961 -0.161457039 0.0417 -0.0175 0.0202 -0.0255
5/1/19 2.18 2.21 1.78 1.99 1.945081 197457200 -0.091324401 0.906575599 -0.093424401 -0.0673 -0.0118 -0.0228 0.076
6/1/19 2.04 2.57 1.92 2.52 2.463118 279694300 0.266331839 1.264531839 0.264531839 0.0711 0.0022 -0.0079 -0.0214
7/1/19 2.44 3.1 2.4 2.95 2.889213 326940300 0.172990088 1.171090088 0.171090088 0.0138 -0.0208 0.0034 0.0272
8/1/19 2.86 3.78 2.84 3.61 3.535614 482599800 0.223729092 1.222129092 0.222129092 -0.0242 -0.024 -0.0485 0.0764
9/1/19 3.64 3.76 3.13 3.18 3.114474 320355500 -0.119113682 0.879086318 -0.120913682 0.0161 -0.0105 0.0677 -0.0685
10/1/19 3.14 3.79 3.13 3.64 3.575574 340066900 0.148050682 1.146550682 0.146550682 0.0221 0.0024 -0.0188 0.0029
11/1/19 3.59 3.67 3.19 3.58 3.516636 332316000 -0.016483507 0.982316493 -0.017683507 0.0399 0.0091 -0.0205 -0.026
12/1/19 3.59 4.03 3.46 3.95 3.880088 307606800 0.103352181 1.101952181 0.101952181 0.0291 0.0067 0.0191 -0.0227
1/1/20 4.01 4.21 3.54 4.07 4.008375 429110400 0.03306291 1.03176291 0.03176291 0.0002 -0.0308 -0.0627 0.0543
2/1/20 4.02 4.94 3.56 3.82 3.76216 518074200 -0.061425141 0.937374859 -0.062625141 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 3.99 4.38 2.23 2.75 2.708362 664791600 -0.280104514 0.718695486 -0.281304514 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 2.77 4.97 2.74 4.68 4.629402 495426900 0.709299569 1.709299569 0.709299569 0.1365 0.0275 -0.0139 -0.0549
5/1/20 4.6 5.65 4.56 5.36 5.302051 442692100 0.145299328 1.145199328 0.145199328 0.0559 0.0249 -0.0505 0.0067
6/1/20 5.38 5.54 4.66 5.46 5.40097 388561200 0.018656742 1.018556742 0.018556742 0.0247 0.0271 -0.0235 -0.0075
7/1/20 5.46 6.88 5.23 6.51 6.459455 423941300 0.195980537 1.195880537 0.195880537 0.0578 -0.0218 -0.0139 0.0761
8/1/20 6.53 7.02 5.74 6.2 6.151861 364415100 -0.047619188 0.952280812 -0.047719188 0.0764 -0.0025 -0.0294 0.0051
9/1/20 6.33 6.43 5.26 5.68 5.635898 325048900 -0.083871043 0.916028957 -0.083971043 -0.0362 0.0006 -0.0251 0.0305
10/1/20 5.75 6.3 5.22 5.56 5.534369 323727100 -0.018014698 0.981885302 -0.018114698 -0.0209 0.0444 0.0403 -0.0303
11/1/20 5.66 6.04 4.89 5.22 5.195936 314449000 -0.061151145 0.938748855 -0.061251145 0.1248 0.0548 0.0211 -0.1225
12/1/20 5.38 5.92 5.25 5.71 5.683677 274432800 0.093869709 1.093769709 0.093769709 0.0464 0.0491 -0.0146 -0.0234

BABA

BABA
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 104.239998 105.339996 87.360001 89.080002 89.080002 379702000 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 91.129997 91.879997 83.879997 85.120003 85.120003 254007500 -0.044454411 0.955545589 -0.044454411 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 85 87.040001 80.029999 83.239998 83.239998 389178100 -0.022086524 0.977913476 -0.022086524 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5349371878
4/1/15 83.370003 87.690002 80.440002 81.290001 81.290001 337200600 -0.023426202 0.976573798 -0.023426202 0.0059 -0.0304 0.0188 -0.0732 R Square 0.2861577949
5/1/15 81.029999 95.059998 77.769997 89.32 89.32 457293200 0.098782125 1.098782125 0.098782125 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2435403498
6/1/15 90.089996 91.599998 80.800003 82.269997 82.269997 248041200 -0.078929725 0.921070275 -0.078929725 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0904897424
7/1/15 82.599998 85.379997 76.209999 78.339996 78.339996 255413600 -0.047769553 0.952230447 -0.047769553 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 78.199997 80.989998 58 66.120003 66.120003 381320300 -0.155986643 0.844013357 -0.155986643 -0.0604 0.0044 0.0273 -0.0209
9/1/15 64.379997 68.080002 57.200001 58.970001 58.970001 455445000 -0.108136746 0.891863254 -0.108136746 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 59.5 84.440002 58.200001 83.830002 83.830002 387890900 0.4215703 1.4215703 0.4215703 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 83.519997 86.419998 75.639999 84.080002 84.080002 466058900 0.002982226 1.002982226 0.002982226 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.2199261468 0.0549815367 6.7145694514 0.0001319526
12/1/15 83.769997 85.82 78.989998 81.269997 81.269997 313918900 -0.033420611 0.966479389 -0.033520611 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.5486223629 0.0081883935
1/1/16 78.18 78.68 65.339996 67.029999 67.029999 350907700 -0.17521839 0.82468161 -0.17531839 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.7685485097
2/1/16 66.5 70.580002 59.25 68.809998 68.809998 314557500 0.026555259 1.026355259 0.026355259 -0.0006 0.0083 -0.006 -0.0406
3/1/16 70.019997 79.839996 69.860001 79.029999 79.029999 231368600 0.148524943 1.148324943 0.148324943 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 78.239998 81.779999 75.660004 76.940002 76.940002 215883400 -0.026445616 0.973454384 -0.026545616 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0012638448 0.01149347 -0.1099619876 0.9127682288 -0.0242049069 0.0216772173 -0.0242049069 0.0216772173
5/1/16 76.889999 82.029999 74.120003 82 82 376897900 0.065765504 1.065665504 0.065665504 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.294182166 0.2746123832 4.7127596747 0.0000127805 0.7460535549 1.842310777 0.7460535549 1.842310777
6/1/16 82 82 73.300003 79.529999 79.529999 375743600 -0.030121963 0.969678037 -0.030321963 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.4253295393 0.4667537655 -0.9112503653 0.3654304574 -1.3569739545 0.5063148759 -1.3569739545 0.5063148759
7/1/16 79.120003 85 77.68 82.480003 82.480003 205205900 0.037092972 1.036892972 0.036892972 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.5550597087 0.4177715598 -1.3286201408 0.1884808712 -1.3889352322 0.2788158149 -1.3889352322 0.2788158149
8/1/16 82.790001 98.860001 82.589996 97.190002 97.190002 450586700 0.178346247 1.178146247 0.178146247 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.0000626955 0.3558793614 -0.0001761708 0.9998599596 -0.7104008739 0.7102754828 -0.7104008739 0.7102754828
9/1/16 97.300003 109.870003 97 105.790001 105.790001 420599700 0.088486458 1.088286458 0.088286458 0.0027 0.0204 -0.0121 -0.0053
10/1/16 105.449997 109 99 101.690002 101.690002 240132000 -0.038756016 0.961043984 -0.038956016 -0.02 -0.0443 0.0407 0.0069
11/1/16 100.43 104.099998 87.879997 94.019997 94.019997 330458400 -0.07542536 0.92447464 -0.07552536 0.0487 0.0547 0.0822 -0.0407
12/1/16 94 94.055 86.010002 87.809998 87.809998 218116600 -0.066049768 0.933650232 -0.066349768 0.0184 0.0011 0.0351 -0.0038
1/1/17 89 104.57 88.080002 101.309998 101.309998 239221800 0.153741035 1.153341035 0.153341035 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 102.07 105.199997 100.019997 102.900002 102.900002 160503400 0.015694443 1.015294443 0.015294443 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 103.68 110.449997 102.099998 107.830002 107.830002 205442400 0.047910592 1.047610592 0.047610592 0.002 0.0117 -0.0333 -0.0092
4/1/17 108.849998 115.989998 106.760002 115.5 115.5 172115600 0.071130463 1.070630463 0.070630463 0.0114 0.0072 -0.0211 0.0044
5/1/17 115.629997 126.400002 114 122.459999 122.459999 277888800 0.060259732 1.059659732 0.059659732 0.0112 -0.0261 -0.0367 0.0146
6/1/17 122.82 148.289993 122.260002 140.899994 140.899994 553042600 0.150579742 1.149979742 0.149979742 0.0084 0.0215 0.0145 -0.0032
7/1/17 141.75 160.389999 139.494995 154.949997 154.949997 273542200 0.099716136 1.099016136 0.099016136 0.0194 -0.0147 -0.0036 0.0166
8/1/17 156.25 177 147.5 171.740005 171.740005 473139700 0.108357588 1.107457588 0.107457588 0.0025 -0.0162 -0.0219 0.0355
9/1/17 171.990005 180.869995 166.789993 172.710007 172.710007 363859100 0.005648084 1.004748084 0.004748084 0.026 0.0447 0.0314 -0.0118
10/1/17 174.570007 185.119995 168.580002 184.889999 184.889999 337678900 0.070522793 1.069622793 0.069622793 0.0234 -0.0195 0.0012 0.043
11/1/17 187.880005 191.75 173.619995 177.080002 177.080002 420233600 -0.042241317 0.956958683 -0.043041317 0.032 -0.0058 -0.0009 -0.0071
12/1/17 175.270004 180.679993 164.25 172.429993 172.429993 416246000 -0.026259368 0.972840632 -0.027159368 0.0115 -0.0129 0.0017 -0.0163
1/1/18 176.399002 206.199997 175.699997 204.289993 204.289993 445133200 0.184770639 1.183670639 0.183670639 0.0569 -0.0309 -0.0132 0.0394
2/1/18 192.75 199.490005 168.880005 186.139999 186.139999 444924200 -0.088844264 0.910055736 -0.089944264 -0.0354 0.003 -0.0101 0.0397
3/1/18 186.179993 201.5 175.449997 183.539993 183.539993 382712800 -0.013968013 0.984831987 -0.015168013 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 182.809998 183.630005 166.130005 178.539993 178.539993 323468000 -0.027242019 0.971357981 -0.028642019 0.0043 0.0113 0.005 0.0027
5/1/18 177.580002 202.279999 175.770004 198.009995 198.009995 412790400 0.109051208 1.107651208 0.107651208 0.0279 0.0528 -0.0315 0.038
6/1/18 199.5 211.699997 182.039993 185.529999 185.529999 408863800 -0.063027101 0.935572899 -0.064427101 0.0062 0.0119 -0.0231 -0.0238
7/1/18 181.660004 198.350006 181.059998 187.229996 187.229996 321778400 0.009162922 1.007562922 0.007562922 0.0335 -0.0221 0.0057 -0.0167
8/1/18 186 189.059998 165.389999 175.009995 175.009995 605639200 -0.065267325 0.933132675 -0.066867325 0.036 0.0115 -0.0392 0.0522
9/1/18 173.5 173.949997 152.850006 164.759995 164.759995 433303500 -0.058568083 0.939931917 -0.060068083 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 165.919998 165.949997 130.059998 142.279999 142.279999 544315500 -0.136440864 0.861659136 -0.138340864 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 144.979996 160.860001 138.619995 160.860001 160.860001 456396300 0.130587589 1.128787589 0.128787589 0.0187 -0.0071 0.0034 -0.0133
12/1/18 168.639999 168.800003 129.770004 137.070007 137.070007 344658200 -0.147892539 0.850207461 -0.149792539 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 134.130005 169.729996 129.830002 168.490005 168.490005 361418500 0.229225917 1.227125917 0.227125917 0.0862 0.0289 -0.0046 -0.0865
2/1/19 168 184.929993 163.75 183.029999 183.029999 223664600 0.086295884 1.084495884 0.084495884 0.0358 0.0212 -0.0271 0.0086
3/1/19 185.089996 188.080002 171.565002 182.449997 182.449997 233412700 -0.00316889 0.99493111 -0.00506889 0.0129 -0.0305 -0.0419 0.0214
4/1/19 185.089996 189.789993 176.759995 185.570007 185.570007 260675200 0.017100631 1.015000631 0.015000631 0.0417 -0.0175 0.0202 -0.0255
5/1/19 186.75 195.720001 147.949997 149.259995 149.259995 511785500 -0.19566746 0.80223254 -0.19776746 -0.0673 -0.0118 -0.0228 0.076
6/1/19 149.600006 171.979996 148.845001 169.449997 169.449997 431880100 0.135267337 1.133467337 0.133467337 0.0711 0.0022 -0.0079 -0.0214
7/1/19 175.865005 179.880005 165 173.110001 173.110001 356259200 0.021599316 1.019699316 0.019699316 0.0138 -0.0208 0.0034 0.0272
8/1/19 174.539993 178.800003 151.850006 175.029999 175.029999 404522000 0.011091202 1.009491202 0.009491202 -0.0242 -0.024 -0.0485 0.0764
9/1/19 173 184.130005 163.149994 167.229996 167.229996 246313700 -0.044563806 0.953636194 -0.046363806 0.0161 -0.0105 0.0677 -0.0685
10/1/19 168.009995 179.639999 161.679993 176.669998 176.669998 260136100 0.056449215 1.054949215 0.054949215 0.0221 0.0024 -0.0188 0.0029
11/1/19 179.009995 200.979996 176.059998 200 200 408551100 0.132054125 1.130854125 0.130854125 0.0399 0.0091 -0.0205 -0.026
12/1/19 198.580002 218.110001 189.850006 212.100006 212.100006 300787300 0.06050003 1.05910003 0.05910003 0.0291 0.0067 0.0191 -0.0227
1/1/20 216.600006 231.139999 199.5 206.589996 206.589996 304096100 -0.025978359 0.972721641 -0.027278359 0.0002 -0.0308 -0.0627 0.0543
2/1/20 208.669998 226.699997 198.561005 208 208 329489900 0.006825132 1.005625132 0.005625132 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 208.589996 215.149994 169.949997 194.479996 194.479996 440289600 -0.065000019 0.933799981 -0.066200019 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 189.5 216.100006 185.039993 202.669998 202.669998 329699500 0.042112311 1.042112311 0.042112311 0.1365 0.0275 -0.0139 -0.0549
5/1/20 195.75 221.156998 189.529999 207.389999 207.389999 504318700 0.023289096 1.023189096 0.023189096 0.0559 0.0249 -0.0505 0.0067
6/1/20 205.899994 231.029999 203.940002 215.699997 215.699997 334431100 0.040069425 1.039969425 0.039969425 0.0247 0.0271 -0.0235 -0.0075
7/1/20 215.809998 268 214.740005 251.020004 251.020004 426341000 0.163745978 1.163645978 0.163645978 0.0578 -0.0218 -0.0139 0.0761
8/1/20 254.020004 292.480011 246.100006 287.029999 287.029999 309690400 0.143454683 1.143354683 0.143354683 0.0764 -0.0025 -0.0294 0.0051
9/1/20 289.200012 299 264.559998 293.980011 293.980011 235249900 0.024213539 1.024113539 0.024113539 -0.0362 0.0006 -0.0251 0.0305
10/1/20 295.26001 319.320007 284.880005 304.690002 304.690002 278181600 0.036431018 1.036331018 0.036331018 -0.0209 0.0444 0.0403 -0.0303
11/1/20 310.950012 311.440002 252.550003 263.359985 263.359985 585599100 -0.135646121 0.864253879 -0.135746121 0.1248 0.0548 0.0211 -0.1225
12/1/20 265.470001 271.299988 211.229996 232.729996 232.729996 575013000 -0.116304643 0.883595357 -0.116404643 0.0464 0.0491 -0.0146 -0.0234

BBD

BBD
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 9.022039 9.786501 8.464187 8.595041 6.533398 248284595 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 8.450413 9.428375 8.140496 9.077135 6.904165 178305602 0.056749489 1.056749489 0.056749489 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 9.056474 9.063361 6.039945 6.391185 4.88592 405960612 -0.292322823 0.707677177 -0.292322823 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5486895684
4/1/15 6.556474 7.658402 6.556474 7.362259 5.631382 276018812 0.152573517 1.152573517 0.152573517 0.0059 -0.0304 0.0188 -0.0732 R Square 0.3010602424
5/1/15 7.348485 7.438017 6.060606 6.060606 4.638652 281288554 -0.176285324 0.823714676 -0.176285324 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2593324957
6/1/15 6.129477 6.508264 5.998623 6.30854 4.831162 296262742 0.041501281 1.041501281 0.041501281 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1248855446
7/1/15 6.294766 6.466942 5.330579 5.46832 4.2184 292565222 -0.126835325 0.873164675 -0.126835325 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 5.247934 5.330579 4.173554 4.387052 3.386503 433698750 -0.197206761 0.802793239 -0.197206761 -0.0604 0.0044 0.0273 -0.0209
9/1/15 4.194215 4.524793 3.443526 3.69146 2.851793 514575732 -0.157894442 0.842105558 -0.157894442 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 3.712121 4.46281 3.62259 3.746556 2.896756 665838703 0.015766572 1.015766572 0.015766572 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 3.774105 4.483471 3.684573 3.69146 2.856797 474584023 -0.013794396 0.986205604 -0.013794396 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.4501039343 0.1125259836 7.2148693883 0.0000681534
12/1/15 3.739669 4.0427 3.236915 3.312672 2.565856 507694123 -0.101841678 0.898058322 -0.101941678 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 1.0449587504 0.0155963993
1/1/16 3.250689 3.285124 2.761708 3.147383 2.546897 380667791 -0.007388957 0.992511043 -0.007488957 -0.0576 -0.0336 0.0201 0.0134 Total 71 1.4950626847
2/1/16 3.085399 3.69146 3.044077 3.650138 2.956852 373467901 0.160962536 1.160762536 0.160762536 -0.0006 0.0083 -0.006 -0.0406
3/1/16 3.705234 5.46832 3.663912 5.130854 4.160747 702479779 0.407154298 1.406954298 0.406954298 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 5.048209 5.847107 4.772727 5.659091 4.597237 396635830 0.104906643 1.104806643 0.104806643 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0085331163 0.0158622206 0.5379521918 0.5923926028 -0.0231280085 0.0401942412 -0.0231280085 0.0401942412
5/1/16 5.530303 6.022727 4.621212 4.742424 3.855076 394663632 -0.161436315 0.838463685 -0.161536315 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.6694017154 0.3789945263 1.7662569483 0.0819079977 -0.0870745252 1.425877956 -0.0870745252 1.425877956
6/1/16 4.757576 6.045455 4.674242 5.916667 4.812955 378093012 0.248472144 1.248272144 0.248272144 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -1.3747187205 0.6441702306 -2.1340922868 0.0364986248 -2.6604878821 -0.0889495588 -2.6604878821 -0.0889495588
7/1/16 5.863636 6.765152 5.651515 6.590909 5.405643 275830896 0.123144305 1.122944305 0.122944305 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.8017155877 0.5765695361 1.3904924515 0.1689810847 -0.349122023 1.9525531984 -0.349122023 1.9525531984
8/1/16 6.628788 7.045455 6.386364 6.757576 5.546596 305787108 0.026075159 1.025875159 0.025875159 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -1.3108624 0.4911516676 -2.6689564271 0.0095357873 -2.2912052317 -0.3305195683 -2.2912052317 -0.3305195683
9/1/16 6.727273 7.166667 6.189394 6.871212 5.643798 339383880 0.017524622 1.017324622 0.017324622 0.0027 0.0204 -0.0121 -0.0053
10/1/16 6.795455 7.916667 6.765152 7.886364 6.482038 333301716 0.148524097 1.148324097 0.148324097 -0.02 -0.0443 0.0407 0.0069
11/1/16 7.825758 7.94697 6.037879 6.55303 5.508651 377738328 -0.150166815 0.849733185 -0.150266815 0.0487 0.0547 0.0822 -0.0407
12/1/16 6.333333 6.727273 5.954545 6.598485 5.550219 394456260 0.007545949 1.007245949 0.007245949 0.0184 0.0011 0.0351 -0.0038
1/1/17 6.810606 7.939394 6.787879 7.825758 6.656751 267557004 0.199367268 1.198967268 0.198967268 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 7.901515 8.522727 7.484848 8.007576 6.816103 250847784 0.023938405 1.023538405 0.023538405 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 8.166667 8.227273 7.454545 7.757576 6.607131 307017876 -0.030658574 0.969041426 -0.030958574 0.002 0.0117 -0.0333 -0.0092
4/1/17 7.886364 8.05303 7.356061 7.992424 6.810978 354349644 0.030852574 1.030352574 0.030352574 0.0114 0.0072 -0.0211 0.0044
5/1/17 8.030303 8.641667 6.608333 7.066667 6.025545 421456308 -0.115318681 0.884081319 -0.115918681 0.0112 -0.0261 -0.0367 0.0146
6/1/17 7.133333 7.166667 6.533333 7.083333 6.043412 275469120 0.002965209 1.002365209 0.002365209 0.0084 0.0215 0.0145 -0.0032
7/1/17 7.15 8.05 6.95 8.016667 6.844581 230620680 0.132568986 1.131868986 0.131868986 0.0194 -0.0147 -0.0036 0.0166
8/1/17 8.058333 9.033333 8.025 8.866667 7.626834 258277800 0.114287931 1.113387931 0.113387931 0.0025 -0.0162 -0.0219 0.0355
9/1/17 9.033333 9.708333 8.866667 9.225 7.939937 239535720 0.041052814 1.040152814 0.040152814 0.026 0.0447 0.0314 -0.0118
10/1/17 9.166667 9.883333 8.641667 8.808333 7.585519 230095560 -0.044637382 0.954462618 -0.045537382 0.0234 -0.0195 0.0012 0.043
11/1/17 8.716667 8.891667 7.991667 8.158333 7.029518 232016760 -0.073297687 0.925902313 -0.074097687 0.032 -0.0058 -0.0009 -0.0071
12/1/17 8.266667 8.616667 8.016667 8.533333 7.356925 169495800 0.046576024 1.045676024 0.045676024 0.0115 -0.0129 0.0017 -0.0163
1/1/18 8.75 10.983333 8.733333 10.583333 9.358968 230269680 0.272130408 1.271030408 0.271030408 0.0569 -0.0309 -0.0132 0.0394
2/1/18 10.408333 10.45 9.175 9.95 8.803878 220585080 -0.059311027 0.939588973 -0.060411027 -0.0354 0.003 -0.0101 0.0397
3/1/18 10.05 10.341667 9.383333 9.9 8.763874 205749240 -0.004543907 0.994256093 -0.005743907 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 9.041667 9.091667 8.016667 8.166667 7.2331 231750600 -0.174668645 0.823931355 -0.176068645 0.0043 0.0113 0.005 0.0027
5/1/18 8.15 8.15 6.425 6.541667 5.800384 279418320 -0.198077726 0.800522274 -0.199477726 0.0279 0.0528 -0.0315 0.038
6/1/18 6.616667 6.783333 5.441667 5.716667 5.072092 390934560 -0.125559273 0.873040727 -0.126959273 0.0062 0.0119 -0.0231 -0.0238
7/1/18 5.583333 7.075 5.575 6.733333 5.977891 295157520 0.178584892 1.176984892 0.176984892 0.0335 -0.0221 0.0057 -0.0167
8/1/18 6.758333 7.216667 5.575 5.783333 5.175993 337491120 -0.134143965 0.864256035 -0.135743965 0.036 0.0115 -0.0392 0.0522
9/1/18 5.525 6.141667 5.416667 5.9 5.283638 348664800 0.020796976 1.019296976 0.019296976 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 5.883333 8 5.8 7.641667 6.848292 554567160 0.296131945 1.294231945 0.294231945 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 7.925 8.4 7.508333 8.3 7.443562 339114360 0.086922403 1.085122403 0.085122403 0.0187 -0.0071 0.0034 -0.0133
12/1/18 8.333333 8.375 7.6 8.241667 7.394998 301850400 -0.006524296 0.991575704 -0.008424296 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 8.4 10.466667 8.375 10.35 9.482751 321617760 0.282319617 1.280219617 0.280219617 0.0862 0.0289 -0.0046 -0.0865
2/1/19 10.166667 10.45 9.55 9.566667 8.769187 330314280 -0.075248628 0.922951372 -0.077048628 0.0358 0.0212 -0.0271 0.0086
3/1/19 9.475 10.091667 8.441667 9.091667 8.3372 406420200 -0.049261921 0.948838079 -0.051161921 0.0129 -0.0305 -0.0419 0.0214
4/1/19 9.34 9.48 8.53 9.06 8.311828 243885000 -0.003043228 0.994856772 -0.005143228 0.0417 -0.0175 0.0202 -0.0255
5/1/19 9.06 9.48 7.89 9.36 8.591668 280916800 0.033667684 1.031567684 0.031567684 -0.0673 -0.0118 -0.0228 0.076
6/1/19 9.45 9.95 9.09 9.82 9.018931 259265700 0.049729924 1.047929924 0.047929924 0.0711 0.0022 -0.0079 -0.0214
7/1/19 9.95 10.55 8.93 9.04 8.306962 270737100 -0.078941617 0.919158383 -0.080841617 0.0138 -0.0208 0.0034 0.0272
8/1/19 9.13 9.26 7.54 7.99 7.382716 324085900 -0.111261614 0.887138386 -0.112861614 -0.0242 -0.024 -0.0485 0.0764
9/1/19 7.79 8.66 7.61 8.14 7.525553 247287100 0.019347487 1.017547487 0.017547487 0.0161 -0.0105 0.0677 -0.0685
10/1/19 8.15 9.22 7.68 8.76 8.103823 286231500 0.076840865 1.075340865 0.075340865 0.0221 0.0024 -0.0188 0.0029
11/1/19 8.85 8.87 7.63 7.85 7.496091 295134400 -0.074993247 0.923806753 -0.076193247 0.0399 0.0091 -0.0205 -0.026
12/1/19 7.93 8.98 7.91 8.95 8.551409 249046900 0.140782442 1.139382442 0.139382442 0.0291 0.0067 0.0191 -0.0227
1/1/20 9.02 9.32 7.56 7.63 7.408372 309295100 -0.13366651 0.86503349 -0.13496651 0.0002 -0.0308 -0.0627 0.0543
2/1/20 7.73 8.03 6.56 6.78 6.58663 323021300 -0.110920726 0.887879274 -0.112120726 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 6.77 6.92 3.29 4.06 3.954609 592557300 -0.399600554 0.599199446 -0.400800554 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 3.78 4.58 3.02 3.52 3.430619 354469100 -0.132501089 0.867498911 -0.132501089 0.1365 0.0275 -0.0139 -0.0549
5/1/20 3.38 3.75 2.68 3.46 3.372142 433252000 -0.017045612 0.982854388 -0.017145612 0.0559 0.0249 -0.0505 0.0067
6/1/20 3.58 4.82 3.55 3.81 3.717009 534214000 0.102269418 1.102169418 0.102169418 0.0247 0.0271 -0.0235 -0.0075
7/1/20 3.85 4.69 3.84 4.22 4.120398 430361600 0.108525161 1.108425161 0.108425161 0.0578 -0.0218 -0.0139 0.0761
8/1/20 4.18 4.23 3.56 3.77 3.68476 409516100 -0.105727165 0.894172835 -0.105827165 0.0764 -0.0025 -0.0294 0.0051
9/1/20 3.89 4.22 3.36 3.43 3.355682 401595100 -0.089307852 0.910592148 -0.089407852 -0.0362 0.0006 -0.0251 0.0305
10/1/20 3.41 4.17 3.38 3.5 3.427663 532221000 0.021450483 1.021350483 0.021350483 -0.0209 0.0444 0.0403 -0.0303
11/1/20 3.58 4.86 3.52 4.54 4.451344 607120800 0.298652756 1.298552756 0.298552756 0.1248 0.0548 0.0211 -0.1225
12/1/20 4.75 5.46 4.75 5.26 5.161563 459990500 0.159551587 1.159451587 0.159451587 0.0464 0.0491 -0.0146 -0.0234

BMY

BMY
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 59.43 64.440002 58.040001 60.27 51.015644 142556200 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 60.709999 61.610001 58.650002 60.919998 51.56583 98420500 0.010784653 1.010784653 0.010784653 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 61.119999 69.199997 61.040001 64.5 54.596134 155964400 0.058765737 1.058765737 0.058765737 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.4175550072
4/1/15 64.199997 67.529999 62.66 63.73 53.944363 132246400 -0.011938043 0.988061957 -0.011938043 0.0059 -0.0304 0.0188 -0.0732 R Square 0.174352184
5/1/15 64.279999 69.860001 63.16 64.599998 54.996262 130795000 0.019499702 1.019499702 0.019499702 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.1250597771
6/1/15 66.629997 68.139999 64.260002 66.540001 56.647846 163400100 0.030030841 1.030030841 0.030030841 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0675494468
7/1/15 66.449997 70.540001 63.82 65.639999 55.881649 131545300 -0.013525616 0.986474384 -0.013525616 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 65.949997 66.129997 51.82 59.470001 50.912006 134281600 -0.088931574 0.911068426 -0.088931574 -0.0604 0.0044 0.0273 -0.0209
9/1/15 58.549999 64.68 56.32 59.200001 50.680866 189094200 -0.00453999 0.99546001 -0.00453999 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 59.259998 68.480003 58.389999 65.949997 56.816105 164385700 0.121056317 1.121056317 0.121056317 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 66.559998 69 63.57 67.010002 57.729305 98688700 0.016072907 1.016072907 0.016072907 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.0645581314 0.0161395328 3.5371002326 0.0111617887
12/1/15 67.540001 70.870003 66.139999 68.790001 59.262783 112942800 0.026563251 1.026463251 0.026463251 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.30571616 0.0045629278
1/1/16 67.449997 68.900002 60 62.16 53.844406 165211400 -0.091429675 0.908470325 -0.091529675 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.3702742914
2/1/16 61.869999 64.540001 57.939999 61.93 53.645176 143169200 -0.003700106 0.996099894 -0.003900106 -0.0006 0.0083 -0.006 -0.0406
3/1/16 62.310001 66.68 60.98 63.880001 55.334312 145340600 0.031487193 1.031287193 0.031287193 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 63.66 73.059998 63.5 72.18 62.89629 117782000 0.136659836 1.136559836 0.136559836 0.0093 0.0069 0.0328 -0.0626 Intercept -0.003629834 0.0085797298 -0.4230708983 0.673598435 -0.0207550463 0.0134953783 -0.0207550463 0.0134953783
5/1/16 72.190002 73.010002 69.559998 71.699997 62.478039 118580900 -0.006649852 0.993250148 -0.006749852 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.6809729413 0.2049946666 3.3219056507 0.001450693 0.2718018743 1.0901440084 0.2718018743 1.0901440084
6/1/16 71.709999 75.120003 70.089996 73.550003 64.09008 144604200 0.025801722 1.025601722 0.025601722 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.2628481223 0.3484257753 0.7543877087 0.4532598346 -0.432612636 0.9583088805 -0.432612636 0.9583088805
7/1/16 73.660004 77.120003 72.870003 74.809998 65.533867 96842500 0.022527464 1.022327464 0.022327464 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.0654418165 0.3118611791 0.2098427792 0.8344271792 -0.5570357022 0.6879193352 -0.5570357022 0.6879193352
8/1/16 75.129997 76.300003 56.919998 57.389999 50.273869 388181200 -0.232856669 0.766943331 -0.233056669 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.2825550433 0.2656594367 1.0635987443 0.2913289128 -0.2477034117 0.8128134982 -0.2477034117 0.8128134982
9/1/16 57.599998 57.619999 53.759998 53.919998 47.234131 257415900 -0.060463578 0.939336422 -0.060663578 0.0027 0.0204 -0.0121 -0.0053
10/1/16 53.939999 55.900002 49.029999 50.91 44.597363 328777300 -0.055823362 0.943976638 -0.056023362 -0.02 -0.0443 0.0407 0.0069
11/1/16 50.93 57.549999 50.099998 56.439999 49.784321 239158800 0.116306383 1.116206383 0.116206383 0.0487 0.0547 0.0822 -0.0407
12/1/16 55.939999 59.93 54.360001 58.439999 51.548466 169946200 0.035435755 1.035135755 0.035135755 0.0184 0.0011 0.0351 -0.0038
1/1/17 58.779999 60.450001 46.009998 49.16 43.362812 341582800 -0.158795298 0.840804702 -0.159195298 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 49.130001 57.209999 48.32 56.709999 50.352798 245848600 0.16119771 1.16079771 0.16079771 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 57 58.540001 54.16 54.380001 48.283997 237003700 -0.041086118 0.958613882 -0.041386118 0.002 0.0117 -0.0333 -0.0092
4/1/17 54.529999 56.330002 52.509998 56.049999 49.766788 165640700 0.030709782 1.030209782 0.030209782 0.0114 0.0072 -0.0211 0.0044
5/1/17 56.34 56.830002 53.32 53.950001 48.249771 167536300 -0.030482518 0.968917482 -0.031082518 0.0112 -0.0261 -0.0367 0.0146
6/1/17 54 57.900002 51.560001 55.720001 49.832752 186141200 0.032808052 1.032208052 0.032208052 0.0084 0.0215 0.0145 -0.0032
7/1/17 56.27 57.200001 52.060001 56.900002 50.888081 138360400 0.021177418 1.020477418 0.020477418 0.0194 -0.0147 -0.0036 0.0166
8/1/17 57.150002 60.75 55.080002 60.48 54.467339 129681600 0.070335881 1.069435881 0.069435881 0.0025 -0.0162 -0.0219 0.0355
9/1/17 60.360001 63.75 59.389999 63.740002 57.403233 122520700 0.053901917 1.053001917 0.053001917 0.026 0.0447 0.0314 -0.0118
10/1/17 63.799999 66.099998 59.790001 61.66 55.530014 136774800 -0.032632639 0.966467361 -0.033532639 0.0234 -0.0195 0.0012 0.043
11/1/17 61.860001 63.799999 60.150002 63.189999 57.252808 92871900 0.031024555 1.030224555 0.030224555 0.032 -0.0058 -0.0009 -0.0071
12/1/17 63.16 63.970001 60.59 61.279999 55.522266 100828300 -0.030226325 0.968873675 -0.031126325 0.0115 -0.0129 0.0017 -0.0163
1/1/18 61.400002 64.959999 59.419998 62.599998 56.718243 147941300 0.021540493 1.020440493 0.020440493 0.0569 -0.0309 -0.0132 0.0394
2/1/18 62.18 70.050003 58.439999 66.199997 60.373573 194672500 0.064447166 1.063347166 0.063347166 -0.0354 0.003 -0.0101 0.0397
3/1/18 66.099998 68.220001 61.73 63.25 57.683197 126322200 -0.044562146 0.954237854 -0.045762146 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 62.93 63.23 50.560001 52.130001 47.541904 254554800 -0.175810176 0.822789824 -0.177210176 0.0043 0.0113 0.005 0.0027
5/1/18 51.98 53.450001 49.959999 52.619999 48.295509 164795800 0.015851384 1.014451384 0.014451384 0.0279 0.0528 -0.0315 0.038
6/1/18 52.91 55.849998 49.970001 55.34 50.791981 166646500 0.051691597 1.050291597 0.050291597 0.0062 0.0119 -0.0231 -0.0238
7/1/18 55.169998 60.990002 54.48 58.75 53.92173 121243900 0.061618959 1.060018959 0.060018959 0.0335 -0.0221 0.0057 -0.0167
8/1/18 58.860001 61.59 58.639999 60.549999 55.976143 118940400 0.038099909 1.036499909 0.036499909 0.036 0.0115 -0.0392 0.0522
9/1/18 60.5 62.619999 59.52 62.080002 57.390572 94327600 0.025268426 1.023768426 0.023768426 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 62.369999 63.689999 46.939999 50.540001 46.722282 232861600 -0.185889243 0.812210757 -0.187789243 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 50.68 54.810001 49.860001 53.459999 49.739281 180080300 0.064573023 1.062773023 0.062773023 0.0187 -0.0071 0.0034 -0.0133
12/1/18 53.580002 54.25 47.889999 51.98 48.362286 174420400 -0.027684256 0.970415744 -0.029584256 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 51.34 52.84 44.299999 49.369999 45.933937 451456600 -0.050211626 0.947688374 -0.052311626 0.0862 0.0289 -0.0046 -0.0865
2/1/19 49.009998 52.799999 48.580002 51.66 48.443382 362153800 0.054631611 1.052831611 0.052831611 0.0358 0.0212 -0.0271 0.0086
3/1/19 51.669998 54.380001 46.52 47.709999 44.73933 422102700 -0.076461466 0.921638534 -0.078361466 0.0129 -0.0305 -0.0419 0.0214
4/1/19 48.049999 48.099998 44.540001 46.43 43.539028 373748400 -0.026828788 0.971071212 -0.028928788 0.0417 -0.0175 0.0202 -0.0255
5/1/19 46.32 49.810001 44.860001 45.369999 42.920399 292589300 -0.014208608 0.983691392 -0.016308608 -0.0673 -0.0118 -0.0228 0.076
6/1/19 45.259998 49.549999 44.540001 45.349998 42.901478 268589200 -0.000440839 0.997759161 -0.002240839 0.0711 0.0022 -0.0079 -0.0214
7/1/19 45.709999 46.68 42.48 44.41 42.012234 304730200 -0.020727584 0.977372416 -0.022627584 0.0138 -0.0208 0.0034 0.0272
8/1/19 44.549999 49.139999 44.41 48.07 45.877575 265574500 0.092005129 1.090405129 0.090405129 -0.0242 -0.024 -0.0485 0.0764
9/1/19 47.889999 51.43 47.259998 50.709999 48.397163 180778000 0.054919816 1.053119816 0.053119816 0.0161 -0.0105 0.0677 -0.0685
10/1/19 51.09 58.220001 48.549999 57.369999 54.753414 276264200 0.131335198 1.129835198 0.129835198 0.0221 0.0024 -0.0188 0.0029
11/1/19 57.990002 59.18 55.299999 56.939999 54.799595 509674600 0.000843436 0.999643436 -0.000356564 0.0399 0.0091 -0.0205 -0.026
12/1/19 57.34 64.75 56.68 64.190002 61.777061 323632000 0.127326963 1.125926963 0.125926963 0.0291 0.0067 0.0191 -0.0227
1/1/20 63.849998 68.339996 62.509998 62.950001 60.583675 314458000 -0.019317623 0.979382377 -0.020617623 0.0002 -0.0308 -0.0627 0.0543
2/1/20 63.099998 67.800003 56.369999 59.060001 57.241192 253902500 -0.055171348 0.943628652 -0.056371348 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 59.57 61.849998 45.759998 55.740002 54.023434 446510800 -0.056214029 0.942585971 -0.057414029 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 53.619999 63.18 53.52 60.810001 58.937302 311162400 0.090958083 1.090958083 0.090958083 0.1365 0.0275 -0.0139 -0.0549
5/1/20 60.849998 65.339996 59.110001 59.720001 58.359928 346653300 -0.00979641 0.99010359 -0.00989641 0.0559 0.0249 -0.0505 0.0067
6/1/20 59.459999 62.169998 54.07 58.799999 57.460873 365392100 -0.015405348 0.984494652 -0.015505348 0.0247 0.0271 -0.0235 -0.0075
7/1/20 59.189999 60.68 57.16 58.66 57.324066 216664100 -0.002380872 0.997519128 -0.002480872 0.0578 -0.0218 -0.0139 0.0761
8/1/20 59.110001 64.269997 58.529999 62.200001 61.247204 189779700 0.068437888 1.068337888 0.068337888 0.0764 -0.0025 -0.0294 0.0051
9/1/20 62.200001 62.259998 56.900002 60.290001 59.366463 227362500 -0.030707377 0.969192623 -0.030807377 -0.0362 0.0006 -0.0251 0.0305
10/1/20 60.380001 62.419998 56.75 58.450001 57.554646 221903100 -0.030519201 0.969380799 -0.030619201 -0.0209 0.0444 0.0403 -0.0303
11/1/20 59.189999 66.230003 58.84 62.400002 61.906204 226047300 0.075607415 1.075507415 0.075507415 0.1248 0.0548 0.0211 -0.1225
12/1/20 63.150002 63.740002 59.919998 62.029999 61.539131 213500000 -0.005929503 0.993970497 -0.006029503 0.0464 0.0491 -0.0146 -0.0234

BP

BP
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 38.209999 40.439999 34.93 38.830002 25.766659 193932100 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 39.400002 42.099998 39.189999 41.439999 27.498589 130913300 0.067215932 1.067215932 0.067215932 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 41.18 41.880001 36.880001 39.110001 26.335524 136977100 -0.042295443 0.957704557 -0.042295443 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.6111075008
4/1/15 39.380001 43.830002 39.27 43.16 29.062677 148547200 0.103554157 1.103554157 0.103554157 0.0059 -0.0304 0.0188 -0.0732 R Square 0.3734523775
5/1/15 42.82 43.849998 41.209999 41.459999 27.917942 86398100 -0.039388491 0.960611509 -0.039388491 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.3360465493
6/1/15 41.18 42.200001 39.700001 39.959999 27.287762 97133300 -0.022572581 0.977427419 -0.022572581 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0632843042
7/1/15 39.650002 41.52 35.869999 36.970001 25.24596 141203800 -0.074824824 0.925175176 -0.074824824 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 36.630001 36.849998 30.530001 33.540001 22.903694 165121800 -0.092777854 0.907222146 -0.092777854 -0.0604 0.0044 0.0273 -0.0209
9/1/15 32.369999 32.889999 29.35 30.559999 21.217112 195604600 -0.07363799 0.92636201 -0.07363799 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 31.66 36.310001 30.780001 35.700001 24.785698 188136500 0.168193767 1.168193767 0.168193767 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 35.639999 37.529999 32.889999 34.599998 24.021988 118805600 -0.030812527 0.969187473 -0.030812527 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.1599366387 0.0399841597 9.9838018674 0.0000021313
12/1/15 34.77 34.950001 29.9 31.26 22.058605 184741500 -0.081732744 0.918167256 -0.081832744 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.2683285119 0.0040049032
1/1/16 30.799999 32.380001 27.559999 32.369999 22.841873 212082500 0.035508501 1.035408501 0.035408501 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.4282651506
2/1/16 31.18 31.889999 27.01 29.09 20.527346 198789900 -0.101328249 0.898471751 -0.101528249 -0.0006 0.0083 -0.006 -0.0406
3/1/16 29.450001 31.74 29.1 30.18 21.747223 168295400 0.059426923 1.059226923 0.059226923 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 29.290001 34 28.67 33.580002 24.197205 206739300 0.112657234 1.112557234 0.112557234 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0049667321 0.0080379967 -0.6179067085 0.5387315707 -0.0210106406 0.0110771765 -0.0210106406 0.0110771765
5/1/16 33.619999 33.75 30.76 31.4 22.626333 170093700 -0.064919564 0.934980436 -0.065019564 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.6486305685 0.1920510895 3.3773855191 0.00122234 0.2652949895 1.0319661474 0.2652949895 1.0319661474
6/1/16 30.799999 35.59 30.66 35.509998 26.068306 285204100 0.152122441 1.151922441 0.151922441 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.076659375 0.3264258083 -0.2348447122 0.8150455148 -0.7282080153 0.5748892653 -0.7282080153 0.5748892653
7/1/16 35.799999 37.279999 33.869999 34.400002 25.253443 154082400 -0.031258763 0.968541237 -0.031458763 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.339397735 0.2921699388 1.1616449537 0.2495013744 -0.2437759036 0.9225713737 -0.2437759036 0.9225713737
8/1/16 33.91 34.799999 32.5 33.860001 24.857023 136133100 -0.015697662 0.984102338 -0.015897662 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.4954753973 0.2488854227 -1.9907770895 0.0505863752 -0.9922527802 0.0013019855 -0.9922527802 0.0013019855
9/1/16 33.810001 35.389999 33.060001 35.16 26.282808 125322300 0.057359443 1.057159443 0.057159443 0.0027 0.0204 -0.0121 -0.0053
10/1/16 35.34 36.830002 35.209999 35.549999 26.574339 98879800 0.01109208 1.01089208 0.01089208 -0.02 -0.0443 0.0407 0.0069
11/1/16 35.02 35.27 32.529999 35.009998 26.170681 128818500 -0.015189766 0.984710234 -0.015289766 0.0487 0.0547 0.0822 -0.0407
12/1/16 35.689999 37.669998 35.290001 37.380001 28.44396 115892900 0.086863578 1.086563578 0.086563578 0.0184 0.0011 0.0351 -0.0038
1/1/17 38.099998 38.68 35.73 35.98 27.378635 110854000 -0.03745347 0.96214653 -0.03785347 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 36.18 36.200001 33.330002 33.919998 25.811102 147047100 -0.057253877 0.942346123 -0.057653877 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 34.349998 34.610001 33.099998 34.52 26.731489 148475400 0.03565857 1.03535857 0.03535857 0.002 0.0117 -0.0333 -0.0092
4/1/17 34.59 35.689999 33.830002 34.32 26.576612 112227400 -0.005793804 0.993706196 -0.006293804 0.0114 0.0072 -0.0211 0.0044
5/1/17 34.330002 37.189999 34.209999 36.150002 27.993723 150913700 0.053321733 1.052721733 0.052721733 0.0112 -0.0261 -0.0367 0.0146
6/1/17 36.240002 36.470001 34.470001 34.650002 27.29545 120513200 -0.024943913 0.974456087 -0.025543913 0.0084 0.0215 0.0145 -0.0032
7/1/17 34.77 35.349998 34 35.139999 27.681444 77120000 0.014141331 1.013441331 0.013441331 0.0194 -0.0147 -0.0036 0.0166
8/1/17 36.16 36.830002 33.900002 34.73 27.358465 101827400 -0.011667708 0.987432292 -0.012567708 0.0025 -0.0162 -0.0219 0.0355
9/1/17 34.650002 38.48 34.57 38.43 30.778526 98582700 0.125009243 1.124109243 0.124109243 0.026 0.0447 0.0314 -0.0118
10/1/17 38.049999 40.970001 37.98 40.669998 32.57254 102170900 0.058287847 1.057387847 0.057387847 0.0234 -0.0195 0.0012 0.043
11/1/17 40.990002 41.549999 38.75 40.07 32.091999 94438500 -0.014752948 0.984447052 -0.015552948 0.032 -0.0058 -0.0009 -0.0071
12/1/17 39.860001 42.23 39.220001 42.029999 34.156788 81414000 0.064339682 1.063439682 0.063439682 0.0115 -0.0129 0.0017 -0.0163
1/1/18 42.060001 44.619999 41.810001 42.790001 34.774422 119151200 0.018082321 1.016982321 0.016982321 0.0569 -0.0309 -0.0132 0.0394
2/1/18 42.799999 43.380001 36.150002 38.860001 31.580603 150146900 -0.091843913 0.907056087 -0.092943913 -0.0354 0.003 -0.0101 0.0397
3/1/18 38.810001 40.669998 38.330002 40.540001 33.442951 107673300 0.058971262 1.057771262 0.057771262 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 40.529999 44.889999 39.450001 44.59 36.783947 131706600 0.099901351 1.098501351 0.098501351 0.0043 0.0113 0.005 0.0027
5/1/18 44.970001 47.830002 44.060001 45.82 37.798618 150556900 0.027584615 1.026184615 0.026184615 0.0279 0.0528 -0.0315 0.038
6/1/18 46.169998 47.57 44.049999 45.66 38.156006 135907800 0.009455055 1.008055055 0.008055055 0.0062 0.0119 -0.0231 -0.0238
7/1/18 45.279999 47.25 43.709999 45.09 37.679695 127926400 -0.012483251 0.985916749 -0.014083251 0.0335 -0.0221 0.0057 -0.0167
8/1/18 44.599998 45.099998 41.299999 42.880001 35.83289 133322100 -0.049013268 0.949386732 -0.050613268 0.036 0.0115 -0.0392 0.0522
9/1/18 42.799999 47.16 41.490002 46.099998 39.061974 121239000 0.090115087 1.088615087 0.088615087 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 46.93 47.049999 40.209999 43.369999 36.748756 158156600 -0.059219178 0.938880822 -0.061119178 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 43.169998 43.380001 39.5 40.349998 34.189812 156738900 -0.069633486 0.928566514 -0.071433486 0.0187 -0.0071 0.0034 -0.0133
12/1/18 41.189999 41.470001 36.279999 37.919998 32.59581 158742700 -0.046622134 0.951477866 -0.048522134 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 37.470001 41.669998 37.41 41.119999 35.346508 127815400 0.084388085 1.082288085 0.082288085 0.0862 0.0289 -0.0046 -0.0865
2/1/19 41.119999 43.41 40.860001 42.650002 36.661694 111993500 0.037208371 1.035408371 0.035408371 0.0358 0.0212 -0.0271 0.0086
3/1/19 42.639999 44.970001 41.84 43.720001 38.131432 100892600 0.0400892 1.0381892 0.0381892 0.0129 -0.0305 -0.0419 0.0214
4/1/19 44.259998 45.380001 42.73 43.73 38.140148 97991500 0.000228578 0.998128578 -0.001871422 0.0417 -0.0175 0.0202 -0.0255
5/1/19 43.740002 43.810001 40.599998 40.720001 35.514912 107329900 -0.068831301 0.929068699 -0.070931301 -0.0673 -0.0118 -0.0228 0.076
6/1/19 41.240002 42.700001 40.32 41.700001 36.906475 100199000 0.039182499 1.037382499 0.037382499 0.0711 0.0022 -0.0079 -0.0214
7/1/19 42.619999 42.630001 38.66 39.740002 35.171783 159303400 -0.047002376 0.951097624 -0.048902376 0.0138 -0.0208 0.0034 0.0272
8/1/19 39.049999 39.459999 35.73 36.950001 32.702499 171468500 -0.070206392 0.928193608 -0.071806392 -0.0242 -0.024 -0.0485 0.0764
9/1/19 36.689999 39.849998 36.57 37.990002 34.182796 143823200 0.045265562 1.043465562 0.043465562 0.0161 -0.0105 0.0677 -0.0685
10/1/19 38.07 39.799999 35.880001 37.91 34.110809 169176600 -0.002105942 0.996394058 -0.003605942 0.0221 0.0024 -0.0188 0.0029
11/1/19 38.32 40.009998 37.220001 37.419998 33.669918 147557700 -0.012925258 0.985874742 -0.014125258 0.0399 0.0091 -0.0205 -0.026
12/1/19 37.52 38.25 36.5 37.740002 34.496311 141188000 0.024543956 1.023143956 0.023143956 0.0291 0.0067 0.0191 -0.0227
1/1/20 38.040001 40.080002 35.869999 36.130001 33.024689 171781100 -0.042660272 0.956039728 -0.043960272 0.0002 -0.0308 -0.0627 0.0543
2/1/20 35.900002 37.779999 29.709999 31.290001 28.600679 225480400 -0.133960686 0.864839314 -0.135160686 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 31.549999 33.18 15.51 24.389999 22.678095 558148000 -0.20707844 0.79172156 -0.20827844 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 25.23 27.549999 21.280001 23.799999 22.129509 375054800 -0.024190127 0.975809873 -0.024190127 0.1365 0.0275 -0.0139 -0.0549
5/1/20 22.92 24.73 21.200001 23.139999 21.515831 218884800 -0.027731207 0.972168793 -0.027831207 0.0559 0.0249 -0.0505 0.0067
6/1/20 23.15 28.57 22.66 23.32 22.26623 248389400 0.034876599 1.034776599 0.034776599 0.0247 0.0271 -0.0235 -0.0075
7/1/20 23.33 24.48 21.75 22.040001 21.044069 203863000 -0.054888546 0.945011454 -0.054988546 0.0578 -0.0218 -0.0139 0.0761
8/1/20 21.969999 24.610001 20.91 20.93 19.984228 243328700 -0.050362931 0.949537069 -0.050462931 0.0764 -0.0025 -0.0294 0.0051
9/1/20 20.91 21.15 17.35 17.459999 16.890337 287177100 -0.154816638 0.845083362 -0.154916638 -0.0362 0.0006 -0.0251 0.0305
10/1/20 17.040001 17.74 14.74 15.48 14.974938 383463800 -0.113402059 0.886497941 -0.113502059 -0.0209 0.0444 0.0403 -0.0303
11/1/20 15.82 22.1 15.52 19.559999 18.921822 382268400 0.263565966 1.263465966 0.263465966 0.1248 0.0548 0.0211 -0.1225
12/1/20 20.469999 22.83 20.190001 20.52 20.245878 310741600 0.06997508 1.06987508 0.06987508 0.0464 0.0491 -0.0146 -0.0234

C

C
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 54.360001 54.689999 46.599998 46.950001 41.451317 498226600 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 47.200001 52.869999 46.900002 52.419998 46.290504 342470600 0.116743866 1.116743866 0.116743866 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 52.419998 54.720001 50.470001 51.52 45.49575 462033200 -0.017168834 0.982831166 -0.017168834 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.8914223477
4/1/15 51.369999 54.459999 50.98 53.32 47.085274 348740700 0.034937857 1.034937857 0.034937857 0.0059 -0.0304 0.0188 -0.0732 R Square 0.7946338021
5/1/15 53.639999 55.369999 52.349998 54.080002 47.756409 294678400 0.014253607 1.014253607 0.014253607 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.7823731335
6/1/15 54.68 57.639999 54.130001 55.240002 48.826981 386087600 0.022417347 1.022417347 0.022417347 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0459543654
7/1/15 56.009998 60.950001 52.77 58.459999 51.673153 453308300 0.058290968 1.058290968 0.058290968 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 58.619999 59.25 47.099998 53.48 47.311455 403504400 -0.084409364 0.915590636 -0.084409364 -0.0604 0.0044 0.0273 -0.0209
9/1/15 52.400002 53 48.470001 49.610001 43.887836 407439700 -0.072363427 0.927636573 -0.072363427 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 49.419998 55.060001 47.709999 53.169998 47.037209 389705100 0.071759587 1.071759587 0.071759587 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 53.450001 56.459999 52.490002 54.09 47.894859 298946600 0.018233437 1.018233437 0.018233437 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.5474776837 0.1368694209 64.8116209883 2.57601022809129E-22
12/1/15 54.400002 55.330002 50.5 51.75 45.822861 359269400 -0.043261386 0.956638614 -0.043361386 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.1414908478 0.0021118037
1/1/16 50.75 51.610001 39.439999 42.580002 37.703133 592164900 -0.177198189 0.822701811 -0.177298189 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.6889685315
2/1/16 42.360001 42.830002 34.52 38.849998 34.442802 591354600 -0.086473742 0.913326258 -0.086673742 -0.0006 0.0083 -0.006 -0.0406
3/1/16 39.150002 44.259998 39.099998 41.75 37.013832 464713200 0.074646366 1.074446366 0.074446366 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 41.52 47.84 39.950001 46.279999 41.02993 436813500 0.108502627 1.108402627 0.108402627 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0017854322 0.0058368507 -0.305889649 0.7606371121 -0.013435835 0.0098649706 -0.013435835 0.0098649706
5/1/16 46.540001 47.599998 42.810001 46.57 41.330708 398267000 0.007330697 1.007230697 0.007230697 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.5405324928 0.1394593185 11.0464650883 9.75178235964123E-17 1.2621705281 1.8188944575 1.2621705281 1.8188944575
6/1/16 46.040001 47.060001 38.310001 42.389999 37.620968 578616800 -0.089757475 0.910042525 -0.089957475 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.0997271556 0.237036514 0.420724866 0.6753024637 -0.3733997066 0.5728540178 -0.3733997066 0.5728540178
7/1/16 42.299999 45.029999 40.029999 43.810001 38.881218 410664300 0.033498606 1.033298606 0.033298606 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.7688890583 0.2121613611 3.62407676 0.0005596481 0.345413209 1.1923649075 0.345413209 1.1923649075
8/1/16 43.919998 48.18 42.5 47.740002 42.522694 369895400 0.093656428 1.093456428 0.093456428 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.3115497954 0.1807299897 -1.7238411613 0.0893483055 -0.6722883647 0.0491887739 -0.6722883647 0.0491887739
9/1/16 47.82 48.169998 45.16 47.23 42.068424 386443000 -0.010683001 0.989116999 -0.010883001 0.0027 0.0204 -0.0121 -0.0053
10/1/16 47.02 50.599998 46.779999 49.150002 43.778599 347266300 0.040652224 1.040452224 0.040452224 -0.02 -0.0443 0.0407 0.0069
11/1/16 49.400002 56.830002 47.700001 56.389999 50.227371 544796500 0.147304211 1.147204211 0.147204211 0.0487 0.0547 0.0822 -0.0407
12/1/16 56.77 61.299999 55.93 59.43 53.110207 450992400 0.057395718 1.057095718 0.057095718 0.0184 0.0011 0.0351 -0.0038
1/1/17 60.68 61.630001 55.419998 55.830002 49.893032 417613900 -0.060575456 0.939024544 -0.060975456 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 56.720001 60.950001 55.23 59.810001 53.449795 333124100 0.07128777 1.07088777 0.07088777 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 61.200001 62.529999 56.549999 59.82 53.611767 434014700 0.003030358 1.002730358 0.002730358 0.002 0.0117 -0.0333 -0.0092
4/1/17 59.93 61.02 57.549999 59.119999 52.984421 317086900 -0.011701648 0.987798352 -0.012201648 0.0114 0.0072 -0.0211 0.0044
5/1/17 59.389999 62.689999 58.93 60.540001 54.401882 343076600 0.026752411 1.026152411 0.026152411 0.0112 -0.0261 -0.0367 0.0146
6/1/17 60.889999 67.75 60.169998 66.879997 60.099072 402241600 0.104724134 1.104124134 0.104124134 0.0084 0.0215 0.0145 -0.0032
7/1/17 67.239998 68.910004 65.519997 68.449997 61.509899 352970600 0.023475021 1.022775021 0.022775021 0.0194 -0.0147 -0.0036 0.0166
8/1/17 69.089996 69.860001 65.860001 68.029999 61.132465 345367300 -0.006136151 0.992963849 -0.007036151 0.0025 -0.0162 -0.0219 0.0355
9/1/17 68.110001 72.970001 65.690002 72.739998 65.667625 299867700 0.074185787 1.073285787 0.073285787 0.026 0.0447 0.0314 -0.0118
10/1/17 73.07 76.139999 70.910004 73.5 66.353737 360485700 0.010448254 1.009548254 0.009548254 0.0234 -0.0195 0.0012 0.043
11/1/17 73.989998 76.889999 70.019997 75.5 68.159302 289638400 0.027211203 1.026411203 0.026411203 0.032 -0.0058 -0.0009 -0.0071
12/1/17 75.709999 77.919998 73.779999 74.410004 67.464111 335091300 -0.010199503 0.988900497 -0.011099503 0.0115 -0.0129 0.0017 -0.0163
1/1/18 75.089996 80.699997 73.970001 78.480003 71.15419 333288100 0.054696919 1.053596919 0.053596919 0.0569 -0.0309 -0.0132 0.0394
2/1/18 78.269997 79.230003 71 75.489998 68.443298 345124100 -0.038098839 0.960801161 -0.039198839 -0.0354 0.003 -0.0101 0.0397
3/1/18 75.5 76.529999 67.5 67.5 61.447407 397762100 -0.102214405 0.896585595 -0.103414405 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 68.330002 73.379997 66.550003 68.269997 62.14835 372694400 0.011407202 1.010007202 0.010007202 0.0043 0.0113 0.005 0.0027
5/1/18 68.239998 73.300003 65.199997 66.690002 60.710037 347514600 -0.023143221 0.975456779 -0.024543221 0.0279 0.0528 -0.0315 0.038
6/1/18 67.489998 69.169998 64.379997 66.919998 61.207699 369881700 0.00819736 1.00679736 0.00679736 0.0062 0.0119 -0.0231 -0.0238
7/1/18 66.209999 72.790001 65.900002 71.889999 65.753464 334733500 0.074267863 1.072667863 0.072667863 0.0335 -0.0221 0.0057 -0.0167
8/1/18 72.5 73.209999 68.080002 71.239998 65.158958 280770900 -0.00904144 0.98935856 -0.01064144 0.036 0.0115 -0.0392 0.0522
9/1/18 70.989998 75.239998 68.910004 71.739998 66.029877 283436400 0.013366067 1.011866067 0.011866067 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 72.239998 73.980003 63.18 65.459999 60.249725 438549700 -0.087538434 0.910561566 -0.089438434 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 66.089996 69 61.720001 64.790001 59.633057 347615300 -0.0102352 0.9879648 -0.0120352 0.0187 -0.0071 0.0034 -0.0133
12/1/18 66.040001 66.459999 48.419998 52.060001 48.246105 535469400 -0.190950331 0.807149669 -0.192850331 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 50.68 64.739998 50.669998 64.459999 59.737675 447393500 0.238186482 1.236086482 0.236086482 0.0862 0.0289 -0.0046 -0.0865
2/1/19 64.25 65.43 61.009998 63.98 59.292847 259451400 -0.007446356 0.990753644 -0.009246356 0.0358 0.0212 -0.0271 0.0086
3/1/19 64.779999 66.830002 60.049999 62.220001 58.067154 353947500 -0.020671853 0.977428147 -0.022571853 0.0129 -0.0305 -0.0419 0.0214
4/1/19 62.849998 71.940002 62.82 70.699997 65.981163 281241700 0.13629063 1.13419063 0.13419063 0.0417 -0.0175 0.0202 -0.0255
5/1/19 70.68 71.169998 61.970001 62.150002 58.001827 302717600 -0.120933546 0.876966454 -0.123033546 -0.0673 -0.0118 -0.0228 0.076
6/1/19 62.099998 70.209999 61.939999 70.029999 65.776566 260679300 0.134043002 1.132243002 0.132243002 0.0711 0.0022 -0.0079 -0.0214
7/1/19 70.860001 73.080002 70.080002 71.160004 66.837936 265218900 0.01613599 1.01423599 0.01423599 0.0138 -0.0208 0.0034 0.0272
8/1/19 70.669998 71.089996 60.720001 64.349998 60.441551 339809700 -0.095699918 0.902700082 -0.097299918 -0.0242 -0.024 -0.0485 0.0764
9/1/19 64 70.739998 62.32 69.080002 65.372047 264574600 0.081574611 1.079774611 0.079774611 0.0161 -0.0105 0.0677 -0.0685
10/1/19 69.57 74.279999 64.790001 71.860001 68.002823 282143700 0.040243133 1.038743133 0.038743133 0.0221 0.0024 -0.0188 0.0029
11/1/19 72.25 76.279999 72.099998 75.120003 71.08783 209248400 0.045365867 1.044165867 0.044165867 0.0399 0.0091 -0.0205 -0.026
12/1/19 75.419998 80.419998 72.5 79.889999 76.142204 254822200 0.071100412 1.069700412 0.069700412 0.0291 0.0067 0.0191 -0.0227
1/1/20 80.129997 83.110001 73.910004 74.410004 70.919281 271506100 -0.068594324 0.930105676 -0.069894324 0.0002 -0.0308 -0.0627 0.0543
2/1/20 74.699997 80.769997 61.34 63.459999 60.883976 302911300 -0.141503197 0.857296803 -0.142703197 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 63.849998 68.43 32 42.119999 40.410229 763972700 -0.336274802 0.662525198 -0.337474802 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 39.139999 50.650002 36.669998 48.560001 46.588814 668167800 0.15289656 1.15289656 0.15289656 0.1365 0.0275 -0.0139 -0.0549
5/1/20 46.310001 53.009998 38.759998 47.91 45.965195 619285700 -0.013385595 0.986514405 -0.013485595 0.0559 0.0249 -0.0505 0.0067
6/1/20 48.139999 62.470001 47.82 51.099998 49.546059 714515500 0.077903814 1.077803814 0.077803814 0.0247 0.0271 -0.0235 -0.0075
7/1/20 51.759998 53.599998 49.029999 50.009998 48.489208 473117300 -0.021330677 0.978569323 -0.021430677 0.0578 -0.0218 -0.0139 0.0761
8/1/20 50.560001 55.029999 49.16 51.119999 50.06741 365502900 0.03254749 1.03244749 0.03244749 0.0764 -0.0025 -0.0294 0.0051
9/1/20 50.880001 53.639999 41.290001 43.110001 42.22234 634639500 -0.15669015 0.84320985 -0.15679015 -0.0362 0.0006 -0.0251 0.0305
10/1/20 43.330002 46.119999 40.490002 41.419998 40.567135 563186600 -0.039202114 0.960697886 -0.039302114 -0.0209 0.0444 0.0403 -0.0303
11/1/20 41.860001 57.240002 41.200001 55.07 54.604542 524801100 0.346029045 1.345929045 0.345929045 0.1248 0.0548 0.0211 -0.1225
12/1/20 56.549999 61.93 55.25 61.66 61.138844 424108900 0.119665906 1.119565906 0.119565906 0.0464 0.0491 -0.0146 -0.0234

CMCSA

CMCSA
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 29 29.174999 26.51 26.575001 23.609072 611861400 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 26.575001 29.945 26.225 29.690001 26.480316 565995600 0.121616131 1.121616131 0.121616131 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 29.754999 30.35 27.834999 28.235001 25.182606 624085400 -0.04900659 0.95099341 -0.04900659 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.7209701581
4/1/15 28.395 30.424999 28.025 28.879999 25.873501 858274600 0.027435405 1.027435405 0.027435405 0.0059 -0.0304 0.0188 -0.0732 R Square 0.5197979688
5/1/15 28.9 30.049999 28.1 29.23 26.187067 635671000 0.012119195 1.012119195 0.012119195 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.4911291908
6/1/15 29.355 30.82 28.540001 30.07 26.939621 586851600 0.028737621 1.028737621 0.028737621 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0464519159
7/1/15 30.190001 32.494999 30.190001 31.205 28.071003 540188400 0.041996953 1.041996953 0.041996953 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 31.379999 31.684999 25 28.165001 25.336317 700509000 -0.097420317 0.902579683 -0.097420317 -0.0604 0.0044 0.0273 -0.0209
9/1/15 27.51 29.635 27.325001 28.440001 25.5837 659258200 0.009763968 1.009763968 0.009763968 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 28.76 31.690001 28.264999 31.309999 28.165459 426809600 0.100914215 1.100914215 0.100914215 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 31.315001 31.629999 30.075001 30.43 27.490883 336061000 -0.023950471 0.976049529 -0.023950471 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.1564921834 0.0391230458 18.1311519146 0.0000000004
12/1/15 30.73 30.889999 27.695 28.215 25.489824 525640600 -0.072789914 0.927110086 -0.072889914 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.1445712928 0.0021577805
1/1/16 27.575001 28.025 26.17 27.855 25.164585 532587400 -0.012759562 0.987140438 -0.012859562 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.3010634761
2/1/16 27.535 29.85 27.190001 28.865 26.193087 608842000 0.04087101 1.04067101 0.04067101 -0.0006 0.0083 -0.006 -0.0406
3/1/16 29.115 30.684999 29.025 30.540001 27.713036 400644600 0.058028632 1.057828632 0.057828632 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 30.295 31.455 30.01 30.379999 27.567841 425409600 -0.005239231 0.994660769 -0.005339231 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0009787557 0.0059000466 0.1658894836 0.8687434941 -0.0107977867 0.0127552981 -0.0107977867 0.0127552981
5/1/16 30.545 31.695 29.809999 31.65 28.848507 414606800 0.046455071 1.046355071 0.046355071 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.0274971361 0.1409692523 7.2888031902 0.0000000005 0.7461213308 1.3088729414 0.7461213308 1.3088729414
6/1/16 31.719999 32.709999 30.33 32.595001 29.709866 388851600 0.02985801 1.02965801 0.02965801 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.4959176233 0.2396029216 -2.0697478142 0.0423349079 -0.9741670565 -0.0176681901 -0.9741670565 -0.0176681901
7/1/16 32.455002 34.18 32.134998 33.625 30.648697 355613800 0.031599974 1.031399974 0.031399974 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.030735434 0.2144584441 -0.1433165018 0.8864703875 -0.4587962799 0.397325412 -0.4587962799 0.397325412
8/1/16 33.700001 33.98 32.485001 32.630001 29.867764 316680400 -0.025480137 0.974319863 -0.025680137 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.1864347632 0.1826867634 -1.02051599 0.3111546632 -0.5510790692 0.1782095427 -0.5510790692 0.1782095427
9/1/16 32.799999 33.764999 32.369999 33.169998 30.362045 377685800 0.016548979 1.016348979 0.016348979 0.0027 0.0204 -0.0121 -0.0053
10/1/16 32.939999 33.189999 30.299999 30.91 28.293367 419365800 -0.068133685 0.931666315 -0.068333685 -0.02 -0.0443 0.0407 0.0069
11/1/16 31.26 35.139999 30.02 34.755001 31.945307 532546000 0.129074069 1.128974069 0.128974069 0.0487 0.0547 0.0822 -0.0407
12/1/16 34.705002 35.66 34.035 34.525002 31.733894 372430200 -0.006617967 0.993082033 -0.006917967 0.0184 0.0011 0.0351 -0.0038
1/1/17 34.834999 38.435001 34.115002 37.709999 34.797939 448584600 0.096554334 1.096154334 0.096154334 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 37.645 38.330002 37.18 37.419998 34.530338 284386100 -0.007690139 0.991909861 -0.008090139 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 37.720001 37.990002 36.689999 37.59 34.687206 315205900 0.004542904 1.004242904 0.004242904 0.002 0.0117 -0.0333 -0.0092
4/1/17 37.470001 40.619999 36.990002 39.189999 36.163647 359693700 0.042564426 1.042064426 0.042064426 0.0114 0.0072 -0.0211 0.0044
5/1/17 39.419998 41.709999 37.91 41.689999 38.63298 402380600 0.06828219 1.06768219 0.06768219 0.0112 -0.0261 -0.0367 0.0146
6/1/17 41.630001 42.18 38.279999 38.919998 36.066093 414267700 -0.066442894 0.932957106 -0.067042894 0.0084 0.0215 0.0145 -0.0032
7/1/17 39.080002 40.66 38.139999 40.450001 37.636898 359443200 0.043553512 1.042853512 0.042853512 0.0194 -0.0147 -0.0036 0.0166
8/1/17 40.400002 41.990002 39.349998 40.610001 37.785767 334255800 0.0039554 1.0030554 0.0030554 0.0025 -0.0162 -0.0219 0.0355
9/1/17 40.77 41.34 36.439999 38.48 35.803898 575921000 -0.052450146 0.946649854 -0.053350146 0.026 0.0447 0.0314 -0.0118
10/1/17 38.41 38.849998 35.259998 36.029999 33.524284 585793200 -0.063669436 0.935430564 -0.064569436 0.0234 -0.0195 0.0012 0.043
11/1/17 36.25 37.73 34.779999 37.540001 35.075218 531622800 0.046263001 1.045463001 0.045463001 0.032 -0.0058 -0.0009 -0.0071
12/1/17 37.150002 41.240002 37.110001 40.049999 37.420418 498175800 0.066862022 1.065962022 0.065962022 0.0115 -0.0129 0.0017 -0.0163
1/1/18 40.860001 44 40.049999 42.529999 39.737587 480271900 0.061922585 1.060822585 0.060822585 0.0569 -0.0309 -0.0132 0.0394
2/1/18 42.169998 42.59 35.75 36.209999 33.966549 590798000 -0.145228697 0.853671303 -0.146328697 -0.0354 0.003 -0.0101 0.0397
3/1/18 36.439999 37.220001 32.740002 34.169998 32.052933 621328100 -0.056338252 0.942461748 -0.057538252 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 34.09 34.810001 31.34 31.389999 29.445177 603758700 -0.081357796 0.917242204 -0.082757796 0.0043 0.0113 0.005 0.0027
5/1/18 31.379999 32.889999 30.43 31.18 29.414923 494078700 -0.001027469 0.997572531 -0.002427469 0.0279 0.0528 -0.0315 0.038
6/1/18 31.34 34.400002 30.959999 32.810001 30.952652 749249300 0.052277172 1.050877172 0.050877172 0.0062 0.0119 -0.0231 -0.0238
7/1/18 32.439999 36.09 32.419998 35.779999 33.754517 459034700 0.090521 1.088921 0.088921 0.0335 -0.0221 0.0057 -0.0167
8/1/18 35.900002 37.07 34.619999 36.990002 35.099277 322923600 0.039839409 1.038239409 0.038239409 0.036 0.0115 -0.0392 0.0522
9/1/18 36.75 38.060001 34.75 35.41 33.600044 446078600 -0.042714071 0.955785929 -0.044214071 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 35.529999 38.650002 33.509998 38.139999 36.190495 617471700 0.077096655 1.075196655 0.075196655 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 38.099998 39.66 36.610001 39.009998 37.215092 410993300 0.028311218 1.026511218 0.026511218 0.0187 -0.0071 0.0034 -0.0133
12/1/18 39.09 39.290001 32.610001 34.049999 32.483303 438189800 -0.127147046 0.870952954 -0.129047046 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 33.490002 37.419998 33.419998 36.57 35.081406 500940900 0.079982722 1.077882722 0.077882722 0.0862 0.0289 -0.0046 -0.0865
2/1/19 36.709999 38.900002 36.27 38.669998 37.095932 343384300 0.057424323 1.055624323 0.055624323 0.0358 0.0212 -0.0271 0.0086
3/1/19 38.849998 40.52 37.889999 39.98 38.352604 419513600 0.033876275 1.031976275 0.031976275 0.0129 -0.0305 -0.0419 0.0214
4/1/19 40.34 43.959999 39.810001 43.529999 41.758099 321151400 0.088794362 1.086694362 0.086694362 0.0417 -0.0175 0.0202 -0.0255
5/1/19 43.48 43.810001 40.77 41 39.537052 359234600 -0.053188413 0.944711587 -0.055288413 -0.0673 -0.0118 -0.0228 0.076
6/1/19 41.029999 43.860001 40.68 42.279999 40.771385 443327600 0.031219652 1.029419652 0.029419652 0.0711 0.0022 -0.0079 -0.0214
7/1/19 42.650002 45.299999 42.34 43.169998 41.629627 354369000 0.021050107 1.019150107 0.019150107 0.0138 -0.0208 0.0034 0.0272
8/1/19 43.189999 44.650002 40.720001 44.259998 42.891628 350264800 0.030314973 1.028714973 0.028714973 -0.0242 -0.024 -0.0485 0.0764
9/1/19 43.889999 47.27 43.529999 45.080002 43.686279 332942000 0.018526949 1.016726949 0.016726949 0.0161 -0.0105 0.0677 -0.0685
10/1/19 45.18 47.240002 43.610001 44.82 43.434315 330280700 -0.005767578 0.992732422 -0.007267578 0.0221 0.0024 -0.0188 0.0029
11/1/19 45.189999 45.669998 43.25 44.150002 42.985275 343885800 -0.01033837 0.98846163 -0.01153837 0.0399 0.0091 -0.0205 -0.026
12/1/19 44.400002 45.34 42.009998 44.970001 43.783646 458700700 0.018573128 1.017173128 0.017173128 0.0291 0.0067 0.0191 -0.0227
1/1/20 45.360001 47.740002 42.700001 43.189999 42.050598 462380600 -0.039582085 0.959117915 -0.040882085 0.0002 -0.0308 -0.0627 0.0543
2/1/20 43.560001 46.419998 38.970001 40.43 39.549335 422519600 -0.059482222 0.939317778 -0.060682222 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 40.34 43.450001 31.709999 34.380001 33.631123 904305000 -0.149641252 0.849158748 -0.150841252 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 33.16 39.119999 32.049999 37.630001 37.050442 486740400 0.10167127 1.10167127 0.10167127 0.1365 0.0275 -0.0139 -0.0549
5/1/20 37.139999 40.470001 34.169998 39.599998 38.990097 429570500 0.052351737 1.052251737 0.052251737 0.0559 0.0249 -0.0505 0.0067
6/1/20 39.540001 43.18 37.77 38.98 38.379646 458763000 -0.015656565 0.984243435 -0.015756565 0.0247 0.0271 -0.0235 -0.0075
7/1/20 39.610001 45.200001 39.029999 42.799999 42.391197 415684900 0.104522877 1.104422877 0.104422877 0.0578 -0.0218 -0.0139 0.0761
8/1/20 42.689999 45.130001 42.02 44.810001 44.382004 281441100 0.046962746 1.046862746 0.046862746 0.0764 -0.0025 -0.0294 0.0051
9/1/20 44.439999 47.5 43.119999 46.259998 45.81815 427662100 0.032358746 1.032258746 0.032258746 -0.0362 0.0006 -0.0251 0.0305
10/1/20 46.57 46.77 41.75 42.240002 41.836552 357129300 -0.086900017 0.912999983 -0.087000017 -0.0209 0.0444 0.0403 -0.0303
11/1/20 42.75 52.490002 40.970001 50.240002 50.01123 405588200 0.195395596 1.195295596 0.195295596 0.1248 0.0548 0.0211 -0.1225
12/1/20 50.75 52.48 49.48 52.400002 52.161396 323257000 0.042993664 1.042893664 0.042893664 0.0464 0.0491 -0.0146 -0.0234

CSCO

CSCO
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 27.860001 28.700001 26.32 26.370001 21.608385 659832000 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 26.389999 29.99 25.92 29.51 24.347687 614928400 0.126770326 1.126770326 0.126770326 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 29.360001 30.309999 26.620001 27.530001 22.714054 630441700 -0.067096024 0.932903976 -0.067096024 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.6521218562
4/1/15 27.309999 29.33 26.84 28.83 23.968683 489815600 0.055235802 1.055235802 0.055235802 0.0059 -0.0304 0.0188 -0.0732 R Square 0.4252629154
5/1/15 28.809999 29.9 28.690001 29.309999 24.367741 515367400 0.016649142 1.016649142 0.016649142 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.3909502536
6/1/15 29.6 29.620001 27.33 27.459999 22.829689 507210100 -0.063118366 0.936881634 -0.063118366 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0544006634
7/1/15 27.42 28.77 26.84 28.42 23.627819 520262100 0.034960178 1.034960178 0.034960178 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 28.41 29.209999 23.030001 25.879999 21.681923 690472400 -0.082356141 0.917643859 -0.082356141 -0.0604 0.0044 0.0273 -0.0209
9/1/15 25.219999 26.73 24.92 26.25 21.991907 556873700 0.014296887 1.014296887 0.014296887 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 26.049999 29.49 25.34 28.85 24.170151 509869000 0.099047527 1.099047527 0.099047527 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 28.870001 28.870001 25.82 27.25 23.013807 630676000 -0.047841819 0.952158181 -0.047841819 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.1467139759 0.036678494 12.393760595 0.0000001335
12/1/15 27.200001 27.9 25.959999 27.16 22.937792 501981100 -0.003303017 0.996596983 -0.003403017 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.1982819563 0.0029594322
1/1/16 26.389999 26.66 22.469999 23.790001 20.091686 786284200 -0.124079336 0.875820664 -0.124179336 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.3449959322
2/1/16 23.459999 26.91 22.459999 26.18 22.282425 677901900 0.109037091 1.108837091 0.108837091 -0.0006 0.0083 -0.006 -0.0406
3/1/16 26.450001 28.68 26.24 28.469999 24.231501 498221500 0.087471449 1.087271449 0.087271449 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 28.299999 28.700001 26.950001 27.49 23.397398 443380900 -0.034422259 0.965477741 -0.034522259 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0008583307 0.0069096494 -0.1242220398 0.9015114088 -0.0146500486 0.0129333871 -0.0146500486 0.0129333871
5/1/16 27.48 29.08 25.809999 29.049999 24.951271 542483400 0.066412214 1.066312214 0.066312214 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.9186514381 0.1650915943 5.5644955267 0.0000004983 0.5891272366 1.2481756395 0.5891272366 1.2481756395
6/1/16 28.84 29.41 27.129999 28.690001 24.642065 498272800 -0.012392395 0.987407605 -0.012592395 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.3275101633 0.2806032357 -1.1671645997 0.2472811163 -0.8875965658 0.2325762393 -0.8875965658 0.2325762393
7/1/16 28.780001 31.15 28.17 30.530001 26.22246 441933000 0.064134033 1.063934033 0.063934033 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.368098634 0.2511560916 -1.4656169862 0.1474301285 -0.869408291 0.1332110229 -0.869408291 0.1332110229
8/1/16 30.700001 31.700001 30.059999 31.440001 27.250074 546905700 0.039188314 1.038988314 0.038988314 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.3656759495 0.2139477123 -1.7091837327 0.0920454389 -0.7927173705 0.0613654716 -0.7927173705 0.0613654716
9/1/16 31.42 31.950001 30.6 31.719999 27.492756 439303800 0.008905737 1.008705737 0.008705737 0.0027 0.0204 -0.0121 -0.0053
10/1/16 31.309999 31.68 29.860001 30.68 26.591352 368562000 -0.032786964 0.967013036 -0.032986964 -0.02 -0.0443 0.0407 0.0069
11/1/16 30.85 31.889999 29.549999 29.82 26.059566 569547500 -0.019998457 0.979901543 -0.020098457 0.0487 0.0547 0.0822 -0.0407
12/1/16 29.84 31.07 29.120001 30.219999 26.409124 440511100 0.013413807 1.013113807 0.013113807 0.0184 0.0011 0.0351 -0.0038
1/1/17 30.370001 31.049999 29.799999 30.719999 26.846075 388921600 0.016545456 1.016145456 0.016145456 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 30.85 34.32 30.42 34.18 30.12623 476211300 0.122183783 1.121783783 0.121783783 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 34.279999 34.529999 33.650002 33.799999 29.791302 404059400 -0.011117488 0.988582512 -0.011417488 0.002 0.0117 -0.0333 -0.0092
4/1/17 33.700001 34.110001 32.419998 34.07 30.029278 323261900 0.007988103 1.007488103 0.007488103 0.0114 0.0072 -0.0211 0.0044
5/1/17 34.110001 34.599998 30.370001 31.530001 28.032612 548285400 -0.066490643 0.932909357 -0.067090643 0.0112 -0.0261 -0.0367 0.0146
6/1/17 31.52 32.5 31.09 31.299999 27.828123 480792900 -0.007294682 0.992105318 -0.007894682 0.0084 0.0215 0.0145 -0.0032
7/1/17 31.09 32.25 30.67 31.450001 27.961491 344250200 0.004792562 1.004092562 0.004092562 0.0194 -0.0147 -0.0036 0.0166
8/1/17 31.59 32.470001 30.360001 32.209999 28.904739 505600300 0.033733823 1.032833823 0.032833823 0.0025 -0.0162 -0.0219 0.0355
9/1/17 32.220001 34.099998 31.459999 33.630001 30.179024 415433800 0.044085677 1.043185677 0.043185677 0.026 0.0447 0.0314 -0.0118
10/1/17 33.610001 34.73 33.169998 34.150002 30.645668 336242900 0.015462528 1.014562528 0.014562528 0.0234 -0.0195 0.0012 0.043
11/1/17 34.290001 38.029999 33.669998 37.299999 33.761665 476356800 0.101678221 1.100878221 0.100878221 0.032 -0.0058 -0.0009 -0.0071
12/1/17 37.09 38.990002 36.73 38.299999 34.666798 373030900 0.026809489 1.025909489 0.025909489 0.0115 -0.0129 0.0017 -0.0163
1/1/18 38.669998 42.98 38.43 41.540001 37.599453 504812100 0.084595497 1.083495497 0.083495497 0.0569 -0.0309 -0.0132 0.0394
2/1/18 41.09 45.889999 37.349998 44.779999 40.834427 703752400 0.086037794 1.084937794 0.084937794 -0.0354 0.003 -0.0101 0.0397
3/1/18 44.68 46.16 41.580002 42.889999 39.110947 597830400 -0.042206543 0.956593457 -0.043406543 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 42.52 45.34 40.189999 44.290001 40.387596 491494900 0.032641731 1.031241731 0.031241731 0.0043 0.0113 0.005 0.0027
5/1/18 43.91 46.369999 42.52 42.709999 39.259899 500681500 -0.027921865 0.970678135 -0.029321865 0.0279 0.0528 -0.0315 0.038
6/1/18 42.91 44.810001 41.810001 43.029999 39.55405 463650000 0.007492403 1.006092403 0.006092403 0.0062 0.0119 -0.0231 -0.0238
7/1/18 42.560001 43.830002 40.939999 42.290001 38.873837 450479900 -0.017197051 0.981202949 -0.018797051 0.0335 -0.0221 0.0057 -0.0167
8/1/18 41.990002 47.830002 41.200001 47.77 44.253407 441384400 0.138385362 1.136785362 0.136785362 0.036 0.0115 -0.0392 0.0522
9/1/18 47.84 49.060001 46.439999 48.650002 45.06863 365543500 0.0184217 1.0169217 0.0169217 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 49 49.470001 42.939999 45.75 42.382111 549746900 -0.059609511 0.938490489 -0.061509511 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 45.669998 48.439999 44.080002 47.869999 44.645859 526861100 0.053412818 1.051612818 0.051612818 0.0187 -0.0071 0.0034 -0.0133
12/1/18 48.32 49.139999 40.25 43.330002 40.411636 606735800 -0.094840218 0.903259782 -0.096740218 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 42.279999 47.380001 40.959999 47.290001 44.104931 442759300 0.09139187 1.08929187 0.08929187 0.0862 0.0289 -0.0046 -0.0865
2/1/19 47.369999 51.959999 46.299999 51.77 48.65704 426421600 0.103210886 1.101410886 0.101410886 0.0358 0.0212 -0.0271 0.0086
3/1/19 52 54.23 50.509998 53.990002 50.743553 432755900 0.042882037 1.040982037 0.040982037 0.0129 -0.0305 -0.0419 0.0214
4/1/19 54.48 57.529999 54.389999 55.950001 52.585697 349640500 0.036303016 1.034203016 0.034203016 0.0417 -0.0175 0.0202 -0.0255
5/1/19 56 56.830002 51.060001 52.029999 49.211018 514801500 -0.064174846 0.933725154 -0.066274846 -0.0673 -0.0118 -0.0228 0.076
6/1/19 52.049999 58.150002 51.490002 54.73 51.764736 535912200 0.051893216 1.050093216 0.050093216 0.0711 0.0022 -0.0079 -0.0214
7/1/19 55.259998 58.259998 54.23 55.400002 52.398438 325862700 0.012241963 1.010341963 0.010341963 0.0138 -0.0208 0.0034 0.0272
8/1/19 55.84 56.889999 46 46.810001 44.553249 509693100 -0.14972181 0.84867819 -0.15132181 -0.0242 -0.024 -0.0485 0.0764
9/1/19 46.630001 50.299999 46.200001 49.41 47.027901 369072000 0.055543693 1.053743693 0.053743693 0.0161 -0.0105 0.0677 -0.0685
10/1/19 49.650002 49.869999 45.549999 47.509998 45.219501 403870500 -0.038453768 0.960046232 -0.039953768 0.0221 0.0024 -0.0188 0.0029
11/1/19 46.849998 48.98 44.439999 45.310001 43.452198 437190200 -0.039082762 0.959717238 -0.040282762 0.0399 0.0091 -0.0205 -0.026
12/1/19 45.25 48.369999 43.400002 47.959999 45.993546 424411900 0.058486063 1.057086063 0.057086063 0.0291 0.0067 0.0191 -0.0227
1/1/20 48.060001 49.540001 45.84 45.970001 44.08514 379259100 -0.041492909 0.957207091 -0.042792909 0.0002 -0.0308 -0.0627 0.0543
2/1/20 46.400002 50.279999 38.349998 39.93 38.574295 560743300 -0.125004593 0.873795407 -0.126204593 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 40.150002 41.900002 32.400002 39.310001 37.975349 991833100 -0.015527076 0.983272924 -0.016727076 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 38.169998 43.630001 37.470001 42.380001 40.941113 488985000 0.078097083 1.078097083 0.078097083 0.1365 0.0275 -0.0139 -0.0549
5/1/20 41.720001 47.82 40.490002 47.82 46.634411 491602300 0.139060655 1.138960655 0.138960655 0.0559 0.0249 -0.0505 0.0067
6/1/20 47.150002 48.290001 43.639999 46.639999 45.483669 571339300 -0.024675813 0.975224187 -0.024775813 0.0247 0.0271 -0.0235 -0.0075
7/1/20 46.540001 47.700001 45.200001 47.099998 45.932259 390168800 0.009862661 1.009762661 0.009762661 0.0578 -0.0218 -0.0139 0.0761
8/1/20 47.139999 48.450001 41.450001 42.220001 41.497593 481476600 -0.096547962 0.903352038 -0.096647962 0.0764 -0.0025 -0.0294 0.0051
9/1/20 42 42.689999 37.599998 39.389999 38.716015 549453600 -0.067029864 0.932870136 -0.067129864 -0.0362 0.0006 -0.0251 0.0305
10/1/20 39.099998 40.610001 35.279999 35.900002 35.285732 511032500 -0.088601138 0.911298862 -0.088701138 -0.0209 0.0444 0.0403 -0.0303
11/1/20 36.189999 43.049999 35.669998 43.02 42.673916 535169500 0.209381628 1.209281628 0.209281628 0.1248 0.0548 0.0211 -0.1225
12/1/20 43.009998 45.57 43.009998 44.75 44.389999 381552400 0.040213863 1.040113863 0.040113863 0.0464 0.0491 -0.0146 -0.0234

DAL

DAL
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 49.919998 51.060001 44.470001 47.310001 42.584122 237076100 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 47.099998 48.27 43.349998 44.52 40.072823 254968300 -0.058972661 0.941027339 -0.058972661 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 44.52 47.630001 42.599998 44.959999 40.5504 250312400 0.011917728 1.011917728 0.011917728 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.6234556836
4/1/15 43.669998 47.380001 41.02 44.639999 40.261784 248219300 -0.007117464 0.992882536 -0.007117464 0.0059 -0.0304 0.0188 -0.0732 R Square 0.3886969894
5/1/15 44.810001 47.98 41.720001 42.919998 38.71048 265764600 -0.038530434 0.961469566 -0.038530434 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.3522012873
6/1/15 43.209999 44.790001 38.970001 41.080002 37.12706 254316900 -0.040904169 0.959095831 -0.040904169 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0798262603
7/1/15 41.75 46.639999 38.810001 44.34 40.07336 241314400 0.079357213 1.079357213 0.079357213 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 44.68 48.299999 34.610001 43.779999 39.567249 206432300 -0.012629612 0.987370388 -0.012629612 -0.0604 0.0044 0.0273 -0.0209
9/1/15 43.950001 48.18 43.299999 44.869999 40.670826 185918900 0.027891173 1.027891173 0.027891173 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 44.709999 51.66 43.349998 50.84 46.082119 212276100 0.133050974 1.133050974 0.133050974 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 50.900002 52 46.369999 46.459999 42.112026 161461800 -0.08615257 0.91384743 -0.08615257 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.271469481 0.0678673703 10.6504866822 0.0000009691
12/1/15 46.810001 52.77 46.580002 50.689999 46.0681 196595800 0.093941669 1.093841669 0.093841669 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.4269395327 0.0063722318
1/1/16 49.419998 49.75 42.419998 44.290001 40.251656 237549100 -0.126257519 0.873642481 -0.126357519 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.6984090138
2/1/16 44.73 49.450001 40.029999 48.240002 43.841496 207000600 0.089184902 1.088984902 0.088984902 -0.0006 0.0083 -0.006 -0.0406
3/1/16 48.73 50.5 46.009998 48.68 44.381695 179764700 0.012321637 1.012121637 0.012121637 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 47.5 49.799999 41.220001 41.669998 37.990654 220586000 -0.144001733 0.855898267 -0.144101733 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0037141923 0.0101390578 -0.3663251912 0.7152766916 -0.0239518363 0.0165234517 -0.0239518363 0.0165234517
5/1/16 42.110001 44.66 40.639999 43.459999 39.622597 213295600 0.042956433 1.042856433 0.042856433 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.2155007777 0.2422515415 5.0175151417 0.0000040981 0.731964677 1.6990368784 0.731964677 1.6990368784
6/1/16 43.459999 43.709999 32.599998 36.43 33.320332 286189400 -0.159057343 0.840742657 -0.159257343 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.1510519278 0.4117506205 -0.3668529451 0.7148848023 -0.9729096061 0.6708057505 -0.9729096061 0.6708057505
7/1/16 36.41 41.349998 34.080002 38.75 35.442291 235529600 0.063683609 1.063483609 0.063483609 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.9118598008 0.3685405705 2.4742453718 0.0158907693 0.1762497433 1.6474698582 0.1762497433 1.6474698582
8/1/16 38.919998 39.509998 35.84 36.75 33.613014 220496600 -0.051612832 0.948187168 -0.051812832 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.1548056431 0.3139418655 0.4931028961 0.6235522267 -0.4718249432 0.7814362294 -0.4718249432 0.7814362294
9/1/16 37 40.23 36.32 39.360001 36.198021 199614800 0.076904945 1.076704945 0.076704945 0.0027 0.0204 -0.0121 -0.0053
10/1/16 39.25 42.41 37.91 41.77 38.414421 238857100 0.061229867 1.061029867 0.061029867 -0.02 -0.0443 0.0407 0.0069
11/1/16 41.84 49.41 41.549999 48.18 44.309471 205692000 0.153459296 1.153359296 0.153359296 0.0487 0.0547 0.0822 -0.0407
12/1/16 47.959999 52.759998 47.59 49.189999 45.447014 153611800 0.025672683 1.025372683 0.025372683 0.0184 0.0011 0.0351 -0.0038
1/1/17 49.369999 52 46.57 47.240002 43.645393 165064700 -0.03964223 0.95995777 -0.04004223 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 47.48 51.959999 46.48 49.93 46.130707 133429300 0.05694333 1.05654333 0.05654333 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 50.41 51.869999 44.470001 45.959999 42.631783 215936500 -0.075848046 0.923851954 -0.076148046 0.002 0.0117 -0.0333 -0.0092
4/1/17 45.959999 47.549999 43.810001 45.439999 42.149441 173916400 -0.011314141 0.988185859 -0.011814141 0.0114 0.0072 -0.0211 0.0044
5/1/17 45.59 50.950001 45.400002 49.130001 45.572224 163479400 0.081205893 1.080605893 0.080605893 0.0112 -0.0261 -0.0367 0.0146
6/1/17 49.32 54.529999 49.299999 53.740002 50.053631 175868300 0.098336368 1.097736368 0.097736368 0.0084 0.0215 0.0145 -0.0032
7/1/17 54.259998 55.75 49.259998 49.360001 45.974075 161568200 -0.081503698 0.917796302 -0.082203698 0.0194 -0.0147 -0.0036 0.0166
8/1/17 49.779999 51.549999 45 47.189999 43.952927 165127400 -0.043962777 0.955137223 -0.044862777 0.0025 -0.0162 -0.0219 0.0355
9/1/17 47.419998 49.279999 44.59 48.220001 45.202339 164672300 0.028426139 1.027526139 0.027526139 0.026 0.0447 0.0314 -0.0118
10/1/17 48.349998 54.060001 47.900002 50.029999 46.899067 161469100 0.037536288 1.036636288 0.036636288 0.0234 -0.0195 0.0012 0.043
11/1/17 50.189999 53.5 48.330002 52.919998 49.608204 120895100 0.057765264 1.056965264 0.056965264 0.032 -0.0058 -0.0009 -0.0071
12/1/17 52.549999 56.84 51.759998 56 52.822052 137221700 0.064784607 1.063884607 0.063884607 0.0115 -0.0129 0.0017 -0.0163
1/1/18 56.290001 60.790001 53.880001 56.77 53.548344 217524400 0.013749788 1.012649788 0.012649788 0.0569 -0.0309 -0.0132 0.0394
2/1/18 56.509998 57.18 48.52 53.900002 50.841217 156682300 -0.050554822 0.948345178 -0.051654822 -0.0354 0.003 -0.0101 0.0397
3/1/18 53.869999 57.310001 51.810001 54.810001 51.99791 136801500 0.022751088 1.021551088 0.021551088 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 54.59 56.02 50.950001 52.220001 49.540798 166861300 -0.047254053 0.951345947 -0.048654053 0.0043 0.0113 0.005 0.0027
5/1/18 52.27 56.119999 51.09 54.049999 51.276913 138665600 0.035044147 1.033644147 0.033644147 0.0279 0.0528 -0.0315 0.038
6/1/18 54.419998 55.84 49.049999 49.540001 47.277641 133617700 -0.077993619 0.920606381 -0.079393619 0.0062 0.0119 -0.0231 -0.0238
7/1/18 49.25 55.049999 48.52 54.419998 51.934776 150839400 0.098506078 1.096906078 0.096906078 0.0335 -0.0221 0.0057 -0.0167
8/1/18 54.790001 58.869999 52.939999 58.48 56.189915 96064700 0.081932365 1.080332365 0.080332365 0.036 0.0115 -0.0392 0.0522
9/1/18 58.5 60.23 55.689999 57.830002 55.565372 100806000 -0.011114859 0.987385141 -0.012614859 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 57.990002 58.139999 49.68 54.73 52.586765 186771600 -0.053605454 0.944494546 -0.055505454 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 54.93 61.32 54.75 60.709999 58.332584 131488300 0.109263595 1.107463595 0.107463595 0.0187 -0.0071 0.0034 -0.0133
12/1/18 61 61.07 47.900002 49.900002 48.247189 145415900 -0.172894707 0.825205293 -0.174794707 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 49.25 50.450001 45.080002 49.43 47.792747 199934200 -0.009419036 0.988480964 -0.011519036 0.0862 0.0289 -0.0046 -0.0865
2/1/19 49.630001 52.220001 49.540001 49.580002 47.937782 128870700 0.003034665 1.001234665 0.001234665 0.0358 0.0212 -0.0271 0.0086
3/1/19 49.369999 52.080002 48.220001 51.650002 50.288242 166809100 0.049031472 1.047131472 0.047131472 0.0129 -0.0305 -0.0419 0.0214
4/1/19 51.82 58.990002 51.52 58.290001 56.75317 148486000 0.128557447 1.126457447 0.126457447 0.0417 -0.0175 0.0202 -0.0255
5/1/19 58.200001 58.509998 51.310001 51.5 50.142193 87101100 -0.11648648 0.88141352 -0.11858648 -0.0673 -0.0118 -0.0228 0.076
6/1/19 51.48 57.419998 51.41 56.75 55.587547 100204800 0.108598242 1.106798242 0.106798242 0.0711 0.0022 -0.0079 -0.0214
7/1/19 57.299999 63.439999 57.25 61.040001 59.789673 145644600 0.075594737 1.073694737 0.073694737 0.0138 -0.0208 0.0034 0.0272
8/1/19 61.310001 61.77 55.57 57.860001 57.039162 112141700 -0.046003112 0.952396888 -0.047603112 -0.0242 -0.024 -0.0485 0.0764
9/1/19 57.439999 60.580002 56.650002 57.599998 56.782845 106340200 -0.004493702 0.993706298 -0.006293702 0.0161 -0.0105 0.0677 -0.0685
10/1/19 58.049999 58.68 51.07 55.080002 54.298599 177485000 -0.043749939 0.954750061 -0.045249939 0.0221 0.0024 -0.0188 0.0029
11/1/19 55.549999 58.43 55.119999 57.310001 56.916679 105598900 0.048216345 1.047016345 0.047016345 0.0399 0.0091 -0.0205 -0.026
12/1/19 57.25 59.919998 54.540001 58.48 58.078648 100565600 0.020415264 1.019015264 0.019015264 0.0291 0.0067 0.0191 -0.0227
1/1/20 58.93 62.48 55.43 55.740002 55.357456 173131800 -0.04685357 0.95184643 -0.04815357 0.0002 -0.0308 -0.0627 0.0543
2/1/20 56.200001 60.029999 45.029999 46.130001 45.813408 165233200 -0.172407634 0.826392366 -0.173607634 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 46.220001 49.970001 19.1 28.530001 28.530001 823679400 -0.377256523 0.621543477 -0.378456523 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 26.59 27.6 20.76 25.91 25.91 1351937000 -0.09183319 0.90816681 -0.09183319 0.1365 0.0275 -0.0139 -0.0549
5/1/20 24.950001 27.85 17.51 25.209999 25.209999 1172583600 -0.027016635 0.972883365 -0.027116635 0.0559 0.0249 -0.0505 0.0067
6/1/20 25.33 37.240002 25.08 28.049999 28.049999 1333078400 0.112653713 1.112553713 0.112553713 0.0247 0.0271 -0.0235 -0.0075
7/1/20 29.02 29.85 24.43 24.969999 24.969999 571254600 -0.109803925 0.890096075 -0.109903925 0.0578 -0.0218 -0.0139 0.0761
8/1/20 24.85 32.209999 24.379999 30.85 30.85 465738500 0.235482629 1.235382629 0.235382629 0.0764 -0.0025 -0.0294 0.0051
9/1/20 30.02 35.07 27.92 30.58 30.58 464863100 -0.008752026 0.991147974 -0.008852026 -0.0362 0.0006 -0.0251 0.0305
10/1/20 30.99 34.040001 28.74 30.639999 30.639999 365087800 0.001962034 1.001862034 0.001862034 -0.0209 0.0444 0.0403 -0.0303
11/1/20 30.620001 42.189999 29.67 40.25 40.25 386248000 0.313642341 1.313542341 0.313542341 0.1248 0.0548 0.0211 -0.1225
12/1/20 40.790001 43.759998 38.84 40.209999 40.209999 276252900 -0.000993814 0.998906186 -0.001093814 0.0464 0.0491 -0.0146 -0.0234

ET

ET
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 28.530001 30.815001 24.84 29.709999 17.752909 79672000 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 30.040001 32.27 28 31.934999 19.082432 53180400 0.074890431 1.074890431 0.074890431 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 31.969999 33.080002 29.84 31.68 19.074858 55923600 -0.00039691 0.99960309 -0.00039691 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.6437660238
4/1/15 31.665001 33.599998 31.639999 33.330002 20.068342 50434800 0.052083428 1.052083428 0.052083428 0.0059 -0.0304 0.0188 -0.0732 R Square 0.4144346934
5/1/15 33.494999 34.924999 32.474998 34.334999 20.673458 49541200 0.030152765 1.030152765 0.030152765 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.3794755706
6/1/15 34.5 35.439999 31.41 32.084999 19.461424 117657600 -0.058627541 0.941372459 -0.058627541 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1414587537
7/1/15 32.005001 33.055 28.530001 30.08 18.245277 118095300 -0.062490134 0.937509866 -0.062490134 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 29.92 31.15 23.6 28.049999 17.013958 147494000 -0.067487 0.932513 -0.067487 -0.0604 0.0044 0.0273 -0.0209
9/1/15 27.469999 27.85 18.620001 20.809999 12.736309 216843400 -0.251419981 0.748580019 -0.251419981 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 21.1 25.360001 19.52 21.549999 13.18921 220664700 0.035559831 1.035559831 0.035559831 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 21.42 22.25 17.17 18.940001 11.591819 211989900 -0.121113471 0.878886529 -0.121113471 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.9488885884 0.2372221471 11.8548367449 0.0000002435
12/1/15 18.93 19.219999 10.84 13.74 8.521132 570086300 -0.26490122 0.73499878 -0.26500122 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 1.3407087924 0.020010579
1/1/16 13.62 14.39 6.6 8.68 5.383073 636783000 -0.368267855 0.631632145 -0.368367855 -0.0576 -0.0336 0.0201 0.0134 Total 71 2.2895973808
2/1/16 8.53 8.91 4 7 4.341189 683274000 -0.193548183 0.806251817 -0.193748183 -0.0006 0.0083 -0.006 -0.0406
3/1/16 7 8.75 6.37 7.13 4.587956 415240600 0.056843183 1.056643183 0.056643183 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 6.88 13.97 6.4 12.43 7.998358 504570000 0.743337992 1.743237992 0.743237992 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0153206975 0.0179672513 -0.8527012436 0.396862994 -0.0511834811 0.0205420861 -0.0511834811 0.0205420861
5/1/16 12.51 13.5 10.56 12.64 8.133488 325546400 0.016894718 1.016794718 0.016794718 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.8445767594 0.4292898229 4.2968098966 0.0000573536 0.9877106867 2.7014428322 0.9877106867 2.7014428322
6/1/16 12.54 15.13 12.1 14.37 9.471069 302532800 0.164453553 1.164253553 0.164253553 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.7028833713 0.7296562483 0.9633075478 0.3388572071 -0.7535165959 2.1592833386 -0.7535165959 2.1592833386
7/1/16 14.35 17.120001 13.45 16.59 10.934244 190716800 0.154488897 1.154288897 0.154288897 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.7735665141 0.653084456 1.1844815888 0.2404073389 -0.529995516 2.0771285441 -0.529995516 2.0771285441
8/1/16 16.469999 18.57 15.51 17.9 11.797647 141224000 0.07896321 1.07876321 0.07876321 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.551760093 0.5563310227 -0.9917837951 0.3248713895 -1.6622014619 0.5586812759 -1.6622014619 0.5586812759
9/1/16 17.75 19.440001 16.02 16.790001 11.256798 122695900 -0.045843803 0.953956197 -0.046043803 0.0027 0.0204 -0.0121 -0.0053
10/1/16 16.879999 16.950001 14.74 14.93 10.009766 88749100 -0.110780348 0.889019652 -0.110980348 -0.02 -0.0443 0.0407 0.0069
11/1/16 15.1 19.99 13.77 17.030001 11.417702 189057500 0.140656235 1.140556235 0.140556235 0.0487 0.0547 0.0822 -0.0407
12/1/16 17.309999 19.98 15.92 19.309999 13.204252 142414800 0.156471942 1.156171942 0.156171942 0.0184 0.0011 0.0351 -0.0038
1/1/17 19.59 20.049999 17.620001 17.950001 12.27428 107666300 -0.070429737 0.929170263 -0.070829737 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 18.280001 19.85 17.889999 18.84 12.882866 101014300 0.049582216 1.049182216 0.049182216 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 18.98 19.790001 18.049999 19.73 13.702427 96558100 0.063616357 1.063316357 0.063316357 0.002 0.0117 -0.0333 -0.0092
4/1/17 19.77 19.82 18.049999 18.66 12.959315 76039700 -0.054232144 0.945267856 -0.054732144 0.0114 0.0072 -0.0211 0.0044
5/1/17 18.75 19.5 16.719999 17.040001 11.834232 159343900 -0.086816549 0.912583451 -0.087416549 0.0112 -0.0261 -0.0367 0.0146
6/1/17 17.01 18.129999 15.03 17.959999 12.676592 174786200 0.071179946 1.070579946 0.070579946 0.0084 0.0215 0.0145 -0.0032
7/1/17 18.1 18.379999 17.139999 17.67 12.471906 96090600 -0.016146769 0.983153231 -0.016846769 0.0194 -0.0147 -0.0036 0.0166
8/1/17 18.09 18.5 16.18 17.370001 12.260158 78441100 -0.016977998 0.982122002 -0.017877998 0.0025 -0.0162 -0.0219 0.0355
9/1/17 17.379999 18.07 17.18 17.379999 12.466824 95002000 0.016856716 1.015956716 0.015956716 0.026 0.0447 0.0314 -0.0118
10/1/17 17.24 18.34 15.82 17.75 12.732227 133322800 0.021288742 1.020388742 0.020388742 0.0234 -0.0195 0.0012 0.043
11/1/17 17.9 18.709999 15.64 16.200001 11.6204 104928200 -0.087323844 0.911876156 -0.088123844 0.032 -0.0058 -0.0009 -0.0071
12/1/17 16.26 17.629999 15.95 17.26 12.589511 110034500 0.083397387 1.082497387 0.082497387 0.0115 -0.0129 0.0017 -0.0163
1/1/18 17.23 19.34 17.07 18.299999 13.348092 111205100 0.060255001 1.059155001 0.059155001 0.0569 -0.0309 -0.0132 0.0394
2/1/18 18.24 18.690001 15.48 15.5 11.305761 135375900 -0.153005463 0.845894537 -0.154105463 -0.0354 0.003 -0.0101 0.0397
3/1/18 15.5 15.95 12.8 14.21 10.548891 144851200 -0.066945516 0.931854484 -0.068145516 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 14.2 16.16 13.73 15.8 11.729239 85061900 0.111893089 1.110493089 0.110493089 0.0043 0.0113 0.005 0.0027
5/1/18 15.75 17.49 15.69 17.280001 12.827928 94200700 0.093670953 1.092270953 0.092270953 0.0279 0.0528 -0.0315 0.038
6/1/18 17.379999 17.959999 16.83 17.25 13.049993 56993300 0.017311058 1.015911058 0.015911058 0.0062 0.0119 -0.0231 -0.0238
7/1/18 17.17 18.370001 16.780001 18.209999 13.776254 56424300 0.055652214 1.054052214 0.054052214 0.0335 -0.0221 0.0057 -0.0167
8/1/18 18.09 19.190001 17 17.5 13.239123 172611000 -0.038989627 0.959410373 -0.040589627 0.036 0.0115 -0.0392 0.0522
9/1/18 17.6 17.92 17.049999 17.43 13.40187 96304800 0.012292884 1.010792884 0.010792884 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 17.49 18.17 14.63 15.54 11.948654 257029600 -0.108433823 0.889666177 -0.110333823 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 15.58 17.040001 14.01 14.57 11.202824 217010900 -0.062419583 0.935780417 -0.064219583 0.0187 -0.0071 0.0034 -0.0133
12/1/18 14.78 15.3 11.68 13.21 10.355774 307215300 -0.0756104 0.9224896 -0.0775104 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 13 15.28 12.97 14.71 11.531675 314140000 0.113550276 1.111450276 0.111450276 0.0862 0.0289 -0.0046 -0.0865
2/1/19 14.77 15.98 14 14.79 11.594391 213228600 0.005438585 1.003638585 0.003638585 0.0358 0.0212 -0.0271 0.0086
3/1/19 14.81 15.59 14.65 15.37 12.299497 164161200 0.060814406 1.058914406 0.058914406 0.0129 -0.0305 -0.0419 0.0214
4/1/19 15.48 15.87 15.05 15.12 12.099439 165899300 -0.016265543 0.981634457 -0.018365543 0.0417 -0.0175 0.0202 -0.0255
5/1/19 15.2 15.43 13.62 13.74 10.995126 247992900 -0.091269769 0.906630231 -0.093369769 -0.0673 -0.0118 -0.0228 0.076
6/1/19 13.77 14.53 13.76 14.08 11.495465 234262900 0.045505527 1.043705527 0.043705527 0.0711 0.0022 -0.0079 -0.0214
7/1/19 14.28 15.26 14.03 14.38 11.740397 191933400 0.021306837 1.019406837 0.019406837 0.0138 -0.0208 0.0034 0.0272
8/1/19 14.4 14.5 12.96 13.61 11.111739 252819900 -0.053546571 0.944853429 -0.055146571 -0.0242 -0.024 -0.0485 0.0764
9/1/19 13.44 14.07 13.01 13.08 10.914449 244001900 -0.017755097 0.980444903 -0.019555097 0.0161 -0.0105 0.0677 -0.0685
10/1/19 13.15 13.21 12.21 12.59 10.505576 272097900 -0.037461625 0.961038375 -0.038961625 0.0221 0.0024 -0.0188 0.0029
11/1/19 12.69 12.96 10.84 11.81 9.854715 419675000 -0.061953861 0.936846139 -0.063153861 0.0399 0.0091 -0.0205 -0.026
12/1/19 11.91 13.25 11.28 12.83 10.964888 373057400 0.112653994 1.111253994 0.111253994 0.0291 0.0067 0.0191 -0.0227
1/1/20 12.95 13.86 12.4 12.59 10.759777 316033400 -0.018706165 0.979993835 -0.020006165 0.0002 -0.0308 -0.0627 0.0543
2/1/20 12.59 13.21 9.91 11.08 9.469287 467846700 -0.119936501 0.878863499 -0.121136501 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 11.2 12.25 3.75 4.6 4.025743 1118635300 -0.574863134 0.423936866 -0.576063134 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 4.67 9.02 4.52 8.4 7.351356 869616900 0.826086762 1.826086762 0.826086762 0.1365 0.0275 -0.0139 -0.0549
5/1/20 8.23 8.58 6.61 8.16 7.141317 607515600 -0.028571464 0.971328536 -0.028671464 0.0559 0.0249 -0.0505 0.0067
6/1/20 8.19 9.55 6.9 7.12 6.471263 572318600 -0.093827791 0.906072209 -0.093927791 0.0247 0.0271 -0.0235 -0.0075
7/1/20 7.12 7.22 6.05 6.55 5.953198 559101600 -0.080056242 0.919843758 -0.080156242 0.0578 -0.0218 -0.0139 0.0761
8/1/20 6.57 7.34 6.36 6.42 5.835043 449979700 -0.019847316 0.980052684 -0.019947316 0.0764 -0.0025 -0.0294 0.0051
9/1/20 6.42 6.44 5.34 5.42 5.145658 380256300 -0.118145659 0.881754341 -0.118245659 -0.0362 0.0006 -0.0251 0.0305
10/1/20 5.4 6.52 5.01 5.15 4.889325 467295000 -0.049815398 0.950084602 -0.049915398 -0.0209 0.0444 0.0403 -0.0303
11/1/20 5.15 6.86 4.98 6.18 5.867189 542937800 0.199999795 1.199899795 0.199899795 0.1248 0.0548 0.0211 -0.1225
12/1/20 6.26 7.2 6.06 6.18 6.03992 509396100 0.029440163 1.029340163 0.029340163 0.0464 0.0491 -0.0146 -0.0234

F

F
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 15.59 15.65 14.3 14.71 10.764284 596890300 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 14.75 16.620001 14.74 16.34 12.079071 524690500 0.12214347 1.12214347 0.12214347 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 16.34 16.74 15.69 16.139999 11.931224 609978100 -0.012239931 0.987760069 -0.012239931 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.730206274
4/1/15 16.16 16.16 15.7 15.8 11.679885 539789600 -0.021065651 0.978934349 -0.021065651 0.0059 -0.0304 0.0188 -0.0732 R Square 0.5332012026
5/1/15 15.9 15.94 15.14 15.17 11.319897 428759700 -0.030821194 0.969178806 -0.030821194 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.5053326176
6/1/15 15.33 15.66 14.78 15.01 11.200502 578382200 -0.010547357 0.989452643 -0.010547357 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0570864154
7/1/15 15.14 15.3 14.23 14.83 11.066188 672444200 -0.011991784 0.988008216 -0.011991784 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 14.97 15.04 10.44 13.87 10.455587 596466400 -0.055177176 0.944822824 -0.055177176 -0.0604 0.0044 0.0273 -0.0209
9/1/15 13.95 14.88 13.01 13.57 10.22944 744638400 -0.021629297 0.978370703 -0.021629297 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 13.76 15.84 13.42 14.81 11.164186 668696500 0.091378023 1.091378023 0.091378023 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 14.79 14.9 13.85 14.33 10.912279 443767100 -0.022563848 0.977436152 -0.022563848 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.2494030389 0.0623507597 19.13269741 0.0000000002
12/1/15 14.32 14.62 13.4 14.09 10.729517 587975700 -0.016748289 0.983151711 -0.016848289 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.218343541 0.0032588588
1/1/16 13.87 14 11.2 11.94 9.092295 1087624700 -0.152590466 0.847309534 -0.152690466 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.4677465799
2/1/16 11.92 12.65 11.02 12.51 9.847643 795878200 0.083075615 1.082875615 0.082875615 -0.0006 0.0083 -0.006 -0.0406
3/1/16 13.01 13.86 12.72 13.5 10.626953 723070900 0.079136703 1.078936703 0.078936703 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 13.28 14.22 12.39 13.56 10.674184 736240700 0.004444454 1.004344454 0.004344454 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0070843355 0.0072507776 -0.9770449202 0.3320616023 -0.0215569482 0.0073882773 -0.0215569482 0.0073882773
5/1/16 13.67 13.79 13.02 13.49 10.736203 543642100 0.005810187 1.005710187 0.005710187 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.979043992 0.1732421396 5.6513039753 0.0000003543 0.6332512341 1.3248367498 0.6332512341 1.3248367498
6/1/16 13.43 13.55 12 12.57 10.004008 778155400 -0.068198692 0.931601308 -0.068398692 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.4329380219 0.2944565719 1.4702949881 0.1461626392 -0.1547997555 1.0206757994 -0.1547997555 1.0206757994
7/1/16 12.88 14.04 12.21 12.66 10.075635 756186500 0.00715983 1.00695983 0.00695983 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.5844807172 0.2635556271 2.2176749691 0.0299723632 0.0584214838 1.1105399506 0.0584214838 1.1105399506
8/1/16 12.61 12.62 11.9 12.6 10.13784 726884900 0.006173804 1.005973804 0.005973804 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.0904169625 0.2245102761 -0.4027297283 0.6884292078 -0.5385413492 0.3577074242 -0.5385413492 0.3577074242
9/1/16 12.66 12.77 11.93 12.07 9.711407 746043700 -0.042063497 0.957736503 -0.042263497 0.0027 0.0204 -0.0121 -0.0053
10/1/16 12.06 12.53 11.6 11.74 9.445892 657689600 -0.027340529 0.972459471 -0.027540529 -0.02 -0.0443 0.0407 0.0069
11/1/16 11.78 12.5 11.07 11.96 9.742787 736856500 0.031431124 1.031331124 0.031331124 0.0487 0.0547 0.0822 -0.0407
12/1/16 12.23 13.2 12.08 12.13 9.88127 709201400 0.0142139 1.0139139 0.0139139 0.0184 0.0011 0.0351 -0.0038
1/1/17 12.2 13.27 12.13 12.36 10.068634 879509200 0.01896153 1.01856153 0.01856153 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 12.45 12.77 12.22 12.53 10.371616 586173700 0.030091669 1.029691669 0.029691669 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 12.66 12.75 11.41 11.64 9.634925 952495700 -0.071029529 0.928670471 -0.071329529 0.002 0.0117 -0.0333 -0.0092
4/1/17 11.64 11.7 11.08 11.47 9.494207 779918200 -0.014604992 0.984895008 -0.015104992 0.0114 0.0072 -0.0211 0.0044
5/1/17 11.49 11.54 10.67 11.12 9.328549 932923800 -0.017448324 0.981951676 -0.018048324 0.0112 -0.0261 -0.0367 0.0146
6/1/17 11.25 11.54 10.91 11.19 9.38727 850617600 0.006294762 1.005694762 0.005694762 0.0084 0.0215 0.0145 -0.0032
7/1/17 11.36 11.83 10.95 11.22 9.412437 697037000 0.002680971 1.001980971 0.001980971 0.0194 -0.0147 -0.0036 0.0166
8/1/17 11.11 11.2 10.47 11.03 9.371881 760514500 -0.004308767 0.994791233 -0.005208767 0.0025 -0.0162 -0.0219 0.0355
9/1/17 11.18 12.06 11.14 11.97 10.17057 682274700 0.085221846 1.084321846 0.084321846 0.026 0.0447 0.0314 -0.0118
10/1/17 12 12.46 11.87 12.27 10.425473 874278600 0.025062804 1.024162804 0.024162804 0.0234 -0.0195 0.0012 0.043
11/1/17 12.4 12.65 11.87 12.52 10.769984 701585400 0.033045119 1.032245119 0.032245119 0.032 -0.0058 -0.0009 -0.0071
12/1/17 12.62 12.81 12.28 12.49 10.744176 597327400 -0.00239629 0.99670371 -0.00329629 0.0115 -0.0129 0.0017 -0.0163
1/1/18 12.52 13.48 10.9 10.97 9.436639 1142142300 -0.12169728 0.87720272 -0.12279728 0.0569 -0.0309 -0.0132 0.0394
2/1/18 10.95 11.04 10.19 10.61 9.35172 970377300 -0.008998861 0.989901139 -0.010098861 -0.0354 0.003 -0.0101 0.0397
3/1/18 10.65 11.44 10.14 11.08 9.765981 1007233600 0.04429784 1.04309784 0.04309784 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 11.06 11.73 10.7 11.24 9.907006 882033000 0.014440434 1.013040434 0.013040434 0.0043 0.0113 0.005 0.0027
5/1/18 11.25 11.74 10.97 11.55 10.316831 701227100 0.04136719 1.03996719 0.03996719 0.0279 0.0528 -0.0315 0.038
6/1/18 11.67 12.15 11.03 11.07 9.888079 762713500 -0.041558498 0.957041502 -0.042958498 0.0062 0.0119 -0.0231 -0.0238
7/1/18 11.02 11.26 9.84 10.04 8.968049 851569700 -0.093044362 0.905355638 -0.094644362 0.0335 -0.0221 0.0057 -0.0167
8/1/18 10.06 10.1 9.35 9.48 8.586881 858463900 -0.04250289 0.95589711 -0.04410289 0.036 0.0115 -0.0392 0.0522
9/1/18 9.53 9.94 9.09 9.25 8.37855 803729200 -0.024261545 0.974238455 -0.025761545 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 9.43 9.67 8.17 9.55 8.650288 1300409700 0.032432581 1.030532581 0.030532581 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 9.54 9.8 8.96 9.41 8.676593 873823100 0.003040939 1.001240939 0.001240939 0.0187 -0.0071 0.0034 -0.0133
12/1/18 9.71 9.85 7.41 7.65 7.053765 956262400 -0.187035165 0.811064835 -0.188935165 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 7.53 9.06 7.48 8.8 8.114135 1004292300 0.150326811 1.148226811 0.148226811 0.0862 0.0289 -0.0046 -0.0865
2/1/19 8.77 8.98 8.16 8.77 8.227353 730016300 0.013953182 1.012153182 0.012153182 0.0358 0.0212 -0.0271 0.0086
3/1/19 8.85 8.97 8.34 8.78 8.236733 944056400 0.001140099 0.999240099 -0.000759901 0.0129 -0.0305 -0.0419 0.0214
4/1/19 8.86 10.5 8.86 10.45 9.803402 938067400 0.190205146 1.188105146 0.188105146 0.0417 -0.0175 0.0202 -0.0255
5/1/19 10.48 10.5 9.32 9.52 9.074224 800091600 -0.074380098 0.923519902 -0.076480098 -0.0673 -0.0118 -0.0228 0.076
6/1/19 9.62 10.31 9.46 10.23 9.750978 627584700 0.074579821 1.072779821 0.072779821 0.0711 0.0022 -0.0079 -0.0214
7/1/19 10.34 10.56 9.4 9.53 9.083755 891313400 -0.068426265 0.929673735 -0.070326265 0.0138 -0.0208 0.0034 0.0272
8/1/19 9.53 9.62 8.7 9.17 8.871069 749401800 -0.023413886 0.974986114 -0.025013886 -0.0242 -0.024 -0.0485 0.0764
9/1/19 9.18 9.65 9.04 9.16 8.861395 659445200 -0.001090511 0.997109489 -0.002890511 0.0161 -0.0105 0.0677 -0.0685
10/1/19 9.19 9.32 8.44 8.59 8.309977 888712200 -0.062226997 0.936273003 -0.063726997 0.0221 0.0024 -0.0188 0.0029
11/1/19 8.64 9.15 8.64 9.06 8.908496 669268700 0.072024146 1.070824146 0.070824146 0.0399 0.0091 -0.0205 -0.026
12/1/19 9.08 9.57 8.8 9.3 9.144482 746135500 0.026489993 1.025089993 0.025089993 0.0291 0.0067 0.0191 -0.0227
1/1/20 9.29 9.42 8.73 8.82 8.672508 1088852400 -0.051612984 0.947087016 -0.052912984 0.0002 -0.0308 -0.0627 0.0543
2/1/20 8.85 9.24 6.67 6.96 6.96 1640048800 -0.197463986 0.801336014 -0.198663986 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 7.11 7.34 3.96 4.83 4.83 2622835900 -0.306034483 0.692765517 -0.307234483 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 4.63 5.75 4.17 5.09 5.09 1955129900 0.053830228 1.053830228 0.053830228 0.1365 0.0275 -0.0139 -0.0549
5/1/20 5.02 6.09 4.52 5.71 5.71 1805567900 0.121807466 1.121707466 0.121707466 0.0559 0.0249 -0.0505 0.0067
6/1/20 5.73 7.74 5.67 6.08 6.08 2162095800 0.064798599 1.064698599 0.064698599 0.0247 0.0271 -0.0235 -0.0075
7/1/20 6.1 7.06 5.74 6.61 6.61 1641654800 0.087171053 1.087071053 0.087071053 0.0578 -0.0218 -0.0139 0.0761
8/1/20 6.65 7.38 6.53 6.82 6.82 1115145500 0.031770045 1.031670045 0.031670045 0.0764 -0.0025 -0.0294 0.0051
9/1/20 6.77 7.4 6.41 6.66 6.66 1285263100 -0.023460411 0.976439589 -0.023560411 -0.0362 0.0006 -0.0251 0.0305
10/1/20 6.71 8.35 6.6 7.73 7.73 1420983100 0.160660661 1.160560661 0.160560661 -0.0209 0.0444 0.0403 -0.0303
11/1/20 7.83 9.5 7.63 9.08 9.08 1434081400 0.174644243 1.174544243 0.174544243 0.1248 0.0548 0.0211 -0.1225
12/1/20 9.16 9.49 8.75 8.79 8.79 1237616400 -0.031938326 0.967961674 -0.032038326 0.0464 0.0491 -0.0146 -0.0234

FB

FB
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 78.580002 79.25 73.540001 75.910004 75.910004 546210700 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 76.110001 81.370003 73.449997 78.970001 78.970001 475148700 0.040310853 1.040310853 0.040310853 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 79 86.07 77.260002 82.220001 82.220001 575349900 0.041154868 1.041154868 0.041154868 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.6509777104
4/1/15 82.5 85.589996 78.32 78.769997 78.769997 542124600 -0.041960642 0.958039358 -0.041960642 0.0059 -0.0304 0.0188 -0.0732 R Square 0.4237719794
5/1/15 79.239998 81.849998 76.790001 79.190002 79.190002 421870700 0.005332043 1.005332043 0.005332043 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.3893703065
6/1/15 79.300003 89.400002 78.660004 85.769997 85.769997 537740300 0.083091234 1.083091234 0.083091234 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0600535936
7/1/15 86.769997 99.239998 85.230003 94.010002 94.010002 790781000 0.096070949 1.096070949 0.096070949 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 93.529999 98.739998 72 89.43 89.43 709884600 -0.048718242 0.951281758 -0.048718242 -0.0604 0.0044 0.0273 -0.0209
9/1/15 86.849998 96.489998 85.720001 89.900002 89.900002 635399800 0.005255529 1.005255529 0.005255529 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 90.050003 105.120003 88.360001 101.970001 101.970001 571590400 0.134260275 1.134260275 0.134260275 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 101.720001 110.650002 100.470001 104.239998 104.239998 547232800 0.02226142 1.02226142 0.02226142 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.177701326 0.0444253315 12.3183538484 0.0000001451
12/1/15 104.830002 107.919998 101.459999 104.660004 104.660004 440304100 0.004029221 1.003929221 0.003929221 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.2416310853 0.0036064341
1/1/16 101.949997 112.839996 89.370003 112.209999 112.209999 792709100 0.072138302 1.072038302 0.072038302 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.4193324113
2/1/16 112.269997 117.589996 96.82 106.919998 106.919998 874152500 -0.047143758 0.952656242 -0.047343758 -0.0006 0.0083 -0.006 -0.0406
3/1/16 107.830002 116.989998 104.400002 114.099998 114.099998 521458900 0.067153013 1.066953013 0.066953013 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 113.75 120.790001 106.309998 117.580002 117.580002 741613800 0.030499597 1.030399597 0.030399597 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0038870589 0.007627651 0.5096010421 0.6120054886 -0.0113377962 0.019111914 -0.0113377962 0.019111914
5/1/16 117.830002 121.080002 115.879997 118.809998 118.809998 460544200 0.010460929 1.010360929 0.010360929 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.1773251464 0.1822467391 6.4600615191 0.0000000138 0.8135591326 1.5410911602 0.8135591326 1.5410911602
6/1/16 118.5 119.440002 108.230003 114.279999 114.279999 450876100 -0.038128096 0.961671904 -0.038328096 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.2002570589 0.3097615291 -0.6464878306 0.520171974 -0.8185436587 0.4180295408 -0.8185436587 0.4180295408
7/1/16 114.199997 128.330002 112.970001 123.940002 123.940002 470108600 0.084529253 1.084329253 0.084329253 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.310357009 0.2772544471 -1.1193941602 0.2669690407 -0.8637592015 0.2430451836 -0.8637592015 0.2430451836
8/1/16 123.849998 126.730003 122.07 126.120003 126.120003 365670900 0.017589164 1.017389164 0.017389164 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.0791094966 0.2361796375 0.3349547717 0.7387056331 -0.392307033 0.5505260261 -0.392307033 0.5505260261
9/1/16 126.379997 131.979996 125.599998 128.270004 128.270004 376518100 0.017047264 1.016847264 0.016847264 0.0027 0.0204 -0.0121 -0.0053
10/1/16 128.380005 133.5 126.75 130.990005 130.990005 313284400 0.021205277 1.021005277 0.021005277 -0.02 -0.0443 0.0407 0.0069
11/1/16 131.410004 131.940002 113.550003 118.419998 118.419998 644052900 -0.095961574 0.903938426 -0.096061574 0.0487 0.0547 0.0822 -0.0407
12/1/16 118.379997 122.5 114 115.050003 115.050003 408728400 -0.028457989 0.971242011 -0.028757989 0.0184 0.0011 0.0351 -0.0038
1/1/17 116.029999 133.139999 115.510002 130.320007 130.320007 378958900 0.132724934 1.132324934 0.132324934 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 132.25 137.179993 130.300003 135.539993 135.539993 384700500 0.040055139 1.039655139 0.039655139 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 136.470001 142.949997 136.080002 142.050003 142.050003 342098600 0.048030178 1.047730178 0.047730178 0.002 0.0117 -0.0333 -0.0092
4/1/17 141.929993 151.529999 138.809998 150.25 150.25 275586300 0.05772613 1.05722613 0.05722613 0.0114 0.0072 -0.0211 0.0044
5/1/17 151.740005 153.600006 144.419998 151.460007 151.460007 403586900 0.008053291 1.007453291 0.007453291 0.0112 -0.0261 -0.0367 0.0146
6/1/17 151.75 156.5 144.559998 150.979996 150.979996 414757100 -0.003169226 0.996230774 -0.003769226 0.0084 0.0215 0.0145 -0.0032
7/1/17 151.720001 175.490005 147.800003 169.25 169.25 419907600 0.121009435 1.120309435 0.120309435 0.0194 -0.0147 -0.0036 0.0166
8/1/17 169.820007 173.050003 165 171.970001 171.970001 303622800 0.016070907 1.015170907 0.015170907 0.0025 -0.0162 -0.0219 0.0355
9/1/17 172.399994 174 161.559998 170.869995 170.869995 304818300 -0.006396499 0.992703501 -0.007296499 0.026 0.0447 0.0314 -0.0118
10/1/17 171.389999 180.800003 168.289993 180.059998 180.059998 318146600 0.053783597 1.052883597 0.052883597 0.0234 -0.0195 0.0012 0.043
11/1/17 182.360001 184.25 174 177.179993 177.179993 350998700 -0.015994696 0.983205304 -0.016794696 0.032 -0.0058 -0.0009 -0.0071
12/1/17 176.029999 182.279999 169.009995 176.460007 176.460007 317095800 -0.004063585 0.995036415 -0.004963585 0.0115 -0.0129 0.0017 -0.0163
1/1/18 177.679993 190.660004 175.800003 186.889999 186.889999 495655700 0.059106832 1.058006832 0.058006832 0.0569 -0.0309 -0.0132 0.0394
2/1/18 188.220001 195.320007 167.179993 178.320007 178.320007 516251600 -0.045855808 0.953044192 -0.046955808 -0.0354 0.003 -0.0101 0.0397
3/1/18 179.009995 186.100006 149.020004 159.789993 159.789993 996201700 -0.103914386 0.894885614 -0.105114386 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 157.809998 177.100006 150.509995 172 172 750072700 0.076412839 1.075012839 0.075012839 0.0043 0.0113 0.005 0.0027
5/1/18 172 192.720001 170.229996 191.779999 191.779999 401144100 0.114999994 1.113599994 0.113599994 0.0279 0.0528 -0.0315 0.038
6/1/18 193.070007 203.550003 186.429993 194.320007 194.320007 387265600 0.013244384 1.011844384 0.011844384 0.0062 0.0119 -0.0231 -0.0238
7/1/18 193.369995 218.619995 166.559998 172.580002 172.580002 647030700 -0.111877337 0.886522663 -0.113477337 0.0335 -0.0221 0.0057 -0.0167
8/1/18 173.929993 188.300003 170.270004 175.729996 175.729996 548832700 0.01825237 1.01665237 0.01665237 0.036 0.0115 -0.0392 0.0522
9/1/18 173.5 173.889999 158.869995 164.460007 164.460007 500468800 -0.064132415 0.934367585 -0.065632415 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 163.029999 165.880005 139.029999 151.789993 151.789993 622446300 -0.077040092 0.921059908 -0.078940092 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 151.520004 154.130005 126.849998 140.610001 140.610001 518151700 -0.073654342 0.924545658 -0.075454342 0.0187 -0.0071 0.0034 -0.0133
12/1/18 143 147.190002 123.019997 131.089996 131.089996 558786200 -0.067705035 0.930394965 -0.069605035 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 128.990005 171.679993 128.559998 166.690002 166.690002 527547900 0.271569205 1.269469205 0.269469205 0.0862 0.0289 -0.0046 -0.0865
2/1/19 165.839996 172.470001 159.589996 161.449997 161.449997 302243200 -0.031435629 0.966764371 -0.033235629 0.0358 0.0212 -0.0271 0.0086
3/1/19 162.600006 174.300003 159.279999 166.690002 166.690002 387936100 0.0324559 1.0305559 0.0305559 0.0129 -0.0305 -0.0419 0.0214
4/1/19 167.830002 198.479996 167.279999 193.399994 193.399994 381985300 0.160237517 1.158137517 0.158137517 0.0417 -0.0175 0.0202 -0.0255
5/1/19 194.779999 196.179993 177.160004 177.470001 177.470001 286821500 -0.082368115 0.915531885 -0.084468115 -0.0673 -0.0118 -0.0228 0.076
6/1/19 175 198.880005 160.839996 193 193 426428600 0.087507742 1.085707742 0.085707742 0.0711 0.0022 -0.0079 -0.0214
7/1/19 195.210007 208.660004 191.929993 194.229996 194.229996 351020900 0.006373036 1.004473036 0.004473036 0.0138 -0.0208 0.0034 0.0272
8/1/19 194.169998 198.470001 176.660004 185.669998 185.669998 294689500 -0.044071452 0.954328548 -0.045671452 -0.0242 -0.024 -0.0485 0.0764
9/1/19 184 193.100006 175.660004 178.080002 178.080002 264538500 -0.040878958 0.957321042 -0.042678958 0.0161 -0.0105 0.0677 -0.0685
10/1/19 179.149994 198.089996 173.089996 191.649994 191.649994 326207200 0.076201661 1.074701661 0.074701661 0.0221 0.0024 -0.0188 0.0029
11/1/19 192.850006 203.800003 188.539993 201.639999 201.639999 258303900 0.0521263 1.0509263 0.0509263 0.0399 0.0091 -0.0205 -0.026
12/1/19 202.130005 208.929993 193.169998 205.25 205.25 276257100 0.017903199 1.016503199 0.016503199 0.0291 0.0067 0.0191 -0.0227
1/1/20 206.75 224.199997 201.059998 201.910004 201.910004 347314600 -0.016272819 0.982427181 -0.017572819 0.0002 -0.0308 -0.0627 0.0543
2/1/20 203.440002 218.770004 181.820007 192.470001 192.470001 317547300 -0.046753518 0.952046482 -0.047953518 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 194.029999 197.240005 137.100006 166.800003 166.800003 649467700 -0.133371423 0.865428577 -0.134571423 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 161.619995 209.690002 150.830002 204.710007 204.710007 541334600 0.227278197 1.227278197 0.227278197 0.1365 0.0275 -0.0139 -0.0549
5/1/20 201.600006 240.899994 198.759995 225.089996 225.089996 509476500 0.099555412 1.099455412 0.099455412 0.0559 0.0249 -0.0505 0.0067
6/1/20 224.589996 245.190002 207.110001 227.070007 227.070007 548043800 0.00879653 1.00869653 0.00869653 0.0247 0.0271 -0.0235 -0.0075
7/1/20 228.5 255.850006 226.899994 253.669998 253.669998 517599700 0.11714445 1.11704445 0.11704445 0.0578 -0.0218 -0.0139 0.0761
8/1/20 252.649994 304.670013 247.429993 293.200012 293.200012 574239100 0.155832437 1.155732437 0.155732437 0.0764 -0.0025 -0.0294 0.0051
9/1/20 294.709991 303.600006 244.130005 261.899994 261.899994 499115300 -0.106753127 0.893146873 -0.106853127 -0.0362 0.0006 -0.0251 0.0305
10/1/20 265.350006 285.23999 254.820007 263.109985 263.109985 454101600 0.00462005 1.00452005 0.00452005 -0.0209 0.0444 0.0403 -0.0303
11/1/20 264.600006 297.380005 257.339996 276.970001 276.970001 356771600 0.052677651 1.052577651 0.052577651 0.1248 0.0548 0.0211 -0.1225
12/1/20 279.160004 291.779999 264.630005 273.160004 273.160004 363940000 -0.013755992 0.986144008 -0.013855992 0.0464 0.0491 -0.0146 -0.0234

FCEL

FCEL
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 221.759995 228.960007 151.199997 172.800003 172.800003 634313 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 172.800003 201.600006 164.160004 188.639999 188.639999 359874 0.091666642 1.091666642 0.091666642 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 188.639999 208.800003 171.360001 180 180 648442 -0.045801522 0.954198478 -0.045801522 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.4310616923
4/1/15 177.119995 195.839996 174.240005 177.119995 177.119995 417964 -0.016000028 0.983999972 -0.016000028 0.0059 -0.0304 0.0188 -0.0732 R Square 0.1858141826
5/1/15 175.679993 188.639999 161.279999 177.119995 177.119995 407791 0 1 0 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.1372060741
6/1/15 177.119995 180 123.839996 141.119995 141.119995 529536 -0.203252038 0.796747962 -0.203252038 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.6165157684
7/1/15 138.240005 146.880005 116.639999 120.959999 120.959999 312344 -0.14285712 0.85714288 -0.14285712 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 118.080002 128.160004 92.160004 119.519997 119.519997 266238 -0.011904779 0.988095221 -0.011904779 -0.0604 0.0044 0.0273 -0.0209
9/1/15 122.400002 144 96.480003 106.559998 106.559998 297874 -0.108433729 0.891566271 -0.108433729 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 106.559998 136.800003 99.360001 126.720001 126.720001 278355 0.189189221 1.189189221 0.189189221 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 129.600006 146.880005 108 123.839996 123.839996 241896 -0.022727312 0.977272688 -0.022727312 0.0056 0.0368 -0.0049 0.0221 Regression 4 5.811904999 1.4529762497 3.8226993055 0.0073801075
12/1/15 125.279999 128.160004 58.799999 59.52 59.52 1094951 -0.519379829 0.480520171 -0.519479829 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 25.4661434116 0.3800916927
1/1/16 66 84.599998 54.119999 63.959999 63.959999 1519950 0.074596757 1.074496757 0.074496757 -0.0576 -0.0336 0.0201 0.0134 Total 71 31.2780484105
2/1/16 64.800003 71.040001 54.720001 68.519997 68.519997 721608 0.071294529 1.071094529 0.071094529 -0.0006 0.0083 -0.006 -0.0406
3/1/16 69.599998 96.959999 65.639999 81.239998 81.239998 1447758 0.185639252 1.185439252 0.185439252 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 79.800003 88.199997 69.720001 71.519997 71.519997 668050 -0.11964551 0.88025449 -0.11974551 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0311857036 0.0783061735 0.3982534483 0.6917096316 -0.1251140729 0.1874854802 -0.1251140729 0.1874854802
5/1/16 71.519997 93.239998 64.559998 91.800003 91.800003 991485 0.283557143 1.283457143 0.283457143 0.0179 -0.0027 -0.016 0.0214 X Variable 1 2.7719781985 1.8709619458 1.4815791443 0.1431403267 -0.9624774753 6.5064338724 -0.9624774753 6.5064338724
6/1/16 93.120003 106.559998 60.240002 74.639999 74.639999 1702960 -0.186928142 0.812871858 -0.187128142 -0.0003 0.0064 -0.014 0.0411 X Variable 2 2.4935313079 3.1800406192 0.7841193263 0.4357335637 -3.8538563342 8.84091895 -3.8538563342 8.84091895
7/1/16 75.360001 77.279999 61.799999 64.68 64.68 1151767 -0.133440503 0.866359497 -0.133640503 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -1.5320383523 2.8463198973 -0.5382523425 0.5921865483 -7.2133166456 4.1492399411 -7.2133166456 4.1492399411
8/1/16 64.440002 66.239998 59.759998 61.919998 61.919998 757524 -0.042671645 0.957128355 -0.042871645 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -4.5505881087 2.4246420886 -1.8768081814 0.0648996843 -9.390193973 0.2890177556 -9.390193973 0.2890177556
9/1/16 61.439999 66.599998 58.560001 65.040001 65.040001 846418 0.050387647 1.050187647 0.050187647 0.0027 0.0204 -0.0121 -0.0053
10/1/16 65.160004 68.040001 40.200001 40.200001 40.200001 1299292 -0.381918813 0.617881187 -0.382118813 -0.02 -0.0443 0.0407 0.0069
11/1/16 40.200001 40.799999 24.24 27 27 1186991 -0.328358226 0.671541774 -0.328458226 0.0487 0.0547 0.0822 -0.0407
12/1/16 24.6 27.6 19.200001 21 21 1220810 -0.222222222 0.777477778 -0.222522222 0.0184 0.0011 0.0351 -0.0038
1/1/17 21.6 24.6 16.799999 18 18 965916 -0.142857143 0.856742857 -0.143257143 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 18 21.6 15 18.6 18.6 1042041 0.033333333 1.032933333 0.032933333 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 18.6 22.200001 16.200001 16.559999 16.559999 1153107 -0.109677473 0.890022527 -0.109977473 0.002 0.0117 -0.0333 -0.0092
4/1/17 16.799999 23.76 12 13.8 13.8 3093059 -0.166666616 0.832833384 -0.167166616 0.0114 0.0072 -0.0211 0.0044
5/1/17 14.4 14.4 9.6 11.52 11.52 2570292 -0.165217391 0.834182609 -0.165817391 0.0112 -0.0261 -0.0367 0.0146
6/1/17 11.76 16.799999 11.4 14.88 14.88 2271442 0.291666667 1.291066667 0.291066667 0.0084 0.0215 0.0145 -0.0032
7/1/17 15 21.48 14.16 18.6 18.6 2144275 0.25 1.2493 0.2493 0.0194 -0.0147 -0.0036 0.0166
8/1/17 18.48 19.68 15.96 18.48 18.48 1281959 -0.006451613 0.992648387 -0.007351613 0.0025 -0.0162 -0.0219 0.0355
9/1/17 18.6 22.08 16.440001 21 21 3079115 0.136363636 1.135463636 0.135463636 0.026 0.0447 0.0314 -0.0118
10/1/17 21.24 29.879999 20.879999 26.280001 26.280001 4725489 0.251428619 1.250528619 0.250528619 0.0234 -0.0195 0.0012 0.043
11/1/17 26.4 27.719999 18 20.52 20.52 3418009 -0.219178112 0.780021888 -0.219978112 0.032 -0.0058 -0.0009 -0.0071
12/1/17 21.24 25.200001 19.68 20.4 20.4 2182626 -0.005847953 0.993252047 -0.006747953 0.0115 -0.0129 0.0017 -0.0163
1/1/18 20.52 26.040001 19.799999 20.040001 20.040001 3068025 -0.01764701 0.98125299 -0.01874701 0.0569 -0.0309 -0.0132 0.0394
2/1/18 20.040001 22.08 17.4 19.799999 19.799999 1661925 -0.011976147 0.986923853 -0.013076147 -0.0354 0.003 -0.0101 0.0397
3/1/18 20.4 22.559999 19.200001 20.76 20.76 1500117 0.048484901 1.047284901 0.047284901 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 20.76 25.32 19.68 22.32 22.32 1704883 0.075144509 1.073744509 0.073744509 0.0043 0.0113 0.005 0.0027
5/1/18 22.32 23.879999 21.719999 22.440001 22.440001 852793 0.005376389 1.003976389 0.003976389 0.0279 0.0528 -0.0315 0.038
6/1/18 22.559999 23.76 15.48 15.84 15.84 3443908 -0.294117679 0.704482321 -0.295517679 0.0062 0.0119 -0.0231 -0.0238
7/1/18 15.72 17.52 15 15.6 15.6 1922876 -0.015151515 0.983248485 -0.016751515 0.0335 -0.0221 0.0057 -0.0167
8/1/18 15.6 15.96 12 14.04 14.04 1913083 -0.1 0.8984 -0.1016 0.036 0.0115 -0.0392 0.0522
9/1/18 14.16 14.64 12.36 12.84 12.84 1725925 -0.085470085 0.913029915 -0.086970085 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 12.84 13.44 8.64 10.2 10.2 1801674 -0.205607477 0.792492523 -0.207507477 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 10.56 11.64 7.44 8.4 8.4 1415675 -0.176470588 0.821729412 -0.178270588 0.0187 -0.0071 0.0034 -0.0133
12/1/18 8.76 8.88 5.64 6.6 6.6 2462591 -0.214285714 0.783814286 -0.216185714 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 6.6 7.2 6.12 6.12 6.12 3085724 -0.072727273 0.925172727 -0.074827273 0.0862 0.0289 -0.0046 -0.0865
2/1/19 6.24 11.28 5.16 5.64 5.64 6542436 -0.078431373 0.919768627 -0.080231373 0.0358 0.0212 -0.0271 0.0086
3/1/19 5.76 6.6 2.88 3 3 6516876 -0.468085106 0.530014894 -0.469985106 0.0129 -0.0305 -0.0419 0.0214
4/1/19 3.12 4.44 2.4 3.12 3.12 10558259 0.04 1.0379 0.0379 0.0417 -0.0175 0.0202 -0.0255
5/1/19 3.12 3.24 1.04 1.19 1.19 26338109 -0.618589744 0.379310256 -0.620689744 -0.0673 -0.0118 -0.0228 0.076
6/1/19 1.16 1.2 0.13 0.18 0.18 178010300 -0.848739496 0.149460504 -0.850539496 0.0711 0.0022 -0.0079 -0.0214
7/1/19 0.19 1 0.18 0.34 0.34 786020200 0.888888889 1.886988889 0.886988889 0.0138 -0.0208 0.0034 0.0272
8/1/19 0.34 0.42 0.29 0.34 0.34 187936200 0 0.9984 -0.0016 -0.0242 -0.024 -0.0485 0.0764
9/1/19 0.35 0.65 0.29 0.33 0.33 365158500 -0.029411765 0.968788235 -0.031211765 0.0161 -0.0105 0.0677 -0.0685
10/1/19 0.32 0.42 0.23 0.24 0.24 186120800 -0.272727273 0.725772727 -0.274227273 0.0221 0.0024 -0.0188 0.0029
11/1/19 0.24 1 0.24 0.68 0.68 831852800 1.833333333 2.832133333 1.832133333 0.0399 0.0091 -0.0205 -0.026
12/1/19 0.68 2.75 0.48 2.51 2.51 625168200 2.691176471 3.689776471 2.689776471 0.0291 0.0067 0.0191 -0.0227
1/1/20 2.77 3 1.5 1.59 1.59 762497100 -0.366533865 0.632166135 -0.367833865 0.0002 -0.0308 -0.0627 0.0543
2/1/20 1.54 2.88 1.51 1.95 1.95 382397600 0.226415094 1.225215094 0.225215094 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 2.02 2.07 1 1.51 1.51 319164700 -0.225641026 0.773158974 -0.226841026 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 1.42 2.42 1.26 2.02 2.02 178093800 0.337748344 1.337748344 0.337748344 0.1365 0.0275 -0.0139 -0.0549
5/1/20 1.91 2.25 1.71 2.13 2.13 137972500 0.054455446 1.054355446 0.054355446 0.0559 0.0249 -0.0505 0.0067
6/1/20 2.1 3.42 2.03 2.26 2.26 447831700 0.061032864 1.060932864 0.060932864 0.0247 0.0271 -0.0235 -0.0075
7/1/20 2.25 3.36 2.16 2.23 2.23 354629800 -0.013274336 0.986625664 -0.013374336 0.0578 -0.0218 -0.0139 0.0761
8/1/20 2.26 3.5 2.26 2.84 2.84 283260400 0.273542601 1.273442601 0.273442601 0.0764 -0.0025 -0.0294 0.0051
9/1/20 2.84 2.9 2.1 2.14 2.14 316354100 -0.246478873 0.753421127 -0.246578873 -0.0362 0.0006 -0.0251 0.0305
10/1/20 2.19 2.75 1.58 2 2 520666200 -0.065420561 0.934479439 -0.065520561 -0.0209 0.0444 0.0403 -0.0303
11/1/20 2.09 11.31 2.01 10.2 10.2 1796225800 4.1 5.0999 4.0999 0.1248 0.0548 0.0211 -0.1225
12/1/20 10.05 13.91 6.52 11.17 11.17 1403739500 0.095098039 1.094998039 0.094998039 0.0464 0.0491 -0.0146 -0.0234

FCX

FCX
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 23.35 23.719999 16.43 16.809999 15.811326 456617300 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 16.98 21.9 16.809999 21.629999 20.624798 370228000 0.304431899 1.304431899 0.304431899 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 21.629999 21.629999 17.02 18.950001 18.069345 445081400 -0.123901965 0.876098035 -0.123901965 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.6845954466
4/1/15 19.1 23.66 18.110001 23.27 22.18858 421356100 0.227968142 1.227968142 0.227968142 0.0059 -0.0304 0.0188 -0.0732 R Square 0.4686709255
5/1/15 23.379999 23.969999 19.65 19.65 18.788147 307318200 -0.153251492 0.846748508 -0.153251492 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.4369497867
6/1/15 19.75 21.17 18.51 18.620001 17.80332 324089500 -0.052417463 0.947582537 -0.052417463 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1448512757
7/1/15 18.58 18.84 11.16 11.75 11.234641 629486900 -0.368958093 0.631041907 -0.368958093 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 11.64 11.87 7.76 10.64 10.272121 904754800 -0.0856743 0.9143257 -0.0856743 -0.0604 0.0044 0.0273 -0.0209
9/1/15 10.11 12.59 8.62 9.69 9.354968 952140800 -0.08928565 0.91071435 -0.08928565 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 9.91 14.2 9.51 11.77 11.363052 752401300 0.214654289 1.214654289 0.214654289 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 11.79 12.75 7.94 8.18 7.927809 666121500 -0.30231693 0.69768307 -0.30231693 0.0056 0.0368 -0.0049 0.0221 Regression 4 1.2400062745 0.3100015686 14.7747194319 0.0000000105
12/1/15 8.25 8.41 6.08 6.77 6.56128 1067020000 -0.172371585 0.827528415 -0.172471585 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 1.4057867694 0.0209818921
1/1/16 6.6 6.76 3.52 4.6 4.458181 1379036500 -0.320531817 0.679368183 -0.320631817 -0.0576 -0.0336 0.0201 0.0134 Total 71 2.6457930439
2/1/16 4.5 7.97 4.26 7.63 7.394765 1142944100 0.658695553 1.658495553 0.658495553 -0.0006 0.0083 -0.006 -0.0406
3/1/16 7.84 11.45 7.26 10.34 10.021215 1159746200 0.355176939 1.354976939 0.354976939 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 9.92 14.06 8.76 14 13.568377 1036278000 0.353965263 1.353865263 0.353865263 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0087080053 0.0183981493 0.4733087662 0.637531419 -0.0280148543 0.045430865 -0.0280148543 0.045430865
5/1/16 14.03 14.04 10.22 11.08 10.7384 941417800 -0.208571519 0.791328481 -0.208671519 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.3304721508 0.4395852281 3.0266534581 0.0035067883 0.4530563632 2.2078879383 0.4530563632 2.2078879383
6/1/16 11.08 11.93 9.82 11.14 10.796552 837498400 0.005415332 1.005215332 0.005215332 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.423821541 0.7471551648 0.5672470204 0.5724421101 -1.0675064097 1.9151494918 -1.0675064097 1.9151494918
7/1/16 11.04 13.59 10.27 12.96 12.560441 715205100 0.163375215 1.163175215 0.163175215 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.5189073797 0.6687469962 -0.7759397539 0.4405150247 -1.8537319709 0.8159172115 -1.8537319709 0.8159172115
8/1/16 13.01 13.04 10.18 10.29 9.972757 583415200 -0.206018563 0.793781437 -0.206218563 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -2.2838124558 0.5696731823 -4.0089871296 0.0001557975 -3.4208848866 -1.1467400249 -3.4208848866 -1.1467400249
9/1/16 10.32 11.14 9.43 10.86 10.525184 651154600 0.055393609 1.055193609 0.055193609 0.0027 0.0204 -0.0121 -0.0053
10/1/16 10.98 11.2 9.24 11.18 10.835318 587835500 0.029465898 1.029265898 0.029265898 -0.02 -0.0443 0.0407 0.0069
11/1/16 11.31 16.42 10.5 15.35 14.876756 878387000 0.372987484 1.372887484 0.372887484 0.0487 0.0547 0.0822 -0.0407
12/1/16 15.5 16.08 13.13 13.19 12.783349 564510800 -0.140716632 0.858983368 -0.141016632 0.0184 0.0011 0.0351 -0.0038
1/1/17 13.49 17.059999 13.41 16.65 16.136675 625039900 0.262319835 1.261919835 0.261919835 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 16.629999 16.889999 13.16 13.4 12.986875 610530800 -0.195195107 0.804404893 -0.195595107 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 13.78 14 11.91 13.36 12.948109 521005300 -0.002985014 0.996714986 -0.003285014 0.002 0.0117 -0.0333 -0.0092
4/1/17 13.5 13.83 12.03 12.75 12.356914 407473400 -0.045658791 0.953841209 -0.046158791 0.0114 0.0072 -0.0211 0.0044
5/1/17 12.78 12.89 11.06 11.49 11.135759 421127100 -0.098823622 0.900576378 -0.099423622 0.0112 -0.0261 -0.0367 0.0146
6/1/17 11.47 12.61 11.05 12.01 11.639729 397533700 0.045256906 1.044656906 0.044656906 0.0084 0.0215 0.0145 -0.0032
7/1/17 12.08 15.27 11.71 14.62 14.169263 420379900 0.217318977 1.216618977 0.216618977 0.0194 -0.0147 -0.0036 0.0166
8/1/17 14.6 15.75 13.82 14.78 14.324329 445536000 0.01094383 1.01004383 0.01004383 0.0025 -0.0162 -0.0219 0.0355
9/1/17 14.93 15.38 13.65 14.04 13.607143 354232900 -0.050067686 0.949032314 -0.050967686 0.026 0.0447 0.0314 -0.0118
10/1/17 13.98 15.59 13.84 13.98 13.548992 382385300 -0.004273564 0.994826436 -0.005173564 0.0234 -0.0195 0.0012 0.043
11/1/17 14.4 14.98 13.22 13.92 13.490844 289164600 -0.004291685 0.994908315 -0.005091685 0.032 -0.0058 -0.0009 -0.0071
12/1/17 13.94 19.450001 13.81 18.959999 18.375458 398760600 0.362068822 1.361168822 0.361168822 0.0115 -0.0129 0.0017 -0.0163
1/1/18 19.049999 20.25 18.85 19.5 18.898813 443938000 0.028481195 1.027381195 0.027381195 0.0569 -0.0309 -0.0132 0.0394
2/1/18 19.450001 19.74 16.639999 18.6 18.02656 430674800 -0.046153851 0.952746149 -0.047253851 -0.0354 0.003 -0.0101 0.0397
3/1/18 18.75 19.24 16.51 17.57 17.028313 311626700 -0.055376456 0.943423544 -0.056576456 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 17.57 19.700001 15.12 15.21 14.741073 415140100 -0.134319824 0.864280176 -0.135719824 0.0043 0.0113 0.005 0.0027
5/1/18 15.12 17.780001 14.64 16.9 16.424643 349400300 0.114209461 1.112809461 0.112809461 0.0279 0.0528 -0.0315 0.038
6/1/18 17.17 18.379999 15.46 17.26 16.774519 320049900 0.021301894 1.019901894 0.019901894 0.0062 0.0119 -0.0231 -0.0238
7/1/18 17.02 18.139999 15.06 16.5 16.035894 401101000 -0.044032559 0.954367441 -0.045632559 0.0335 -0.0221 0.0057 -0.0167
8/1/18 16.120001 16.16 13.28 14.05 13.694138 363649000 -0.146032145 0.852367855 -0.147632145 0.036 0.0115 -0.0392 0.0522
9/1/18 13.63 14.9 12.18 13.92 13.56743 385041200 -0.009252718 0.989247282 -0.010752718 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 13.81 14.28 10.59 11.65 11.354924 527457500 -0.163074805 0.835025195 -0.164974805 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 11.86 12.69 10.71 11.94 11.681727 360494100 0.02878073 1.02698073 0.02698073 0.0187 -0.0071 0.0034 -0.0133
12/1/18 12.45 12.67 9.6 10.31 10.086986 405348700 -0.136515859 0.861584141 -0.138415859 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 10.01 12.65 9.84 11.64 11.388217 603680700 0.129000972 1.126900972 0.126900972 0.0862 0.0289 -0.0046 -0.0865
2/1/19 11.56 13.86 11.4 12.9 12.675597 420315900 0.113044913 1.111244913 0.111244913 0.0358 0.0212 -0.0271 0.0086
3/1/19 12.98 13.2 11.78 12.89 12.665773 320020700 -0.000775033 0.997324967 -0.002675033 0.0129 -0.0305 -0.0419 0.0214
4/1/19 13.16 14.68 12.15 12.31 12.095862 458115100 -0.044996148 0.952903852 -0.047096148 0.0417 -0.0175 0.0202 -0.0255
5/1/19 12.19 12.25 9.47 9.71 9.576798 437577700 -0.208258328 0.789641672 -0.210358328 -0.0673 -0.0118 -0.0228 0.076
6/1/19 9.74 11.79 9.66 11.61 11.450733 400146900 0.195674483 1.193874483 0.193874483 0.0711 0.0022 -0.0079 -0.0214
7/1/19 11.39 12.07 10.6 11.06 10.908279 395309800 -0.047372863 0.950727137 -0.049272863 0.0138 -0.0208 0.0034 0.0272
8/1/19 10.89 11.07 8.58 9.19 9.104943 437031100 -0.165318104 0.833081896 -0.166918104 -0.0242 -0.024 -0.0485 0.0764
9/1/19 9 10.97 8.88 9.57 9.481427 428130700 0.041349408 1.039549408 0.039549408 0.0161 -0.0105 0.0677 -0.0685
10/1/19 9.55 10.38 8.43 9.82 9.729114 599769100 0.026123388 1.024623388 0.024623388 0.0221 0.0024 -0.0188 0.0029
11/1/19 9.96 11.86 9.92 11.38 11.337945 451106000 0.16536254 1.16416254 0.16416254 0.0399 0.0091 -0.0205 -0.026
12/1/19 11.37 13.38 10.7 13.12 13.071515 428537300 0.152899842 1.151499842 0.151499842 0.0291 0.0067 0.0191 -0.0227
1/1/20 13.35 13.64 10.83 11.1 11.05898 556556100 -0.153963408 0.844736592 -0.155263408 0.0002 -0.0308 -0.0627 0.0543
2/1/20 11.19 12.86 9.2 9.96 9.96 554990100 -0.099374445 0.899425555 -0.100574445 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 10.04 10.8 4.82 6.75 6.75 790444900 -0.322289157 0.676510843 -0.323489157 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 6.35 9.48 6.14 8.83 8.83 579176500 0.308148148 1.308148148 0.308148148 0.1365 0.0275 -0.0139 -0.0549
5/1/20 8.48 9.46 7.81 9.07 9.07 444841600 0.027180068 1.027080068 0.027080068 0.0559 0.0249 -0.0505 0.0067
6/1/20 9.05 11.68 9.01 11.57 11.57 473810400 0.275633958 1.275533958 0.275533958 0.0247 0.0271 -0.0235 -0.0075
7/1/20 11.64 13.87 11.24 12.92 12.92 492090300 0.116681072 1.116581072 0.116581072 0.0578 -0.0218 -0.0139 0.0761
8/1/20 13.15 15.89 12.44 15.61 15.61 368341600 0.208204334 1.208104334 0.208104334 0.0764 -0.0025 -0.0294 0.0051
9/1/20 15.69 17.5 14.67 15.64 15.64 452448000 0.001921845 1.001821845 0.001821845 -0.0362 0.0006 -0.0251 0.0305
10/1/20 15.7 18.68 15.22 17.34 17.34 400757200 0.108695652 1.108595652 0.108595652 -0.0209 0.0444 0.0403 -0.0303
11/1/20 17.709999 24.08 17.58 23.389999 23.389999 411349600 0.34890421 1.34880421 0.34880421 0.1248 0.0548 0.0211 -0.1225
12/1/20 24.1 26.83 23.07 26.02 26.02 366784800 0.112441262 1.112341262 0.112341262 0.0464 0.0491 -0.0146 -0.0234

GME

GME
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 34.060001 39.299999 31.690001 35.25 26.235006 71067900 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 35.110001 38.209999 34.52 36.970001 27.515123 27135800 0.048794233 1.048794233 0.048794233 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 36.970001 42.669998 36.970001 37.959999 28.251942 44143600 0.026778692 1.026778692 0.026778692 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.4265685981
4/1/15 37.860001 41.299999 37.330002 38.540001 28.94622 29720900 0.024574523 1.024574523 0.024574523 0.0059 -0.0304 0.0188 -0.0732 R Square 0.1819607689
5/1/15 38.630001 44.490002 38.459999 43.41 32.603935 34185400 0.12636244 1.12636244 0.12636244 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.1331226058
6/1/15 43.740002 45.5 41.970001 42.959999 32.265945 40878900 -0.01036654 0.98963346 -0.01036654 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1754097611
7/1/15 43.25 47.759998 42.970001 45.849998 34.719707 36151400 0.076048044 1.076048044 0.076048044 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 45.98 47.830002 38.66 42.48 32.167797 46221000 -0.073500332 0.926499668 -0.073500332 -0.0604 0.0044 0.0273 -0.0209
9/1/15 41.529999 44.43 39.66 41.209999 31.206091 34939400 -0.029896545 0.970103455 -0.029896545 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 41.299999 47.619999 39.810001 46.07 35.190037 27464700 0.127665653 1.127665653 0.127665653 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 46.029999 47.48 33 35.029999 26.757256 63995300 -0.239635468 0.760364532 -0.239635468 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.4585492086 0.1146373021 3.7257906014 0.008490393
12/1/15 35.049999 35.169998 27.9 28.040001 21.418028 64479200 -0.199543182 0.800356818 -0.199643182 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 2.061495147 0.0307685843
1/1/16 27.040001 29.549999 24.33 26.209999 20.228088 57746700 -0.055557869 0.944342131 -0.055657869 -0.0576 -0.0336 0.0201 0.0134 Total 71 2.5200443556
2/1/16 26.200001 31.09 24.75 30.82 23.785942 40186300 0.175886816 1.175686816 0.175686816 -0.0006 0.0083 -0.006 -0.0406
3/1/16 31.049999 32.950001 28.4 31.73 24.488253 66314900 0.029526306 1.029326306 0.029326306 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 31.73 33.720001 29 32.799999 25.603662 66957500 0.045548737 1.045448737 0.045448737 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0011581334 0.0222795067 -0.0519820026 0.9586977074 -0.0456282149 0.0433119481 -0.0456282149 0.0433119481
5/1/16 32.810001 32.860001 27.52 29.1 22.715445 70071200 -0.11280484 0.88709516 -0.11290484 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.832108298 0.5323221314 1.5631668287 0.1227247302 -0.2304111233 1.8946277194 -0.2304111233 1.8946277194
6/1/16 29.02 29.32 25.18 26.58 20.748337 54733100 -0.086597819 0.913202181 -0.086797819 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.4341474504 0.9047784239 0.4798384211 0.6329050657 -1.3717978422 2.240092743 -1.3717978422 2.240092743
7/1/16 26.879999 31.85 25.73 30.950001 24.475868 58500900 0.179654447 1.179454447 0.179454447 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.5107989021 0.8098289107 -0.6307491562 0.530350289 -2.1272241732 1.105626369 -2.1272241732 1.105626369
8/1/16 30.969999 32.669998 28.27 28.389999 22.451368 69658400 -0.082714125 0.917085875 -0.082914125 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -1.3585848 0.6898540334 -1.9693800925 0.0530464807 -2.7355392136 0.0183696136 -2.7355392136 0.0183696136
9/1/16 28.469999 28.67 26.690001 27.59 21.818714 41148800 -0.028178862 0.971621138 -0.028378862 0.0027 0.0204 -0.0121 -0.0053
10/1/16 27.59 27.860001 23.690001 24.049999 19.270538 51545000 -0.116788551 0.883011449 -0.116988551 -0.02 -0.0443 0.0407 0.0069
11/1/16 24.01 26.49 20.1 24.690001 19.78335 70835700 0.026611193 1.026511193 0.026511193 0.0487 0.0547 0.0822 -0.0407
12/1/16 24.66 26.85 24.129999 25.26 20.542286 42751600 0.03836236 1.03806236 0.03806236 0.0184 0.0011 0.0351 -0.0038
1/1/17 25.440001 26.049999 22.27 24.49 19.916096 61272600 -0.030482975 0.969117025 -0.030882975 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 24.49 26.68 23.57 24.440001 19.875437 40738100 -0.002041515 0.997558485 -0.002441515 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 24.57 25.32 20.24 22.549999 18.338425 86583400 -0.077332237 0.922367763 -0.077632237 0.002 0.0117 -0.0333 -0.0092
4/1/17 22.52 23.98 21.559999 22.690001 18.737082 48114500 0.02173889 1.02123889 0.02123889 0.0114 0.0072 -0.0211 0.0044
5/1/17 22.77 25.309999 21.25 22.139999 18.282898 76113200 -0.024239847 0.975160153 -0.024839847 0.0112 -0.0261 -0.0367 0.0146
6/1/17 22.15 22.959999 20.26 21.610001 17.84523 55700500 -0.023938656 0.975461344 -0.024538656 0.0084 0.0215 0.0145 -0.0032
7/1/17 21.77 22 20.65 21.690001 18.216648 35477000 0.020813293 1.020113293 0.020113293 0.0194 -0.0147 -0.0036 0.0166
8/1/17 21.690001 22.370001 18.469999 18.5 15.537482 71639100 -0.147072392 0.852027608 -0.147972392 0.0025 -0.0162 -0.0219 0.0355
9/1/17 18.6 20.969999 18.559999 20.66 17.351587 40379400 0.116756692 1.115856692 0.115856692 0.026 0.0447 0.0314 -0.0118
10/1/17 20.65 20.68 18.59 18.690001 16.011658 38113700 -0.077222274 0.921877726 -0.078122274 0.0234 -0.0195 0.0012 0.043
11/1/17 18.67 19.690001 15.85 18.75 16.063063 106949300 0.003210473 1.002410473 0.002410473 0.032 -0.0058 -0.0009 -0.0071
12/1/17 18.73 19.860001 17.940001 17.950001 15.683008 57876300 -0.023660182 0.975439818 -0.024560182 0.0115 -0.0129 0.0017 -0.0163
1/1/18 17.959999 20.309999 16.610001 16.809999 14.686983 89774500 -0.063509819 0.935390181 -0.064609819 0.0569 -0.0309 -0.0132 0.0394
2/1/18 16.700001 17.01 15.1 15.69 13.708433 65241500 -0.066627026 0.932272974 -0.067727026 -0.0354 0.003 -0.0101 0.0397
3/1/18 15.79 16.23 12.2 12.62 11.026158 103280400 -0.195666055 0.803133945 -0.196866055 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 12.51 14.18 12.5 13.65 12.216769 94335400 0.107980586 1.106580586 0.106580586 0.0043 0.0113 0.005 0.0027
5/1/18 13.58 13.89 12.26 13.2 11.814017 98517700 -0.032967145 0.965632855 -0.034367145 0.0279 0.0528 -0.0315 0.038
6/1/18 12.8 15.98 12.7 14.57 13.04017 154989300 0.103787983 1.102387983 0.102387983 0.0062 0.0119 -0.0231 -0.0238
7/1/18 14.59 15.63 14 14.41 13.243319 52105500 0.015578708 1.013978708 0.013978708 0.0335 -0.0221 0.0057 -0.0167
8/1/18 14.42 17.27 13.18 13.27 12.195618 84426000 -0.079111664 0.919288336 -0.080711664 0.036 0.0115 -0.0392 0.0522
9/1/18 13.17 17.040001 13.08 15.27 14.033691 75143300 0.150715855 1.149215855 0.149215855 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 15.28 15.6 13.64 14.6 13.728651 52300700 -0.021736263 0.976363737 -0.023636263 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 14.61 15.76 12.14 13.66 12.84475 84572300 -0.064383675 0.933816325 -0.066183675 0.0187 -0.0071 0.0034 -0.0133
12/1/18 13.82 14.11 11.56 12.62 11.86682 50159500 -0.076134608 0.921965392 -0.078034608 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 12.45 16.9 11.1 11.34 10.967875 107231700 -0.075752813 0.922147187 -0.077852813 0.0862 0.0289 -0.0046 -0.0865
2/1/19 11.31 11.93 11 11.7 11.316062 54706400 0.031746077 1.029946077 0.029946077 0.0358 0.0212 -0.0271 0.0086
3/1/19 11.88 12.1 10.07 10.16 9.826597 67208800 -0.13162397 0.86647603 -0.13352397 0.0129 -0.0305 -0.0419 0.0214
4/1/19 10.29 10.42 8.53 8.65 8.65 114515000 -0.119735957 0.878164043 -0.121835957 0.0417 -0.0175 0.0202 -0.0255
5/1/19 8.66 8.99 7.32 7.58 7.58 67421700 -0.123699422 0.874200578 -0.125799422 -0.0673 -0.0118 -0.0228 0.076
6/1/19 7.58 7.85 4.71 5.47 5.47 170303900 -0.278364116 0.719835884 -0.280164116 0.0711 0.0022 -0.0079 -0.0214
7/1/19 5.53 5.64 3.9 4.02 4.02 154982200 -0.265082267 0.733017733 -0.266982267 0.0138 -0.0208 0.0034 0.0272
8/1/19 4.02 4.36 3.15 3.97 3.97 150910000 -0.012437811 0.985962189 -0.014037811 -0.0242 -0.024 -0.0485 0.0764
9/1/19 3.97 5.64 3.66 5.52 5.52 209391900 0.390428212 1.388628212 0.388628212 0.0161 -0.0105 0.0677 -0.0685
10/1/19 5.64 6.62 4.96 5.44 5.44 105171700 -0.014492754 0.984007246 -0.015992754 0.0221 0.0024 -0.0188 0.0029
11/1/19 5.45 6.39 5.35 6.34 6.34 56925700 0.165441176 1.164241176 0.164241176 0.0399 0.0091 -0.0205 -0.026
12/1/19 6.35 6.92 5.18 6.08 6.08 121013800 -0.041009464 0.957590536 -0.042409464 0.0291 0.0067 0.0191 -0.0227
1/1/20 6.14 6.47 3.83 3.84 3.84 81070500 -0.368421053 0.630278947 -0.369721053 0.0002 -0.0308 -0.0627 0.0543
2/1/20 3.88 4.51 3.18 3.6 3.6 55790000 -0.0625 0.9363 -0.0637 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 3.6 5.09 3.39 3.5 3.5 100476400 -0.027777778 0.971022222 -0.028977778 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 3.45 6.47 2.57 5.73 5.73 99735200 0.637142857 1.637142857 0.637142857 0.1365 0.0275 -0.0139 -0.0549
5/1/20 5.65 6.18 3.96 4.06 4.06 53528000 -0.291448517 0.708451483 -0.291548517 0.0559 0.0249 -0.0505 0.0067
6/1/20 4.12 5.53 4.02 4.34 4.34 100281700 0.068965517 1.068865517 0.068865517 0.0247 0.0271 -0.0235 -0.0075
7/1/20 4.31 4.55 3.77 4.01 4.01 55497200 -0.076036866 0.923863134 -0.076136866 0.0578 -0.0218 -0.0139 0.0761
8/1/20 4.03 7.15 4 6.68 6.68 117270800 0.665835411 1.665735411 0.665735411 0.0764 -0.0025 -0.0294 0.0051
9/1/20 7.3 11.17 5.87 10.2 10.2 254864200 0.526946108 1.526846108 0.526846108 -0.0362 0.0006 -0.0251 0.0305
10/1/20 10.09 15.87 9.1 10.47 10.47 359871700 0.026470588 1.026370588 0.026370588 -0.0209 0.0444 0.0403 -0.0303
11/1/20 10.82 19.42 10.5 16.559999 16.559999 161490800 0.581661796 1.581561796 0.581561796 0.1248 0.0548 0.0211 -0.1225
12/1/20 17.110001 22.35 12.14 18.84 18.84 251301800 0.137681228 1.137581228 0.137581228 0.0464 0.0491 -0.0146 -0.0234

GOLD

GOLD
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 10.54 13.25 10.15 12.78 12.002875 477189900 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 12.52 13.24 11.88 13.02 12.228285 280878800 0.018779667 1.018779667 0.018779667 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 13.04 13.11 10.29 10.96 10.334623 317815300 -0.154859165 0.845140835 -0.154859165 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.3678977693
4/1/15 11.07 13.7 11.06 13.02 12.27708 272362300 0.187956252 1.187956252 0.187956252 0.0059 -0.0304 0.0188 -0.0732 R Square 0.1353487687
5/1/15 12.85 13.61 11.53 11.86 11.18327 210441200 -0.089093661 0.910906339 -0.089093661 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.0837277996
6/1/15 11.94 12.17 10.56 10.66 10.094846 240976700 -0.097326095 0.902673905 -0.097326095 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1344566269
7/1/15 10.63 11 6.79 7.06 6.685704 481493100 -0.337711145 0.662288855 -0.337711145 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 7.02 8.52 6.51 6.95 6.581536 518937300 -0.015580708 0.984419292 -0.015580708 -0.0604 0.0044 0.0273 -0.0209
9/1/15 7.03 7.18 5.91 6.36 6.041263 418116800 -0.082089196 0.917910804 -0.082089196 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 6.41 8.33 6.13 7.69 7.304609 448033100 0.209119517 1.209119517 0.209119517 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 7.61 8 6.9 7.34 6.972149 297695900 -0.04551373 0.95448627 -0.04551373 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.1896062162 0.0474015541 2.6219726441 0.0423863362
12/1/15 7.38 8.1 6.94 7.38 7.029193 325166100 0.008181695 1.008081695 0.008081695 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 1.2112651627 0.0180785845
1/1/16 7.69 9.95 7.39 9.91 9.438931 484186200 0.342818585 1.342718585 0.342718585 -0.0576 -0.0336 0.0201 0.0134 Total 71 1.4008713789
2/1/16 10.03 14.45 9.65 13.89 13.229743 519944100 0.401614547 1.401414547 0.401414547 -0.0006 0.0083 -0.006 -0.0406
3/1/16 14 15.52 12.64 13.58 12.953694 487197000 -0.020865787 0.978934213 -0.021065787 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 13.21 19.4 13.04 19.370001 18.47666 394599000 0.426362241 1.426262241 0.426262241 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0167353464 0.0170778827 0.9799426954 0.3306397088 -0.0173522501 0.0508229429 -0.0173522501 0.0508229429
5/1/16 19.459999 19.73 16.24 16.77 15.996575 407542500 -0.134227994 0.865672006 -0.134327994 0.0179 -0.0027 -0.016 0.0214 X Variable 1 -0.1472625289 0.4080402241 -0.36090199 0.719308176 -0.9617142249 0.6671891672 -0.9617142249 0.6671891672
6/1/16 16.99 21.43 16.629999 21.35 20.389153 443279200 0.274594905 1.274394905 0.274394905 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -1.32448507 0.6935386846 -1.9097493757 0.0604479219 -2.7087940783 0.0598239384 -2.7087940783 0.0598239384
7/1/16 21.83 23.469999 19.530001 21.860001 20.876207 401566800 0.023887898 1.023687898 0.023687898 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.8296878326 0.6207571519 -1.3365739405 0.1858829668 -2.0687242935 0.4093486284 -2.0687242935 0.4093486284
8/1/16 21.84 22.940001 16.75 17.01 16.244473 347292000 -0.221866645 0.777933355 -0.222066645 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -1.5587269285 0.5287929577 -2.9477074263 0.0044025254 -2.6142020897 -0.5032517673 -2.6142020897 -0.5032517673
9/1/16 16.879999 19.190001 16.76 17.719999 16.941114 332828600 0.042884801 1.042684801 0.042684801 0.0027 0.0204 -0.0121 -0.0053
10/1/16 17.700001 17.940001 15.3 17.59 16.81683 339539100 -0.007336235 0.992463765 -0.007536235 -0.02 -0.0443 0.0407 0.0069
11/1/16 17.99 18.950001 13.95 15.02 14.359796 426785300 -0.146105657 0.853794343 -0.146205657 0.0487 0.0547 0.0822 -0.0407
12/1/16 14.95 16.84 13.81 15.98 15.298327 394366500 0.06535824 1.06505824 0.06505824 0.0184 0.0011 0.0351 -0.0038
1/1/17 16 18.6 15.87 18.440001 17.653383 374387000 0.153942062 1.153542062 0.153542062 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 18.16 20.780001 18.02 18.58 17.787416 310776500 0.007592482 1.007192482 0.007192482 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 18.24 19.77 17.35 18.99 18.207666 307158200 0.023626254 1.023326254 0.023326254 0.002 0.0117 -0.0333 -0.0092
4/1/17 18.99 20.360001 16.57 16.719999 16.031185 286151400 -0.119536518 0.879963482 -0.120036518 0.0114 0.0072 -0.0211 0.0044
5/1/17 16.59 17.379999 15.86 16.540001 15.858601 280674600 -0.010765517 0.988634483 -0.011365517 0.0112 -0.0261 -0.0367 0.0146
6/1/17 16.309999 17.040001 15.51 15.91 15.282701 239565800 -0.036314679 0.963085321 -0.036914679 0.0084 0.0215 0.0145 -0.0032
7/1/17 15.58 17.120001 15.25 16.91 16.243269 231566200 0.062853288 1.062153288 0.062153288 0.0194 -0.0147 -0.0036 0.0166
8/1/17 16.790001 18.09 16.34 17.99 17.280687 224366300 0.063867563 1.062967563 0.062967563 0.0025 -0.0162 -0.0219 0.0355
9/1/17 18.16 18.35 16.059999 16.09 15.481887 180024600 -0.104093084 0.895006916 -0.104993084 0.026 0.0447 0.0314 -0.0118
10/1/17 16.030001 16.84 14.41 14.45 13.903869 201306200 -0.101926722 0.897173278 -0.102826722 0.0234 -0.0195 0.0012 0.043
11/1/17 14.52 14.56 13.46 13.78 13.259192 198546500 -0.046366734 0.952833266 -0.047166734 0.032 -0.0058 -0.0009 -0.0071
12/1/17 13.77 14.68 13.28 14.47 13.952654 198277100 0.052300472 1.051400472 0.051400472 0.0115 -0.0129 0.0017 -0.0163
1/1/18 14.65 15.52 14.15 14.38 13.865872 249857800 -0.006219749 0.992680251 -0.007319749 0.0569 -0.0309 -0.0132 0.0394
2/1/18 14.27 14.52 11.51 11.52 11.108128 287999700 -0.198887167 0.800012833 -0.199987167 -0.0354 0.003 -0.0101 0.0397
3/1/18 11.43 12.79 11.07 12.45 12.034421 293429700 0.083388758 1.082188758 0.082188758 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 12.57 13.8 12.34 13.47 13.020372 221200400 0.081927581 1.080527581 0.080527581 0.0043 0.0113 0.005 0.0027
5/1/18 13.44 13.67 12.97 13.19 12.74972 169624600 -0.02078681 0.97781319 -0.02218681 0.0279 0.0528 -0.0315 0.038
6/1/18 13.15 13.25 12.57 13.13 12.720349 178561100 -0.002303658 0.996296342 -0.003703658 0.0062 0.0119 -0.0231 -0.0238
7/1/18 13.03 13.59 10.93 11.19 10.840876 239225600 -0.147753257 0.850646743 -0.149353257 0.0335 -0.0221 0.0057 -0.0167
8/1/18 11.14 11.29 9.72 10.42 10.094901 308252000 -0.068811321 0.929588679 -0.070411321 0.036 0.0115 -0.0392 0.0522
9/1/18 10.17 11.64 9.53 11.08 10.764717 335719400 0.066351914 1.064851914 0.064851914 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 11.08 14.1 11.06 12.55 12.192888 515093400 0.132671486 1.130771486 0.130771486 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 12.82 13.55 12.28 12.75 12.387197 283252400 0.015936257 1.014136257 0.014136257 0.0187 -0.0071 0.0034 -0.0133
12/1/18 12.95 14.18 12.69 13.54 13.185028 424482700 0.064407711 1.062507711 0.062507711 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 13.64 13.69 11.52 13.39 13.106172 318812400 -0.005980723 0.991919277 -0.008080723 0.0862 0.0289 -0.0046 -0.0865
2/1/19 13.36 14.04 12.22 12.64 12.372069 322746200 -0.056012007 0.942187993 -0.057812007 0.0358 0.0212 -0.0271 0.0086
3/1/19 12.44 14.54 12.18 13.71 13.419388 339062100 0.084651888 1.082751888 0.082751888 0.0129 -0.0305 -0.0419 0.0214
4/1/19 13.71 13.96 12.62 12.72 12.450373 226097900 -0.072210074 0.925689926 -0.074310074 0.0417 -0.0175 0.0202 -0.0255
5/1/19 12.7 13.01 11.65 12.42 12.156733 274805800 -0.023584836 0.974315164 -0.025684836 -0.0673 -0.0118 -0.0228 0.076
6/1/19 12.59 16.450001 12.57 15.77 15.48845 381243000 0.274063517 1.272263517 0.272263517 0.0711 0.0022 -0.0079 -0.0214
7/1/19 15.2 17.5 14.85 16.26 15.969701 354743700 0.031071605 1.029171605 0.029171605 0.0138 -0.0208 0.0034 0.0272
8/1/19 15.85 20.07 15.83 19.379999 19.033998 389941000 0.191881927 1.190281927 0.190281927 -0.0242 -0.024 -0.0485 0.0764
9/1/19 19.6 19.889999 16.93 17.33 17.05481 363424500 -0.103981728 0.894218272 -0.105781728 0.0161 -0.0105 0.0677 -0.0685
10/1/19 17.16 18.209999 16.43 17.360001 17.084335 277118700 0.001731183 1.000231183 0.000231183 0.0221 0.0024 -0.0188 0.0029
11/1/19 17.219999 17.32 16.07 16.799999 16.533226 217504900 -0.032258148 0.966541852 -0.033458148 0.0399 0.0091 -0.0205 -0.026
12/1/19 16.76 18.83 16.73 18.59 18.349741 219232600 0.109870572 1.108470572 0.108470572 0.0291 0.0067 0.0191 -0.0227
1/1/20 18.709999 19.17 17.26 18.52 18.280647 254467200 -0.003765394 0.994934606 -0.005065394 0.0002 -0.0308 -0.0627 0.0543
2/1/20 18.370001 22.57 17.629999 19.040001 18.793926 344757400 0.028077726 1.026877726 0.026877726 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 19.42 21.83 12.65 18.32 18.14345 600507500 -0.03461097 0.96418903 -0.03581097 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 18.41 28.5 18.26 25.719999 25.472136 454755300 0.403930124 1.403930124 0.403930124 0.1365 0.0275 -0.0139 -0.0549
5/1/20 25.280001 28.360001 23.059999 24 23.768709 372165400 -0.066874133 0.933025867 -0.066974133 0.0559 0.0249 -0.0505 0.0067
6/1/20 24.1 27.040001 22.129999 26.940001 26.758686 385693000 0.125794674 1.125694674 0.125694674 0.0247 0.0271 -0.0235 -0.0075
7/1/20 26.98 30.200001 25.879999 28.91 28.715427 344339800 0.073125452 1.073025452 0.073025452 0.0578 -0.0218 -0.0139 0.0761
8/1/20 28.799999 31.219999 25.870001 29.65 29.450447 464688200 0.025596694 1.025496694 0.025496694 0.0764 -0.0025 -0.0294 0.0051
9/1/20 30.27 30.870001 26.83 28.110001 27.999186 368325700 -0.049278064 0.950621936 -0.049378064 -0.0362 0.0006 -0.0251 0.0305
10/1/20 28.389999 28.74 25.559999 26.73 26.624624 283368400 -0.049092927 0.950807073 -0.049192927 -0.0209 0.0444 0.0403 -0.0303
11/1/20 27 29.6 22.219999 23.139999 23.048777 460943800 -0.134306009 0.865593991 -0.134406009 0.1248 0.0548 0.0211 -0.1225
12/1/20 23.860001 24.209999 22.26 22.780001 22.780001 369771100 -0.011661183 0.988238817 -0.011761183 0.0464 0.0491 -0.0146 -0.0234

GSAT

GSAT
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 2.8 2.8 2.38 2.42 2.42 45247600 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 2.36 2.76 2.16 2.58 2.58 51305500 0.066115702 1.066115702 0.066115702 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 2.58 3.58 2.51 3.33 3.33 72359900 0.290697674 1.290697674 0.290697674 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.2352879026
4/1/15 3.31 3.39 2.55 2.59 2.59 61696500 -0.222222222 0.777777778 -0.222222222 0.0059 -0.0304 0.0188 -0.0732 R Square 0.0553603971
5/1/15 2.6 2.74 2.27 2.65 2.65 70549700 0.023166023 1.023166023 0.023166023 0.0136 0.0089 -0.011 0.0603 Adjusted R Square -0.0010359971
6/1/15 2.55 2.55 2.04 2.11 2.11 101787800 -0.203773585 0.796226415 -0.203773585 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.2190213434
7/1/15 2.14 2.42 1.8 2.07 2.07 66181300 -0.018957346 0.981042654 -0.018957346 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 2.06 2.11 1.52 1.76 1.76 64613300 -0.149758454 0.850241546 -0.149758454 -0.0604 0.0044 0.0273 -0.0209
9/1/15 1.69 1.96 1.45 1.57 1.57 40928600 -0.107954545 0.892045455 -0.107954545 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 1.59 2 1.51 1.8 1.8 42410700 0.146496815 1.146496815 0.146496815 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 1.79 2.21 1.74 2.18 2.18 35318200 0.211111111 1.211111111 0.211111111 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.18835655 0.0470891375 0.9816300826 0.4236012062
12/1/15 2.21 2.21 1.43 1.44 1.44 60800200 -0.339449541 0.660450459 -0.339549541 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 3.2140133726 0.0479703488
1/1/16 1.41 1.51 0.97 1.28 1.28 58274100 -0.111111111 0.888788889 -0.111211111 -0.0576 -0.0336 0.0201 0.0134 Total 71 3.4023699226
2/1/16 1.3 1.59 1 1.56 1.56 88211400 0.21875 1.21855 0.21855 -0.0006 0.0083 -0.006 -0.0406
3/1/16 1.54 1.61 1.24 1.47 1.47 78724400 -0.057692308 0.942107692 -0.057892308 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 1.47 2.15 1.42 1.95 1.95 56340000 0.326530612 1.326430612 0.326430612 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0010926732 0.027818791 -0.039278242 0.9687853595 -0.0566192125 0.0544338661 -0.0566192125 0.0544338661
5/1/16 1.9 3 1.67 2.18 2.18 121585400 0.117948718 1.117848718 0.117848718 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.3507208344 0.6646717241 0.5276602293 0.5994783274 -0.9759694796 1.6774111483 -0.9759694796 1.6774111483
6/1/16 2.18 2.24 0.63 1.21 1.21 366328300 -0.444954128 0.554845872 -0.445154128 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.147191131 1.1297306639 0.1302886924 0.8967284179 -2.1077607119 2.4021429738 -2.1077607119 2.4021429738
7/1/16 1.2 1.33 1.05 1.19 1.19 58915800 -0.016528926 0.983271074 -0.016728926 0.0397 0.026 -0.0123 -0.0308 X Variable 3 1.1964678281 1.0111741491 1.1832460603 0.2408931609 -0.8218442208 3.2147798771 -0.8218442208 3.2147798771
8/1/16 1.18 1.88 1.1 1.56 1.56 81837500 0.31092437 1.31072437 0.31072437 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.2261885956 0.8613702919 -0.2625915912 0.7936711381 -1.9454908941 1.4931137029 -1.9454908941 1.4931137029
9/1/16 1.52 1.73 1.17 1.21 1.21 71492500 -0.224358974 0.775441026 -0.224558974 0.0027 0.0204 -0.0121 -0.0053
10/1/16 1.2 1.26 0.82 0.93 0.93 38684700 -0.231404959 0.768395041 -0.231604959 -0.02 -0.0443 0.0407 0.0069
11/1/16 0.93 1.08 0.76 0.79 0.79 87294700 -0.150537634 0.849362366 -0.150637634 0.0487 0.0547 0.0822 -0.0407
12/1/16 0.8 2.21 0.73 1.58 1.58 235488600 1 1.9997 0.9997 0.0184 0.0011 0.0351 -0.0038
1/1/17 1.64 1.86 1.35 1.58 1.58 231648000 0 0.9996 -0.0004 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 1.64 1.64 1.33 1.37 1.37 121361700 -0.132911392 0.866688608 -0.133311392 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 1.41 1.68 1.38 1.6 1.6 110851800 0.167883212 1.167583212 0.167583212 0.002 0.0117 -0.0333 -0.0092
4/1/17 1.6 2.06 1.57 1.91 1.91 116713500 0.19375 1.19325 0.19325 0.0114 0.0072 -0.0211 0.0044
5/1/17 1.91 2.59 1.56 1.98 1.98 189068400 0.036649215 1.036049215 0.036049215 0.0112 -0.0261 -0.0367 0.0146
6/1/17 1.99 2.3 1.95 2.13 2.13 85744300 0.075757576 1.075157576 0.075157576 0.0084 0.0215 0.0145 -0.0032
7/1/17 2.13 2.21 1.85 1.85 1.85 59353500 -0.131455399 0.867844601 -0.132155399 0.0194 -0.0147 -0.0036 0.0166
8/1/17 1.87 2.08 1.8 1.92 1.92 48143900 0.037837838 1.036937838 0.036937838 0.0025 -0.0162 -0.0219 0.0355
9/1/17 1.92 2.04 1.55 1.63 1.63 57460200 -0.151041667 0.848058333 -0.151941667 0.026 0.0447 0.0314 -0.0118
10/1/17 1.65 1.89 1.5 1.61 1.61 114542000 -0.012269939 0.986830061 -0.013169939 0.0234 -0.0195 0.0012 0.043
11/1/17 1.63 1.69 1.48 1.58 1.58 75197200 -0.01863354 0.98056646 -0.01943354 0.032 -0.0058 -0.0009 -0.0071
12/1/17 1.58 1.62 1.11 1.31 1.31 111079800 -0.170886076 0.828213924 -0.171786076 0.0115 -0.0129 0.0017 -0.0163
1/1/18 1.26 1.35 1.05 1.05 1.05 56177500 -0.198473282 0.800426718 -0.199573282 0.0569 -0.0309 -0.0132 0.0394
2/1/18 1.05 1.1 0.86 0.95 0.95 68794700 -0.095238095 0.903661905 -0.096338095 -0.0354 0.003 -0.0101 0.0397
3/1/18 0.95 1.01 0.68 0.69 0.69 110591200 -0.273684211 0.725115789 -0.274884211 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 0.7 0.88 0.53 0.61 0.61 125306600 -0.115942029 0.882657971 -0.117342029 0.0043 0.0113 0.005 0.0027
5/1/18 0.62 0.71 0.53 0.54 0.54 104828000 -0.114754098 0.883845902 -0.116154098 0.0279 0.0528 -0.0315 0.038
6/1/18 0.56 0.57 0.43 0.49 0.49 153042700 -0.092592593 0.906007407 -0.093992593 0.0062 0.0119 -0.0231 -0.0238
7/1/18 0.49 0.64 0.4 0.56 0.56 92830100 0.142857143 1.141257143 0.141257143 0.0335 -0.0221 0.0057 -0.0167
8/1/18 0.64 0.7 0.47 0.51 0.51 83754100 -0.089285714 0.909114286 -0.090885714 0.036 0.0115 -0.0392 0.0522
9/1/18 0.51 0.54 0.48 0.51 0.51 43003600 0 0.9985 -0.0015 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 0.51 0.51 0.3 0.35 0.35 52485900 -0.31372549 0.68437451 -0.31562549 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 0.35 0.5 0.33 0.39 0.39 76054600 0.114285714 1.112485714 0.112485714 0.0187 -0.0071 0.0034 -0.0133
12/1/18 0.41 0.64 0.29 0.64 0.64 158617700 0.641025641 1.639125641 0.639125641 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 0.64 0.73 0.55 0.66 0.66 49385600 0.03125 1.02915 0.02915 0.0862 0.0289 -0.0046 -0.0865
2/1/19 0.65 0.67 0.48 0.5 0.5 50579400 -0.242424242 0.755775758 -0.244224242 0.0358 0.0212 -0.0271 0.0086
3/1/19 0.49 0.52 0.39 0.43 0.43 55851800 -0.14 0.8581 -0.1419 0.0129 -0.0305 -0.0419 0.0214
4/1/19 0.43 0.55 0.4 0.53 0.53 37611800 0.23255814 1.23045814 0.23045814 0.0417 -0.0175 0.0202 -0.0255
5/1/19 0.53 0.69 0.5 0.56 0.56 41136500 0.056603774 1.054503774 0.054503774 -0.0673 -0.0118 -0.0228 0.076
6/1/19 0.56 0.63 0.46 0.48 0.48 31022500 -0.142857143 0.855342857 -0.144657143 0.0711 0.0022 -0.0079 -0.0214
7/1/19 0.48 0.5 0.39 0.48 0.48 28130700 0 0.9981 -0.0019 0.0138 -0.0208 0.0034 0.0272
8/1/19 0.48 0.5 0.37 0.38 0.38 18726400 -0.208333333 0.790066667 -0.209933333 -0.0242 -0.024 -0.0485 0.0764
9/1/19 0.38 0.5 0.35 0.41 0.41 36891800 0.078947368 1.077147368 0.077147368 0.0161 -0.0105 0.0677 -0.0685
10/1/19 0.41 0.41 0.34 0.38 0.38 15780700 -0.073170732 0.925329268 -0.074670732 0.0221 0.0024 -0.0188 0.0029
11/1/19 0.38 0.41 0.35 0.39 0.39 20464100 0.026315789 1.025115789 0.025115789 0.0399 0.0091 -0.0205 -0.026
12/1/19 0.4 0.59 0.38 0.52 0.52 58855500 0.333333333 1.331933333 0.331933333 0.0291 0.0067 0.0191 -0.0227
1/1/20 0.53 0.59 0.47 0.48 0.48 26990600 -0.076923077 0.921776923 -0.078223077 0.0002 -0.0308 -0.0627 0.0543
2/1/20 0.48 0.52 0.38 0.41 0.41 24974100 -0.145833333 0.852966667 -0.147033333 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 0.41 0.44 0.23 0.29 0.29 38109700 -0.292682927 0.706117073 -0.293882927 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 0.27 0.35 0.27 0.32 0.32 23997500 0.103448276 1.103448276 0.103448276 0.1365 0.0275 -0.0139 -0.0549
5/1/20 0.33 0.35 0.28 0.3 0.3 18218800 -0.0625 0.9374 -0.0626 0.0559 0.0249 -0.0505 0.0067
6/1/20 0.31 0.6 0.3 0.33 0.33 164565800 0.1 1.0999 0.0999 0.0247 0.0271 -0.0235 -0.0075
7/1/20 0.34 0.6 0.31 0.39 0.39 261348500 0.181818182 1.181718182 0.181718182 0.0578 -0.0218 -0.0139 0.0761
8/1/20 0.41 0.41 0.31 0.33 0.33 70640400 -0.153846154 0.846053846 -0.153946154 0.0764 -0.0025 -0.0294 0.0051
9/1/20 0.33 0.34 0.3 0.31 0.31 30879300 -0.060606061 0.939293939 -0.060706061 -0.0362 0.0006 -0.0251 0.0305
10/1/20 0.3 0.34 0.3 0.3 0.3 32277000 -0.032258065 0.967641935 -0.032358065 -0.0209 0.0444 0.0403 -0.0303
11/1/20 0.31 0.36 0.29 0.32 0.32 36508500 0.066666667 1.066566667 0.066566667 0.1248 0.0548 0.0211 -0.1225
12/1/20 0.32 0.41 0.31 0.34 0.34 56770600 0.0625 1.0624 0.0624 0.0464 0.0491 -0.0146 -0.0234

HST

HST
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 23.9 24.190001 22.879999 22.889999 17.789822 134561100 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 22.91 23.809999 20.879999 21 16.320934 153530600 -0.082569011 0.917430989 -0.082569011 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 21.049999 21.91 19.92 20.18 15.683642 189746200 -0.03904752 0.96095248 -0.03904752 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.7980868042
4/1/15 20.17 20.889999 19.73 20.139999 15.808457 173739000 0.007958292 1.007958292 0.007958292 0.0059 -0.0304 0.0188 -0.0732 R Square 0.636942547
5/1/15 20.190001 20.74 19.33 19.92 15.635777 136025900 -0.010923267 0.989076733 -0.010923267 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.6152674752
6/1/15 19.959999 20.879999 19.379999 19.83 15.56513 175595900 -0.004518292 0.995481708 -0.004518292 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0507168717
7/1/15 20.639999 21.4 19.08 19.379999 15.363278 156793500 -0.012968218 0.987031782 -0.012968218 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 19.309999 19.66 17 17.73 14.055257 160914700 -0.085139447 0.914860553 -0.085139447 -0.0604 0.0044 0.0273 -0.0209
9/1/15 17.35 17.82 15.36 15.81 12.533201 210472300 -0.108290869 0.891709131 -0.108290869 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 15.85 17.940001 15.62 17.33 13.909357 241447400 0.10980084 1.10980084 0.10980084 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 17.33 17.85 15.98 16.6 13.323444 170308600 -0.042123658 0.957876342 -0.042123658 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.3023462751 0.0755865688 29.3859486286 0
12/1/15 16.73 16.92 15.1 15.34 12.312146 178471900 -0.075903648 0.923996352 -0.076003648 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.1723374723 0.0025722011
1/1/16 15.08 15.41 12.17 13.85 11.258945 215466200 -0.085541627 0.914358373 -0.085641627 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.4746837473
2/1/16 13.72 16 12.98 15.31 12.445809 205972900 0.105415205 1.105215205 0.105215205 -0.0006 0.0083 -0.006 -0.0406
3/1/16 15.48 17.26 15.46 16.700001 13.575768 218746100 0.090790321 1.090590321 0.090590321 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 16.469999 16.469999 15 15.82 13.01976 222446100 -0.040955915 0.958944085 -0.041055915 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0085999945 0.006441756 -1.3350388476 0.1863822464 -0.0214577933 0.0042578043 -0.0214577933 0.0042578043
5/1/16 15.9 16.719999 14.3 15.4 12.674101 191798500 -0.0265488 0.9733512 -0.0266488 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.0891466294 0.1539122629 7.0764122945 0.0000000011 0.7819364669 1.396356792 0.7819364669 1.396356792
6/1/16 15.28 17.120001 14.77 16.209999 13.340725 230069800 0.05259734 1.05239734 0.05239734 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.451645956 0.2616019256 1.7264626584 0.0888728485 -0.070513673 0.973805585 -0.070513673 0.973805585
7/1/16 16.280001 18.17 15.79 17.74 14.800042 219860100 0.109388133 1.109188133 0.109188133 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.5511938667 0.2341488224 2.3540321965 0.021511319 0.0838308611 1.0185568722 0.0838308611 1.0185568722
8/1/16 17.65 18.559999 17.24 17.82 14.866784 169820500 0.004509582 1.004309582 0.004309582 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.1505932637 0.1994600432 -0.755004668 0.4528920606 -0.5487171763 0.2475306488 -0.5487171763 0.2475306488
9/1/16 17.879999 17.879999 15.43 15.57 12.989664 231649500 -0.126262681 0.873537319 -0.126462681 0.0027 0.0204 -0.0121 -0.0053
10/1/16 15.5 15.86 14.78 15.48 13.08079 177196000 0.00701527 1.00681527 0.00681527 -0.02 -0.0443 0.0407 0.0069
11/1/16 15.46 17.9 14.69 17.84 15.075019 243510900 0.152454783 1.152354783 0.152354783 0.0487 0.0547 0.0822 -0.0407
12/1/16 17.809999 19.51 17.67 18.84 15.920034 213118700 0.056053992 1.055753992 0.055753992 0.0184 0.0011 0.0351 -0.0038
1/1/17 19.040001 19.48 17.639999 18.07 15.473398 223861200 -0.028054965 0.971545035 -0.028454965 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 18.15 20.209999 17.65 17.99 15.404895 172899500 -0.004427147 0.995172853 -0.004827147 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 18.139999 18.780001 17.68 18.66 15.978616 163578800 0.037242773 1.036942773 0.036942773 0.002 0.0117 -0.0333 -0.0092
4/1/17 18.65 19.459999 17.74 17.950001 15.541713 155146600 -0.027342981 0.972157019 -0.027842981 0.0114 0.0072 -0.0211 0.0044
5/1/17 18.040001 18.58 17.34 17.99 15.576345 162215800 0.002228326 1.001628326 0.001628326 0.0112 -0.0261 -0.0367 0.0146
6/1/17 18.02 19.16 17.639999 18.27 15.81878 145168000 0.015564306 1.014964306 0.014964306 0.0084 0.0215 0.0145 -0.0032
7/1/17 18.379999 18.879999 17.639999 18.66 16.330084 138397100 0.032322594 1.031622594 0.031622594 0.0194 -0.0147 -0.0036 0.0166
8/1/17 18.719999 18.940001 17.26 18.120001 15.857511 130374600 -0.028938798 0.970161202 -0.029838798 0.0025 -0.0162 -0.0219 0.0355
9/1/17 18.15 18.67 17.549999 18.49 16.181313 109671600 0.020419472 1.019519472 0.019519472 0.026 0.0447 0.0314 -0.0118
10/1/17 18.48 19.950001 18.139999 19.559999 17.30438 149230000 0.069405184 1.068505184 0.068505184 0.0234 -0.0195 0.0012 0.043
11/1/17 19.66 20.23 19.059999 19.790001 17.50786 130663600 0.011758873 1.010958873 0.010958873 0.032 -0.0058 -0.0009 -0.0071
12/1/17 19.889999 20.65 19.32 19.85 17.56094 112944300 0.003031781 1.002131781 0.002131781 0.0115 -0.0129 0.0017 -0.0163
1/1/18 19.969999 21.530001 19.719999 20.76 18.596729 127322300 0.058982549 1.057882549 0.057882549 0.0569 -0.0309 -0.0132 0.0394
2/1/18 20.76 20.889999 18.469999 18.559999 16.625977 161356800 -0.105973045 0.892926955 -0.107073045 -0.0354 0.003 -0.0101 0.0397
3/1/18 18.51 19.23 17.93 18.639999 16.697639 145441600 0.004310243 1.003110243 0.003110243 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 18.66 19.870001 18.139999 19.559999 17.715063 125539000 0.060932207 1.059532207 0.059532207 0.0043 0.0113 0.005 0.0027
5/1/18 19.58 21.969999 19.32 21.629999 19.589815 148053300 0.105828131 1.104428131 0.104428131 0.0279 0.0528 -0.0315 0.038
6/1/18 21.780001 22.469999 20.74 21.07 19.082638 141587900 -0.025889831 0.972710169 -0.027289831 0.0062 0.0119 -0.0231 -0.0238
7/1/18 21.030001 21.74 20.629999 20.940001 19.146816 112444600 0.003363162 1.001763162 0.001763162 0.0335 -0.0221 0.0057 -0.0167
8/1/18 20.92 22.059999 19.98 21.530001 19.686293 185590700 0.028175807 1.026575807 0.026575807 0.036 0.0115 -0.0392 0.0522
9/1/18 21.57 21.629999 20.76 21.1 19.29311 134650400 -0.019972424 0.978527576 -0.021472424 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 21.1 21.129999 18.110001 19.110001 17.64138 149421700 -0.085612428 0.912487572 -0.087512428 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 19.120001 19.889999 18.309999 19 17.539833 127094700 -0.005756182 0.992443818 -0.007556182 0.0187 -0.0071 0.0034 -0.0133
12/1/18 19.17 19.360001 15.94 16.67 15.388896 129836100 -0.122631555 0.875468445 -0.124531555 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 16.440001 18.27 16.209999 18.059999 16.923309 150505100 0.099709102 1.097609102 0.097609102 0.0862 0.0289 -0.0046 -0.0865
2/1/19 18.1 20.35 17.6 19.610001 18.375753 163853400 0.085825059 1.084025059 0.084025059 0.0358 0.0212 -0.0271 0.0086
3/1/19 19.709999 19.98 18.51 18.9 17.710442 124873600 -0.036205918 0.961894082 -0.038105918 0.0129 -0.0305 -0.0419 0.0214
4/1/19 19.030001 19.57 18.51 19.24 18.22084 130811200 0.028819044 1.026719044 0.026719044 0.0417 -0.0175 0.0202 -0.0255
5/1/19 19.32 19.99 17.9 18.110001 17.150696 147878100 -0.05873187 0.93916813 -0.06083187 -0.0673 -0.0118 -0.0228 0.076
6/1/19 18.139999 18.93 17.66 18.219999 17.254871 141974300 0.006074098 1.004274098 0.004274098 0.0711 0.0022 -0.0079 -0.0214
7/1/19 18.360001 18.51 17.299999 17.389999 16.655767 104379300 -0.034720862 0.963379138 -0.036620862 0.0138 -0.0208 0.0034 0.0272
8/1/19 17.43 17.43 15.51 16.040001 15.362769 173507900 -0.077630649 0.920769351 -0.079230649 -0.0242 -0.024 -0.0485 0.0764
9/1/19 15.91 17.59 15.82 17.290001 16.559994 163855200 0.077930287 1.076130287 0.076130287 0.0161 -0.0105 0.0677 -0.0685
10/1/19 17.370001 17.389999 16.16 16.389999 15.88599 131152100 -0.040700739 0.957799261 -0.042200739 0.0221 0.0024 -0.0188 0.0029
11/1/19 16.48 17.92 16.469999 17.49 16.952164 152985500 0.067114105 1.065914105 0.065914105 0.0399 0.0091 -0.0205 -0.026
12/1/19 17.530001 18.9 17.299999 18.549999 17.979567 156209400 0.060606009 1.059206009 0.059206009 0.0291 0.0067 0.0191 -0.0227
1/1/20 18.65 18.66 16.27 16.34 16.050283 161010900 -0.107304253 0.891395747 -0.108604253 0.0002 -0.0308 -0.0627 0.0543
2/1/20 16.379999 17.4 14.29 14.48 14.223262 179144900 -0.113831077 0.884968923 -0.115031077 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 14.58 15.11 7.86 11.04 10.844255 420250300 -0.237569061 0.761230939 -0.238769061 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 10.26 12.79 8.83 12.31 12.31 246921000 0.135163273 1.135163273 0.135163273 0.1365 0.0275 -0.0139 -0.0549
5/1/20 11.86 12.83 9.06 11.94 11.94 275861200 -0.030056864 0.969843136 -0.030156864 0.0559 0.0249 -0.0505 0.0067
6/1/20 11.86 14.95 10.49 10.79 10.79 356739100 -0.096314908 0.903585092 -0.096414908 0.0247 0.0271 -0.0235 -0.0075
7/1/20 10.9 11.64 10.15 10.78 10.78 223924100 -0.000926784 0.998973216 -0.001026784 0.0578 -0.0218 -0.0139 0.0761
8/1/20 10.67 12.49 10.2 11.23 11.23 188635800 0.04174397 1.04164397 0.04164397 0.0764 -0.0025 -0.0294 0.0051
9/1/20 11.08 12.25 10.04 10.79 10.79 194350500 -0.039180766 0.960719234 -0.039280766 -0.0362 0.0006 -0.0251 0.0305
10/1/20 10.88 11.98 10.28 10.48 10.48 168067500 -0.028730306 0.971169694 -0.028830306 -0.0209 0.0444 0.0403 -0.0303
11/1/20 10.58 15.17 10.39 14.03 14.03 275014700 0.338740458 1.338640458 0.338640458 0.1248 0.0548 0.0211 -0.1225
12/1/20 14.4 15.74 13.51 14.63 14.63 153006100 0.042765502 1.042665502 0.042665502 0.0464 0.0491 -0.0146 -0.0234

INTC

INTC
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 36.669998 37.490002 33 33.040001 27.871248 689892600 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 33.060001 34.75 32.610001 33.25 28.048405 456578100 0.006356264 1.006356264 0.006356264 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 33.290001 34.5 29.309999 31.27 26.56735 910690800 -0.052803537 0.947196463 -0.052803537 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.447476548
4/1/15 31.129999 33.040001 30.450001 32.549999 27.654858 568144200 0.040934004 1.040934004 0.040934004 0.0059 -0.0304 0.0188 -0.0732 R Square 0.200235261
5/1/15 32.630001 34.75 31.93 34.459999 29.277617 498672700 0.058678985 1.058678985 0.058678985 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.1524881124
6/1/15 34.369999 34.59 30.15 30.42 26.032076 701953000 -0.110854002 0.889145998 -0.110854002 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.064842747
7/1/15 30.49 30.92 27.620001 28.950001 24.774111 829691000 -0.048323653 0.951676347 -0.048323653 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 29 29.68 24.870001 28.540001 24.423254 706404700 -0.014162244 0.985837756 -0.014162244 -0.0604 0.0044 0.0273 -0.0209
9/1/15 27.91 30.32 27.66 30.139999 26.006727 680884100 0.064834645 1.064834645 0.064834645 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 30.209999 35.029999 29.459999 33.860001 29.216587 703298300 0.12342422 1.12342422 0.12342422 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 33.73 35.290001 31.93 34.77 30.001793 459871400 0.02687535 1.02687535 0.02687535 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.0705303304 0.0176325826 4.1936590324 0.0043268364
12/1/15 35 35.59 33.82 34.450001 29.935064 427664700 -0.002224167 0.997675833 -0.002324167 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.2817069829 0.0042045818
1/1/16 33.880001 34.009998 29.209999 31.02 26.954597 615464900 -0.09956441 0.90033559 -0.09966441 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.3522373133
2/1/16 30.719999 31.120001 27.68 29.59 25.712011 526508800 -0.046099224 0.953700776 -0.046299224 -0.0006 0.0083 -0.006 -0.0406
3/1/16 29.93 32.75 29.75 32.349998 28.357704 471958200 0.102897164 1.102697164 0.102697164 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 32.27 32.470001 30.1 30.280001 26.543163 515836800 -0.063987585 0.935912415 -0.064087585 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0008618807 0.0082359408 0.1046487267 0.9169671993 -0.015577126 0.0173008874 -0.015577126 0.0173008874
5/1/16 30.450001 31.65 29.5 31.59 27.691498 431523200 0.04326293 1.04316293 0.04316293 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.667413097 0.1967805501 3.3916619133 0.0011693237 0.2746374751 1.0601887189 0.2746374751 1.0601887189
6/1/16 31.620001 33 30.440001 32.799999 29.000525 484891000 0.047271802 1.047071802 0.047071802 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.0968675215 0.3344643881 -0.2896198367 0.7730014686 -0.7644612342 0.5707261913 -0.7644612342 0.5707261913
7/1/16 32.639999 35.93 32.380001 34.860001 30.821907 530528900 0.062805139 1.062605139 0.062605139 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.1957932931 0.2993649317 -0.6540288203 0.5153318983 -0.7933281977 0.4017416114 -0.7933281977 0.4017416114
8/1/16 34.82 35.900002 33.990002 35.889999 31.73259 390892300 0.029546614 1.029346614 0.029346614 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.1424028016 0.2550144887 -0.5584106312 0.5784254579 -0.6514138514 0.3666082482 -0.6514138514 0.3666082482
9/1/16 35.990002 38.049999 35.060001 37.75 33.630135 505600300 0.059797987 1.059597987 0.059597987 0.0027 0.0204 -0.0121 -0.0053
10/1/16 37.689999 38.360001 34.709999 34.869999 31.064444 471649900 -0.076291427 0.923508573 -0.076491427 -0.02 -0.0443 0.0407 0.0069
11/1/16 34.900002 35.66 33.419998 34.700001 30.912996 412448100 -0.004875284 0.995024716 -0.004975284 0.0487 0.0547 0.0822 -0.0407
12/1/16 34.860001 37.349998 33.560001 36.27 32.556297 405906200 0.053158904 1.052858904 0.052858904 0.0184 0.0011 0.0351 -0.0038
1/1/17 36.610001 38.450001 36.189999 36.82 33.049988 456335100 0.015164225 1.014764225 0.014764225 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 36.82 36.950001 34.84 36.200001 32.493465 477551300 -0.016838826 0.982761174 -0.017238826 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 35.849998 36.299999 34.66 36.07 32.607914 546151800 0.003522216 1.003222216 0.003222216 0.002 0.0117 -0.0333 -0.0092
4/1/17 36.189999 37.5 35.209999 36.150002 32.680241 444122200 0.002218081 1.001718081 0.001718081 0.0114 0.0072 -0.0211 0.0044
5/1/17 36.110001 37.169998 35.02 36.110001 32.644081 432927300 -0.001106479 0.998293521 -0.001706479 0.0112 -0.0261 -0.0367 0.0146
6/1/17 36.119999 36.57 33.34 33.740002 30.728462 499455600 -0.058681971 0.940718029 -0.059281971 0.0084 0.0215 0.0145 -0.0032
7/1/17 33.509998 35.860001 33.23 35.470001 32.304054 440860400 0.051274678 1.050574678 0.050574678 0.0194 -0.0147 -0.0036 0.0166
8/1/17 35.66 36.700001 34.380001 35.07 31.939756 497303200 -0.01127716 0.98782284 -0.01217716 0.0025 -0.0162 -0.0219 0.0355
9/1/17 35.240002 38.150002 34.93 38.080002 34.941441 431948900 0.093979585 1.093079585 0.093079585 0.026 0.0447 0.0314 -0.0118
10/1/17 38.119999 45.799999 38.080002 45.490002 41.7407 633392500 0.194590114 1.193690114 0.193690114 0.0234 -0.0195 0.0012 0.043
11/1/17 45.970001 47.299999 43.77 44.84 41.144272 579910400 -0.014288884 0.984911116 -0.015088884 0.032 -0.0058 -0.0009 -0.0071
12/1/17 44.73 47.639999 42.669998 46.16 42.60648 559756900 0.035538556 1.034638556 0.034638556 0.0115 -0.0129 0.0017 -0.0163
1/1/18 46.380001 50.849998 42.439999 48.139999 44.434055 910041000 0.042894297 1.041794297 0.041794297 0.0569 -0.0309 -0.0132 0.0394
2/1/18 47.700001 50.900002 42.040001 49.290001 45.495525 608494100 0.023888659 1.022788659 0.022788659 -0.0354 0.003 -0.0101 0.0397
3/1/18 49.5 53.779999 46.959999 52.080002 48.396866 710899300 0.063772008 1.062572008 0.062572008 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 51.689999 55.790001 47.290001 51.619999 47.969398 666315000 -0.008832555 0.989767445 -0.010232555 0.0043 0.0113 0.005 0.0027
5/1/18 51.639999 56.200001 51 55.200001 51.296219 486323900 0.069352986 1.067952986 0.067952986 0.0279 0.0528 -0.0315 0.038
6/1/18 55.84 57.599998 48.5 49.709999 46.461086 638342400 -0.094259053 0.904340947 -0.095659053 0.0062 0.0119 -0.0231 -0.0238
7/1/18 49.040001 53.299999 46.43 48.099998 44.95631 479303100 -0.032387878 0.966012122 -0.033987878 0.0335 -0.0221 0.0057 -0.0167
8/1/18 48.060001 50.599998 46.189999 48.43 45.26474 516977100 0.006860661 1.005260661 0.005260661 0.036 0.0115 -0.0392 0.0522
9/1/18 48.380001 48.43 44.060001 47.290001 44.468044 462762400 -0.017600808 0.980899192 -0.019100808 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 46.790001 49.720001 42.360001 46.880001 44.082512 782226900 -0.008669866 0.989430134 -0.010569866 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 46.950001 49.32 46.52 49.310001 46.367504 552786700 0.051834433 1.050034433 0.050034433 0.0187 -0.0071 0.0034 -0.0133
12/1/18 50 50.5 43.509998 46.93 44.407246 565278100 -0.042276548 0.955823452 -0.044176548 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 45.959999 50.040001 44.389999 47.119999 44.587032 620374700 0.004048574 1.001948574 0.001948574 0.0862 0.0289 -0.0046 -0.0865
2/1/19 47.060001 53.610001 47.009998 52.959999 50.113102 410236000 0.123938952 1.122138952 0.122138952 0.0358 0.0212 -0.0271 0.0086
3/1/19 53.439999 54.990002 51.700001 53.700001 51.13541 435022900 0.020400014 1.018500014 0.018500014 0.0129 -0.0305 -0.0419 0.0214
4/1/19 54.34 59.59 50.869999 51.040001 48.60244 472425200 -0.049534559 0.948365441 -0.051634559 0.0417 -0.0175 0.0202 -0.0255
5/1/19 51.099998 51.82 42.860001 44.040001 41.936749 637861500 -0.13714725 0.86075275 -0.13924725 -0.0673 -0.0118 -0.0228 0.076
6/1/19 44.25 48.48 43.200001 47.869999 45.862999 416046000 0.093623137 1.091823137 0.091823137 0.0711 0.0022 -0.0079 -0.0214
7/1/19 49.290001 53.5 47.07 50.549999 48.430641 431034400 0.055985044 1.054085044 0.054085044 0.0138 -0.0208 0.0034 0.0272
8/1/19 50.52 51.889999 44.799999 47.41 45.422287 531370100 -0.06211675 0.93628325 -0.06371675 -0.0242 -0.024 -0.0485 0.0764
9/1/19 47.119999 53.330002 46.5 51.529999 49.702877 387955800 0.094239861 1.092439861 0.092439861 0.0161 -0.0105 0.0677 -0.0685
10/1/19 51.970001 57.240002 48.529999 56.529999 54.525593 438267300 0.097030922 1.095530922 0.095530922 0.0221 0.0024 -0.0188 0.0029
11/1/19 55.939999 59.130001 55.619999 58.049999 55.991699 319751400 0.026888401 1.025688401 0.025688401 0.0399 0.0091 -0.0205 -0.026
12/1/19 58.549999 60.48 55.75 59.849998 58.045586 419629000 0.036681991 1.035281991 0.035281991 0.0291 0.0067 0.0191 -0.0227
1/1/20 60.240002 69.290001 58.52 63.93 62.002583 534150100 0.068170507 1.066870507 0.066870507 0.0002 -0.0308 -0.0627 0.0543
2/1/20 64.459999 68.089996 53.599998 55.52 53.846134 441521000 -0.131550148 0.867249852 -0.132750148 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 55.790001 59.02 43.630001 54.119999 52.746826 961035400 -0.020415728 0.978384272 -0.021615728 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 52.5 62.130001 51.220001 59.98 58.458145 617700400 0.108277965 1.108277965 0.108277965 0.1365 0.0275 -0.0139 -0.0549
5/1/20 58.830002 64.139999 56.099998 62.93 61.333294 409276900 0.049183035 1.049083035 0.049083035 0.0559 0.0249 -0.0505 0.0067
6/1/20 62.490002 65.110001 56.759998 59.830002 58.641346 570572500 -0.043890485 0.956009515 -0.043990485 0.0247 0.0271 -0.0235 -0.0075
7/1/20 59.91 61.93 46.970001 47.73 46.781734 808715000 -0.202239764 0.797660236 -0.202339764 0.0578 -0.0218 -0.0139 0.0761
8/1/20 48.27 51.5 47.700001 50.950001 49.937763 667381400 0.067462848 1.067362848 0.067362848 0.0764 -0.0025 -0.0294 0.0051
9/1/20 50.91 52.68 48.419998 51.779999 51.095947 680479700 0.023192549 1.023092549 0.023092549 -0.0362 0.0006 -0.0251 0.0305
10/1/20 52.400002 56.23 43.610001 44.279999 43.69503 738448400 -0.144843523 0.855056477 -0.144943523 -0.0209 0.0444 0.0403 -0.0303
11/1/20 44.959999 48.5 44.240002 48.349998 47.711258 676942800 0.091914984 1.091814984 0.091814984 0.1248 0.0548 0.0211 -0.1225
12/1/20 48.75 52.650002 45.240002 49.82 49.519421 883827900 0.037898037 1.037798037 0.037798037 0.0464 0.0491 -0.0146 -0.0234

ITUB

ITUB
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 7.769697 8.278788 7.30303 7.345455 5.235845 363155100 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 7.29697 7.969697 6.969697 7.745455 5.523513 441180135 0.054942039 1.054942039 0.054942039 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 7.678788 7.690909 6.133333 6.70303 4.907794 626783355 -0.111472355 0.888527645 -0.111472355 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5814804586
4/1/15 6.842424 8.078788 6.836364 7.769697 5.693645 496743885 0.160123061 1.160123061 0.160123061 0.0059 -0.0304 0.0188 -0.0732 R Square 0.3381195237
5/1/15 7.824242 7.836364 6.466667 6.484848 4.752107 418731885 -0.165366474 0.834633526 -0.165366474 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2986042714
6/1/15 6.557576 6.909091 6.30303 6.636364 4.865034 539834295 0.023763564 1.023763564 0.023763564 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1068854052
7/1/15 6.666667 6.812121 5.012121 5.260606 3.860063 433173675 -0.20657019 0.79342981 -0.20657019 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 5.224242 5.272727 4.157576 4.436364 3.25526 754858500 -0.156682158 0.843317842 -0.156682158 -0.0604 0.0044 0.0273 -0.0209
9/1/15 4.278788 4.642424 3.642424 4.012121 2.983377 702532215 -0.083521132 0.916478868 -0.083521132 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 4.018182 4.812121 3.969697 4.151515 3.088716 741552075 0.035308645 1.035308645 0.035308645 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 4.212121 4.981818 4.133333 4.290909 3.194356 610701300 0.034201914 1.034201914 0.034201914 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.3910229939 0.0977557485 8.5566839112 0.0000122172
12/1/15 4.345455 4.715152 3.915152 3.945455 2.93884 672598080 -0.079989832 0.919910168 -0.080089832 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.7654408197 0.0114244898
1/1/16 3.854545 3.872727 3.321212 3.812121 2.861408 464982045 -0.026347811 0.973552189 -0.026447811 -0.0576 -0.0336 0.0201 0.0134 Total 71 1.1564638136
2/1/16 3.70303 3.951515 3.490909 3.818182 2.867719 500697780 0.002205558 1.002005558 0.002005558 -0.0006 0.0083 -0.006 -0.0406
3/1/16 3.842424 5.575758 3.824242 5.206061 4.022175 1028489220 0.402569429 1.402369429 0.402369429 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 5.121212 5.933333 4.818182 5.775758 4.465156 681473595 0.110134691 1.110034691 0.110034691 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0135849764 0.0135759497 1.0006649011 0.3205892215 -0.0135127327 0.0406826855 -0.0135127327 0.0406826855
5/1/16 5.618182 5.793939 4.793939 4.854545 3.754728 574521255 -0.159104855 0.840795145 -0.159204855 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.5192316181 0.3243688742 1.6007442743 0.1141386298 -0.1282113645 1.1666746007 -0.1282113645 1.1666746007
6/1/16 4.836364 5.775758 4.793939 5.721212 4.426904 491209125 0.179021223 1.178821223 0.178821223 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -1.0218352291 0.5513239848 -1.8534205969 0.0682256194 -2.1222825086 0.0786120504 -2.1222825086 0.0786120504
7/1/16 5.678788 6.454545 5.460606 6.333333 4.902993 399998115 0.10754446 1.10734446 0.10734446 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.9318454584 0.4934667873 1.8883650985 0.0633073279 -0.0531183715 1.9168092884 -0.0531183715 1.9168092884
8/1/16 6.309091 6.963636 6.175758 6.715152 5.201382 534199545 0.060858541 1.060658541 0.060658541 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -1.1716852538 0.4203604602 -2.7873345968 0.0069082138 -2.010728244 -0.3326422636 -2.010728244 -0.3326422636
9/1/16 6.666667 7.018182 6.327273 6.630303 5.194764 430533015 -0.001272354 0.998527646 -0.001472354 0.0027 0.0204 -0.0121 -0.0053
10/1/16 6.666667 8.066667 6.642424 7.953333 6.234157 428608335 0.200084739 1.199884739 0.199884739 -0.02 -0.0443 0.0407 0.0069
11/1/16 7.96 8.126667 6.546667 6.893333 5.405754 461988900 -0.132881318 0.867018682 -0.132981318 0.0487 0.0547 0.0822 -0.0407
12/1/16 6.7 6.933333 6.066667 6.853333 5.376638 470031300 -0.005386113 0.994313887 -0.005686113 0.0184 0.0011 0.0351 -0.0038
1/1/17 7.013333 8.146667 7.013333 7.873333 6.270588 376912650 0.166265611 1.165865611 0.165865611 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 7.893333 9.1 7.886667 8.526667 6.793571 326368650 0.083402545 1.083002545 0.083002545 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 8.74 8.753333 7.973333 8.046667 6.537518 400854900 -0.037690487 0.962009513 -0.037990487 0.002 0.0117 -0.0333 -0.0092
4/1/17 8.093333 8.366667 7.853333 8.2 6.664697 319232400 0.019453713 1.018953713 0.018953713 0.0114 0.0072 -0.0211 0.0044
5/1/17 8.253333 8.693333 6.68 7.273333 5.91398 606063750 -0.11264083 0.88675917 -0.11324083 0.0112 -0.0261 -0.0367 0.0146
6/1/17 7.32 7.473333 7.04 7.366667 5.992286 326339250 0.013240829 1.012640829 0.012640829 0.0084 0.0215 0.0145 -0.0032
7/1/17 7.453333 7.98 7.246667 7.94 6.461614 316565100 0.078322029 1.077622029 0.077622029 0.0194 -0.0147 -0.0036 0.0166
8/1/17 8.073333 8.766667 8.053333 8.513333 6.931333 328764300 0.072693757 1.071793757 0.071793757 0.0025 -0.0162 -0.0219 0.0355
9/1/17 8.666667 9.413333 8.613333 9.133333 7.5153 321494550 0.084250317 1.083350317 0.083350317 0.026 0.0447 0.0314 -0.0118
10/1/17 9.08 9.726667 8.466667 8.54 7.029833 270217500 -0.064597155 0.934502845 -0.065497155 0.0234 -0.0195 0.0012 0.043
11/1/17 8.566667 8.993333 8.133333 8.366667 6.889667 298484400 -0.019938738 0.979261262 -0.020738738 0.032 -0.0058 -0.0009 -0.0071
12/1/17 8.386667 8.813333 8.153333 8.666667 7.139494 274724400 0.036261114 1.035361114 0.035361114 0.0115 -0.0129 0.0017 -0.0163
1/1/18 8.873333 11.32 8.846667 10.933333 9.043337 402389100 0.266663576 1.265563576 0.265563576 0.0569 -0.0309 -0.0132 0.0394
2/1/18 10.973333 11.146667 9.966667 10.38 8.588959 292603200 -0.050244506 0.948655494 -0.051344506 -0.0354 0.003 -0.0101 0.0397
3/1/18 10.433333 10.906667 9.96 10.4 8.9911 271606500 0.046820692 1.045620692 0.045620692 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 10.393333 10.506667 9.54 9.686667 8.377091 236070150 -0.068290754 0.930309246 -0.069690754 0.0043 0.0113 0.005 0.0027
5/1/18 9.68 9.713333 7.56 7.7 6.661143 411944550 -0.204838171 0.793761829 -0.206238171 0.0279 0.0528 -0.0315 0.038
6/1/18 7.826667 8.02 6.613333 6.92 5.988029 461530200 -0.101050826 0.897549174 -0.102450826 0.0062 0.0119 -0.0231 -0.0238
7/1/18 6.813333 8.48 6.793333 7.993333 6.919205 383381250 0.155506261 1.153906261 0.153906261 0.0335 -0.0221 0.0057 -0.0167
8/1/18 8.06 8.446667 6.673333 6.946667 6.015505 513052950 -0.13060749 0.86779251 -0.13220749 0.036 0.0115 -0.0392 0.0522
9/1/18 6.6 7.486667 6.566667 7.32 6.445209 444405150 0.071432739 1.069932739 0.069932739 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 7.306667 9.186667 7.173333 8.78 7.733694 732551700 0.19991361 1.19801361 0.19801361 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 8.906667 9.44 8.606667 9.33 8.221148 399222600 0.063029905 1.061229905 0.061229905 0.0187 -0.0071 0.0034 -0.0133
12/1/18 9.44 9.46 8.43 9.14 8.056181 284984900 -0.020066176 0.978033824 -0.021966176 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 9.26 10.76 8.96 10.64 9.385526 365692100 0.165009326 1.162909326 0.162909326 0.0862 0.0289 -0.0046 -0.0865
2/1/19 10.49 10.8 9.33 9.4 8.295349 410217800 -0.116155131 0.882044869 -0.117955131 0.0358 0.0212 -0.0271 0.0086
3/1/19 9.32 9.88 8.32 8.81 8.174521 441762800 -0.014565752 0.983534248 -0.016465752 0.0129 -0.0305 -0.0419 0.0214
4/1/19 8.94 8.98 8.13 8.65 8.029477 366687600 -0.017743425 0.980156575 -0.019843425 0.0417 -0.0175 0.0202 -0.0255
5/1/19 8.66 9.03 7.59 8.9 8.265295 462541200 0.029369036 1.027269036 0.027269036 -0.0673 -0.0118 -0.0228 0.076
6/1/19 9.01 9.53 8.6 9.42 8.752315 339929500 0.058923487 1.057123487 0.057123487 0.0711 0.0022 -0.0079 -0.0214
7/1/19 9.57 10.01 9.06 9.15 8.505277 349190400 -0.028225447 0.969874553 -0.030125447 0.0138 -0.0208 0.0034 0.0272
8/1/19 9.28 9.48 7.88 8.24 7.66265 428798400 -0.099071083 0.899328917 -0.100671083 -0.0242 -0.024 -0.0485 0.0764
9/1/19 8.05 8.95 7.85 8.41 7.999492 326851600 0.043958944 1.042158944 0.042158944 0.0161 -0.0105 0.0677 -0.0685
10/1/19 8.39 9.37 7.92 9.03 8.5934 447129700 0.074243214 1.072743214 0.072743214 0.0221 0.0024 -0.0188 0.0029
11/1/19 9.12 9.29 8 8.14 7.750116 381831800 -0.098131589 0.900668411 -0.099331589 0.0399 0.0091 -0.0205 -0.026
12/1/19 8.3 9.26 8.25 9.15 8.7156 328114500 0.124576716 1.123176716 0.123176716 0.0291 0.0067 0.0191 -0.0227
1/1/20 9.21 9.4 7.55 7.61 7.259804 528347300 -0.167033365 0.831666635 -0.168333365 0.0002 -0.0308 -0.0627 0.0543
2/1/20 7.7 8.18 6.83 7.07 6.747604 514298400 -0.070552869 0.928247131 -0.071752869 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 7.06 7.18 3.83 4.49 4.428646 994637600 -0.343671324 0.655128676 -0.344871324 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 4.22 4.88 3.59 4.21 4.154822 718906600 -0.061830185 0.938169815 -0.061830185 0.1365 0.0275 -0.0139 -0.0549
5/1/20 4.1 4.5 3.48 4.25 4.197103 778728700 0.010176369 1.010076369 0.010076369 0.0559 0.0249 -0.0505 0.0067
6/1/20 4.33 5.88 4.3 4.69 4.634929 784098200 0.104316239 1.104216239 0.104216239 0.0247 0.0271 -0.0235 -0.0075
7/1/20 4.71 5.5 4.71 5.1 5.043675 448129500 0.08818819 1.08808819 0.08808819 0.0578 -0.0218 -0.0139 0.0761
8/1/20 5.04 5.18 4.13 4.26 4.21565 707162000 -0.164170967 0.835729033 -0.164270967 0.0764 -0.0025 -0.0294 0.0051
9/1/20 4.39 4.77 3.89 3.98 3.949942 589990500 -0.063028952 0.936871048 -0.063128952 -0.0362 0.0006 -0.0251 0.0305
10/1/20 3.95 4.69 3.89 4.09 4.061972 637028500 0.028362442 1.028262442 0.028262442 -0.0209 0.0444 0.0403 -0.0303
11/1/20 4.09 5.62 4.06 5.35 5.317345 897143300 0.30905506 1.30895506 0.30895506 0.1248 0.0548 0.0211 -0.1225
12/1/20 5.53 6.37 5.52 6.09 6.057271 790634300 0.13915328 1.13905328 0.13905328 0.0464 0.0491 -0.0146 -0.0234

JPM

JPM
Date Open High Low Close Adj Close Volume Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 62.18 62.959999 54.369999 54.380001 45.667675 468205900 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 54.529999 61.919998 54.27 61.279999 51.793266 319008100 0.134134067 1.134134067 0.134134067 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 61.279999 62.869999 58.869999 60.580002 51.201633 332553100 -0.011422971 0.988577029 -0.011422971 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.877307859
4/1/15 60.41 64.480003 59.650002 63.259998 53.466743 325069500 0.044239019 1.044239019 0.044239019 0.0059 -0.0304 0.0188 -0.0732 R Square 0.7696690794
5/1/15 63.700001 67.190002 63.25 65.779999 55.966171 267792200 0.04674734 1.04674734 0.04674734 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.7559179796
6/1/15 65.989998 69.82 65.580002 67.760002 57.650757 337237800 0.030100076 1.030100076 0.030100076 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0337498879
7/1/15 68.120003 70.610001 65.209999 68.529999 58.305882 325426300 0.011363684 1.011363684 0.011363684 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 68.589996 69.419998 50.07 64.099998 54.893253 373209100 -0.058529755 0.941470245 -0.058529755 -0.0604 0.0044 0.0273 -0.0209
9/1/15 62.849998 64.639999 58.73 60.970001 52.212818 354030500 -0.048829954 0.951170046 -0.048829954 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 61.119999 65.830002 58.529999 64.25 55.021706 332436100 0.053796905 1.053796905 0.053796905 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 64.449997 69.029999 64.389999 66.68 57.514713 248028500 0.045309518 1.045309518 0.045309518 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.2550182545 0.0637545636 55.9714563936 1.16593462551314E-20
12/1/15 67.339996 68 63.509998 66.029999 56.95406 316546000 -0.009747993 0.990152007 -0.009847993 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.0763166806 0.0011390549
1/1/16 63.950001 64.129997 54.66 59.5 51.321613 470257300 -0.098894565 0.901005435 -0.098994565 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.3313349352
2/1/16 59.16 59.650002 52.5 56.299999 48.887218 477952300 -0.047434109 0.952365891 -0.047634109 -0.0006 0.0083 -0.006 -0.0406
3/1/16 56.759998 60.970001 56.669998 59.220001 51.42276 356907400 0.051865132 1.051665132 0.051665132 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 59.02 64.660004 57.07 63.200001 54.878727 344767700 0.067206953 1.067106953 0.067106953 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0109663443 0.0042867104 2.5582190577 0.0127880789 0.0024100345 0.0195226542 0.0024100345 0.0195226542
5/1/16 63.689999 66.199997 60.59 65.269997 57.095802 283915300 0.040399534 1.040299534 0.040299534 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.0636356243 0.1024219642 10.3848391532 0 0.8592005281 1.2680707206 0.8592005281 1.2680707206
6/1/16 64.760002 65.919998 57.049999 62.139999 54.357788 394697700 -0.047954734 0.951845266 -0.048154734 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.0116093693 0.1740847842 0.0666880183 0.9470286762 -0.3358653143 0.3590840528 -0.3358653143 0.3590840528
7/1/16 61.66 64.980003 58.759998 63.970001 55.958603 283878900 0.029449598 1.029249598 0.029249598 0.0397 0.026 -0.0123 -0.0308 X Variable 3 1.0032284115 0.1558159295 6.4385484488 0.0000000151 0.6922185144 1.3142383086 0.6922185144 1.3142383086
8/1/16 64.150002 67.769997 63.380001 67.5 59.506172 263306200 0.063396311 1.063196311 0.063196311 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.1105626505 0.1327320451 0.8329763206 0.4078176418 -0.1543716203 0.3754969213 -0.1543716203 0.3754969213
9/1/16 67.639999 67.900002 65.110001 66.589996 58.703941 316507200 -0.013481476 0.986318524 -0.013681476 0.0027 0.0204 -0.0121 -0.0053
10/1/16 66.349998 69.769997 66.099998 69.260002 61.057743 304123000 0.04009615 1.03989615 0.03989615 -0.02 -0.0443 0.0407 0.0069
11/1/16 69.480003 80.529999 67.639999 80.169998 71.189468 458561900 0.165936776 1.165836776 0.165836776 0.0487 0.0547 0.0822 -0.0407
12/1/16 80.650002 87.389999 80.650002 86.290001 76.623917 343139500 0.076337823 1.076037823 0.076037823 0.0184 0.0011 0.0351 -0.0038
1/1/17 87.339996 88.169998 83.029999 84.629997 75.149864 343161300 -0.019237505 0.980362495 -0.019637505 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 85.540001 91.339996 84.160004 90.620003 80.914124 271414600 0.076703532 1.076303532 0.076303532 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 92.790001 93.980003 85.230003 87.839996 78.431877 371669000 -0.030677549 0.969022451 -0.030977549 0.002 0.0117 -0.0333 -0.0092
4/1/17 87.989998 89.129997 84.360001 87 77.681847 321139800 -0.009562821 0.989937179 -0.010062821 0.0114 0.0072 -0.0211 0.0044
5/1/17 87.360001 88.089996 81.639999 82.150002 73.772781 283639500 -0.050321486 0.949078514 -0.050921486 0.0112 -0.0261 -0.0367 0.0146
6/1/17 82.459999 92.650002 81.650002 91.400002 82.079498 334136800 0.11259867 1.11199867 0.11199867 0.0084 0.0215 0.0145 -0.0032
7/1/17 91.559998 94.510002 90.32 91.800003 82.438705 271473000 0.00437633 1.00367633 0.00367633 0.0194 -0.0147 -0.0036 0.0166
8/1/17 92.489998 95.220001 90.160004 90.889999 82.070465 253237800 -0.004466834 0.994633166 -0.005366834 0.0025 -0.0162 -0.0219 0.0355
9/1/17 91.25 95.879997 88.080002 95.510002 86.242165 250922800 0.05083071 1.04993071 0.04993071 0.026 0.0447 0.0314 -0.0118
10/1/17 95.769997 102.419998 94.959999 100.610001 90.847275 259433200 0.05339743 1.05249743 0.05249743 0.0234 -0.0195 0.0012 0.043
11/1/17 101.099998 106.660004 95.949997 104.519997 94.929558 256086400 0.044935668 1.044135668 0.044135668 0.032 -0.0058 -0.0009 -0.0071
12/1/17 104.900002 108.459999 102.199997 106.940002 97.12751 284432100 0.023153505 1.022253505 0.022253505 0.0115 -0.0129 0.0017 -0.0163
1/1/18 107.629997 117.349998 106.809998 115.669998 105.056473 304940100 0.081634575 1.080534575 0.080534575 0.0569 -0.0309 -0.0132 0.0394
2/1/18 115.769997 119.330002 103.980003 115.5 105.44854 354632300 0.003731964 1.002631964 0.002631964 -0.0354 0.003 -0.0101 0.0397
3/1/18 115.480003 118.75 106.650002 109.970001 100.399796 321513800 -0.047878747 0.950921253 -0.049078747 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 109.959999 115.150002 106.080002 108.779999 99.313354 340100300 -0.010821157 0.987778843 -0.012221157 0.0043 0.0113 0.005 0.0027
5/1/18 108.449997 114.730003 104.959999 107.010002 98.192818 273649200 -0.011282833 0.987317167 -0.012682833 0.0279 0.0528 -0.0315 0.038
6/1/18 108.339996 111.910004 103.110001 104.199997 95.614342 307772000 -0.026259314 0.972340686 -0.027659314 0.0062 0.0119 -0.0231 -0.0238
7/1/18 103.720001 117.610001 102.199997 114.949997 105.478577 298256100 0.103166897 1.101566897 0.101566897 0.0335 -0.0221 0.0057 -0.0167
8/1/18 115.75 118.290001 112.970001 114.580002 105.710426 234427900 0.002198067 1.000598067 0.000598067 0.036 0.0115 -0.0392 0.0522
9/1/18 114.339996 119.239998 112.519997 112.839996 104.105125 232549000 -0.015185834 0.983314166 -0.016685834 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 113.370003 116.809998 102.730003 109.019997 100.580826 433042000 -0.033853271 0.964246729 -0.035753271 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 109.620003 112.93 105.980003 111.190002 103.301208 283227700 0.027046726 1.025246726 0.025246726 0.0187 -0.0071 0.0034 -0.0133
12/1/18 112.379997 112.889999 91.110001 97.620003 90.693993 425217000 -0.122043249 0.876056751 -0.123943249 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 95.949997 105.239998 95.940002 103.5 96.156807 325890900 0.060233471 1.058133471 0.058133471 0.0862 0.0289 -0.0046 -0.0865
2/1/19 104 107.269997 100.059998 104.360001 97.743164 224935100 0.016497605 1.014697605 0.014697605 0.0358 0.0212 -0.0271 0.0086
3/1/19 105.099998 108.400002 98.089996 101.230003 94.81163 306599600 -0.029992215 0.968107785 -0.031892215 0.0129 -0.0305 -0.0419 0.0214
4/1/19 102.150002 117.160004 102.120003 116.050003 108.691986 252516300 0.146399297 1.144299297 0.144299297 0.0417 -0.0175 0.0202 -0.0255
5/1/19 115.720001 117 104.839996 105.959999 100.001099 230711900 -0.079958857 0.917941143 -0.082058857 -0.0673 -0.0118 -0.0228 0.076
6/1/19 105.800003 112.43 105.300003 111.800003 105.512695 248214000 0.055115354 1.053315354 0.053315354 0.0711 0.0022 -0.0079 -0.0214
7/1/19 113.230003 117.239998 112.150002 116 109.476494 232008700 0.037567034 1.035667034 0.035667034 0.0138 -0.0208 0.0034 0.0272
8/1/19 115.330002 116.800003 104.339996 109.860001 104.415825 259393900 -0.046226078 0.952173922 -0.047826078 -0.0242 -0.024 -0.0485 0.0764
9/1/19 108.980003 120.400002 107.32 117.690002 111.857796 229360700 0.071272444 1.069472444 0.069472444 0.0161 -0.0105 0.0677 -0.0685
10/1/19 118.400002 127.419998 110.519997 124.919998 118.729507 251981600 0.061432562 1.059932562 0.059932562 0.0221 0.0024 -0.0188 0.0029
11/1/19 126.199997 132.429993 126.019997 131.759995 126.233727 191200900 0.063204339 1.062004339 0.062004339 0.0399 0.0091 -0.0205 -0.026
12/1/19 132.309998 140.080002 128.589996 139.399994 133.553284 212915300 0.057984163 1.056584163 0.056584163 0.0291 0.0067 0.0191 -0.0227
1/1/20 139.789993 141.100006 129.710007 132.360001 126.808548 247990900 -0.05050221 0.94819779 -0.05180221 0.0002 -0.0308 -0.0627 0.0543
2/1/20 132.660004 139.289993 112.660004 116.110001 111.954262 240725900 -0.117139469 0.881660531 -0.118339469 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 116.629997 122.949997 76.910004 90.029999 86.807693 734330700 -0.224614665 0.774185335 -0.225814665 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 85.099998 104.389999 82.769997 95.760002 92.332619 532016700 0.06364558 1.06364558 0.06364558 0.1365 0.0275 -0.0139 -0.0549
5/1/20 93.5 102.949997 82.400002 97.309998 94.802139 497901800 0.026745911 1.026645911 0.026645911 0.0559 0.0249 -0.0505 0.0067
6/1/20 97.75 115.769997 92 94.059998 91.635895 536015600 -0.033398445 0.966501555 -0.033498445 0.0247 0.0271 -0.0235 -0.0075
7/1/20 94.889999 101.290001 90.779999 96.639999 94.149399 432632100 0.027429251 1.027329251 0.027329251 0.0578 -0.0218 -0.0139 0.0761
8/1/20 97.019997 106.43 95.029999 100.190002 98.559059 319804200 0.046836836 1.046736836 0.046736836 0.0764 -0.0025 -0.0294 0.0051
9/1/20 99.550003 105.209999 91.379997 96.269997 94.702866 390707900 -0.039125708 0.960774292 -0.039225708 -0.0362 0.0006 -0.0251 0.0305
10/1/20 97.120003 104.449997 95.089996 98.040001 96.444054 325376900 0.0183858 1.0182858 0.0182858 -0.0209 0.0444 0.0403 -0.0303
11/1/20 99.389999 123.5 97.860001 117.879997 117.037125 333803100 0.21352349 1.21342349 0.21342349 0.1248 0.0548 0.0211 -0.1225
12/1/20 120.339996 127.330002 118.110001 127.07 126.161423 274153800 0.077960715 1.077860715 0.077860715 0.0464 0.0491 -0.0146 -0.0234

Summary

Ret - Rf
Date/Stock KGC KO M MRK MRO MSFT MU MVIS NLY NOK OPK OXY PLUG SABR SWN T TWTR UAL V VALE WFC X XOM UAA ZNGA
1/1/15 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
2/1/15 -0.1622421159 0.0517370227 -0.0025048416 -0.028865076 0.047368499 0.0853959454 0.0478305432 0.095 0.0056819012 0.0539475426 0.2003297609 -0.0264998043 0.1535580524 0.0651005441 0.0116982246 0.0647111965 0.281108534 -0.0604007902 0.0643364345 0.0554766409 0.0552774556 -0.0200489777 0.0128116409 0.0683962245 -0.1015625
3/1/15 -0.2112675407 -0.0635103494 0.0186755869 -0.0181075224 -0.055925451 -0.066149098 -0.1154222693 0.5662100457 -0.0207153658 -0.0536829167 -0.0267857143 -0.0626608068 -0.1590909091 0.1167278608 -0.0753588118 -0.0552661154 0.041597336 0.031758208 -0.0338892558 -0.2385443929 -0.0005737394 0.0209906681 -0.0327557443 0.0485650942 0.2391304348
4/1/15 0.084821523 0.0085463999 0.0006342594 0.0445713451 0.1911146671 0.1962615697 0.0368595664 -0.0524781341 -0.004118846 -0.1319260942 -0.0289343684 0.1075509673 -0.0193050193 0.0285467579 0.2087106421 0.060949274 -0.2220447795 -0.1116728327 0.0097848452 0.3592918323 0.0128675784 -0.01557402 0.0278825602 -0.0396284334 -0.1403508772
5/1/15 -0.0329218226 0.0098615976 0.0358965088 0.0223305667 -0.1257235347 -0.036595219 -0.0071098118 -0.0061538462 0.0367429216 0.1079025912 0.2848837209 -0.0238448227 0.0708661417 0.0482120137 -0.0806279315 0.0114489463 -0.0587782613 -0.0862069271 0.0398181216 -0.1528781095 0.0156081799 0.0158204074 -0.0248373211 0.011089619 0.2040816327
6/1/15 -0.0127660158 -0.0422361719 0.0077667437 -0.0650352345 -0.0164438819 -0.0517087498 -0.3254564984 -0.0712074303 -0.1197318842 -0.0369429439 -0.0904977376 -0.0053714681 -0.0992647059 -0.0877730876 -0.1179666279 0.0283731555 -0.0122715305 -0.0289430665 -0.0205660118 -0.0650792962 0.0118130901 -0.1531772027 -0.0153973517 0.0641499521 -0.0305084746
7/1/15 -0.2155172264 0.0557967264 0.028942391 0.0435354301 -0.2083648585 0.0577578372 -0.0175159236 0.0166666667 0.1169975417 0.0291972428 0.0180348881 -0.0886966029 0.0571428571 0.1217985729 -0.1816981962 -0.0219593783 -0.1438432042 0.0637615757 0.1219654046 -0.1069609632 0.0289827984 -0.0557709179 -0.047956474 0.190436237 -0.1328671329
8/1/15 -0.0164835925 -0.0428431781 -0.1513177283 -0.0866690678 -0.1770582669 -0.0680945915 -0.113452188 0.0360655738 0.0110551345 -0.1148937467 -0.3390348602 0.0400283912 -0.3397683398 0.0233083685 -0.1268817204 -0.031605176 -0.1038374395 0.0102855473 -0.0536231952 -0.0589356607 -0.0784514172 -0.1587057829 -0.0501200381 -0.0382563568 0.0201612903
9/1/15 -0.0391059534 0.0203457809 -0.1243813632 -0.0828224944 -0.0984309785 0.0237102654 -0.0871419866 0.0094936709 -0.0188865937 0.0865385719 -0.2227356747 -0.0939597801 0.0701754386 -0.0014695191 -0.2185960591 -0.0186747522 -0.0305865408 -0.0688081785 -0.0214009319 -0.1515150127 -0.0308419071 -0.3623053575 -0.0025828311 0.0130848951 -0.0988142292
10/1/15 0.1686046273 0.0647286759 -0.0004626906 0.1162294082 0.1935064294 0.1893357633 0.1054738985 -0.0752351097 0.0379900434 0.0943952838 0.1236623068 0.1390991937 0.3169398907 0.0821122781 -0.1300236407 0.0285449505 0.0564216015 0.1368520667 0.1136953192 0.0380952083 0.0543328607 0.1209215089 0.1128444455 -0.0175655718 0.0394736842
11/1/15 -0.0447763214 0.006375242 -0.2334248319 -0.0301865571 -0.0473338222 0.0324848989 -0.0380434202 -0.1491525424 -0.0371859756 -0.0283018853 0.1576719577 0.0140862093 -0.0871369295 -0.0020461618 -0.1838768116 0.0191549328 -0.107519294 -0.075940987 0.0184326489 -0.2117724627 0.017732148 -0.3090755224 -0.0130528151 -0.0931846846 0.0886075949
12/1/15 -0.0521832295 0.0156079834 -0.1050129587 -0.0036842254 -0.2789787859 0.0275714837 -0.1112111111 0.1393422311 -0.0209765689 -0.0264522718 -0.0814528336 -0.105669491 -0.0410090909 -0.0441876777 -0.2109768036 0.0218778606 -0.0890764173 0.0280715234 -0.0168149302 -0.0238391064 -0.0067486691 -0.0065254639 -0.0372107765 -0.0651661316 0.0386596899
1/1/16 -0.0990010016 -0.0010312167 0.1662160233 -0.0325144562 -0.227264472 -0.0071295282 -0.2211451977 -0.007093007 0.0448449824 0.0255410003 -0.2001 0.0290796759 -0.1138440758 -0.0816777702 0.2502516174 0.0478512728 -0.2740844544 -0.1575171057 -0.039558333 -0.2554190581 -0.0760751046 -0.122906937 -0.0013829512 0.0596940702 -0.0821895522
2/1/16 0.7924830167 0.0046927172 0.0690893426 -0.0092780757 -0.1564179086 -0.0766204805 -0.0364647325 0.0385323944 0.0661156776 -0.1626999238 0.1565164179 0.0013575324 0.1120994652 0.0599324644 -0.3500312711 0.0389005642 0.0783715523 0.1857983261 -0.0283917413 0.1997999044 -0.066096902 0.3026568309 0.0293440289 -0.020567529 -0.1424764228
3/1/16 0.1562627109 0.0753853945 0.02016581 0.0535739875 0.3663601666 0.0930891415 -0.0152517404 -0.3663016949 0.0126332961 -0.0201006042 0.1170043011 -0.0058670176 -0.0146230769 0.0649934831 0.3959937716 0.0598810547 -0.0868446972 0.0452069698 0.0583840635 0.4317732997 0.038467183 0.7710667188 0.0521855349 0.0134216988 0.0803687204
4/1/16 0.6763701698 -0.0268433248 -0.0947902795 0.0454448146 0.2647115248 -0.0971488081 0.0266430755 0.1549802139 0.0456308088 -0.0068682265 0.0345487007 0.1320931515 0.0047780488 0.0056954347 0.6640883519 -0.0090352458 -0.1167162608 -0.2348143295 0.0098372259 0.3466931669 0.0333986563 0.1905543603 0.0574426996 0.0358542135 0.0437596491
5/1/16 -0.2527315026 -0.0045643016 -0.1612518503 0.0257935497 -0.0724917973 0.0626632635 0.183155814 -0.1204703704 0.0152550345 -0.0290607805 -0.0112627907 -0.015886008 -0.068061165 -0.027043093 0.0177704393 0.0209061578 0.0409396717 -0.0158171138 0.0219095907 -0.3069783823 0.0147062477 -0.2429049107 0.0069133009 -0.1414290656 0.0797319328
6/1/16 0.147687279 0.0161678382 0.0118444472 0.0237956266 0.1529190226 -0.0279754487 0.0815610063 -0.1159894737 0.0461137578 -0.0019543956 -0.1215546566 0.0013902571 -0.03145 -0.0491882406 -0.0799366496 0.1035034309 0.1108381078 -0.0900203371 -0.0589623284 0.2873318726 -0.0598913939 0.168061619 0.0616717576 0.063409886 -0.0313284047
7/1/16 0.0570598359 -0.0303216447 0.0781142225 0.0263380199 -0.091472451 0.1074801871 -0.0016534884 -0.0716285714 0.0196100126 0.0708422978 0.0651104925 -0.0014399412 -0.0378344086 0.093158953 0.1587825119 0.0016515692 -0.0161669426 0.1423438074 0.0521128106 0.1361636258 0.0133221128 0.6302864002 -0.0512986404 -0.0168957883 0.1524104418
8/1/16 -0.228439944 -0.0047839096 0.0095684914 0.0702058889 0.1009728847 0.0135617633 0.1999455604 -0.0322512821 -0.021596255 -0.0175310899 -0.0856271357 0.0281689333 -0.1342782123 -0.0345054109 -0.0461533608 -0.0452975992 0.1542471247 0.0748693341 0.0363149516 -0.0836782729 0.0587952941 -0.2930336342 -0.0205484768 0.004108211 -0.0489804878
9/1/16 0.0549379269 -0.0257582658 0.0238463024 -0.0062518148 0.0559842186 0.008484238 0.0780292905 -0.0862927152 -0.0198078523 0.0209641048 0.1635362637 -0.051338641 0.1030258065 0.0008656826 -0.0052323508 -0.0068048545 0.199695898 0.0406649276 0.0238234865 0.0434431133 -0.1215467311 -0.0282009076 0.0099479601 -0.0241717632 0.0657340659
10/1/16 -0.0833354442 0.0098754663 -0.0047598462 -0.052425768 -0.1665502994 0.0400776976 -0.0350706955 -0.2610695652 0.0109800811 -0.226452185 -0.1106815864 0.0095012349 -0.1054631579 -0.079157787 -0.2494774566 -0.0942655285 -0.2214580573 0.0714599758 -0.0024974035 0.2579820202 0.0388695854 0.0252505616 -0.0455716602 -0.196166908 -0.0345642612
11/1/16 -0.1477685399 -0.0484489168 0.15638109 0.0419640472 0.3701577594 0.0055742001 0.1380119464 0.6175470588 -0.0136134794 -0.0402784843 0.1028723992 -0.0213595433 -0.1046751634 0.0006742776 0.0922965351 0.0626993431 0.0299835081 0.2261137115 -0.0630015294 0.2267785108 0.1500846949 0.6720822886 0.0476680576 -0.0097463344 0.0176935943
12/1/16 -0.0550111969 0.0358956286 -0.1517217943 -0.0382146257 -0.0385989082 0.0378644875 0.1220757746 -0.2366636364 -0.0247616629 0.1183044678 -0.1052085659 -0.0021212557 -0.1243875912 -0.035116052 -0.0469960352 0.1006576832 -0.1187424554 0.056697827 0.0108768495 -0.1027734695 0.0497594802 0.0228971738 0.0427610744 -0.0571181837 -0.1016986014
1/1/17 0.2536196083 0.0022533711 -0.1677112118 0.0606781311 -0.0327512501 0.0399925629 0.0995088047 0.0710285714 0.0556753144 -0.0606909591 -0.0659913978 -0.0385935978 -0.1170666667 -0.0133885796 -0.1676828096 -0.0090996952 0.0805817228 -0.0334680036 0.0597127559 0.3435793524 0.0217376381 -0.0094881168 -0.0709740808 -0.2606409384 -0.0198552529
2/1/17 -0.0927078394 0.0089817729 0.124176707 0.0621907629 -0.0451760433 -0.0107632706 -0.0281892979 0.1847851852 0.0857057735 0.1367679468 -0.0349224396 -0.0331576524 0.0184679245 -0.1061141723 -0.166881687 0.0023444021 -0.1053943754 0.0509693054 0.0628328775 0.0162995418 0.0271163658 0.183335859 -0.0310351252 -0.0408838995 0.0511873016
3/1/17 -0.0087746149 0.0111393347 -0.1080664462 -0.0356727009 -0.0097408493 0.035324707 0.232635101 0.55595 0.0006010966 0.0541747156 -0.0467839094 -0.0337097781 0.2774777778 -0.0331618719 0.0875828229 -0.0060433178 -0.0522974635 -0.0468649506 0.0121992362 -0.0824257885 -0.0321238269 -0.1258143728 0.0174063869 -0.0410371464 0.0751716981
4/1/17 -0.0061979362 0.0252036934 -0.0027842099 -0.01246418 -0.0593606164 0.0389776335 -0.0430605536 -0.0968855422 0.0914709244 0.0566957019 -0.02925 -0.0176800726 0.6226884058 0.1113939444 -0.0812833537 -0.0467091087 0.1018411371 -0.0065872028 0.0259429664 -0.097342073 -0.033198513 -0.3403403568 -0.0048895799 0.0859509056 0.0135350877
5/1/17 0.2343570242 0.0531657571 -0.1963563525 0.0440013985 -0.125011637 0.0195575863 0.1114346946 -0.1250444444 0.0137944544 0.1023669578 -0.2103812098 -0.0430113762 -0.1702428571 -0.0424624527 -0.1936758988 -0.0167432418 0.1110504854 0.1341386289 0.043359805 0.0076617111 -0.0507488654 -0.0664600435 -0.014684443 -0.1090225221 0.2173930796
6/1/17 -0.0562844727 -0.0142352771 -0.0116637475 -0.0162659668 -0.087274972 -0.0079724392 -0.0301742281 0.075542132 0.0052429833 0.0019842221 0.0710612378 0.0153509612 0.0961741935 -0.0300250904 0.00270033 -0.021362789 -0.0251632642 -0.0560788265 -0.0140789305 0.0448004038 0.0904985366 0.0637469505 0.0117275917 0.1350993737 0.0334909091
7/1/17 0.0115849855 0.0297847513 0.038573697 0.003352353 0.0313673969 0.053993255 -0.0589719337 0.070054717 0.0224539522 0.0366376167 -0.0204568389 0.0466189781 0.1071431373 0.0221872199 -0.0632 0.0329600714 -0.1003083324 -0.1012980066 0.060933679 0.1455855791 -0.0272296635 0.060275527 -0.0092471669 -0.0806632353 -0.0089417582
8/1/17 0.1058960334 -0.0072262818 -0.1263735777 -0.0012132179 -0.0916604155 0.0275732055 0.136013153 0.0431528634 0.0381689731 -0.0337638834 -0.008651938 -0.0369083516 -0.0539973451 -0.167641829 -0.0447596491 -0.0278797735 0.0500633313 -0.0854153812 0.0388749582 0.1027887444 -0.0541071701 0.1319226358 -0.04725175 -0.1942066933 0.0378811634
9/1/17 -0.0710754696 -0.0127552062 0.0496535854 0.0017621782 0.2235759159 0.0006632094 0.2293159284 0.1720957806 -0.0256999307 -0.0332625347 0.070975 0.0746444105 0.2187261682 -0.019338314 0.1202009174 0.0447486319 -0.0032654051 -0.0183305684 0.0173522665 -0.0912341698 0.0868347468 -0.0345492588 0.083531007 0.0195334365 0.0071
10/1/17 -0.0692959916 0.0287793244 -0.1265463827 -0.1342990719 0.0477727063 0.115759804 0.1257208682 -0.2059359712 -0.0376293676 -0.1831741072 -0.0198504373 0.0173815912 0.091054023 0.0881963146 -0.0925530278 -0.1418239579 0.2213880722 -0.0403218292 0.0441398628 -0.0287052414 0.0170508822 -0.0141503696 0.0158111725 -0.2411912621 0.0308460317
11/1/17 0.0523642818 -0.0053671659 0.2678565488 0.0024675501 0.042800522 0.0111018853 -0.0441311207 -0.2360941176 0.0175244868 0.0237397146 -0.220710847 0.091038248 -0.1692210526 0.0170935474 0.1451459459 0.093905468 -0.0027399126 0.0819633379 0.0229315019 0.0921519782 0.0050782237 0.1413802194 -0.0015196693 0.0607015974 0.0504820513
12/1/17 0.0375615571 0.0097214893 0.0575034975 0.0171929989 0.1436156832 0.0204806137 -0.0308598969 -0.0364029586 0.0179517428 -0.0707602871 -0.0675666667 0.0439227734 -0.0051194093 0.0287333313 -0.1235415094 0.0678191785 0.1657666667 0.0635346494 0.0135953278 0.1420905344 0.0809822575 0.2181400353 0.0125956708 0.084878781 -0.0252902439
1/1/18 0.0012149034 0.0361711535 0.0443703936 0.0608153525 0.0733240545 0.1096082236 0.0621296222 -0.2710386503 -0.0921036586 0.0310887472 -0.0908959184 0.0281020188 -0.1833033898 0.0191101333 -0.2412433692 -0.0378798941 0.0738687214 0.0051314241 0.0884458591 0.0806197762 0.0831260595 0.0619862663 0.0426590882 -0.0406010395 -0.1061
2/1/18 -0.1743100235 -0.0929260075 0.1322331152 -0.0859944839 -0.2028591435 -0.0141510489 0.1153226872 -0.0767302521 -0.0494870683 0.2047213308 -0.2410103139 -0.1260834912 -0.0373694301 0.1048220754 -0.1591188679 -0.0189692209 0.2333053558 -0.0015423326 -0.0114841113 0.0477922064 -0.113140266 0.161957652 -0.1335170693 0.1951481962 -0.0346195531
3/1/18 0.1021519419 0.0036587465 0.0100207618 0.0034109294 0.1132418543 -0.0232888653 0.0670236823 0.0260727273 0.0386803566 -0.0580966415 -0.0660967552 -0.0109561019 0.0149290323 -0.0673732669 0.2116851541 -0.0191062611 -0.0906538892 0.0235824159 -0.0265109112 -0.0747615289 -0.09857037 -0.1912740755 -0.0060460411 -0.0150721351 0.0566034682
4/1/18 -0.0191216824 0.0023172006 0.0567339637 0.088829447 0.1300320813 0.0232519293 -0.119543443 0.1313433628 0.0218058116 0.09732044 -0.0424094637 0.2021633173 -0.0331460317 -0.032988498 -0.0545177829 -0.0841490125 0.0434120993 -0.0291817759 0.0592920533 0.0989303934 -0.0099863159 -0.0400472855 0.0406853629 0.0848385321 -0.0587770492
5/1/18 -0.0735648467 -0.0062599406 0.1221917267 0.0098112108 0.1728465938 0.0554863906 0.2511010874 0.2720375 0.0043859633 -0.0380056546 0.2749157895 0.0884264082 0.0204579235 0.1861002272 0.1522585366 0.0010466645 0.1434367583 0.0289523093 0.0288648184 -0.0187410142 0.0376687486 0.0884611144 0.0434873517 0.1754018018 0.2739623188
6/1/18 0.0430444569 0.0186001318 0.0707856576 0.0182539847 -0.0257204485 0.0005973126 -0.0908252648 -0.3142834356 -0.0148226494 0.0325651126 0.2099402062 -0.0075754529 0.0788139037 0.0039038917 0.1191073996 -0.0078974581 0.257101347 0.000611884 0.013462799 -0.0587529947 0.0331879288 -0.0575352465 0.0272628284 0.0741980861 -0.0764
7/1/18 -0.0441532029 0.071024099 0.0704089054 0.09195941 0.0108639082 0.0741529906 0.0050743327 -0.1980285714 0.0707389589 -0.0624694046 0.1941446809 0.0103979999 -0.0115009901 0.0029998906 -0.0317886792 -0.0059601776 -0.2718083247 0.1514187658 0.0307894122 0.1419257861 0.031769353 0.0467452427 -0.016346889 -0.1132548488 -0.0703960688
8/1/18 -0.1682665734 -0.045777598 -0.0816403185 0.0396933754 0.0168660256 0.0573176638 -0.0067146239 0.1872888889 -0.0109282982 0.0261776727 0.0517807829 -0.0499735478 -0.0166 0.0589198441 0.091785214 0.0129847691 0.1022593943 0.0857133809 0.0726285209 -0.1011907406 0.0191716271 -0.1868868535 -0.0180395673 0.0224361554 0.0960253298
9/1/18 -0.1015001008 0.0348472413 -0.0512945947 0.0327615733 0.0834888798 0.0205790208 -0.140304265 0.1293411215 -0.0382230527 0.0039053855 -0.4170405405 0.0272967695 -0.0268807107 -0.0026490473 -0.092247331 0.0498463513 -0.1925176521 0.0172600096 0.0218206329 0.1555417564 -0.0961542215 0.0271009768 0.0699349388 0.0361527121 -0.0375576923
10/1/18 -0.0426407988 0.0435052081 -0.0042058196 0.042817319 -0.1861783792 -0.0680012906 -0.1679402167 -0.1093380165 -0.0089702901 0.0052683715 -0.0250213873 -0.1773744423 -0.0383583333 -0.0515502233 0.0431097847 -0.0882609357 0.2191119895 -0.041760724 -0.0834508022 0.0156202124 0.0108472744 -0.1314931616 -0.0647089926 0.0400416608 -0.0941693267
11/1/18 0.0445318676 0.0508316262 -0.0038412962 0.0760426783 -0.1229163991 0.0363988509 0.0204693525 -0.2703185185 0.0154239832 -0.0284902961 0.1047088757 0.0459112626 -0.0558540541 0.0355225641 -0.0991782772 0.0316010053 -0.096764 0.129061826 0.0262013221 -0.0945152642 0.0179256285 -0.1325954132 -0.0040589731 0.07825418 -0.0072945055
12/1/18 0.1936723811 -0.0549869706 -0.1316487122 -0.0388295585 -0.1401861358 -0.0819903848 -0.1790265774 -0.2424063291 -0.0238124873 0.0620853888 -0.1970871658 -0.1284118505 -0.2933285714 -0.1555957198 -0.2944311203 -0.0883277097 -0.0880685505 -0.1360261055 -0.0691719116 -0.039126251 -0.1461000642 -0.2095700638 -0.1354690199 -0.2619502203 0.0837353591
1/1/19 0.0349368873 0.0143731296 -0.1084730246 -0.0211845879 0.0990156894 0.0260579465 0.2024383234 0.4645666667 0.0933506502 0.088965366 0.2204913621 0.098591748 0.1027387097 0.0663658966 0.2794249267 0.0511585664 0.1656105428 0.04017868 0.0211679395 -0.0589613455 0.0593147062 0.2336456205 0.0725443639 0.1716408036 0.1378491094
2/1/19 -0.0107286116 -0.0597678655 -0.0592145522 0.0903671864 0.0494983864 0.0709760538 0.0677970678 0.2936545455 -0.0314935395 -0.0427449427 -0.3088652174 -0.011233803 0.3047693431 -0.0257339141 -0.0338366133 0.0506219023 -0.0846367079 0.004387705 0.0953040282 0.0014154404 0.0274837466 -0.007567533 0.0766661246 0.0854709257 0.1633785714
3/1/19 0.0311330821 0.0316244426 -0.0325575237 0.0212270169 0.0076818798 0.0553496838 0.009107852 -0.151022807 -0.0157203123 -0.062655392 0.0216294118 -0.0011443341 0.3388821229 -0.0482664171 0.1068470449 0.005811996 0.0663261186 -0.093347434 0.054423321 0.0445744935 -0.0333691901 -0.1302681108 0.0318473551 -0.064427719 0.0191727969
4/1/19 -0.0776813443 0.0539879417 -0.0068286625 -0.049303034 0.0176487663 0.1052428688 0.0155626897 0.0288278351 0.0383932314 -0.0790230357 -0.0863911877 -0.1019942423 0.0354 -0.0251195047 -0.159882516 -0.014855045 0.211707749 0.1117130122 0.050656184 -0.0235395495 -0.0002374197 -0.2016893873 -0.0085356796 0.0901422466 0.0598136961
5/1/19 0.0262016955 -0.000673192 -0.1282683047 0.0042524075 -0.230386422 -0.0550863135 -0.2267790246 -0.1621 -0.1289583271 -0.0456605105 -0.2531460251 -0.1568215023 0.0260124498 -0.0252213348 -0.0932392405 0.0014271875 -0.0890456527 -0.1282534872 -0.0209529176 -0.026356592 -0.0855538735 -0.2444079274 -0.1205603474 -0.0146595929 0.1092074205
6/1/19 0.184744383 0.034633978 0.0414669107 0.0567785331 0.082415107 0.0853270377 0.1815792952 -0.0375142857 0.0345225184 0.0012934243 0.3613284916 0.0084470414 -0.12289375 0.0928744912 -0.1215771588 0.0940142037 -0.0440611702 0.1256951802 0.0755999176 0.0759865939 0.074996173 0.2975743797 0.0934149586 0.110042154 -0.0272372019
7/1/19 0.0341825532 0.0397506031 0.0762800393 -0.0055461434 -0.0117522394 0.0153439764 0.1613547033 -0.2117765432 0.0730290835 0.0779403371 -0.1371459016 0.0360893665 -0.0196777778 0.0635889777 -0.3056974684 0.0142145486 0.2104208761 0.0479001239 0.0237409761 -0.0353821471 0.0211345183 -0.0201887265 -0.031522871 -0.0918408284 0.0388830343
8/1/19 0.234718388 0.0441913802 -0.3522379234 0.0403326589 -0.1600932118 0.0100679133 0.0068651595 -0.048475 -0.1324899519 -0.0757146922 -0.1295620853 -0.1550268304 -0.0196995475 0.0039295135 -0.2834181818 0.0495888145 0.0064359488 -0.0842896493 0.0142428056 -0.1547947909 -0.039608508 -0.2650729683 -0.0806747954 -0.1949246207 -0.106615674
9/1/19 -0.0762466793 -0.0127011632 0.051045502 -0.0282831671 0.0385563083 0.010044972 -0.0552570797 -0.0181934426 0.0584408816 0.0183612903 0.1340695652 0.0209691276 0.2101815668 -0.0544649211 0.2197189873 0.0713707744 -0.0357976772 0.0468301281 -0.0491499317 0.0436545853 0.0934943618 0.0460460635 0.0421247433 0.0696669494 0.0174644483
10/1/19 0.052847707 0.0056263155 -0.0048353832 0.0348024341 -0.0618097726 0.0297163154 0.1081849759 0.2318333333 0.0482442418 -0.2801561265 -0.3220741627 -0.0746670732 0.0061045627 0.0532997111 0.0606761658 0.0156775946 -0.2740728575 0.0259854868 0.0383232066 0.019369605 0.0220924852 -0.0049633215 -0.0445534365 0.0341067685 0.058637457
11/1/19 -0.1084164383 -0.0201234262 0.0093540771 0.004800363 0.0092075886 0.0546694877 -0.0020412408 0.0663675676 0.0377755268 -0.0422958904 0.1185183099 -0.0488544154 0.4704981132 -0.0459188765 -0.113395122 -0.0166416101 0.0301647324 0.0203764761 0.0303889297 0.0005035351 0.0536131118 0.1386785027 0.0070877115 -0.0864300726 0.0085244733
12/1/19 0.0932881121 0.0428592885 0.1082606535 0.0418436664 0.169234086 0.0438941107 0.130572243 -0.0900075949 0.0082463765 0.0586 -0.0768716981 0.0670470086 -0.1911435897 -0.0009541048 0.3282703297 0.0440789015 0.0354812358 -0.0521543841 0.0186788402 0.1210489406 -0.0040646339 -0.1285730242 0.0351704367 0.1420622098 -0.0190565008
1/1/20 0.0683203662 0.053803894 -0.0399180804 -0.055441039 -0.1640393386 0.0781545646 -0.01413003 -0.0985222222 0.0620590858 0.0445221024 -0.0149054422 -0.0175337859 0.2233835443 -0.0354395873 -0.3525396694 -0.038659212 0.0121165683 -0.1521683574 0.0576141867 -0.0892019877 -0.1288093205 -0.2063832725 -0.1110736566 -0.0670407407 -0.0176398693
2/1/20 -0.0110619118 -0.0852753394 -0.1717328786 -0.1051325983 -0.2729677856 -0.049487527 -0.0111830288 -0.6165846154 -0.0934132351 -0.0037773196 0.0332827586 -0.1769301361 0.1202470284 -0.3691202151 -0.0967414013 -0.052464898 0.0209675185 -0.1778043111 -0.0876953839 -0.1640303603 -0.1309400887 -0.1169662057 -0.1731253335 -0.2980285431 0.1134179402
3/1/20 -0.2083713875 -0.1739425181 -0.6300738491 0.0037635773 -0.6019809941 -0.0250826443 -0.2009716857 -0.3212 -0.4289651704 -0.2001664083 -0.1078666667 -0.647504216 -0.1855317972 -0.5656509519 0.1889408451 -0.1735452788 -0.2614410163 -0.4889415327 -0.1134724816 -0.1570043995 -0.2911336016 -0.2135827322 -0.252461325 -0.3521513742 0.0196643815
4/1/20 0.6608042179 0.0461570665 0.2429930509 0.0397118591 0.8601822851 0.1363262132 0.1386114565 1.0588235294 0.2851540577 0.1548387097 0.6567164179 0.4769456832 0.1807909605 0.2600242992 0.9112426036 0.0452829212 0.1677524905 -0.0624405408 0.1092353516 -0.0048251418 0.0121951544 0.2171158692 0.2238609286 0.1313789359 0.100729927
5/1/20 -0.0091771969 0.0171151194 0.0852242321 0.0172934648 -0.1275508996 0.022443302 0.0003176446 1.5141857143 -0.0145000177 0.1032519553 0.026927027 -0.2199795586 0.0070770335 -0.0413654746 -0.0682114551 0.0305160099 0.0797465481 -0.0521621704 0.0923350552 0.1829304251 -0.0889124148 0.0467750061 -0.0216192449 -0.160368714 0.2134278515
6/1/20 0.1021901329 -0.0429448157 0.0816610063 -0.0420970325 0.1459673096 0.1135523468 0.0752496139 0.5453545455 0.064834968 0.1138240506 0.4955140351 0.4130271822 0.9500187648 0.156284505 -0.1496016611 -0.0205147555 -0.0382013251 0.2342081229 -0.0090456745 0.0562524674 -0.0133164663 -0.1009759088 0.0024750928 0.1130428571 0.0425229508
7/1/20 0.2976838351 0.0668017428 -0.1192860465 0.0457789944 -0.1030410795 0.0072705616 -0.0284384899 0.4851941176 0.1687937859 0.0862636364 0.5101639296 -0.1394962635 -0.0610013398 -0.0621347395 -0.05088125 -0.0216018318 0.2217865652 -0.0934256835 -0.0144397434 0.128900968 -0.0524438502 -0.077662363 -0.0591339727 0.0799821355 0.0302983229
8/1/20 -0.0523945103 0.0483758239 0.1500650165 0.0625868971 -0.0383513872 0.099992688 -0.090990989 -0.2179217822 -0.0081972145 0.0250046025 -0.3709737864 -0.1906972107 0.6834278859 -0.0754968254 0.1439329218 0.0251785898 0.1147351585 0.14712757 0.1132929201 -0.0550828616 -0.0046340672 0.1755757591 -0.0509555153 -0.0675904943 -0.0784316378
9/1/20 -0.0068567874 -0.0033303972 -0.1823094692 -0.0273076943 -0.225478726 -0.065242397 0.0317611528 0.2340772152 -0.0313924183 -0.2021408163 0.1387888889 -0.2143856301 0.0330278891 -0.0687695279 -0.154776259 -0.0437094687 0.096499256 -0.0348222222 -0.0553748041 -0.0382818444 -0.0225949069 -0.0613632345 -0.123603735 0.1446502548 0.0065225166
10/1/20 -0.0964719036 -0.018754296 0.0893736842 -0.0868147306 -0.0318851034 -0.0374697506 0.0718761727 -0.1129205128 0.0260290704 -0.1382074169 -0.0461704607 -0.0871187921 0.0438970172 0.0014360983 0.1360702128 -0.0523623422 -0.0706617753 -0.025711482 -0.0914135605 0.0417326872 -0.0877222302 0.3159761117 -0.049910849 0.232313179 -0.014354386
11/1/20 -0.1011226667 0.0735578374 0.6440223833 0.0687738865 0.4948496185 0.0571924203 0.2730425507 0.3351601156 0.1282496777 0.1957456973 0.3180818182 0.7260773624 0.8848999286 0.7253601227 0.1646940075 0.0834914695 0.1244163655 0.3303783718 0.1575137484 0.3773834437 0.2749581159 0.4688442659 0.1688149567 0.1971543353 -0.0824136819
12/1/20 0.0322306552 0.07102398 0.1017609207 0.0174395507 0.1327911536 0.0416260692 0.1729379886 1.328904329 0.0561500176 -0.0298766749 -0.1488068966 0.0982502036 0.2848564716 0.0683444444 -0.0419006431 0.0002478563 0.1641658424 -0.0400555836 0.0413050439 0.1509989011 0.108439976 0.1829415406 0.1070201233 0.0361100181 0.1962636364
Average 0.0240490793 0.0069652108 -0.0072824902 0.0072176626 0.0002876432 0.0266030592 0.0198350365 0.059149267 0.009227051 -0.0030074298 0.0028670433 -0.0043400511 0.0562305985 0.0037987149 -0.0100367984 0.0035218559 0.013831309 0.0001167831 0.0185215005 0.025143597 -0.002502649 0.016121044 -0.0047310133 -0.0029621402 0.022257135
Stat Dev 0.1839949834 0.0435186007 0.1530739521 0.0500350701 0.1955990748 0.0591784599 0.1206118235 0.3488354414 0.0813458361 0.0937342126 0.1985933441 0.1606594865 0.2306401066 0.1374945514 0.2111544653 0.0529900424 0.136210431 0.1159101041 0.0535470766 0.1508684423 0.0772859244 0.2179972026 0.0723913163 0.1220783606 0.0924158095
BETA MKT 0.7499243318 0.5423422245 1.9132311819 0.4958386016 3.1326586417 0.8291515102 1.461940847 3.1577015934 1.115342925 0.759617144 2.0754647727 2.1351785539 2.0560378847 1.9423245816 1.4624719352 0.6203753229 0.9841392939 1.4271511607 0.9166701952 1.19758723 1.1482805961 2.4420278569 1.1923977831 0.9971639088 0.1918210177

KGC

KGC
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 2.76 3.71 2.73 3.39 3.364108 286062700 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 3.37 3.47 2.64 2.84 2.818308 174281100 2/1/15 -0.1622421159 0.8377578841 -0.1622421159 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 2.85 3.05 2.2 2.24 2.222891 253812000 3/1/15 -0.2112675407 0.7887324593 -0.2112675407 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.3122346762
4/1/15 2.27 2.47 2.19 2.43 2.41144 226310600 4/1/15 0.084821523 1.084821523 0.084821523 0.0059 -0.0304 0.0188 -0.0732 R Square 0.097490493
5/1/15 2.39 2.62 2.24 2.35 2.332051 141326800 5/1/15 -0.0329218226 0.9670781774 -0.0329218226 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.0436093284
6/1/15 2.38 2.59 2.2 2.32 2.30228 183655000 6/1/15 -0.0127660158 0.9872339842 -0.0127660158 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1812010549
7/1/15 2.3 2.36 1.6 1.82 1.806099 234368200 7/1/15 -0.2155172264 0.7844827736 -0.2155172264 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 1.83 2.19 1.62 1.79 1.776328 232652600 8/1/15 -0.0164835925 0.9835164075 -0.0164835925 -0.0604 0.0044 0.0273 -0.0209
9/1/15 1.81 1.87 1.35 1.72 1.706863 236594700 9/1/15 -0.0391059534 0.9608940466 -0.0391059534 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 1.75 2.4 1.68 2.01 1.994648 260852300 10/1/15 0.1686046273 1.1686046273 0.1686046273 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 2 2.1 1.71 1.92 1.905335 160524400 11/1/15 -0.0447763214 0.9552236786 -0.0447763214 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.2376329872 0.0594082468 1.8093612816 0.1372930936
12/1/15 1.93 2.14 1.75 1.82 1.806099 178802500 12/1/15 -0.0520832295 0.9478167705 -0.0521832295 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 2.1998660944 0.0328338223
1/1/16 1.85 2.02 1.31 1.64 1.627474 211940200 1/1/16 -0.0989010016 0.9009989984 -0.0990010016 -0.0576 -0.0336 0.0201 0.0134 Total 71 2.4374990816
2/1/16 1.67 3.36 1.62 2.94 2.917545 399547600 2/1/16 0.7926830167 1.7924830167 0.7924830167 -0.0006 0.0083 -0.006 -0.0406
3/1/16 2.98 3.58 2.68 3.4 3.374032 386924400 3/1/16 0.1564627109 1.1562627109 0.1562627109 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 3.26 5.7 3.21 5.7 5.656464 344021800 4/1/16 0.6764701698 1.6763701698 0.6763701698 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0135982682 0.0230150825 0.5908416037 0.5566145088 -0.0323400286 0.0595365651 -0.0323400286 0.0595365651
5/1/16 5.79 5.82 4.2 4.26 4.227463 362414200 5/1/16 -0.2526315026 0.7472684974 -0.2527315026 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.4613220373 0.5498971732 0.838924184 0.4044951194 -0.6362773142 1.5589213889 -0.6362773142 1.5589213889
6/1/16 4.32 5.49 4.17 4.89 4.852651 362500000 6/1/16 0.147887279 1.147687279 0.147687279 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.8649729042 0.9346504086 -0.9254507313 0.3580529367 -2.7305429279 1.0005971195 -2.7305429279 1.0005971195
7/1/16 5.07 5.81 4.68 5.17 5.130513 276397900 7/1/16 0.0572598359 1.0570598359 0.0570598359 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -1.1305263622 0.8365660612 -1.3513892263 0.181116241 -2.800319209 0.5392664846 -2.800319209 0.5392664846
8/1/16 5.17 5.56 3.96 3.99 3.959525 392184900 8/1/16 -0.228239944 0.771560056 -0.228439944 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -1.478264542 0.7126301171 -2.0743784279 0.0418894403 -2.9006802091 -0.0558488749 -2.9006802091 -0.0558488749
9/1/16 3.98 4.62 3.93 4.21 4.177845 364629300 9/1/16 0.0551379269 1.0549379269 0.0549379269 0.0027 0.0204 -0.0121 -0.0053
10/1/16 4.18 4.24 3.42 3.86 3.830518 336490300 10/1/16 -0.0831354442 0.9166645558 -0.0833354442 -0.02 -0.0443 0.0407 0.0069
11/1/16 3.98 4.27 3.1 3.29 3.264871 322097300 11/1/16 -0.1476685399 0.8522314601 -0.1477685399 0.0487 0.0547 0.0822 -0.0407
12/1/16 3.28 3.57 2.88 3.11 3.086246 324366600 12/1/16 -0.0547111969 0.9449888031 -0.0550111969 0.0184 0.0011 0.0351 -0.0038
1/1/17 3.15 3.91 3.13 3.9 3.870213 255796000 1/1/17 0.2540196083 1.2536196083 0.2536196083 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 3.76 4.23 3.49 3.54 3.512962 231511100 2/1/17 -0.0923078394 0.9072921606 -0.0927078394 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 3.42 3.58 3.15 3.51 3.483191 250789400 3/1/17 -0.0084746149 0.9912253851 -0.0087746149 0.002 0.0117 -0.0333 -0.0092
4/1/17 3.5 3.9 3.35 3.49 3.463344 243340100 4/1/17 -0.0056979362 0.9938020638 -0.0061979362 0.0114 0.0072 -0.0211 0.0044
5/1/17 3.46 4.38 3.35 4.31 4.277081 291472100 5/1/17 0.2349570242 1.2343570242 0.2343570242 0.0112 -0.0261 -0.0367 0.0146
6/1/17 4.29 4.66 3.92 4.07 4.038914 260033600 6/1/17 -0.0556844727 0.9437155273 -0.0562844727 0.0084 0.0215 0.0145 -0.0032
7/1/17 3.97 4.35 3.73 4.12 4.088532 196713900 7/1/17 0.0122849855 1.0115849855 0.0115849855 0.0194 -0.0147 -0.0036 0.0166
8/1/17 4.12 4.57 4.06 4.56 4.525171 270369900 8/1/17 0.1067960334 1.1058960334 0.1058960334 0.0025 -0.0162 -0.0219 0.0355
9/1/17 4.65 4.91 4.11 4.24 4.207615 205118900 9/1/17 -0.0701754696 0.9289245304 -0.0710754696 0.026 0.0447 0.0314 -0.0118
10/1/17 4.23 4.52 3.82 3.95 3.919831 158719500 10/1/17 -0.0683959916 0.9307040084 -0.0692959916 0.0234 -0.0195 0.0012 0.043
11/1/17 3.98 4.49 3.91 4.16 4.128226 195848800 11/1/17 0.0531642818 1.0523642818 0.0523642818 0.032 -0.0058 -0.0009 -0.0071
12/1/17 4.17 4.37 3.78 4.32 4.287004 157957900 12/1/17 0.0384615571 1.0375615571 0.0375615571 0.0115 -0.0129 0.0017 -0.0163
1/1/18 4.35 4.78 4.06 4.33 4.296928 241422500 1/1/18 0.0023149034 1.0012149034 0.0012149034 0.0569 -0.0309 -0.0132 0.0394
2/1/18 4.32 4.4 3.48 3.58 3.552657 217654900 2/1/18 -0.1732100235 0.8256899765 -0.1743100235 -0.0354 0.003 -0.0101 0.0397
3/1/18 3.54 4.02 3.5 3.95 3.919831 210808800 3/1/18 0.1033519419 1.1021519419 0.1021519419 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 3.99 4.04 3.57 3.88 3.850365 201441900 4/1/18 -0.0177216824 0.9808783176 -0.0191216824 0.0043 0.0113 0.005 0.0027
5/1/18 3.87 4.12 3.5 3.6 3.572504 178285200 5/1/18 -0.0721648467 0.9264351533 -0.0735648467 0.0279 0.0528 -0.0315 0.038
6/1/18 3.58 3.8 3.53 3.76 3.731282 127911900 6/1/18 0.0444444569 1.0430444569 0.0430444569 0.0062 0.0119 -0.0231 -0.0238
7/1/18 3.71 3.98 3.57 3.6 3.572504 116831100 7/1/18 -0.0425532029 0.9558467971 -0.0441532029 0.0335 -0.0221 0.0057 -0.0167
8/1/18 3.57 3.62 2.78 3 2.977087 187401800 8/1/18 -0.1666665734 0.8317334266 -0.1682665734 0.036 0.0115 -0.0392 0.0522
9/1/18 2.97 3.09 2.67 2.7 2.679378 208824000 9/1/18 -0.1000001008 0.8984998992 -0.1015001008 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 2.7 3.02 2.57 2.59 2.570218 328786900 10/1/18 -0.0407407988 0.9573592012 -0.0426407988 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 2.66 2.84 2.38 2.71 2.689301 302090900 11/1/18 0.0463318676 1.0445318676 0.0445318676 0.0187 -0.0071 0.0034 -0.0133
12/1/18 2.79 3.37 2.74 3.24 3.215254 498010400 12/1/18 0.1955723811 1.1936723811 0.1936723811 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 3.25 3.43 3.08 3.36 3.334337 244165400 1/1/19 0.0370368873 1.0349368873 0.0349368873 0.0862 0.0289 -0.0046 -0.0865
2/1/19 3.35 3.83 3.16 3.33 3.304566 274766700 2/1/19 -0.0089286116 0.9892713884 -0.0107286116 0.0358 0.0212 -0.0271 0.0086
3/1/19 3.28 3.64 3.12 3.44 3.413726 229377100 3/1/19 0.0330330821 1.0311330821 0.0311330821 0.0129 -0.0305 -0.0419 0.0214
4/1/19 3.46 3.62 3.1 3.18 3.155712 178739500 4/1/19 -0.0755813443 0.9223186557 -0.0776813443 0.0417 -0.0175 0.0202 -0.0255
5/1/19 3.18 3.31 3 3.27 3.245024 172788000 5/1/19 0.0283016955 1.0262016955 0.0262016955 -0.0673 -0.0118 -0.0228 0.076
6/1/19 3.33 4.01 3.32 3.88 3.850365 267693000 6/1/19 0.186544383 1.184744383 0.184744383 0.0711 0.0022 -0.0079 -0.0214
7/1/19 3.74 4.38 3.64 4.02 3.989296 256672500 7/1/19 0.0360825532 1.0341825532 0.0341825532 0.0138 -0.0208 0.0034 0.0272
8/1/19 3.99 5.24 3.94 4.97 4.93204 387058500 8/1/19 0.236318388 1.234718388 0.234718388 -0.0242 -0.024 -0.0485 0.0764
9/1/19 5.09 5.47 4.55 4.6 4.564866 353521100 9/1/19 -0.0744466793 0.9237533207 -0.0762466793 0.0161 -0.0105 0.0677 -0.0685
10/1/19 4.57 5 4.46 4.85 4.812956 260856000 10/1/19 0.054347707 1.052847707 0.052847707 0.0221 0.0024 -0.0188 0.0029
11/1/19 4.82 4.87 4.07 4.33 4.296928 262164100 11/1/19 -0.1072164383 0.8915835617 -0.1084164383 0.0399 0.0091 -0.0205 -0.026
12/1/19 4.3 4.82 4.17 4.74 4.703796 225271200 12/1/19 0.0946881121 1.0932881121 0.0932881121 0.0291 0.0067 0.0191 -0.0227
1/1/20 4.81 5.15 4.3 5.07 5.031276 253276700 1/1/20 0.0696203662 1.0683203662 0.0683203662 0.0002 -0.0308 -0.0627 0.0543
2/1/20 5.02 6.27 4.74 5.02 4.981658 381343600 2/1/20 -0.0098619118 0.9889380882 -0.0110619118 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 5.21 5.79 2.72 3.98 3.949601 644293300 3/1/20 -0.2071713875 0.7916286125 -0.2083713875 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 4.06 7.25 4 6.61 6.559514 452163600 4/1/20 0.6608042179 1.6608042179 0.6608042179 0.1365 0.0275 -0.0139 -0.0549
5/1/20 6.5 7.67 6.34 6.55 6.499972 371833100 5/1/20 -0.0090771969 0.9908228031 -0.0091771969 0.0559 0.0249 -0.0505 0.0067
6/1/20 6.59 7.33 5.88 7.22 7.164855 414699100 6/1/20 0.1022901329 1.1021901329 0.1021901329 0.0247 0.0271 -0.0235 -0.0075
7/1/20 7.21 9.38 7 9.37 9.298433 365980400 7/1/20 0.2977838351 1.2976838351 0.2976838351 0.0578 -0.0218 -0.0139 0.0761
8/1/20 9.39 10.21 8.31 8.88 8.812176 363614200 8/1/20 -0.0522945103 0.9476054897 -0.0523945103 0.0764 -0.0025 -0.0294 0.0051
9/1/20 9.07 10.32 8.05 8.82 8.752634 335217100 9/1/20 -0.0067567874 0.9931432126 -0.0068567874 -0.0362 0.0006 -0.0251 0.0305
10/1/20 8.97 9.42 7.71 7.97 7.909126 240267300 10/1/20 -0.0963719036 0.9035280964 -0.0964719036 -0.0209 0.0444 0.0403 -0.0303
11/1/20 8.13 8.97 6.88 7.14 7.110125 257672700 11/1/20 -0.1010226667 0.8988773333 -0.1011226667 0.1248 0.0548 0.0211 -0.1225
12/1/20 7.37 7.84 6.85 7.34 7.34 460940800 12/1/20 0.0323306552 1.0322306552 0.0322306552 0.0464 0.0491 -0.0146 -0.0234

KO

KO
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 42.259998 43.830002 41.110001 41.169998 33.821003 293092200 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 41.209999 43.66 40.900002 43.299999 35.570801 291647700 2/1/15 0.0517370227 1.0517370227 0.0517370227 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 43.299999 43.299999 39.610001 40.549999 33.311687 370738500 3/1/15 -0.0635103494 0.9364896506 -0.0635103494 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.7106922568
4/1/15 40.790001 41.610001 40.099998 40.560001 33.596382 284020300 4/1/15 0.0085463999 1.0085463999 0.0085463999 0.0059 -0.0304 0.0188 -0.0732 R Square 0.5050834839
5/1/15 40.580002 41.689999 40.389999 40.959999 33.927696 230592600 5/1/15 0.0098615976 1.0098615976 0.0098615976 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.4755362292
6/1/15 41.360001 41.41 39.119999 39.23 32.49472 288290300 6/1/15 -0.0422361719 0.9577638281 -0.0422361719 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0317372829
7/1/15 39.380001 41.599998 39.220001 41.080002 34.307819 268100000 7/1/15 0.0557967264 1.0557967264 0.0557967264 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 40.849998 42.25 36.560001 39.32 32.837963 342886000 8/1/15 -0.0428431781 0.9571568219 -0.0428431781 -0.0604 0.0044 0.0273 -0.0209
9/1/15 38.669998 40.23 37.84 40.119999 33.506077 347283900 9/1/15 0.0203457809 1.0203457809 0.0203457809 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 40.220001 43.849998 39.360001 42.349998 35.674881 366307300 10/1/15 0.0647286759 1.0647286759 0.0647286759 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 42.32 43.599998 41.34 42.619999 35.902317 252129100 11/1/15 0.006375242 1.006375242 0.006375242 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.0688724464 0.0172181116 17.0940917927 0.000000001
12/1/15 42.73 43.91 41.970001 42.959999 36.46627 286672000 12/1/15 0.0157079834 1.0156079834 0.0156079834 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.0674860935 0.0010072551
1/1/16 42.34 43.259998 40.75 42.919998 36.432312 317920800 1/1/16 -0.0009312167 0.9989687833 -0.0010312167 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.1363585398
2/1/16 42.599998 44.18 41.900002 43.130001 36.610565 304133400 2/1/16 0.0048927172 1.0046927172 0.0046927172 -0.0006 0.0083 -0.006 -0.0406
3/1/16 43.380001 46.880001 43.169998 46.389999 39.377789 347238100 3/1/16 0.0755853945 1.0753853945 0.0753853945 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 46.139999 47.130001 42.869999 44.799999 38.324696 317337800 4/1/16 -0.0267433248 0.9731566752 -0.0268433248 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0014024649 0.0040310813 0.34791282 0.728996362 -0.0066436071 0.0094485368 -0.0066436071 0.0094485368
5/1/16 44.57 45.900002 43.939999 44.599998 38.153603 230295800 5/1/16 -0.0044643016 0.9954356984 -0.0045643016 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.706644278 0.0963142415 7.3368617896 0.0000000004 0.5144002474 0.8988883085 0.5144002474 0.8988883085
6/1/16 44.599998 46.009998 43.32 45.330002 38.778095 265492600 6/1/16 0.0163678382 1.0161678382 0.0161678382 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.7398501674 0.1637035968 -4.5194496743 0.0000258808 -1.0666039142 -0.4130964205 -1.0666039142 -0.4130964205
7/1/16 45.330002 45.939999 43.099998 43.630001 37.610035 235959400 7/1/16 -0.0301216447 0.9696783553 -0.0303216447 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.3071344237 0.1465241677 2.0961349147 0.0398503527 0.014670961 0.5995978865 0.014670961 0.5995978865
8/1/16 43.689999 44.330002 43.080002 43.43 37.437634 235118300 8/1/16 -0.0045839096 0.9952160904 -0.0047839096 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.1186081942 0.1248168431 0.9502579239 0.3453965269 -0.1305272673 0.3677436557 -0.1305272673 0.3677436557
9/1/16 43.209999 43.830002 41.849998 42.32 36.480793 251007200 9/1/16 -0.0255582658 0.9742417342 -0.0257582658 0.0027 0.0204 -0.0121 -0.0053
10/1/16 42.310001 43.029999 41.400002 42.400002 36.848354 264839100 10/1/16 0.0100754663 1.0098754663 0.0098754663 -0.02 -0.0443 0.0407 0.0069
11/1/16 42.400002 42.98 40.349998 40.349998 35.066776 316557000 11/1/16 -0.0483489168 0.9515510832 -0.0484489168 0.0487 0.0547 0.0822 -0.0407
12/1/16 40.310001 42.220001 39.880001 41.459999 36.33604 283871000 12/1/16 0.0361956286 1.0358956286 0.0358956286 0.0184 0.0011 0.0351 -0.0038
1/1/17 41.5 42.25 40.689999 41.57 36.432453 240343500 1/1/17 0.0026533711 1.0022533711 0.0022533711 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 41.52 42.150002 40.220001 41.959999 36.774254 333983800 2/1/17 0.0093817729 1.0089817729 0.0089817729 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 42.009998 42.700001 41.740002 42.439999 37.194927 339185400 3/1/17 0.0114393347 1.0111393347 0.0111393347 0.002 0.0117 -0.0333 -0.0092
4/1/17 42.580002 43.790001 42.27 43.150002 38.150974 232465400 4/1/17 0.0257036934 1.0252036934 0.0252036934 0.0114 0.0072 -0.0211 0.0044
5/1/17 43.150002 45.700001 43.099998 45.470001 40.20219 250453800 5/1/17 0.0537657571 1.0531657571 0.0531657571 0.0112 -0.0261 -0.0367 0.0146
6/1/17 45.450001 46.060001 44.650002 44.849998 39.654022 241609300 6/1/17 -0.0136352771 0.9857647229 -0.0142352771 0.0084 0.0215 0.0145 -0.0032
7/1/17 45.110001 46.43 44.150002 45.84 40.862865 195369200 7/1/17 0.0304847513 1.0297847513 0.0297847513 0.0194 -0.0147 -0.0036 0.0166
8/1/17 45.970001 46.34 45.25 45.549999 40.604355 208673800 8/1/17 -0.0063262818 0.9927737182 -0.0072262818 0.0025 -0.0162 -0.0219 0.0355
9/1/17 45.639999 46.98 44.380001 45.009998 40.122982 197449400 9/1/17 -0.0118552062 0.9872447938 -0.0127552062 0.026 0.0447 0.0314 -0.0118
10/1/17 45.049999 46.790001 44.75 45.98 41.313805 192361800 10/1/17 0.0296793244 1.0287793244 0.0287793244 0.0234 -0.0195 0.0012 0.043
11/1/17 45.75 47.48 45.029999 45.77 41.125118 217681900 11/1/17 -0.0045671659 0.9946328341 -0.0053671659 0.032 -0.0058 -0.0009 -0.0071
12/1/17 45.799999 46.48 44.919998 45.880001 41.561928 207945400 12/1/17 0.0106214893 1.0097214893 0.0097214893 0.0115 -0.0129 0.0017 -0.0163
1/1/18 45.91 48.619999 45.34 47.59 43.110989 256417300 1/1/18 0.0372711535 1.0361711535 0.0361711535 0.0569 -0.0309 -0.0132 0.0394
2/1/18 47.41 47.73 42.189999 43.220001 39.152279 292809500 2/1/18 -0.0918260075 0.9070739925 -0.0929260075 -0.0354 0.003 -0.0101 0.0397
3/1/18 43.099998 45.09 42.25 43.43 39.34251 278776900 3/1/18 0.0048587465 1.0036587465 0.0036587465 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 43.439999 45.029999 41.91 43.209999 39.488754 256838800 4/1/18 0.0037172006 1.0023172006 0.0023172006 0.0043 0.0113 0.005 0.0027
5/1/18 42.959999 43.279999 41.450001 43 39.296841 252954800 5/1/18 -0.0048599406 0.9937400594 -0.0062599406 0.0279 0.0528 -0.0315 0.038
6/1/18 43.099998 44.52 42.959999 43.860001 40.082783 259306900 6/1/18 0.0200001318 1.0186001318 0.0186001318 0.0062 0.0119 -0.0231 -0.0238
7/1/18 43.779999 46.669998 43.580002 46.630001 42.993759 207676200 7/1/18 0.072624099 1.071024099 0.071024099 0.0335 -0.0221 0.0057 -0.0167
8/1/18 46.450001 46.869999 44.389999 44.57 41.094398 231152100 8/1/18 -0.044177598 0.954222402 -0.045777598 0.036 0.0115 -0.0392 0.0522
9/1/18 44.599998 46.689999 44.509998 46.189999 42.588066 193542300 9/1/18 0.0363472413 1.0348472413 0.0348472413 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 46.169998 48.080002 44.25 47.880001 44.521786 326355300 10/1/18 0.0454052081 1.0435052081 0.0435052081 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 47.810001 50.84 47.299999 50.400002 46.86504 279957400 11/1/18 0.0526316262 1.0508316262 0.0508316262 0.0187 -0.0071 0.0034 -0.0133
12/1/18 49.869999 50.509998 45.66 47.349998 44.377117 308108600 12/1/18 -0.0530869706 0.9450130294 -0.0549869706 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 46.939999 48.779999 46.34 48.130001 45.108147 290752700 1/1/19 0.0164731296 1.0143731296 0.0143731296 0.0862 0.0289 -0.0046 -0.0865
2/1/19 48.48 49.939999 44.419998 45.34 42.493324 388570200 2/1/19 -0.0579678655 0.9402321345 -0.0597678655 0.0358 0.0212 -0.0271 0.0086
3/1/19 45.470001 46.919998 44.610001 46.860001 43.917889 363961200 3/1/19 0.0335244426 1.0316244426 0.0316244426 0.0129 -0.0305 -0.0419 0.0214
4/1/19 46.990002 49.18 46.040001 49.060001 46.381153 238015200 4/1/19 0.0560879417 1.0539879417 0.0539879417 0.0417 -0.0175 0.0202 -0.0255
5/1/19 48.950001 49.900002 47.07 49.130001 46.44733 258269900 5/1/19 0.001426808 0.999326808 -0.000673192 -0.0673 -0.0118 -0.0228 0.076
6/1/19 49.16 52.200001 49.02 50.919998 48.139591 248586800 6/1/19 0.036433978 1.034633978 0.034633978 0.0711 0.0022 -0.0079 -0.0214
7/1/19 51.07 54.82 50.779999 52.630001 50.144634 257685900 7/1/19 0.0416506031 1.0397506031 0.0397506031 0.0138 -0.0208 0.0034 0.0272
8/1/19 52.779999 55.34 51.400002 55.040001 52.440826 271904100 8/1/19 0.0457913802 1.0441913802 0.0441913802 -0.0242 -0.024 -0.0485 0.0764
9/1/19 54.98 55.919998 53.630001 54.439999 51.86916 216515600 9/1/19 -0.0109011632 0.9872988368 -0.0127011632 0.0161 -0.0105 0.0677 -0.0685
10/1/19 54.529999 55.389999 52.82 54.43 52.238796 245853900 10/1/19 0.0071263155 1.0056263155 0.0056263155 0.0221 0.0024 -0.0188 0.0029
11/1/19 54.630001 54.740002 51.580002 53.400002 51.250259 226002600 11/1/19 -0.0189234262 0.9798765738 -0.0201234262 0.0399 0.0091 -0.0205 -0.026
12/1/19 53.32 55.450001 52.849998 55.349998 53.518559 230590700 12/1/19 0.0442592885 1.0428592885 0.0428592885 0.0291 0.0067 0.0191 -0.0227
1/1/20 55.32 59.080002 54.09 58.400002 56.46764 286856700 1/1/20 0.055103894 1.053803894 0.053803894 0.0002 -0.0308 -0.0627 0.0543
2/1/20 58.75 60.130001 51.580002 53.490002 51.720104 245603500 2/1/20 -0.0840753394 0.9147246606 -0.0852753394 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 53.93 59 36.27 44.25 42.785843 693439800 3/1/20 -0.1727425181 0.8260574819 -0.1739425181 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 42.48 49.73 41.799999 45.889999 44.760712 395217800 4/1/20 0.0461570665 1.0461570665 0.0461570665 0.1365 0.0275 -0.0139 -0.0549
5/1/20 45.619999 47.459999 43.200001 46.68 45.531273 382777000 5/1/20 0.0172151194 1.0171151194 0.0171151194 0.0559 0.0249 -0.0505 0.0067
6/1/20 46.66 49.970001 43.509998 44.68 43.580494 399229500 6/1/20 -0.0428448157 0.9570551843 -0.0429448157 0.0247 0.0271 -0.0235 -0.0075
7/1/20 44.93 49.279999 43.830002 47.240002 46.496105 369300300 7/1/20 0.0669017428 1.0668017428 0.0668017428 0.0578 -0.0218 -0.0139 0.0761
8/1/20 47.139999 50.07 46.220001 49.529999 48.750042 252190900 8/1/20 0.0484758239 1.0483758239 0.0483758239 0.0764 -0.0025 -0.0294 0.0051
9/1/20 49.310001 52.139999 47.560001 49.369999 48.59256 341640700 9/1/20 -0.0032303972 0.9966696028 -0.0033303972 -0.0362 0.0006 -0.0251 0.0305
10/1/20 49.439999 51.529999 47.299999 48.060001 47.6861 292194600 10/1/20 -0.018654296 0.981245704 -0.018754296 -0.0209 0.0444 0.0403 -0.0303
11/1/20 48.75 54.619999 48.240002 51.599998 51.198555 339327300 11/1/20 0.0736578374 1.0735578374 0.0735578374 0.1248 0.0548 0.0211 -0.1225
12/1/20 52.139999 54.93 51.639999 54.84 54.84 303488400 12/1/20 0.07112398 1.07102398 0.07102398 0.0464 0.0491 -0.0146 -0.0234

M

M
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 66.330002 68.300003 62.23 63.880001 47.754318 84315700 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 64 66.089996 61.099998 63.720001 47.634701 85040400 2/1/15 -0.0025048416 0.9974951584 -0.0025048416 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 63.400002 66.139999 61.849998 64.910004 48.524307 76135400 3/1/15 0.0186755869 1.0186755869 0.0186755869 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.680313291
4/1/15 64.519997 69.980003 64.300003 64.629997 48.555084 92184800 4/1/15 0.0006342594 1.0006342594 0.0006342594 0.0059 -0.0304 0.0188 -0.0732 R Square 0.4628261739
5/1/15 64.160004 69.220001 62.799999 66.949997 50.298042 123128000 5/1/15 0.0358965088 1.0358965088 0.0358965088 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.4307560948
6/1/15 67.029999 71.099998 66.5 67.470001 50.688694 101416300 6/1/15 0.0077667437 1.0077667437 0.0077667437 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1163021019
7/1/15 67.82 73.610001 65.529999 69.059998 52.155746 104372700 7/1/15 0.028942391 1.028942391 0.028942391 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 69.110001 70.120003 55.16 58.610001 44.263657 116348300 8/1/15 -0.1513177283 0.8486822717 -0.1513177283 -0.0604 0.0044 0.0273 -0.0209
9/1/15 57.610001 60.130001 49.720001 51.32 38.758083 103704300 9/1/15 -0.1243813632 0.8756186368 -0.1243813632 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 51.18 52.200001 47.099998 50.98 38.74015 104276900 10/1/15 -0.0004626906 0.9995373094 -0.0004626906 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 51.02 52.48 37.75 39.080002 29.697237 221374800 11/1/15 -0.2334248319 0.7665751681 -0.2334248319 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.7808237201 0.19520593 14.4317128593 0.000000015
12/1/15 39.380001 39.939999 34.049999 34.98 26.581612 178796900 12/1/15 -0.1049129587 0.8949870413 -0.1050129587 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.9062539865 0.0135261789
1/1/16 34.450001 41.799999 34.330002 40.41 31.00256 189262700 1/1/16 0.1663160233 1.1662160233 0.1662160233 -0.0576 -0.0336 0.0201 0.0134 Total 71 1.6870777066
2/1/16 40.220001 44 37.709999 43.209999 33.150707 115548400 2/1/16 0.0692893426 1.0690893426 0.0690893426 -0.0006 0.0083 -0.006 -0.0406
3/1/16 43.470001 45.5 42.41 44.09 33.825848 70241200 3/1/16 0.02036581 1.02016581 0.02016581 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 44.009998 44.07 39.060001 39.59 30.622869 80458400 4/1/16 -0.0946902795 0.9052097205 -0.0947902795 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0126600348 0.0147720027 -0.8570290116 0.3944839797 -0.0421450756 0.0168250059 -0.0421450756 0.0168250059
5/1/16 39.779999 40.150002 29.940001 33.209999 25.687937 198128300 5/1/16 -0.1611518503 0.8387481497 -0.1612518503 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.4009797098 0.3529460526 3.9693876708 0.0001782654 0.6964964402 2.1054629793 0.6964964402 2.1054629793
6/1/16 33.049999 34.650002 30.82 33.610001 25.997334 160848100 6/1/16 0.0120444472 1.0118444472 0.0118444472 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.8696634763 0.5998961049 1.4496901533 0.1518099378 -0.3277341607 2.0670611133 -0.3277341607 2.0670611133
7/1/16 33.619999 37.419998 32.540001 35.830002 28.033295 111650000 7/1/16 0.0783142225 1.0781142225 0.0781142225 0.0397 0.026 -0.0123 -0.0308 X Variable 3 1.3923570492 0.5369416383 2.5931254908 0.0116681422 0.3206170537 2.4640970448 0.3206170537 2.4640970448
8/1/16 35.919998 40.98 31.02 36.18 28.307138 214727800 8/1/16 0.0097684914 1.0095684914 0.0095684914 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.3312259914 0.4573945804 -0.7241581024 0.4714898035 -1.244189395 0.5817374122 -1.244189395 0.5817374122
9/1/16 36.32 37.369999 34.310001 37.049999 28.98782 131584600 9/1/16 0.0240463024 1.0238463024 0.0238463024 0.0027 0.0204 -0.0121 -0.0053
10/1/16 36.970001 38.48 34.799999 36.490002 28.85564 102435900 10/1/16 -0.0045598462 0.9952401538 -0.0047598462 -0.02 -0.0443 0.0407 0.0069
11/1/16 36.439999 45.41 36.419998 42.200001 33.371002 149312500 11/1/16 0.15648109 1.15638109 0.15638109 0.0487 0.0547 0.0822 -0.0407
12/1/16 42.009998 43.790001 35.610001 35.810001 28.317905 115719100 12/1/16 -0.1514217943 0.8482782057 -0.1517217943 0.0184 0.0011 0.0351 -0.0038
1/1/17 36.130001 36.400002 28.549999 29.540001 23.580002 182176300 1/1/17 -0.1673112118 0.8322887882 -0.1677112118 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 29.32 34.369999 29.120001 33.220001 26.517521 221926300 2/1/17 0.124576707 1.124176707 0.124176707 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 33.48 33.669998 27.719999 29.639999 23.659822 157640900 3/1/17 -0.1077664462 0.8919335538 -0.1080664462 0.002 0.0117 -0.0333 -0.0092
4/1/17 29.6 30.18 28.459999 29.219999 23.605778 87154100 4/1/17 -0.0022842099 0.9972157901 -0.0027842099 0.0114 0.0072 -0.0211 0.0044
5/1/17 29.23 29.83 22.43 23.5 18.984797 222645500 5/1/17 -0.1957563525 0.8036436475 -0.1963563525 0.0112 -0.0261 -0.0367 0.0146
6/1/17 23.469999 24.559999 21.51 23.24 18.774754 218434700 6/1/17 -0.0110637475 0.9883362525 -0.0116637475 0.0084 0.0215 0.0145 -0.0032
7/1/17 23.33 24.65 20.85 23.75 19.512108 160638900 7/1/17 0.039273697 1.038573697 0.038573697 0.0194 -0.0147 -0.0036 0.0166
8/1/17 23.719999 24.24 19.32 20.77 17.063854 239132600 8/1/17 -0.1254735777 0.8736264223 -0.1263735777 0.0025 -0.0162 -0.0219 0.0355
9/1/17 20.879999 22.870001 20.790001 21.82 17.926493 176646400 9/1/17 0.0505535854 1.0496535854 0.0496535854 0.026 0.0447 0.0314 -0.0118
10/1/17 21.719999 21.790001 18.51 18.76 15.674094 266351800 10/1/17 -0.1256463827 0.8734536173 -0.1265463827 0.0234 -0.0195 0.0012 0.043
11/1/17 18.85 24.9 17.41 23.799999 19.885042 392393800 11/1/17 0.2686565488 1.2678565488 0.2678565488 0.032 -0.0058 -0.0009 -0.0071
12/1/17 23.84 27.07 23.389999 25.190001 21.046398 240126200 12/1/17 0.0584034975 1.0575034975 0.0575034975 0.0115 -0.0129 0.0017 -0.0163
1/1/18 25.809999 27.639999 23.440001 25.950001 22.003386 241986400 1/1/18 0.0454703936 1.0443703936 0.0443703936 0.0569 -0.0309 -0.0132 0.0394
2/1/18 25.75 31.040001 22.469999 29.41 24.937166 230131700 2/1/18 0.1333331152 1.1322331152 0.1322331152 -0.0354 0.003 -0.0101 0.0397
3/1/18 29.42 30.690001 27.18 29.74 25.21698 202428800 3/1/18 0.0112207618 1.0100207618 0.0100207618 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 29.75 32.450001 27.940001 31.07 26.682943 166728200 4/1/18 0.0581339637 1.0567339637 0.0567339637 0.0043 0.0113 0.005 0.0027
5/1/18 30.85 36 28.309999 34.91 29.980734 276137800 5/1/18 0.1235917267 1.1221917267 0.1221917267 0.0279 0.0528 -0.0315 0.038
6/1/18 35.049999 41.330002 34.82 37.43 32.144913 186294000 6/1/18 0.0721856576 1.0707856576 0.0707856576 0.0062 0.0119 -0.0231 -0.0238
7/1/18 36.950001 40.939999 35.310001 39.73 34.459633 128960700 7/1/18 0.0720089054 1.0704089054 0.0704089054 0.0335 -0.0221 0.0057 -0.0167
8/1/18 39.41 41.990002 34.700001 36.549999 31.701473 220189400 8/1/18 -0.0800403185 0.9183596815 -0.0816403185 0.036 0.0115 -0.0392 0.0522
9/1/18 35.860001 37.23 34.049999 34.73 30.122911 115712800 9/1/18 -0.0497945947 0.9487054053 -0.0512945947 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 34.560001 35.880001 31.4 34.290001 30.053453 174834600 10/1/18 -0.0023058196 0.9957941804 -0.0042058196 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 34.060001 38.349998 30.639999 34.220001 29.992105 211467400 11/1/18 -0.0020412962 0.9961587038 -0.0038412962 0.0187 -0.0071 0.0034 -0.0133
12/1/18 34.689999 35.060001 27.74 29.780001 26.100668 134428000 12/1/18 -0.1297487122 0.8683512878 -0.1316487122 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 29.09 31.99 24.049999 26.299999 23.324261 246701500 1/1/19 -0.1063730246 0.8915269754 -0.1084730246 0.0862 0.0289 -0.0046 -0.0865
2/1/19 26.219999 26.48 23.950001 24.790001 21.985109 192851500 2/1/19 -0.0574145522 0.9407854478 -0.0592145522 0.0358 0.0212 -0.0271 0.0086
3/1/19 25.08 25.18 22.73 24.030001 21.3111 174120500 3/1/19 -0.0306575237 0.9674424763 -0.0325575237 0.0129 -0.0305 -0.0419 0.0214
4/1/19 24.17 26.33 23.540001 23.540001 21.210327 166054000 4/1/19 -0.0047286625 0.9931713375 -0.0068286625 0.0417 -0.0175 0.0202 -0.0255
5/1/19 23.639999 23.9 20.049999 20.57 18.534256 232315700 5/1/19 -0.1261683047 0.8717316953 -0.1282683047 -0.0673 -0.0118 -0.0228 0.076
6/1/19 20.540001 22.450001 20.02 21.459999 19.336176 189295000 6/1/19 0.0432669107 1.0414669107 0.0414669107 0.0711 0.0022 -0.0079 -0.0214
7/1/19 21.790001 23.4 20.870001 22.73 20.847879 157537200 7/1/19 0.0781800393 1.0762800393 0.0762800393 0.0138 -0.0208 0.0034 0.0272
8/1/19 22.719999 22.85 14.2 14.76 13.537822 350749000 8/1/19 -0.3506379234 0.6477620766 -0.3522379234 -0.0242 -0.024 -0.0485 0.0764
9/1/19 14.65 17.85 14.31 15.54 14.253235 274428100 9/1/19 0.052845502 1.051045502 0.051045502 0.0161 -0.0105 0.0677 -0.0685
10/1/19 15.62 16.120001 14.11 15.16 14.205695 257204500 10/1/19 -0.0033353832 0.9951646168 -0.0048353832 0.0221 0.0024 -0.0188 0.0029
11/1/19 15.25 17.01 14.3 15.32 14.355623 419003500 11/1/19 0.0105540771 1.0093540771 0.0093540771 0.0399 0.0091 -0.0205 -0.026
12/1/19 15.41 17.049999 14.76 17 15.92987 373325900 12/1/19 0.1096606535 1.1082606535 0.1082606535 0.0291 0.0067 0.0191 -0.0227
1/1/20 17.18 18.57 15.78 15.95 15.314689 280102800 1/1/20 -0.0386180804 0.9600819196 -0.0399180804 0.0002 -0.0308 -0.0627 0.0543
2/1/20 15.99 17.67 12.41 13.23 12.703031 261077900 2/1/20 -0.1705328786 0.8282671214 -0.1717328786 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 13.3 13.47 4.73 4.91 4.714427 615780300 3/1/20 -0.6288738491 0.3699261509 -0.6300738491 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 4.71 7.18 4.38 5.86 5.86 847450200 4/1/20 0.2429930509 1.2429930509 0.2429930509 0.1365 0.0275 -0.0139 -0.0549
5/1/20 5.64 7.7 4.65 6.36 6.36 820594000 5/1/20 0.0853242321 1.0852242321 0.0852242321 0.0559 0.0249 -0.0505 0.0067
6/1/20 6.19 10.46 5.96 6.88 6.88 1211860400 6/1/20 0.0817610063 1.0816610063 0.0816610063 0.0247 0.0271 -0.0235 -0.0075
7/1/20 6.86 7.23 6 6.06 6.06 604210500 7/1/20 -0.1191860465 0.8807139535 -0.1192860465 0.0578 -0.0218 -0.0139 0.0761
8/1/20 6.1 7.75 5.82 6.97 6.97 502850700 8/1/20 0.1501650165 1.1500650165 0.1500650165 0.0764 -0.0025 -0.0294 0.0051
9/1/20 6.88 7.98 5.6 5.7 5.7 587524000 9/1/20 -0.1822094692 0.8176905308 -0.1823094692 -0.0362 0.0006 -0.0251 0.0305
10/1/20 5.73 7.27 5.57 6.21 6.21 416659000 10/1/20 0.0894736842 1.0893736842 0.0893736842 -0.0209 0.0444 0.0403 -0.0303
11/1/20 6.22 11.4 6.02 10.21 10.21 768485100 11/1/20 0.6441223833 1.6440223833 0.6440223833 0.1248 0.0548 0.0211 -0.1225
12/1/20 10.22 12.24 10.07 11.25 11.25 565229600 12/1/20 0.1018609207 1.1017609207 0.1017609207 0.0464 0.0491 -0.0146 -0.0234

MRK

MRK
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 57.220001 63.619999 57.029999 60.279999 50.193043 231754300 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 60.5 61.060001 57.73 58.540001 48.744217 199331200 2/1/15 -0.028865076 0.971134924 -0.028865076 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 58.540001 59.709999 55.639999 57.48 47.86158 269546900 3/1/15 -0.0181075224 0.9818924776 -0.0181075224 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5171816409
4/1/15 57.259998 60.48 56.220001 59.560001 49.994835 257490300 4/1/15 0.0445713451 1.0445713451 0.0445713451 0.0059 -0.0304 0.0188 -0.0732 R Square 0.2674768497
5/1/15 59.759998 61.380001 58.849998 60.889999 51.111248 194743500 5/1/15 0.0223305667 1.0223305667 0.0223305667 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2237441243
6/1/15 60.849998 61.700001 56.709999 56.93 47.787216 217515700 6/1/15 -0.0650352345 0.9349647655 -0.0650352345 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0443929532
7/1/15 56.93 59.330002 55.830002 58.959999 49.867653 190683400 7/1/15 0.0435354301 1.0435354301 0.0435354301 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 59.299999 60.07 45.689999 53.849998 45.54567 250910700 8/1/15 -0.0866690678 0.9133309322 -0.0866690678 -0.0604 0.0044 0.0273 -0.0209
9/1/15 52.66 54.5 48.09 49.389999 41.773464 300373300 9/1/15 -0.0828224944 0.9171775056 -0.0828224944 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 49.349998 55.639999 48.349998 54.66 46.628769 297840200 10/1/15 0.1162294082 1.1162294082 0.1162294082 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 54.689999 55.77 52.130001 53.009998 45.221207 174650700 11/1/15 -0.0301865571 0.9698134429 -0.0301865571 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.0482133959 0.012053349 6.1161715235 0.0002949819
12/1/15 53.77 54.990002 51.200001 52.82 45.059124 227311200 12/1/15 -0.0035842254 0.9963157746 -0.0036842254 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.1320391977 0.0019707343
1/1/16 52.009998 53.470001 48.98 50.669998 43.598557 254942700 1/1/16 -0.0324144562 0.9674855438 -0.0325144562 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.1802525936
2/1/16 50.389999 51.130001 47.970001 50.209999 43.202766 236501100 2/1/16 -0.0090780757 0.9907219243 -0.0092780757 -0.0006 0.0083 -0.006 -0.0406
3/1/16 50.389999 53.599998 50.09 52.91 45.525951 207863300 3/1/16 0.0537739875 1.0535739875 0.0535739875 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 52.5 57.400002 52.439999 54.84 47.599422 182535300 4/1/16 0.0455448146 1.0454448146 0.0454448146 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0006531719 0.0056385294 -0.1158408262 0.908125198 -0.0119077237 0.0106013799 -0.0119077237 0.0106013799
5/1/16 54.849998 56.84 53.060001 56.259998 48.83194 170514400 5/1/16 0.0258935497 1.0257935497 0.0257935497 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.5612184929 0.1347208463 4.1657880585 0.0000907797 0.2923145582 0.8301224277 0.2923145582 0.8301224277
6/1/16 56.200001 57.869999 55.099998 57.610001 50.003693 217864800 6/1/16 0.0239956266 1.0237956266 0.0237956266 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.4691795482 0.2289826175 -2.0489745173 0.0443840792 -0.9262307657 -0.0121283307 -0.9262307657 -0.0121283307
7/1/16 57.540001 59.950001 57.419998 58.66 51.330692 161761600 7/1/16 0.0265380199 1.0263380199 0.0263380199 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.2603678078 0.2049526589 -1.270380239 0.2083430588 -0.6694550272 0.1487194116 -0.6694550272 0.1487194116
8/1/16 58.830002 64 57.18 62.790001 54.944675 258569800 8/1/16 0.0704058889 1.0702058889 0.0702058889 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.1629991672 0.1745892454 -0.9336151656 0.3538549545 -0.5114807595 0.1854824251 -0.5114807595 0.1854824251
9/1/16 62.700001 63.490002 61.119999 62.41 54.61216 199735700 9/1/16 -0.0060518148 0.9937481852 -0.0062518148 0.0027 0.0204 -0.0121 -0.0053
10/1/16 62.220001 64.860001 58.369999 58.720001 51.759998 239072000 10/1/16 -0.052225768 0.947574232 -0.052425768 -0.02 -0.0443 0.0407 0.0069
11/1/16 59 65.459999 58.290001 61.189999 53.937233 229254700 11/1/16 0.0420640472 1.0419640472 0.0419640472 0.0487 0.0547 0.0822 -0.0407
12/1/16 61.299999 63.029999 58.560001 58.869999 51.892223 207774100 12/1/16 -0.0379146257 0.9617853743 -0.0382146257 0.0184 0.0011 0.0351 -0.0038
1/1/17 59.150002 63.240002 59.049999 61.990002 55.061703 261983200 1/1/17 0.0610781311 1.0606781311 0.0606781311 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 62.060001 66.160004 61.560001 65.870003 58.508057 183480300 2/1/17 0.0625907629 1.0621907629 0.0621907629 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 66.07 66.800003 62.810001 63.540001 56.438469 215757500 3/1/17 -0.0353727009 0.9643272991 -0.0356727009 0.002 0.0117 -0.0333 -0.0092
4/1/17 63.43 64.150002 61.869999 62.330002 55.763229 152211300 4/1/17 -0.01196418 0.98753582 -0.01246418 0.0114 0.0072 -0.0211 0.0044
5/1/17 62.25 65.489998 62.099998 65.110001 58.250347 200206800 5/1/17 0.0446013985 1.0440013985 0.0440013985 0.0112 -0.0261 -0.0367 0.0146
6/1/17 65.089996 66.400002 62.689999 64.089996 57.337799 215621900 6/1/17 -0.0156659668 0.9837340332 -0.0162659668 0.0084 0.0215 0.0145 -0.0032
7/1/17 63.849998 64.800003 61.720001 63.880001 57.570152 167165100 7/1/17 0.004052353 1.003352353 0.003352353 0.0194 -0.0147 -0.0036 0.0166
8/1/17 64.040001 64.269997 61.16 63.860001 57.55212 160248100 8/1/17 -0.0003132179 0.9987867821 -0.0012132179 0.0025 -0.0162 -0.0219 0.0355
9/1/17 63.790001 66.410004 63.330002 64.029999 57.705334 160862600 9/1/17 0.0026621782 1.0017621782 0.0017621782 0.026 0.0447 0.0314 -0.0118
10/1/17 64.209999 64.900002 54.41 55.09 50.007496 243561400 10/1/17 -0.1333990719 0.8657009281 -0.1342990719 0.0234 -0.0195 0.0012 0.043
11/1/17 55.540001 56.720001 53.630001 55.27 50.170898 258822600 11/1/17 0.0032675501 1.0024675501 0.0024675501 0.032 -0.0058 -0.0009 -0.0071
12/1/17 55.400002 57.369999 54.189999 56.27 51.07864 233914300 12/1/17 0.0180929989 1.0171929989 0.0171929989 0.0115 -0.0129 0.0017 -0.0163
1/1/18 56.59 63.779999 55.959999 59.25 54.241192 291040200 1/1/18 0.0619153525 1.0608153525 0.0608153525 0.0569 -0.0309 -0.0132 0.0394
2/1/18 59.169998 60.34 53.360001 54.220001 49.636414 269130900 2/1/18 -0.0848944839 0.9140055161 -0.0859944839 -0.0354 0.003 -0.0101 0.0397
3/1/18 54.259998 56.130001 52.970001 54.470001 49.865284 240257400 3/1/18 0.0046109294 1.0034109294 0.0034109294 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 54.400002 61 52.830002 58.869999 54.364601 273764000 4/1/18 0.090229447 1.088829447 0.088829447 0.0043 0.0113 0.005 0.0027
5/1/18 59 60.080002 56.259998 59.529999 54.974094 208457500 5/1/18 0.0112112108 1.0098112108 0.0098112108 0.0279 0.0528 -0.0315 0.038
6/1/18 59.889999 62.959999 59.619999 60.700001 56.054554 231134400 6/1/18 0.0196539847 1.0182539847 0.0182539847 0.0062 0.0119 -0.0231 -0.0238
7/1/18 60.549999 66.120003 59.919998 65.870003 61.298985 173111300 7/1/18 0.09355941 1.09195941 0.09195941 0.0335 -0.0221 0.0057 -0.0167
8/1/18 65.709999 70.25 64.870003 68.589996 63.830227 175830200 8/1/18 0.0412933754 1.0396933754 0.0396933754 0.036 0.0115 -0.0392 0.0522
9/1/18 68.370003 71.580002 67.910004 70.940002 66.017151 145425900 9/1/18 0.0342615733 1.0327615733 0.0327615733 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 71.07 74.489998 66.099998 73.610001 68.969261 279961100 10/1/18 0.044717319 1.042817319 0.042817319 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 73.800003 79.489998 70.120003 79.339996 74.338013 273074300 11/1/18 0.0778426783 1.0760426783 0.0760426783 0.0187 -0.0071 0.0034 -0.0133
12/1/18 79.519997 80.190002 70.889999 76.410004 71.592743 284095500 12/1/18 -0.0369295585 0.9611704415 -0.0388295585 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 75.290001 76.5 72.050003 74.43 70.226425 291468700 1/1/19 -0.0190845879 0.9788154121 -0.0211845879 0.0862 0.0289 -0.0046 -0.0865
2/1/19 75.970001 81.760002 75.330002 81.290001 76.698997 189680000 2/1/19 0.0921671864 1.0903671864 0.0903671864 0.0358 0.0212 -0.0271 0.0086
3/1/19 81.760002 83.470001 79.050003 83.169998 78.472816 202303500 3/1/19 0.0231270169 1.0212270169 0.0212270169 0.0129 -0.0305 -0.0419 0.0214
4/1/19 83.730003 83.849998 72.230003 78.709999 74.768661 259664600 4/1/19 -0.047203034 0.950696966 -0.049303034 0.0417 -0.0175 0.0202 -0.0255
5/1/19 78.690002 81.940002 76.800003 79.209999 75.243622 204567200 5/1/19 0.0063524075 1.0042524075 0.0042524075 -0.0673 -0.0118 -0.0228 0.076
6/1/19 79.650002 86.5 79.519997 83.849998 79.651283 225784100 6/1/19 0.0585785331 1.0567785331 0.0567785331 0.0711 0.0022 -0.0079 -0.0214
7/1/19 84.330002 87.07 78.629997 82.989998 79.360863 221843700 7/1/19 -0.0036461434 0.9944538566 -0.0055461434 0.0138 -0.0208 0.0034 0.0272
8/1/19 83.059998 87.349998 82.160004 86.470001 82.688675 181487800 8/1/19 0.0419326589 1.0403326589 0.0403326589 -0.0242 -0.024 -0.0485 0.0764
9/1/19 86.239998 87.169998 78.849998 84.18 80.498817 179567000 9/1/19 -0.0264831671 0.9717168329 -0.0282831671 0.0161 -0.0105 0.0677 -0.0685
10/1/19 84.18 86.989998 80.25 86.660004 83.42112 183698400 10/1/19 0.0363024341 1.0348024341 0.0348024341 0.0221 0.0024 -0.0188 0.0029
11/1/19 87.07 87.870003 82.669998 87.18 83.921677 165051200 11/1/19 0.006000363 1.004800363 0.004800363 0.0399 0.0091 -0.0205 -0.026
12/1/19 87.540001 92.639999 86.5 90.949997 87.550758 151362600 12/1/19 0.0432436664 1.0418436664 0.0418436664 0.0291 0.0067 0.0191 -0.0227
1/1/20 91.080002 92.139999 84.709999 85.440002 82.810669 195634200 1/1/20 -0.054141039 0.944558961 -0.055441039 0.0002 -0.0308 -0.0627 0.0543
2/1/20 86.040001 89.199997 74.18 76.559998 74.203941 263441900 2/1/20 -0.1039325983 0.8948674017 -0.1051325983 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 77.129997 83.07 65.25 76.940002 74.572258 390649700 3/1/20 0.0049635773 1.0037635773 0.0037635773 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 74.660004 84.669998 72.989998 79.339996 77.533661 244122500 4/1/20 0.0397118591 1.0397118591 0.0397118591 0.1365 0.0275 -0.0139 -0.0549
5/1/20 78.860001 81 75.43 80.720001 78.88224 209601300 5/1/20 0.0173934648 1.0172934648 0.0172934648 0.0559 0.0249 -0.0505 0.0067
6/1/20 80.18 83.510002 73.57 77.330002 75.56942 241231600 6/1/20 -0.0419970325 0.9579029675 -0.0420970325 0.0247 0.0271 -0.0235 -0.0075
7/1/20 77.43 81.68 76.040001 80.239998 79.036469 175648400 7/1/20 0.0458789944 1.0457789944 0.0457789944 0.0578 -0.0218 -0.0139 0.0761
8/1/20 82.150002 86.290001 80.029999 85.269997 83.99102 148659900 8/1/20 0.0626868971 1.0625868971 0.0625868971 0.0764 -0.0025 -0.0294 0.0051
9/1/20 85.349998 87.800003 81.699997 82.949997 81.705818 179238400 9/1/20 -0.0272076943 0.9726923057 -0.0273076943 -0.0362 0.0006 -0.0251 0.0305
10/1/20 83.18 83.339996 73.940002 75.209999 74.62072 186058000 10/1/20 -0.0867147306 0.9131852694 -0.0868147306 -0.0209 0.0444 0.0403 -0.0303
11/1/20 76.449997 85.169998 75.639999 80.389999 79.760139 170872700 11/1/20 0.0688738865 1.0687738865 0.0687738865 0.1248 0.0548 0.0211 -0.1225
12/1/20 80.949997 83.940002 77.739998 81.800003 81.159096 192568200 12/1/20 0.0175395507 1.0174395507 0.0174395507 0.0464 0.0491 -0.0146 -0.0234

MRO

MRO
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 28.059999 28.799999 24.809999 26.6 24.049316 158069900 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 27.059999 29.67 26.860001 27.860001 25.188496 151581000 2/1/15 0.047368499 1.047368499 0.047368499 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 27.860001 28.040001 25.07 26.110001 23.779818 138276200 3/1/15 -0.055925451 0.944074549 -0.055925451 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.8132202058
4/1/15 26.299999 31.450001 26.23 31.1 28.32449 147638000 4/1/15 0.1911146671 1.1911146671 0.1911146671 0.0059 -0.0304 0.0188 -0.0732 R Square 0.6613271031
5/1/15 31.110001 31.530001 26.99 27.190001 24.763435 140559700 5/1/15 -0.1257235347 0.8742764653 -0.1257235347 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.6411078257
6/1/15 27.23 27.77 25.790001 26.540001 24.356228 138404800 6/1/15 -0.0164438819 0.9835561181 -0.0164438819 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.118001048
7/1/15 26.59 26.610001 20.440001 21.01 19.281246 194611300 7/1/15 -0.2083648585 0.7916351415 -0.2083648585 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 20.700001 21.219999 14.03 17.290001 15.867342 320315100 8/1/15 -0.1770582669 0.8229417331 -0.1770582669 -0.0604 0.0044 0.0273 -0.0209
9/1/15 16.719999 17.59 14.59 15.4 14.305504 337013200 9/1/15 -0.0984309785 0.9015690215 -0.0984309785 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 15.79 20.440001 15 18.379999 17.073711 284211400 10/1/15 0.1935064294 1.1935064294 0.1935064294 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 18.17 20.09 16.68 17.51 16.265547 207587400 11/1/15 -0.0473338222 0.9526661778 -0.0473338222 0.0056 0.0368 -0.0049 0.0221 Regression 4 1.821723289 0.4554308222 32.7077515716 0
12/1/15 17.57 17.690001 12.11 12.59 11.729431 286456800 12/1/15 -0.2788787859 0.7210212141 -0.2789787859 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.9329245706 0.0139242473
1/1/16 12.56 13 7.08 9.73 9.064921 496498100 1/1/16 -0.227164472 0.772735528 -0.227264472 -0.0576 -0.0336 0.0201 0.0134 Total 71 2.7546478596
2/1/16 9.38 10.28 6.52 8.21 7.648818 641078600 2/1/16 -0.1562179086 0.8435820914 -0.1564179086 -0.0006 0.0083 -0.006 -0.0406
3/1/16 8.21 11.88 7.56 11.14 10.45257 1066584000 3/1/16 0.3665601666 1.3663601666 0.3663601666 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 10.75 15.15 10.32 14.09 13.220531 539947000 4/1/16 0.2648115248 1.2647115248 0.2647115248 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0175118778 0.0149877927 -1.1684093922 0.2467823638 -0.0474276372 0.0124038817 -0.0474276372 0.0124038817
5/1/16 14.02 14.08 11.28 13.07 12.263473 415109300 5/1/16 -0.0723917973 0.9275082027 -0.0724917973 0.0179 -0.0027 -0.016 0.0214 X Variable 1 2.3308470926 0.3581019037 6.5088933307 0.0000000113 1.6160727012 3.0456214839 1.6160727012 3.0456214839
6/1/16 12.88 15.45 12.22 15.01 14.141244 445044400 6/1/16 0.1531190226 1.1529190226 0.1529190226 -0.0003 0.0064 -0.014 0.0411 X Variable 2 1.4026009084 0.6086594129 2.3044101161 0.0243067641 0.1877116355 2.6174901813 0.1877116355 2.6174901813
7/1/16 14.88 15.84 13.06 13.64 12.850538 345116900 7/1/16 -0.091272451 0.908527549 -0.091472451 0.0397 0.026 -0.0123 -0.0308 X Variable 3 1.0900877454 0.5447853047 2.0009492474 0.0494515326 0.0026917261 2.1774837647 0.0026917261 2.1774837647
8/1/16 13.42 16.85 12.47 15.02 14.150664 408599300 8/1/16 0.1011728847 1.1009728847 0.1009728847 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.8480468755 0.46407622 -1.8273870517 0.0720951894 -1.7743468877 0.0782531366 -1.7743468877 0.0782531366
9/1/16 14.96 16.9 13.8 15.81 14.945708 385437100 9/1/16 0.0561842186 1.0559842186 0.0559842186 0.0027 0.0204 -0.0121 -0.0053
10/1/16 15.89 16.4 13.14 13.18 12.459485 287510200 10/1/16 -0.1663502994 0.8334497006 -0.1665502994 -0.02 -0.0443 0.0407 0.0069
11/1/16 13.37 18.549999 12.36 18.059999 17.072706 448053300 11/1/16 0.3702577594 1.3701577594 0.3701577594 0.0487 0.0547 0.0822 -0.0407
12/1/16 19.120001 19.280001 17.209999 17.309999 16.41884 294460200 12/1/16 -0.0382989082 0.9614010918 -0.0385989082 0.0184 0.0011 0.0351 -0.0038
1/1/17 17.74 18.27 16.280001 16.75 15.88767 179155700 1/1/17 -0.0323512501 0.9672487499 -0.0327512501 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 17.030001 17.360001 15.59 16 15.176283 249669900 2/1/17 -0.0447760433 0.9548239567 -0.0451760433 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 16.16 16.65 14.3 15.8 15.033006 338908500 3/1/17 -0.0094408493 0.9902591507 -0.0097408493 0.002 0.0117 -0.0333 -0.0092
4/1/17 15.81 16.9 14.63 14.87 14.148154 251571500 4/1/17 -0.0588606164 0.9406393836 -0.0593606164 0.0114 0.0072 -0.0211 0.0044
5/1/17 14.87 15.12 12.75 13.02 12.387959 302966100 5/1/17 -0.124411637 0.874988363 -0.125011637 0.0112 -0.0261 -0.0367 0.0146
6/1/17 13.05 13.41 11.2 11.85 11.314233 343529300 6/1/17 -0.086674972 0.912725028 -0.087274972 0.0084 0.0215 0.0145 -0.0032
7/1/17 11.97 12.66 11.22 12.23 11.677051 298449500 7/1/17 0.0320673969 1.0313673969 0.0313673969 0.0194 -0.0147 -0.0036 0.0166
8/1/17 12.23 13.11 10.55 11.12 10.617237 330650800 8/1/17 -0.0907604155 0.9083395845 -0.0916604155 0.0025 -0.0162 -0.0219 0.0355
9/1/17 11.14 13.95 11.03 13.56 13.000551 267749300 9/1/17 0.2244759159 1.2235759159 0.2235759159 0.026 0.0447 0.0314 -0.0118
10/1/17 13.2 14.34 13.08 14.22 13.633323 227041800 10/1/17 0.0486727063 1.0477727063 0.0477727063 0.0234 -0.0195 0.0012 0.043
11/1/17 14.37 16.59 14.35 14.84 14.227743 307992900 11/1/17 0.043600522 1.042800522 0.042800522 0.032 -0.0058 -0.0009 -0.0071
12/1/17 15 17.35 14.38 16.93 16.283875 233931000 12/1/17 0.1445156832 1.1436156832 0.1436156832 0.0115 -0.0129 0.0017 -0.0163
1/1/18 17.110001 19.52 17.040001 18.190001 17.495787 231613400 1/1/18 0.0744240545 1.0733240545 0.0733240545 0.0569 -0.0309 -0.0132 0.0394
2/1/18 18.25 18.52 14.51 14.52 13.965852 300320900 2/1/18 -0.2017591435 0.7971408565 -0.2028591435 -0.0354 0.003 -0.0101 0.0397
3/1/18 14.55 16.42 14.27 16.129999 15.56413 251184500 3/1/18 0.1144418543 1.1132418543 0.1132418543 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 16.01 18.66 15.22 18.25 17.609756 285825300 4/1/18 0.1314320813 1.1300320813 0.1300320813 0.0043 0.0113 0.005 0.0027
5/1/18 18.139999 22.120001 17.98 21.43 20.678196 289702700 5/1/18 0.1742465938 1.1728465938 0.1728465938 0.0279 0.0528 -0.0315 0.038
6/1/18 21.41 21.84 19.709999 20.860001 20.175293 269554200 6/1/18 -0.0243204485 0.9742795515 -0.0257204485 0.0062 0.0119 -0.0231 -0.0238
7/1/18 20.65 22.74 19.41 21.120001 20.426756 227704300 7/1/18 0.0124639082 1.0108639082 0.0108639082 0.0335 -0.0221 0.0057 -0.0167
8/1/18 20.82 22.030001 18.98 21.51 20.803957 233182900 8/1/18 0.0184660256 1.0168660256 0.0168660256 0.036 0.0115 -0.0392 0.0522
9/1/18 21.68 23.67 19.83 23.280001 22.572062 186500000 9/1/18 0.0849888798 1.0834888798 0.0834888798 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 23.43 24.200001 17.77 18.99 18.412519 295078400 10/1/18 -0.1842783792 0.8138216208 -0.1861783792 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 19.030001 19.309999 15.49 16.690001 16.182461 298650500 11/1/18 -0.1211163991 0.8770836009 -0.1229163991 0.0187 -0.0071 0.0034 -0.0133
12/1/18 17.620001 17.84 12.57 14.34 13.944651 296992600 12/1/18 -0.1382861358 0.8598138642 -0.1401861358 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 13.9 16.42 13.86 15.79 15.354674 232338100 1/1/19 0.1011156894 1.0990156894 0.0990156894 0.0862 0.0289 -0.0046 -0.0865
2/1/19 15.88 17.33 14.83 16.6 16.142344 266854900 2/1/19 0.0512983864 1.0494983864 0.0494983864 0.0358 0.0212 -0.0271 0.0086
3/1/19 16.68 17.790001 16.030001 16.709999 16.297018 238689900 3/1/19 0.0095818798 1.0076818798 0.0076818798 0.0129 -0.0305 -0.0419 0.0214
4/1/19 16.9 18.93 16.790001 17.040001 16.618864 225899000 4/1/19 0.0197487663 1.0176487663 0.0176487663 0.0417 -0.0175 0.0202 -0.0255
5/1/19 17.07 17.15 13.06 13.15 12.825003 266694000 5/1/19 -0.228286422 0.769613578 -0.230386422 -0.0673 -0.0118 -0.0228 0.076
6/1/19 13.28 14.57 12.8 14.21 13.905062 224155000 6/1/19 0.084215107 1.082415107 0.082415107 0.0711 0.0022 -0.0079 -0.0214
7/1/19 14.58 14.7 13.15 14.07 13.768066 194272800 7/1/19 -0.0098522394 0.9882477606 -0.0117522394 0.0138 -0.0208 0.0034 0.0272
8/1/19 13.82 13.92 11.39 11.84 11.585921 270785900 8/1/19 -0.1584932118 0.8399067882 -0.1600932118 -0.0242 -0.024 -0.0485 0.0764
9/1/19 11.5 14.39 11.39 12.27 12.053486 267017900 9/1/19 0.0403563083 1.0385563083 0.0385563083 0.0161 -0.0105 0.0677 -0.0685
10/1/19 12.37 12.5 11.06 11.53 11.326543 242755000 10/1/19 -0.0603097726 0.9381902274 -0.0618097726 0.0221 0.0024 -0.0188 0.0029
11/1/19 11.65 12.97 11.39 11.65 11.444425 259020600 11/1/19 0.0104075886 1.0092075886 0.0092075886 0.0399 0.0091 -0.0205 -0.026
12/1/19 11.79 13.89 11.58 13.58 13.397234 211820000 12/1/19 0.170634086 1.169234086 0.169234086 0.0291 0.0067 0.0191 -0.0227
1/1/20 13.69 14.07 11.36 11.37 11.216977 267692400 1/1/20 -0.1627393386 0.8359606614 -0.1640393386 0.0002 -0.0308 -0.0627 0.0543
2/1/20 11.34 12.3 7.54 8.28 8.168564 376245300 2/1/20 -0.2717677856 0.7270322144 -0.2729677856 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 8.45 8.47 3.15 3.29 3.261046 1023053200 3/1/20 -0.6007809941 0.3980190059 -0.6019809941 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 3.22 6.34 3.02 6.12 6.06614 1163440700 4/1/20 0.8601822851 1.8601822851 0.8601822851 0.1365 0.0275 -0.0139 -0.0549
5/1/20 5.89 6.25 5.2 5.34 5.293005 822924300 5/1/20 -0.1274508996 0.8724491004 -0.1275508996 0.0559 0.0249 -0.0505 0.0067
6/1/20 5.34 8.48 5.25 6.12 6.06614 812796500 6/1/20 0.1460673096 1.1459673096 0.1459673096 0.0247 0.0271 -0.0235 -0.0075
7/1/20 6.17 6.27 4.97 5.49 5.441685 550160400 7/1/20 -0.1029410795 0.8969589205 -0.1030410795 0.0578 -0.0218 -0.0139 0.0761
8/1/20 5.49 6.36 5.22 5.28 5.233533 488069800 8/1/20 -0.0382513872 0.9616486128 -0.0383513872 0.0764 -0.0025 -0.0294 0.0051
9/1/20 5.26 5.34 4.02 4.09 4.054006 569335400 9/1/20 -0.225378726 0.774521274 -0.225478726 -0.0362 0.0006 -0.0251 0.0305
10/1/20 4.05 4.56 3.73 3.96 3.925149 600815000 10/1/20 -0.0317851034 0.9681148966 -0.0318851034 -0.0209 0.0444 0.0403 -0.0303
11/1/20 3.98 6.63 3.86 5.92 5.8679 689988500 11/1/20 0.4949496185 1.4948496185 0.4948496185 0.1248 0.0548 0.0211 -0.1225
12/1/20 6.15 7.46 5.76 6.67 6.647692 607874000 12/1/20 0.1328911536 1.1327911536 0.1327911536 0.0464 0.0491 -0.0146 -0.0234

MSFT

MSFT
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 46.66 47.91 40.349998 40.400002 35.806782 918966800 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 40.59 44.299999 40.23 43.849998 38.864536 656509700 2/1/15 0.0853959454 1.0853959454 0.0853959454 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 43.669998 44.189999 40.540001 40.66 36.293682 824335300 3/1/15 -0.066149098 0.933850902 -0.066149098 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.7340950467
4/1/15 40.599998 49.540001 40.119999 48.639999 43.416737 874535300 4/1/15 0.1962615697 1.1962615697 0.1962615697 0.0059 -0.0304 0.0188 -0.0732 R Square 0.5388955375
5/1/15 48.580002 48.91 46.02 46.860001 41.827892 633072800 5/1/15 -0.036595219 0.963404781 -0.036595219 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.5113669129
6/1/15 47.060001 47.77 43.939999 44.150002 39.665024 664853400 6/1/15 -0.0517087498 0.9482912502 -0.0517087498 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0416574007
7/1/15 44.459999 47.400002 43.32 46.700001 41.95599 725458100 7/1/15 0.0577578372 1.0577578372 0.0577578372 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 46.98 48.41 39.720001 43.52 39.099014 776480300 8/1/15 -0.0680945915 0.9319054085 -0.0680945915 -0.0604 0.0044 0.0273 -0.0209
9/1/15 42.169998 45 41.66 44.259998 40.026062 673079900 9/1/15 0.0237102654 1.0237102654 0.0237102654 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 44.75 54.369999 43.75 52.639999 47.604427 856716800 10/1/15 0.1893357633 1.1893357633 0.1893357633 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 52.849998 54.98 52.529999 54.349998 49.150852 662626600 11/1/15 0.0324848989 1.0324848989 0.0324848989 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.1358827729 0.0339706932 19.5758249768 0.0000000001
12/1/15 54.41 56.849998 53.68 55.48 50.510929 792820900 12/1/15 0.0276714837 1.0275714837 0.0275714837 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.1162677153 0.001735339
1/1/16 54.32 55.389999 49.099998 55.09 50.155861 927914700 1/1/16 -0.0070295282 0.9928704718 -0.0071295282 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.2521504882
2/1/16 54.880001 55.09 48.189999 50.880001 46.322926 814770900 2/1/16 -0.0764204805 0.9233795195 -0.0766204805 -0.0006 0.0083 -0.006 -0.0406
3/1/16 50.970001 55.639999 50.580002 55.23 50.644352 641110900 3/1/16 0.0932891415 1.0930891415 0.0930891415 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 55.049999 56.77 49.349998 49.869999 45.729378 699025700 4/1/16 -0.0970488081 0.9028511919 -0.0971488081 0.0093 0.0069 0.0328 -0.0626 Intercept 0.013360755 0.0052910758 2.5251490493 0.0139378953 0.0027997235 0.0239217864 0.0027997235 0.0239217864
5/1/16 50 53 49.459999 53 48.599503 530704800 5/1/16 0.0627632635 1.0626632635 0.0626632635 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.9993476005 0.1264191696 7.9050321523 0 0.7470138819 1.2516813192 0.7470138819 1.2516813192
6/1/16 52.439999 52.950001 48.040001 51.169998 47.24963 823627000 6/1/16 -0.0277754487 0.9720245513 -0.0279754487 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.8316144094 0.2148724058 -3.8702708535 0.000248981 -1.2605015264 -0.4027272924 -1.2605015264 -0.4027272924
7/1/16 51.130001 57.290001 50.389999 56.68 52.337479 647587800 7/1/16 0.1076801871 1.1074801871 0.1074801871 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.3161307568 0.192323205 -1.6437473406 0.1049132958 -0.7000094807 0.0677479671 -0.7000094807 0.0677479671
8/1/16 56.599998 58.700001 56.139999 57.459999 53.057735 467078900 8/1/16 0.0137617633 1.0135617633 0.0135617633 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.1135977961 0.1638308252 -0.6933847518 0.4904649687 -0.4406054918 0.2134098997 -0.4406054918 0.2134098997
9/1/16 57.009998 58.189999 55.610001 57.599998 53.518501 526427800 9/1/16 0.008684238 1.008484238 0.008484238 0.0027 0.0204 -0.0121 -0.0053
10/1/16 57.41 61.369999 56.32 59.919998 55.674103 614841800 10/1/16 0.0402776976 1.0400776976 0.0400776976 -0.02 -0.0443 0.0407 0.0069
11/1/16 59.970001 61.41 57.279999 60.259998 55.990009 613056800 11/1/16 0.0056742001 1.0055742001 0.0055742001 0.0487 0.0547 0.0822 -0.0407
12/1/16 60.110001 64.099998 58.799999 62.139999 58.126839 513579700 12/1/16 0.0381644875 1.0378644875 0.0378644875 0.0184 0.0011 0.0351 -0.0038
1/1/17 62.790001 65.910004 61.950001 64.650002 60.474731 493453500 1/1/17 0.0403925629 1.0399925629 0.0399925629 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 64.360001 65.239998 62.75 63.98 59.848015 440744000 2/1/17 -0.0103632706 0.9892367294 -0.0107632706 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 64.129997 66.190002 63.619999 65.860001 61.980083 489169700 3/1/17 0.035624707 1.035324707 0.035324707 0.002 0.0117 -0.0333 -0.0092
4/1/17 65.809998 69.139999 64.849998 68.459999 64.42691 433191200 4/1/17 0.0394776335 1.0389776335 0.0389776335 0.0114 0.0072 -0.0211 0.0044
5/1/17 68.68 70.739998 67.139999 69.839996 65.725601 517218500 5/1/17 0.0201575863 1.0195575863 0.0195575863 0.0112 -0.0261 -0.0367 0.0146
6/1/17 70.239998 72.889999 68.089996 68.93 65.241043 629716800 6/1/17 -0.0073724392 0.9920275608 -0.0079724392 0.0084 0.0215 0.0145 -0.0032
7/1/17 69.330002 74.419998 68.019997 72.699997 68.809288 469851200 7/1/17 0.054693255 1.053993255 0.053993255 0.0194 -0.0147 -0.0036 0.0166
8/1/17 73.099998 74.959999 71.279999 74.769997 70.768509 444070500 8/1/17 0.0284732055 1.0275732055 0.0275732055 0.0025 -0.0162 -0.0219 0.0355
9/1/17 74.709999 75.970001 72.919998 74.489998 70.879135 375983900 9/1/17 0.0015632094 1.0006632094 0.0006632094 0.026 0.0447 0.0314 -0.0118
10/1/17 74.709999 86.199997 73.709999 83.18 79.147881 449950000 10/1/17 0.116659804 1.115759804 0.115759804 0.0234 -0.0195 0.0012 0.043
11/1/17 83.68 85.059998 82.239998 84.169998 80.08989 421926000 11/1/17 0.0119018853 1.0111018853 0.0111018853 0.032 -0.0058 -0.0009 -0.0071
12/1/17 83.599998 87.5 80.699997 85.540001 81.802261 466203300 12/1/17 0.0213806137 1.0204806137 0.0204806137 0.0115 -0.0129 0.0017 -0.0163
1/1/18 86.129997 95.449997 85.5 95.010002 90.858444 574258400 1/1/18 0.1107082236 1.1096082236 0.1096082236 0.0569 -0.0309 -0.0132 0.0394
2/1/18 94.790001 96.07 83.830002 93.769997 89.672646 725663300 2/1/18 -0.0130510489 0.9858489511 -0.0141510489 -0.0354 0.003 -0.0101 0.0397
3/1/18 93.989998 97.239998 87.080002 91.269997 87.691879 750754800 3/1/18 -0.0220888653 0.9767111347 -0.0232888653 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 90.470001 97.900002 87.510002 93.519997 89.853653 668130700 4/1/18 0.0246519293 1.0232519293 0.0232519293 0.0043 0.0113 0.005 0.0027
5/1/18 93.209999 99.989998 92.449997 98.839996 94.965103 509417900 5/1/18 0.0568863906 1.0554863906 0.0554863906 0.0279 0.0528 -0.0315 0.038
6/1/18 99.279999 102.690002 97.260002 98.610001 95.154778 602585200 6/1/18 0.0019973126 1.0005973126 0.0005973126 0.0062 0.0119 -0.0231 -0.0238
7/1/18 98.099998 111.150002 98 106.080002 102.363037 569352300 7/1/18 0.0757529906 1.0741529906 0.0741529906 0.0335 -0.0221 0.0057 -0.0167
8/1/18 106.029999 112.779999 104.839996 112.330002 108.394028 456628100 8/1/18 0.0589176638 1.0573176638 0.0573176638 0.036 0.0115 -0.0392 0.0522
9/1/18 110.849998 115.290001 107.230003 114.370003 110.787262 480255500 9/1/18 0.0220790208 1.0205790208 0.0205790208 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 114.75 116.18 100.110001 106.809998 103.464081 927548000 10/1/18 -0.0661012906 0.9319987094 -0.0680012906 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 107.050003 112.239998 99.349998 110.889999 107.41629 720228600 11/1/18 0.0381988509 1.0363988509 0.0363988509 0.0187 -0.0071 0.0034 -0.0133
12/1/18 113 113.419998 93.959999 101.57 98.813278 944314600 12/1/18 -0.0800903848 0.9180096152 -0.0819903848 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 99.550003 107.900002 97.199997 104.43 101.595657 714212800 1/1/19 0.0281579465 1.0260579465 0.0260579465 0.0862 0.0289 -0.0046 -0.0865
2/1/19 103.779999 113.239998 102.349998 112.029999 108.989388 469095900 2/1/19 0.0727760538 1.0709760538 0.0709760538 0.0358 0.0212 -0.0271 0.0086
3/1/19 112.889999 120.82 108.800003 117.940002 115.228996 589095800 3/1/19 0.0572496838 1.0553496838 0.0553496838 0.0129 -0.0305 -0.0419 0.0214
4/1/19 118.949997 131.369995 118.099998 130.600006 127.598007 433157700 4/1/19 0.1073428688 1.1052428688 0.1052428688 0.0417 -0.0175 0.0202 -0.0255
5/1/19 130.529999 130.649994 123.040001 123.68 120.837059 547218800 5/1/19 -0.0529863135 0.9449136865 -0.0550863135 -0.0673 -0.0118 -0.0228 0.076
6/1/19 123.849998 138.399994 119.010002 133.960007 131.365234 508324300 6/1/19 0.0871270377 1.0853270377 0.0853270377 0.0711 0.0022 -0.0079 -0.0214
7/1/19 136.630005 141.679993 134.669998 136.270004 133.630493 484079900 7/1/19 0.0172439764 1.0153439764 0.0153439764 0.0138 -0.0208 0.0034 0.0272
8/1/19 137 140.940002 130.779999 137.860001 135.189682 584482000 8/1/19 0.0116679133 1.0100679133 0.0100679133 -0.0242 -0.024 -0.0485 0.0764
9/1/19 136.610001 142.369995 134.509995 139.029999 136.791 472544800 9/1/19 0.011844972 1.010044972 0.010044972 0.0161 -0.0105 0.0677 -0.0685
10/1/19 139.660004 145.669998 133.220001 143.369995 141.061111 549523400 10/1/19 0.0312163154 1.0297163154 0.0297163154 0.0221 0.0024 -0.0188 0.0029
11/1/19 144.259995 152.5 142.970001 151.380005 148.942123 392371800 11/1/19 0.0558694877 1.0546694877 0.0546694877 0.0399 0.0091 -0.0205 -0.026
12/1/19 151.809998 159.550003 146.649994 157.699997 155.688324 450303300 12/1/19 0.0452941107 1.0438941107 0.0438941107 0.0291 0.0067 0.0191 -0.0227
1/1/20 158.779999 174.050003 156.509995 170.229996 168.058472 558530000 1/1/20 0.0794545646 1.0781545646 0.0781545646 0.0002 -0.0308 -0.0627 0.0543
2/1/20 170.429993 190.699997 152 162.009995 159.943344 887625300 2/1/20 -0.048287527 0.950512473 -0.049487527 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 165.309998 175 132.520004 157.710007 156.123474 1612695500 3/1/20 -0.0238826443 0.9749173557 -0.0250826443 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 153 180.399994 150.360001 179.210007 177.407196 984810800 4/1/20 0.1363262132 1.1363262132 0.1363262132 0.1365 0.0275 -0.0139 -0.0549
5/1/20 175.800003 187.509995 173.800003 183.25 181.40654 688938200 5/1/20 0.022543302 1.022443302 0.022443302 0.0559 0.0249 -0.0505 0.0067
6/1/20 182.539993 204.399994 181.350006 203.509995 202.023819 764965400 6/1/20 0.1136523468 1.1135523468 0.1135523468 0.0247 0.0271 -0.0235 -0.0075
7/1/20 203.139999 216.380005 197.509995 205.009995 203.512848 770510200 7/1/20 0.0073705616 1.0072705616 0.0072705616 0.0578 -0.0218 -0.0139 0.0761
8/1/20 211.520004 231.149994 203.139999 225.529999 223.882996 692504400 8/1/20 0.100092688 1.099992688 0.099992688 0.0764 -0.0025 -0.0294 0.0051
9/1/20 225.509995 232.860001 196.25 210.330002 209.298721 768242000 9/1/20 -0.065142397 0.934757603 -0.065242397 -0.0362 0.0006 -0.0251 0.0305
10/1/20 213.490005 225.210007 199.619995 202.470001 201.47728 631648000 10/1/20 -0.0373697506 0.9625302494 -0.0374697506 -0.0209 0.0444 0.0403 -0.0303
11/1/20 204.289993 228.119995 200.119995 214.070007 213.020401 573443000 11/1/20 0.0572924203 1.0571924203 0.0571924203 0.1248 0.0548 0.0211 -0.1225
12/1/20 214.509995 227.179993 209.110001 222.419998 221.908905 594806000 12/1/20 0.0417260692 1.0416260692 0.0416260692 0.0464 0.0491 -0.0146 -0.0234

MU

MU
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 35.240002 35.52 28.51 29.27 29.27 610506500 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 29.25 32.84 28.09 30.67 30.67 434426600 2/1/15 0.0478305432 1.0478305432 0.0478305432 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 31.08 31.5 25.610001 27.129999 27.129999 544654100 3/1/15 -0.1154222693 0.8845777307 -0.1154222693 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.593993176
4/1/15 27.129999 29.780001 26.4 28.129999 28.129999 436295800 4/1/15 0.0368595664 1.0368595664 0.0368595664 0.0059 -0.0304 0.0188 -0.0732 R Square 0.3528278931
5/1/15 28.309999 29.25 26.01 27.93 27.93 429768300 5/1/15 -0.0071098118 0.9928901882 -0.0071098118 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.3141907524
6/1/15 27.959999 28.530001 18.549999 18.84 18.84 703906000 6/1/15 -0.3254564984 0.6745435016 -0.3254564984 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1005839359
7/1/15 19.049999 20.57 17.139999 18.51 18.51 864703900 7/1/15 -0.0175159236 0.9824840764 -0.0175159236 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 18.610001 19.469999 13.5 16.41 16.41 699121500 8/1/15 -0.113452188 0.886547812 -0.113452188 -0.0604 0.0044 0.0273 -0.0209
9/1/15 15.8 17.969999 13.92 14.98 14.98 541386300 9/1/15 -0.0871419866 0.9128580134 -0.0871419866 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 14.99 19.299999 14.5 16.559999 16.559999 697300400 10/1/15 0.1054738985 1.1054738985 0.1054738985 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 16.959999 18.049999 14.65 15.93 15.93 370952400 11/1/15 -0.0380434202 0.9619565798 -0.0380434202 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.3695516746 0.0923879187 9.1318323943 0.0000059847
12/1/15 16.18 16.629999 13.51 14.16 14.16 503575500 12/1/15 -0.1111111111 0.8887888889 -0.1112111111 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.6778475866 0.0101171282
1/1/16 13.83 15.08 9.31 11.03 11.03 651121100 1/1/16 -0.2210451977 0.7788548023 -0.2211451977 -0.0576 -0.0336 0.0201 0.0134 Total 71 1.0473992613
2/1/16 11 11.75 9.45 10.63 10.63 461446600 2/1/16 -0.0362647325 0.9635352675 -0.0364647325 -0.0006 0.0083 -0.006 -0.0406
3/1/16 10.77 12.29 10.01 10.47 10.47 527818500 3/1/16 -0.0150517404 0.9847482596 -0.0152517404 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 10.28 12.41 10.05 10.75 10.75 517968600 4/1/16 0.0267430755 1.0266430755 0.0266430755 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0050785001 0.0127755745 0.3975163795 0.6922503593 -0.0204216533 0.0305786536 -0.0204216533 0.0305786536
5/1/16 10.8 12.91 9.35 12.72 12.72 561794500 5/1/16 0.183255814 1.183155814 0.183155814 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.1869336179 0.305245585 3.8884546612 0.0002342567 0.5776608802 1.7962063556 0.5776608802 1.7962063556
6/1/16 12.61 14.16 11.58 13.76 13.76 697596600 6/1/16 0.0817610063 1.0815610063 0.0815610063 -0.0003 0.0064 -0.014 0.0411 X Variable 2 1.1166451377 0.5188204717 2.1522765556 0.0349818185 0.081075142 2.1522151334 0.081075142 2.1522151334
7/1/16 12.58 14.89 11.5 13.74 13.74 612699700 7/1/16 -0.0014534884 0.9983465116 -0.0016534884 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.0588834105 0.464374267 -0.1268016224 0.8994771907 -0.9857783268 0.8680115059 -0.9857783268 0.8680115059
8/1/16 13.81 17.25 13.02 16.49 16.49 529876300 8/1/16 0.2001455604 1.1999455604 0.1999455604 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.112902846 0.3955779509 -0.2854123838 0.7762087074 -0.9024797407 0.6766740488 -0.9024797407 0.6766740488
9/1/16 16.610001 18.16 16.299999 17.780001 17.780001 541893500 9/1/16 0.0782292905 1.0780292905 0.0780292905 0.0027 0.0204 -0.0121 -0.0053
10/1/16 17.99 18.33 16.17 17.16 17.16 539021800 10/1/16 -0.0348706955 0.9649293045 -0.0350706955 -0.02 -0.0443 0.0407 0.0069
11/1/16 17.200001 20.440001 16.450001 19.530001 19.530001 537962500 11/1/16 0.1381119464 1.1380119464 0.1380119464 0.0487 0.0547 0.0822 -0.0407
12/1/16 19.700001 23.639999 18.18 21.92 21.92 631648600 12/1/16 0.1223757746 1.1220757746 0.1220757746 0.0184 0.0011 0.0351 -0.0038
1/1/17 22.07 24.24 21.49 24.110001 24.110001 446792700 1/1/17 0.0999088047 1.0995088047 0.0995088047 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 24.43 25.309999 22.639999 23.440001 23.440001 485701900 2/1/17 -0.0277892979 0.9718107021 -0.0281892979 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 24.16 29.870001 24.07 28.9 28.9 728136900 3/1/17 0.232935101 1.232635101 0.232635101 0.002 0.0117 -0.0333 -0.0092
4/1/17 28.950001 29.040001 26.360001 27.67 27.67 460534300 4/1/17 -0.0425605536 0.9569394464 -0.0430605536 0.0114 0.0072 -0.0211 0.0044
5/1/17 27.85 31.1 26.959999 30.77 30.77 509130600 5/1/17 0.1120346946 1.1114346946 0.1114346946 0.0112 -0.0261 -0.0367 0.0146
6/1/17 30.75 32.959999 29.209999 29.860001 29.860001 772196700 6/1/17 -0.0295742281 0.9698257719 -0.0301742281 0.0084 0.0215 0.0145 -0.0032
7/1/17 30.09 32.349998 27.870001 28.120001 28.120001 562428900 7/1/17 -0.0582719337 0.9410280663 -0.0589719337 0.0194 -0.0147 -0.0036 0.0166
8/1/17 28.219999 32.02 26.85 31.969999 31.969999 543420400 8/1/17 0.136913153 1.136013153 0.136013153 0.0025 -0.0162 -0.0219 0.0355
9/1/17 32.130001 39.360001 31.65 39.330002 39.330002 731488700 9/1/17 0.2302159284 1.2293159284 0.2293159284 0.026 0.0447 0.0314 -0.0118
10/1/17 39.599998 44.57 38.810001 44.310001 44.310001 834077600 10/1/17 0.1266208682 1.1257208682 0.1257208682 0.0234 -0.0195 0.0012 0.043
11/1/17 44.790001 49.889999 41.860001 42.389999 42.389999 695153200 11/1/17 -0.0433311207 0.9558688793 -0.0441311207 0.032 -0.0058 -0.0009 -0.0071
12/1/17 41.73 46.799999 39.07 41.119999 41.119999 895252000 12/1/17 -0.0299598969 0.9691401031 -0.0308598969 0.0115 -0.0129 0.0017 -0.0163
1/1/18 41.540001 46.98 41.189999 43.720001 43.720001 831013900 1/1/18 0.0632296222 1.0621296222 0.0621296222 0.0569 -0.0309 -0.0132 0.0394
2/1/18 43.040001 49.459999 37.52 48.810001 48.810001 831358900 2/1/18 0.1164226872 1.1153226872 0.1153226872 -0.0354 0.003 -0.0101 0.0397
3/1/18 48.77 63.419998 45.950001 52.139999 52.139999 1549894000 3/1/18 0.0682236823 1.0670236823 0.0670236823 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 51.540001 54.27 45.32 45.98 45.98 1075226000 4/1/18 -0.118143443 0.880456557 -0.119543443 0.0043 0.0113 0.005 0.0027
5/1/18 45.59 64.660004 45.330002 57.59 57.59 1159858400 5/1/18 0.2525010874 1.2511010874 0.2511010874 0.0279 0.0528 -0.0315 0.038
6/1/18 58.810001 62.549999 51.790001 52.439999 52.439999 1034243300 6/1/18 -0.0894252648 0.9091747352 -0.0908252648 0.0062 0.0119 -0.0231 -0.0238
7/1/18 51.52 58.150002 50.099998 52.790001 52.790001 730418300 7/1/18 0.0066743327 1.0050743327 0.0050743327 0.0335 -0.0221 0.0057 -0.0167
8/1/18 52.66 53.68 45.619999 52.52 52.52 696140700 8/1/18 -0.0051146239 0.9932853761 -0.0067146239 0.036 0.0115 -0.0392 0.0522
9/1/18 52.139999 52.299999 40.68 45.23 45.23 880109200 9/1/18 -0.138804265 0.859695735 -0.140304265 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 45.439999 46.689999 33.82 37.720001 37.720001 821867500 10/1/18 -0.1660402167 0.8320597833 -0.1679402167 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 37.98 41.43 34.049999 38.560001 38.560001 560230000 11/1/18 0.0222693525 1.0204693525 0.0204693525 0.0187 -0.0071 0.0034 -0.0133
12/1/18 40.200001 40.240002 28.389999 31.73 31.73 739529700 12/1/18 -0.1771265774 0.8209734226 -0.1790265774 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 31 39.310001 30.75 38.220001 38.220001 771128400 1/1/19 0.2045383234 1.2024383234 0.2024383234 0.0862 0.0289 -0.0046 -0.0865
2/1/19 38.310001 43.990002 37.360001 40.880001 40.880001 610094300 2/1/19 0.0695970678 1.0677970678 0.0677970678 0.0358 0.0212 -0.0271 0.0086
3/1/19 41.639999 44.209999 36.57 41.330002 41.330002 684548300 3/1/19 0.011007852 1.009107852 0.009107852 0.0129 -0.0305 -0.0419 0.0214
4/1/19 42.27 44.849998 40.77 42.060001 42.060001 482889100 4/1/19 0.0176626897 1.0155626897 0.0155626897 0.0417 -0.0175 0.0202 -0.0255
5/1/19 42.43 43.380001 32.169998 32.610001 32.610001 566679000 5/1/19 -0.2246790246 0.7732209754 -0.2267790246 -0.0673 -0.0118 -0.0228 0.076
6/1/19 32.950001 39.400002 32.139999 38.59 38.59 636770700 6/1/19 0.1833792952 1.1815792952 0.1815792952 0.0711 0.0022 -0.0079 -0.0214
7/1/19 41.16 48.700001 38.799999 44.889999 44.889999 671561700 7/1/19 0.1632547033 1.1613547033 0.1613547033 0.0138 -0.0208 0.0034 0.0272
8/1/19 45 45.959999 40.700001 45.27 45.27 501560900 8/1/19 0.0084651595 1.0068651595 0.0068651595 -0.0242 -0.024 -0.0485 0.0764
9/1/19 44.599998 51.389999 42.580002 42.849998 42.849998 496512600 9/1/19 -0.0534570797 0.9447429203 -0.0552570797 0.0161 -0.0105 0.0677 -0.0685
10/1/19 43.099998 49.169998 41.75 47.549999 47.549999 420844300 10/1/19 0.1096849759 1.1081849759 0.1081849759 0.0221 0.0024 -0.0188 0.0029
11/1/19 47.48 49.900002 45.040001 47.509998 47.509998 318007000 11/1/19 -0.0008412408 0.9979587592 -0.0020412408 0.0399 0.0091 -0.0205 -0.026
12/1/19 47.57 56.110001 44.549999 53.779999 53.779999 509033300 12/1/19 0.131972243 1.130572243 0.130572243 0.0291 0.0067 0.0191 -0.0227
1/1/20 54.849998 60.560001 52.700001 53.09 53.09 511028800 1/1/20 -0.01283003 0.98586997 -0.01413003 0.0002 -0.0308 -0.0627 0.0543
2/1/20 53.25 61.189999 48.389999 52.560001 52.560001 511624700 2/1/20 -0.0099830288 0.9888169712 -0.0111830288 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 53.200001 55.610001 31.129999 42.060001 42.060001 826348600 3/1/20 -0.1997716857 0.7990283143 -0.2009716857 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 40.549999 50.139999 39.330002 47.889999 47.889999 595508000 4/1/20 0.1386114565 1.1386114565 0.1386114565 0.1365 0.0275 -0.0139 -0.0549
5/1/20 46.360001 49.580002 42.509998 47.91 47.91 493406800 5/1/20 0.0004176446 1.0003176446 0.0003176446 0.0559 0.0249 -0.0505 0.0067
6/1/20 47.490002 54.82 45.57 51.52 51.52 519296700 6/1/20 0.0753496139 1.0752496139 0.0752496139 0.0247 0.0271 -0.0235 -0.0075
7/1/20 51.52 54.200001 47.950001 50.060001 50.060001 403363600 7/1/20 -0.0283384899 0.9715615101 -0.0284384899 0.0578 -0.0218 -0.0139 0.0761
8/1/20 50.389999 51.48 42.25 45.509998 45.509998 390960300 8/1/20 -0.090890989 0.909009011 -0.090990989 0.0764 -0.0025 -0.0294 0.0051
9/1/20 45.529999 52.169998 44.450001 46.959999 46.959999 454195400 9/1/20 0.0318611528 1.0317611528 0.0317611528 -0.0362 0.0006 -0.0251 0.0305
10/1/20 47.099998 54.849998 46.5 50.34 50.34 351353800 10/1/20 0.0719761727 1.0718761727 0.0718761727 -0.0209 0.0444 0.0403 -0.0303
11/1/20 50.790001 65.25 49.439999 64.089996 64.089996 324978800 11/1/20 0.2731425507 1.2730425507 0.2730425507 0.1248 0.0548 0.0211 -0.1225
12/1/20 65.25 75.68 65.139999 75.18 75.18 359217200 12/1/20 0.1730379886 1.1729379886 0.1729379886 0.0464 0.0491 -0.0146 -0.0234

MVIS

MVIS
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 1.76 2.16 1.72 2 2 7444000 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 2.03 2.25 1.92 2.19 2.19 4166300 2/1/15 0.095 1.095 0.095 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 2.22 4.23 2.03 3.43 3.43 54509700 3/1/15 0.5662100457 1.5662100457 0.5662100457 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5527115128
4/1/15 3.36 3.88 3.05 3.25 3.25 16698200 4/1/15 -0.0524781341 0.9475218659 -0.0524781341 0.0059 -0.0304 0.0188 -0.0732 R Square 0.3054900163
5/1/15 3.28 3.48 2.86 3.23 3.23 10048200 5/1/15 -0.0061538462 0.9938461538 -0.0061538462 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2640267337
6/1/15 3.25 3.45 2.9 3 3 7541900 6/1/15 -0.0712074303 0.9287925697 -0.0712074303 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.3013621433
7/1/15 3.01 3.4 2.56 3.05 3.05 7487900 7/1/15 0.0166666667 1.0166666667 0.0166666667 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 3.03 3.42 2.8 3.16 3.16 5282600 8/1/15 0.0360655738 1.0360655738 0.0360655738 -0.0604 0.0044 0.0273 -0.0209
9/1/15 3.12 3.54 3.06 3.19 3.19 5396200 9/1/15 0.0094936709 1.0094936709 0.0094936709 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 3.17 3.47 2.9 2.95 2.95 7227100 10/1/15 -0.0752351097 0.9247648903 -0.0752351097 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 2.84 2.98 2.2 2.51 2.51 7076700 11/1/15 -0.1491525424 0.8508474576 -0.1491525424 0.0056 0.0368 -0.0049 0.0221 Regression 4 2.676521418 0.6691303545 7.3677238546 0.0000558163
12/1/15 2.62 3.05 2.5 2.86 2.86 3626900 12/1/15 0.1394422311 1.1393422311 0.1393422311 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 6.0848824735 0.0908191414
1/1/16 2.87 2.98 2.28 2.84 2.84 3459400 1/1/16 -0.006993007 0.992906993 -0.007093007 -0.0576 -0.0336 0.0201 0.0134 Total 71 8.7614038915
2/1/16 2.85 3.08 2.54 2.95 2.95 3874500 2/1/16 0.0387323944 1.0385323944 0.0385323944 -0.0006 0.0083 -0.006 -0.0406
3/1/16 2.93 3 1.65 1.87 1.87 9675400 3/1/16 -0.3661016949 0.6336983051 -0.3663016949 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 1.87 2.21 1.72 2.16 2.16 4103900 4/1/16 0.1550802139 1.1549802139 0.1549802139 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0135793446 0.0382772307 0.3547629847 0.7238814219 -0.0628223276 0.0899810168 -0.0628223276 0.0899810168
5/1/16 2.17 2.21 1.8 1.9 1.9 4094800 5/1/16 -0.1203703704 0.8795296296 -0.1204703704 0.0179 -0.0027 -0.016 0.0214 X Variable 1 2.4247851706 0.9145542269 2.6513301228 0.009997047 0.5993272936 4.2502430477 0.5993272936 4.2502430477
6/1/16 1.92 1.98 1.64 1.68 1.68 3220400 6/1/16 -0.1157894737 0.8840105263 -0.1159894737 -0.0003 0.0064 -0.014 0.0411 X Variable 2 5.420341562 1.554451493 3.4869801897 0.0008672768 2.317643396 8.523039728 2.317643396 8.523039728
7/1/16 1.7 2.07 1.53 1.56 1.56 5451900 7/1/16 -0.0714285714 0.9283714286 -0.0716285714 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -1.6562984553 1.3913238049 -1.1904478666 0.2380712737 -4.433392393 1.1207954824 -4.433392393 1.1207954824
8/1/16 1.56 1.65 1.33 1.51 1.51 4913700 8/1/16 -0.0320512821 0.9677487179 -0.0322512821 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.4365885385 1.185201375 0.3683665474 0.7137612876 -1.9290833073 2.8022603843 -1.9290833073 2.8022603843
9/1/16 1.53 1.55 1.3 1.38 1.38 4079800 9/1/16 -0.0860927152 0.9137072848 -0.0862927152 0.0027 0.0204 -0.0121 -0.0053
10/1/16 1.39 1.41 0.98 1.02 1.02 3851700 10/1/16 -0.2608695652 0.7389304348 -0.2610695652 -0.02 -0.0443 0.0407 0.0069
11/1/16 1.02 1.85 0.89 1.65 1.65 8970600 11/1/16 0.6176470588 1.6175470588 0.6175470588 0.0487 0.0547 0.0822 -0.0407
12/1/16 1.65 1.71 1.01 1.26 1.26 17615800 12/1/16 -0.2363636364 0.7633363636 -0.2366636364 0.0184 0.0011 0.0351 -0.0038
1/1/17 1.28 1.5 1.15 1.35 1.35 8365200 1/1/17 0.0714285714 1.0710285714 0.0710285714 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 1.35 1.94 1.33 1.6 1.6 11300500 2/1/17 0.1851851852 1.1847851852 0.1847851852 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 1.65 2.75 1.49 2.49 2.49 31352400 3/1/17 0.55625 1.55595 0.55595 0.002 0.0117 -0.0333 -0.0092
4/1/17 2.49 2.94 2 2.25 2.25 28394900 4/1/17 -0.0963855422 0.9031144578 -0.0968855422 0.0114 0.0072 -0.0211 0.0044
5/1/17 2.25 2.35 1.93 1.97 1.97 15280500 5/1/17 -0.1244444444 0.8749555556 -0.1250444444 0.0112 -0.0261 -0.0367 0.0146
6/1/17 1.99 2.36 1.74 2.12 2.12 22248800 6/1/17 0.076142132 1.075542132 0.075542132 0.0084 0.0215 0.0145 -0.0032
7/1/17 2.28 2.49 2.11 2.27 2.27 8925000 7/1/17 0.070754717 1.070054717 0.070054717 0.0194 -0.0147 -0.0036 0.0166
8/1/17 2.3 2.61 2 2.37 2.37 15046400 8/1/17 0.0440528634 1.0431528634 0.0431528634 0.0025 -0.0162 -0.0219 0.0355
9/1/17 2.44 3.25 2.26 2.78 2.78 23066700 9/1/17 0.1729957806 1.1720957806 0.1720957806 0.026 0.0447 0.0314 -0.0118
10/1/17 2.77 2.88 2.2 2.21 2.21 8587000 10/1/17 -0.2050359712 0.7940640288 -0.2059359712 0.0234 -0.0195 0.0012 0.043
11/1/17 2.24 2.26 1.36 1.69 1.69 18502500 11/1/17 -0.2352941176 0.7639058824 -0.2360941176 0.032 -0.0058 -0.0009 -0.0071
12/1/17 1.69 1.8 1.5 1.63 1.63 8230800 12/1/17 -0.0355029586 0.9635970414 -0.0364029586 0.0115 -0.0129 0.0017 -0.0163
1/1/18 1.63 1.85 1.12 1.19 1.19 19532900 1/1/18 -0.2699386503 0.7289613497 -0.2710386503 0.0569 -0.0309 -0.0132 0.0394
2/1/18 1.19 1.28 1.05 1.1 1.1 10106400 2/1/18 -0.0756302521 0.9232697479 -0.0767302521 -0.0354 0.003 -0.0101 0.0397
3/1/18 1.1 1.33 1.03 1.13 1.13 8719800 3/1/18 0.0272727273 1.0260727273 0.0260727273 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 1.14 1.45 1 1.28 1.28 9152700 4/1/18 0.1327433628 1.1313433628 0.1313433628 0.0043 0.0113 0.005 0.0027
5/1/18 1.28 1.8 1.26 1.63 1.63 11838100 5/1/18 0.2734375 1.2720375 0.2720375 0.0279 0.0528 -0.0315 0.038
6/1/18 1.64 1.64 1.04 1.12 1.12 32280300 6/1/18 -0.3128834356 0.6857165644 -0.3142834356 0.0062 0.0119 -0.0231 -0.0238
7/1/18 1.12 1.14 0.89 0.9 0.9 12592800 7/1/18 -0.1964285714 0.8019714286 -0.1980285714 0.0335 -0.0221 0.0057 -0.0167
8/1/18 0.99 1.08 0.9 1.07 1.07 11022000 8/1/18 0.1888888889 1.1872888889 0.1872888889 0.036 0.0115 -0.0392 0.0522
9/1/18 1.07 1.3 1.03 1.21 1.21 15005600 9/1/18 0.1308411215 1.1293411215 0.1293411215 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 1.22 1.44 0.99 1.08 1.08 13150200 10/1/18 -0.1074380165 0.8906619835 -0.1093380165 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 1.09 1.14 0.7 0.79 0.79 10111500 11/1/18 -0.2685185185 0.7296814815 -0.2703185185 0.0187 -0.0071 0.0034 -0.0133
12/1/18 0.82 0.85 0.51 0.6 0.6 15245000 12/1/18 -0.2405063291 0.7575936709 -0.2424063291 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 0.6 0.88 0.6 0.88 0.88 5772900 1/1/19 0.4666666667 1.4645666667 0.4645666667 0.0862 0.0289 -0.0046 -0.0865
2/1/19 0.9 1.44 0.87 1.14 1.14 9425400 2/1/19 0.2954545455 1.2936545455 0.2936545455 0.0358 0.0212 -0.0271 0.0086
3/1/19 1.21 1.26 0.87 0.97 0.97 10030700 3/1/19 -0.149122807 0.848977193 -0.151022807 0.0129 -0.0305 -0.0419 0.0214
4/1/19 0.98 1.22 0.88 1 1 11975300 4/1/19 0.0309278351 1.0288278351 0.0288278351 0.0417 -0.0175 0.0202 -0.0255
5/1/19 1 1.01 0.7 0.84 0.84 10890600 5/1/19 -0.16 0.8379 -0.1621 -0.0673 -0.0118 -0.0228 0.076
6/1/19 0.81 0.95 0.66 0.81 0.81 7796100 6/1/19 -0.0357142857 0.9624857143 -0.0375142857 0.0711 0.0022 -0.0079 -0.0214
7/1/19 0.81 0.92 0.64 0.64 0.64 8690500 7/1/19 -0.2098765432 0.7882234568 -0.2117765432 0.0138 -0.0208 0.0034 0.0272
8/1/19 0.65 0.76 0.55 0.61 0.61 10820500 8/1/19 -0.046875 0.951525 -0.048475 -0.0242 -0.024 -0.0485 0.0764
9/1/19 0.63 0.68 0.56 0.6 0.6 7314600 9/1/19 -0.0163934426 0.9818065574 -0.0181934426 0.0161 -0.0105 0.0677 -0.0685
10/1/19 0.6 0.84 0.57 0.74 0.74 9312700 10/1/19 0.2333333333 1.2318333333 0.2318333333 0.0221 0.0024 -0.0188 0.0029
11/1/19 0.75 1.03 0.65 0.79 0.79 18225800 11/1/19 0.0675675676 1.0663675676 0.0663675676 0.0399 0.0091 -0.0205 -0.026
12/1/19 0.8 0.82 0.63 0.72 0.72 8998600 12/1/19 -0.0886075949 0.9099924051 -0.0900075949 0.0291 0.0067 0.0191 -0.0227
1/1/20 0.72 0.8 0.63 0.65 0.65 9444100 1/1/20 -0.0972222222 0.9014777778 -0.0985222222 0.0002 -0.0308 -0.0627 0.0543
2/1/20 0.65 0.69 0.25 0.25 0.25 21028800 2/1/20 -0.6153846154 0.3834153846 -0.6165846154 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 0.26 0.44 0.15 0.17 0.17 38469300 3/1/20 -0.32 0.6788 -0.3212 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 0.17 0.57 0.17 0.35 0.35 210536900 4/1/20 1.0588235294 2.0588235294 1.0588235294 0.1365 0.0275 -0.0139 -0.0549
5/1/20 0.44 1.82 0.38 0.88 0.88 1207019300 5/1/20 1.5142857143 2.5141857143 1.5141857143 0.0559 0.0249 -0.0505 0.0067
6/1/20 0.87 1.9 0.84 1.36 1.36 254287000 6/1/20 0.5454545455 1.5453545455 0.5453545455 0.0247 0.0271 -0.0235 -0.0075
7/1/20 1.38 3.45 1.37 2.02 2.02 305696600 7/1/20 0.4852941176 1.4851941176 0.4851941176 0.0578 -0.0218 -0.0139 0.0761
8/1/20 2.07 3.04 1.25 1.58 1.58 209191500 8/1/20 -0.2178217822 0.7820782178 -0.2179217822 0.0764 -0.0025 -0.0294 0.0051
9/1/20 1.56 2.26 1.36 1.95 1.95 88607700 9/1/20 0.2341772152 1.2340772152 0.2340772152 -0.0362 0.0006 -0.0251 0.0305
10/1/20 1.97 2.89 1.7 1.73 1.73 151010200 10/1/20 -0.1128205128 0.8870794872 -0.1129205128 -0.0209 0.0444 0.0403 -0.0303
11/1/20 1.75 2.38 1.52 2.31 2.31 80358100 11/1/20 0.3352601156 1.3351601156 0.3351601156 0.1248 0.0548 0.0211 -0.1225
12/1/20 2.32 9.74 2.28 5.38 5.38 538584900 12/1/20 1.329004329 2.328904329 1.328904329 0.0464 0.0491 -0.0146 -0.0234

NLY

NLY
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 10.85 11.09 10.36 10.56 5.269891 158746900 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 10.54 10.83 10.37 10.62 5.299834 135110500 2/1/15 0.0056819012 1.0056819012 0.0056819012 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 10.62 10.93 10.29 10.4 5.190046 188710600 3/1/15 -0.0207153658 0.9792846342 -0.0207153658 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.6740629788
4/1/15 10.4 10.55 10.01 10.07 5.168669 155382900 4/1/15 -0.004118846 0.995881154 -0.004118846 0.0059 -0.0304 0.0188 -0.0732 R Square 0.4543608994
5/1/15 10.05 10.44 9.75 10.44 5.358581 188517600 5/1/15 0.0367429216 1.0367429216 0.0367429216 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.4217854307
6/1/15 10.45 10.46 9.19 9.19 4.716988 218702200 6/1/15 -0.1197318842 0.8802681158 -0.1197318842 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0622897971
7/1/15 9.24 10.08 9.17 9.95 5.268864 202077500 7/1/15 0.1169975417 1.1169975417 0.1169975417 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 9.96 10.53 9.72 10.06 5.327112 278520700 8/1/15 0.0110551345 1.0110551345 0.0110551345 -0.0604 0.0044 0.0273 -0.0209
9/1/15 9.98 10.59 9.69 9.87 5.226501 188331000 9/1/15 -0.0188865937 0.9811134063 -0.0188865937 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 9.9 10.35 9.81 9.95 5.425056 156516500 10/1/15 0.0379900434 1.0379900434 0.0379900434 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 9.95 10.04 9.42 9.58 5.22332 134097300 11/1/15 -0.0371859756 0.9628140244 -0.0371859756 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.2164731823 0.0541182956 13.9479466492 0.0000000249
12/1/15 9.6 9.81 8.98 9.38 5.114275 154252800 12/1/15 -0.0208765689 0.9790234311 -0.0209765689 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.2599612613 0.0038800188
1/1/16 9.32 9.69 8.25 9.5 5.344136 197924600 1/1/16 0.0449449824 1.0448449824 0.0448449824 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.4764344436
2/1/16 9.49 10.28 9.42 10.13 5.698536 177959100 2/1/16 0.0663156776 1.0661156776 0.0661156776 -0.0006 0.0083 -0.006 -0.0406
3/1/16 10.2 10.48 9.98 10.26 5.771667 169066200 3/1/16 0.0128332961 1.0126332961 0.0126332961 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 10.24 10.49 10.16 10.42 6.03561 178704700 4/1/16 0.0457308088 1.0456308088 0.0456308088 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0024687057 0.0079116803 0.312033049 0.7559844112 -0.0133230743 0.0182604857 -0.0133230743 0.0182604857
5/1/16 10.43 11.13 10.25 10.58 6.128287 211703000 5/1/16 0.0153550345 1.0152550345 0.0152550345 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.0745003751 0.189033024 5.6841939713 0.0000003113 0.6971888801 1.4518118701 0.6971888801 1.4518118701
6/1/16 10.58 11.07 10.57 11.07 6.412111 252519300 6/1/16 0.0463137578 1.0461137578 0.0461137578 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.2861046914 0.3212960562 -0.8904705981 0.3763997237 -0.9274143037 0.355204921 -0.9274143037 0.355204921
7/1/16 11.07 11.09 10.58 10.98 6.539135 208878400 7/1/16 0.0198100126 1.0196100126 0.0196100126 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.7089392772 0.2875785146 2.4652025137 0.0162623714 0.1349301595 1.2829483949 0.1349301595 1.2829483949
8/1/16 10.98 11.29 10.6 10.71 6.399222 176214500 8/1/16 -0.021396255 0.978403745 -0.021596255 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.0115119208 0.2449742107 -0.0469923784 0.9626590945 -0.500482492 0.4774586504 -0.500482492 0.4774586504
9/1/16 10.71 11.05 10.33 10.5 6.273747 178318400 9/1/16 -0.0196078523 0.9801921477 -0.0198078523 0.0027 0.0204 -0.0121 -0.0053
10/1/16 10.47 10.47 9.88 10.36 6.343888 137592600 10/1/16 0.0111800811 1.0109800811 0.0109800811 -0.02 -0.0443 0.0407 0.0069
11/1/16 10.36 10.43 9.95 10.22 6.25816 143387400 11/1/16 -0.0135134794 0.9863865206 -0.0136134794 0.0487 0.0547 0.0822 -0.0407
12/1/16 10.2 10.5 9.83 9.97 6.105075 176759900 12/1/16 -0.0244616629 0.9752383371 -0.0247616629 0.0184 0.0011 0.0351 -0.0038
1/1/17 10.02 10.33 9.95 10.22 6.447419 126342800 1/1/17 0.0560753144 1.0556753144 0.0556753144 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 10.21 11.11 10.18 11.1 7.002579 122263500 2/1/17 0.0861057735 1.0857057735 0.0857057735 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 11.01 11.37 10.63 11.11 7.008889 181307200 3/1/17 0.0009010966 1.0006010966 0.0006010966 0.002 0.0117 -0.0333 -0.0092
4/1/17 11.11 12.07 11.09 11.81 7.653503 154960200 4/1/17 0.0919709244 1.0914709244 0.0914709244 0.0114 0.0072 -0.0211 0.0044
5/1/17 11.84 11.98 11.19 11.98 7.763671 169780200 5/1/17 0.0143944544 1.0137944544 0.0137944544 0.0112 -0.0261 -0.0367 0.0146
6/1/17 11.95 12.73 11.87 12.05 7.809034 161757900 6/1/17 0.0058429833 1.0052429833 0.0052429833 0.0084 0.0215 0.0145 -0.0032
7/1/17 12.05 12.44 11.7 12.03 7.989844 260241000 7/1/17 0.0231539522 1.0224539522 0.0224539522 0.0194 -0.0147 -0.0036 0.0166
8/1/17 12.07 12.5 11.92 12.5 8.301999 182033400 8/1/17 0.0390689731 1.0381689731 0.0381689731 0.0025 -0.0162 -0.0219 0.0355
9/1/17 12.47 12.58 12.02 12.19 8.09611 141505200 9/1/17 -0.0247999307 0.9743000693 -0.0256999307 0.026 0.0447 0.0314 -0.0118
10/1/17 12.21 12.43 11.34 11.46 7.798745 274753300 10/1/17 -0.0367293676 0.9623706324 -0.0376293676 0.0234 -0.0195 0.0012 0.043
11/1/17 11.5 11.92 10.97 11.67 7.941653 185514800 11/1/17 0.0183244868 1.0175244868 0.0175244868 0.032 -0.0058 -0.0009 -0.0071
12/1/17 11.71 12.37 11.6 11.89 8.091367 159214500 12/1/17 0.0188517428 1.0179517428 0.0179517428 0.0115 -0.0129 0.0017 -0.0163
1/1/18 11.89 11.92 10.38 10.54 7.355023 208762300 1/1/18 -0.0910036586 0.9078963414 -0.0921036586 0.0569 -0.0309 -0.0132 0.0394
2/1/18 10.51 10.75 10.03 10.03 6.999135 192202700 2/1/18 -0.0483870683 0.9505129317 -0.0494870683 -0.0354 0.003 -0.0101 0.0397
3/1/18 10.06 10.72 10 10.43 7.278263 159386900 3/1/18 0.0398803566 1.0386803566 0.0386803566 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 10.4 10.57 10.22 10.37 7.447161 131986200 4/1/18 0.0232058116 1.0218058116 0.0218058116 0.0043 0.0113 0.005 0.0027
5/1/18 10.41 10.7 9.95 10.43 7.49025 203846900 5/1/18 0.0057859633 1.0043859633 0.0043859633 0.0279 0.0528 -0.0315 0.038
6/1/18 10.47 10.74 10.25 10.29 7.389711 167772100 6/1/18 -0.0134226494 0.9851773506 -0.0148226494 0.0062 0.0119 -0.0231 -0.0238
7/1/18 10.3 10.78 10.28 10.72 7.924275 142070700 7/1/18 0.0723389589 1.0707389589 0.0707389589 0.0335 -0.0221 0.0057 -0.0167
8/1/18 10.65 10.75 10.37 10.62 7.850355 209765000 8/1/18 -0.0093282982 0.9890717018 -0.0109282982 0.036 0.0115 -0.0392 0.0522
9/1/18 10.66 10.76 10.12 10.23 7.562066 383609400 9/1/18 -0.0367230527 0.9617769473 -0.0382230527 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 10.21 10.35 9.77 9.87 7.5086 237177600 10/1/18 -0.0070702901 0.9910297099 -0.0089702901 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 9.9 10.12 9.7 10.04 7.637928 223394900 11/1/18 0.0172239832 1.0154239832 0.0154239832 0.0187 -0.0071 0.0034 -0.0133
12/1/18 10.08 10.27 9.57 9.82 7.470562 275684400 12/1/18 -0.0219124873 0.9761875127 -0.0238124873 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 9.79 10.45 9.72 10.44 8.183632 441460500 1/1/19 0.0954506502 1.0933506502 0.0933506502 0.0862 0.0289 -0.0046 -0.0865
2/1/19 10.44 10.51 10.02 10.13 7.940631 252712300 2/1/19 -0.0296935395 0.9685064605 -0.0314935395 0.0358 0.0212 -0.0271 0.0086
3/1/19 10.11 10.41 9.98 9.99 7.830889 312964500 3/1/19 -0.0138203123 0.9842796877 -0.0157203123 0.0129 -0.0305 -0.0419 0.0214
4/1/19 10.01 10.18 9.96 10.09 8.147987 228751100 4/1/19 0.0404932314 1.0383932314 0.0383932314 0.0417 -0.0175 0.0202 -0.0255
5/1/19 10.1 10.15 8.74 8.81 7.114347 425975800 5/1/19 -0.1268583271 0.8710416729 -0.1289583271 -0.0673 -0.0118 -0.0228 0.076
6/1/19 8.99 9.35 8.95 9.13 7.372758 299376800 6/1/19 0.0363225184 1.0345225184 0.0345225184 0.0711 0.0022 -0.0079 -0.0214
7/1/19 9.14 9.73 9.05 9.55 7.925192 243934200 7/1/19 0.0749290835 1.0730290835 0.0730290835 0.0138 -0.0208 0.0034 0.0272
8/1/19 9.47 9.57 8.17 8.3 6.887864 344819600 8/1/19 -0.1308899519 0.8675100481 -0.1324899519 -0.0242 -0.024 -0.0485 0.0764
9/1/19 8.2 9.05 8.07 8.8 7.302795 319223800 9/1/19 0.0602408816 1.0584408816 0.0584408816 0.0161 -0.0105 0.0677 -0.0685
10/1/19 8.78 9.03 8.44 8.98 7.666067 285525900 10/1/19 0.0497442418 1.0482442418 0.0482442418 0.0221 0.0024 -0.0188 0.0029
11/1/19 8.98 9.35 8.9 9.33 7.964856 213171900 11/1/19 0.0389755268 1.0377755268 0.0377755268 0.0399 0.0091 -0.0205 -0.026
12/1/19 9.35 9.8 9.26 9.42 8.041688 219348000 12/1/19 0.0096463765 1.0082463765 0.0082463765 0.0291 0.0067 0.0191 -0.0227
1/1/20 9.43 9.85 9.37 9.76 8.551202 186338200 1/1/20 0.0633590858 1.0620590858 0.0620590858 0.0002 -0.0308 -0.0627 0.0543
2/1/20 9.76 10.5 8.52 8.86 7.762668 299629300 2/1/20 -0.0922132351 0.9065867649 -0.0934132351 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 9 9.72 3.51 5.07 4.442069 714394500 3/1/20 -0.4277651704 0.5710348296 -0.4289651704 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 4.77 6.75 3.83 6.25 5.708743 489879800 4/1/20 0.2851540577 1.2851540577 0.2851540577 0.1365 0.0275 -0.0139 -0.0549
5/1/20 6.06 6.6 5.48 6.16 5.626537 473983200 5/1/20 -0.0144000177 0.9854999823 -0.0145000177 0.0559 0.0249 -0.0505 0.0067
6/1/20 6.17 7.32 6.12 6.56 5.991896 499528700 6/1/20 0.064934968 1.064834968 0.064834968 0.0247 0.0271 -0.0235 -0.0075
7/1/20 6.51 7.63 6.29 7.41 7.00389 331264400 7/1/20 0.1688937859 1.1687937859 0.1687937859 0.0578 -0.0218 -0.0139 0.0761
8/1/20 7.44 7.72 7.27 7.35 6.947178 195707900 8/1/20 -0.0080972145 0.9918027855 -0.0081972145 0.0764 -0.0025 -0.0294 0.0051
9/1/20 7.35 7.67 7.01 7.12 6.729784 295753000 9/1/20 -0.0312924183 0.9686075817 -0.0313924183 -0.0362 0.0006 -0.0251 0.0305
10/1/20 7.14 7.4 6.92 7.09 6.905627 257914500 10/1/20 0.0261290704 1.0260290704 0.0260290704 -0.0209 0.0444 0.0403 -0.0303
11/1/20 7.14 8.27 7.11 8 7.791962 270786900 11/1/20 0.1283496777 1.1282496777 0.1282496777 0.1248 0.0548 0.0211 -0.1225
12/1/20 8.08 8.64 8.03 8.45 8.23026 264835300 12/1/20 0.0562500176 1.0561500176 0.0561500176 0.0464 0.0491 -0.0146 -0.0234

NOK

NOK
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 7.97 8.13 7.4 7.6 6.42007 269895100 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 7.58 8.09 7.49 8.01 6.766417 180910500 2/1/15 0.0539475426 1.0539475426 0.0539475426 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 8.01 8.14 7.58 7.58 6.403176 541332100 3/1/15 -0.0536829167 0.9463170833 -0.0536829167 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.374342839
4/1/15 7.57 8.37 6.53 6.58 5.55843 890588900 4/1/15 -0.1319260942 0.8680739058 -0.1319260942 0.0059 -0.0304 0.0188 -0.0732 R Square 0.1401325611
5/1/15 6.66 7.43 6.3 7.29 6.158199 462265100 5/1/15 0.1079025912 1.1079025912 0.1079025912 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.0887971916
6/1/15 7.33 7.48 6.74 6.85 5.930697 252665000 6/1/15 -0.0369429439 0.9630570561 -0.0369429439 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0901037227
7/1/15 6.97 7.1 6.26 7.05 6.103857 308544600 7/1/15 0.0291972428 1.0291972428 0.0291972428 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 7 7.03 5.71 6.24 5.402562 232658700 8/1/15 -0.1148937467 0.8851062533 -0.1148937467 -0.0604 0.0044 0.0273 -0.0209
9/1/15 6.11 6.83 6.06 6.78 5.870092 222191700 9/1/15 0.0865385719 1.0865385719 0.0865385719 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 6.73 7.47 6.53 7.42 6.424201 269918900 10/1/15 0.0943952838 1.0943952838 0.0943952838 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 7.45 7.63 7.09 7.21 6.242384 164684000 11/1/15 -0.0283018853 0.9716981147 -0.0283018853 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.0886477725 0.0221619431 2.7297468106 0.0362164979
12/1/15 7.39 7.48 6.79 7.02 6.077883 211456300 12/1/15 -0.0263522718 0.9735477282 -0.0264522718 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.543951616 0.0081186808
1/1/16 7.13 7.55 6.89 7.2 6.233726 343078300 1/1/16 0.0256410003 1.0255410003 0.0255410003 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.6325993885
2/1/16 6.38 6.4 5.78 6.03 5.220746 383618500 2/1/16 -0.1624999238 0.8373000762 -0.1626999238 -0.0006 0.0083 -0.006 -0.0406
3/1/16 6.1 6.19 5.74 5.91 5.11685 221266400 3/1/16 -0.0199006042 0.9798993958 -0.0201006042 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 5.76 6.31 5.71 5.87 5.082218 259100300 4/1/16 -0.0067682265 0.9931317735 -0.0068682265 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0136818929 0.01144444 -1.1955056615 0.2361037918 -0.0365250908 0.0091613051 -0.0365250908 0.0091613051
5/1/16 5.93 5.96 5.08 5.7 4.935033 384166700 5/1/16 -0.0289607805 0.9709392195 -0.0290607805 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.8069558388 0.2734409157 2.9511159174 0.0043598324 0.2611654867 1.3527461909 0.2611654867 1.3527461909
6/1/16 5.67 5.76 5.01 5.69 4.926375 270352300 6/1/16 -0.0017543956 0.9980456044 -0.0019543956 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.1116854938 0.464762643 0.2403065209 0.8108263972 -0.8159846243 1.0393556119 -0.8159846243 1.0393556119
7/1/16 5.64 5.99 5.22 5.77 5.276356 219194400 7/1/16 0.0710422978 1.0708422978 0.0708422978 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.1251495194 0.4159893903 -0.3008478636 0.7644621397 -0.9554678176 0.7051687789 -0.9554678176 0.7051687789
8/1/16 5.69 5.8 5.38 5.67 5.184911 287945100 8/1/16 -0.0173310899 0.9824689101 -0.0175310899 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.1275591614 0.3543612175 0.3599693058 0.7200023214 -0.579748789 0.8348671119 -0.579748789 0.8348671119
9/1/16 5.7 5.89 5.4 5.79 5.294645 209200500 9/1/16 0.0211641048 1.0209641048 0.0209641048 0.0027 0.0204 -0.0121 -0.0053
10/1/16 5.77 5.83 4.47 4.48 4.09672 289643400 10/1/16 -0.226252185 0.773547815 -0.226452185 -0.02 -0.0443 0.0407 0.0069
11/1/16 4.45 4.53 4.04 4.3 3.93212 257398800 11/1/16 -0.0401784843 0.9597215157 -0.0402784843 0.0487 0.0547 0.0822 -0.0407
12/1/16 4.3 4.99 4.2 4.81 4.398487 286529700 12/1/16 0.1186044678 1.1183044678 0.1183044678 0.0184 0.0011 0.0351 -0.0038
1/1/17 4.76 4.99 4.5 4.52 4.133298 241540100 1/1/17 -0.0602909591 0.9393090409 -0.0606909591 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 4.54 5.21 4.52 5.14 4.700254 263019200 2/1/17 0.1371679468 1.1367679468 0.1367679468 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 5.17 5.57 5.16 5.42 4.956299 252084200 3/1/17 0.0544747156 1.0541747156 0.0541747156 0.002 0.0117 -0.0333 -0.0092
4/1/17 5.38 5.78 5.17 5.73 5.239778 303862700 4/1/17 0.0571957019 1.0566957019 0.0566957019 0.0114 0.0072 -0.0211 0.0044
5/1/17 5.74 6.65 5.72 6.32 5.779302 423716100 5/1/17 0.1029669578 1.1023669578 0.1023669578 0.0112 -0.0261 -0.0367 0.0146
6/1/17 6.44 6.6 6.09 6.16 5.794237 328852800 6/1/17 0.0025842221 1.0019842221 0.0019842221 0.0084 0.0215 0.0145 -0.0032
7/1/17 6.18 6.48 6.11 6.39 6.01058 244570900 7/1/17 0.0373376167 1.0366376167 0.0366376167 0.0194 -0.0147 -0.0036 0.0166
8/1/17 6.5 6.59 6.12 6.18 5.813049 202247000 8/1/17 -0.0328638834 0.9662361166 -0.0337638834 0.0025 -0.0162 -0.0219 0.0355
9/1/17 6.26 6.29 5.83 5.98 5.624924 247043800 9/1/17 -0.0323625347 0.9667374653 -0.0332625347 0.026 0.0447 0.0314 -0.0118
10/1/17 5.95 6.11 4.75 4.89 4.599646 310766500 10/1/17 -0.1822741072 0.8168258928 -0.1831741072 0.0234 -0.0195 0.0012 0.043
11/1/17 4.92 5.14 4.79 5.01 4.71252 304102200 11/1/17 0.0245397146 1.0237397146 0.0237397146 0.032 -0.0058 -0.0009 -0.0071
12/1/17 4.95 4.97 4.51 4.66 4.383302 259955400 12/1/17 -0.0698602871 0.9292397129 -0.0707602871 0.0115 -0.0129 0.0017 -0.0163
1/1/18 4.72 5 4.68 4.81 4.524395 302259300 1/1/18 0.0321887472 1.0310887472 0.0310887472 0.0569 -0.0309 -0.0132 0.0394
2/1/18 5.35 5.95 5.23 5.8 5.455612 468407100 2/1/18 0.2058213308 1.2047213308 0.2047213308 -0.0354 0.003 -0.0101 0.0397
3/1/18 5.77 5.96 5.4 5.47 5.145206 278826800 3/1/18 -0.0568966415 0.9419033585 -0.0580966415 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 5.45 6.11 5.32 6.01 5.653143 332506700 4/1/18 0.09872044 1.09732044 0.09732044 0.0043 0.0113 0.005 0.0027
5/1/18 6 6.41 5.74 5.79 5.446206 320483600 5/1/18 -0.0366056546 0.9619943454 -0.0380056546 0.0279 0.0528 -0.0315 0.038
6/1/18 5.85 6.14 5.62 5.75 5.631187 292672700 6/1/18 0.0339651126 1.0325651126 0.0325651126 0.0062 0.0119 -0.0231 -0.0238
7/1/18 5.62 6.09 5.39 5.4 5.28842 377759500 7/1/18 -0.0608694046 0.9375305954 -0.0624694046 0.0335 -0.0221 0.0057 -0.0167
8/1/18 5.46 5.78 5.07 5.55 5.43532 223433700 8/1/18 0.0277776727 1.0261776727 0.0261776727 0.036 0.0115 -0.0392 0.0522
9/1/18 5.48 5.7 5.27 5.58 5.4647 203204800 9/1/18 0.0054053855 1.0039053855 0.0039053855 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 5.6 5.72 5.12 5.62 5.503873 436397200 10/1/18 0.0071683715 1.0052683715 0.0052683715 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 5.73 5.99 5.39 5.47 5.356973 320123600 11/1/18 -0.0266902961 0.9715097039 -0.0284902961 0.0187 -0.0071 0.0034 -0.0133
12/1/18 5.63 6.06 5.37 5.82 5.699741 518362200 12/1/18 0.0639853888 1.0620853888 0.0620853888 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 5.7 6.65 5.56 6.35 6.21879 590949500 1/1/19 0.091065366 1.088965366 0.088965366 0.0862 0.0289 -0.0046 -0.0865
2/1/19 6.26 6.35 5.95 6.09 5.964162 523843600 2/1/19 -0.0409449427 0.9572550573 -0.0427449427 0.0358 0.0212 -0.0271 0.0086
3/1/19 6.12 6.42 5.66 5.72 5.601807 583310400 3/1/19 -0.060755392 0.937344608 -0.062655392 0.0129 -0.0305 -0.0419 0.0214
4/1/19 5.78 5.96 5.2 5.28 5.170899 454757900 4/1/19 -0.0769230357 0.9209769643 -0.0790230357 0.0417 -0.0175 0.0202 -0.0255
5/1/19 5.31 5.34 4.71 5.05 4.945652 625935100 5/1/19 -0.0435605105 0.9543394895 -0.0456605105 -0.0673 -0.0118 -0.0228 0.076
6/1/19 5 5.19 4.93 5.01 4.960951 365827700 6/1/19 0.0030934243 1.0012934243 0.0012934243 0.0711 0.0022 -0.0079 -0.0214
7/1/19 5.04 5.77 4.98 5.41 5.357035 527812300 7/1/19 0.0798403371 1.0779403371 0.0779403371 0.0138 -0.0208 0.0034 0.0272
8/1/19 5.43 5.5 4.86 4.96 4.96 376301700 8/1/19 -0.0741146922 0.9242853078 -0.0757146922 -0.0242 -0.024 -0.0485 0.0764
9/1/19 4.89 5.33 4.84 5.06 5.06 322246300 9/1/19 0.0201612903 1.0183612903 0.0183612903 0.0161 -0.0105 0.0677 -0.0685
10/1/19 5.06 5.28 3.5 3.65 3.65 995741700 10/1/19 -0.2786561265 0.7198438735 -0.2801561265 0.0221 0.0024 -0.0188 0.0029
11/1/19 3.64 3.7 3.33 3.5 3.5 515083000 11/1/19 -0.0410958904 0.9577041096 -0.0422958904 0.0399 0.0091 -0.0205 -0.026
12/1/19 3.53 3.73 3.41 3.71 3.71 371559400 12/1/19 0.06 1.0586 0.0586 0.0291 0.0067 0.0191 -0.0227
1/1/20 3.84 4.24 3.81 3.88 3.88 595410900 1/1/20 0.0458221024 1.0445221024 0.0445221024 0.0002 -0.0308 -0.0627 0.0543
2/1/20 3.93 4.53 3.78 3.87 3.87 897587400 2/1/20 -0.0025773196 0.9962226804 -0.0037773196 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 3.91 3.96 2.34 3.1 3.1 855858000 3/1/20 -0.1989664083 0.7998335917 -0.2001664083 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 3.04 3.7 2.94 3.58 3.58 546827500 4/1/20 0.1548387097 1.1548387097 0.1548387097 0.1365 0.0275 -0.0139 -0.0549
5/1/20 3.53 3.98 3.28 3.95 3.95 421577300 5/1/20 0.1033519553 1.1032519553 0.1032519553 0.0559 0.0249 -0.0505 0.0067
6/1/20 4.14 4.54 4.07 4.4 4.4 746199900 6/1/20 0.1139240506 1.1138240506 0.1138240506 0.0247 0.0271 -0.0235 -0.0075
7/1/20 4.36 4.95 4.06 4.78 4.78 836737600 7/1/20 0.0863636364 1.0862636364 0.0862636364 0.0578 -0.0218 -0.0139 0.0761
8/1/20 4.96 5.14 4.86 4.9 4.9 525016600 8/1/20 0.0251046025 1.0250046025 0.0250046025 0.0764 -0.0025 -0.0294 0.0051
9/1/20 4.85 4.85 3.72 3.91 3.91 685035200 9/1/20 -0.2020408163 0.7978591837 -0.2021408163 -0.0362 0.0006 -0.0251 0.0305
10/1/20 3.91 4.34 3.21 3.37 3.37 723930200 10/1/20 -0.1381074169 0.8617925831 -0.1382074169 -0.0209 0.0444 0.0403 -0.0303
11/1/20 3.38 4.14 3.23 4.03 4.03 682482900 11/1/20 0.1958456973 1.1957456973 0.1957456973 0.1248 0.0548 0.0211 -0.1225
12/1/20 4.06 4.28 3.83 3.91 3.91 498538000 12/1/20 -0.0297766749 0.9701233251 -0.0298766749 0.0464 0.0491 -0.0146 -0.0234

OPK

OPK
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 10.03 12.32 9.81 12.13 12.13 58030800 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 12.27 15.23 11.7 14.56 14.56 97088500 2/1/15 0.2003297609 1.2003297609 0.2003297609 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 14.08 15.2 13.42 14.17 14.17 74361800 3/1/15 -0.0267857143 0.9732142857 -0.0267857143 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5084502952
4/1/15 14.24 15.13 13.71 13.76 13.76 40240400 4/1/15 -0.0289343684 0.9710656316 -0.0289343684 0.0059 -0.0304 0.0188 -0.0732 R Square 0.2585217027
5/1/15 13.84 18.290001 13.81 17.68 17.68 68032700 5/1/15 0.2848837209 1.2848837209 0.2848837209 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2142543417
6/1/15 17.92 19.200001 15.13 16.08 16.08 143697700 6/1/15 -0.0904977376 0.9095022624 -0.0904977376 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1772730667
7/1/15 16.25 17.51 15.93 16.370001 16.370001 85368300 7/1/15 0.0180348881 1.0180348881 0.0180348881 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 16.389999 16.540001 10.14 10.82 10.82 131824300 8/1/15 -0.3390348602 0.6609651398 -0.3390348602 -0.0604 0.0044 0.0273 -0.0209
9/1/15 10.53 11.32 8.23 8.41 8.41 129613200 9/1/15 -0.2227356747 0.7772643253 -0.2227356747 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 8.42 10.2 8.2 9.45 9.45 136407800 10/1/15 0.1236623068 1.1236623068 0.1236623068 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 9.5 11.43 9.45 10.94 10.94 95385000 11/1/15 0.1576719577 1.1576719577 0.1576719577 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.7341061831 0.1835265458 5.8400070994 0.0004298297
12/1/15 10.96 11.49 9.47 10.05 10.05 73084900 12/1/15 -0.0813528336 0.9185471664 -0.0814528336 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 2.1055245923 0.0314257402
1/1/16 9.92 10.19 7.12 8.04 8.04 97306900 1/1/16 -0.2 0.7999 -0.2001 -0.0576 -0.0336 0.0201 0.0134 Total 71 2.8396307754
2/1/16 7.94 9.52 7.42 9.3 9.3 69649400 2/1/16 0.1567164179 1.1565164179 0.1565164179 -0.0006 0.0083 -0.006 -0.0406
3/1/16 9.25 11.85 8.58 10.39 10.39 109040800 3/1/16 0.1172043011 1.1170043011 0.1170043011 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 10.25 11.39 10.13 10.75 10.75 65633100 4/1/16 0.0346487007 1.0345487007 0.0345487007 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0235245241 0.0225161727 -1.0447834274 0.2998779953 -0.068466993 0.0214179447 -0.068466993 0.0214179447
5/1/16 10.8 10.8 9.33 10.63 10.63 67232700 5/1/16 -0.0111627907 0.9887372093 -0.0112627907 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.7505349773 0.5379767701 3.2539229842 0.0017853672 0.6767288499 2.8243411048 0.6767288499 2.8243411048
6/1/16 10.53 10.67 8.71 9.34 9.34 91327500 6/1/16 -0.1213546566 0.8784453434 -0.1215546566 -0.0003 0.0064 -0.014 0.0411 X Variable 2 1.3790071888 0.9143895124 1.5081178975 0.1362255722 -0.4461219167 3.2041362944 -0.4461219167 3.2041362944
7/1/16 9.36 10.1 9.35 9.95 9.95 47500300 7/1/16 0.0653104925 1.0651104925 0.0651104925 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.7496745316 0.8184313896 -0.9159894661 0.3629576311 -2.3832704224 0.8839213592 -2.3832704224 0.8839213592
8/1/16 9.93 10.54 8.91 9.1 9.1 69092600 8/1/16 -0.0854271357 0.9143728643 -0.0856271357 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.3222867061 0.6971820686 -0.4622705038 0.6453850459 -1.7138679392 1.069294527 -1.7138679392 1.069294527
9/1/16 9.31 11.31 9.16 10.59 10.59 75806000 9/1/16 0.1637362637 1.1635362637 0.1635362637 0.0027 0.0204 -0.0121 -0.0053
10/1/16 10.59 10.91 9.13 9.42 9.42 60276600 10/1/16 -0.1104815864 0.8893184136 -0.1106815864 -0.02 -0.0443 0.0407 0.0069
11/1/16 9.35 10.97 8.92 10.39 10.39 81603700 11/1/16 0.1029723992 1.1028723992 0.1028723992 0.0487 0.0547 0.0822 -0.0407
12/1/16 10.44 12.15 9.03 9.3 9.3 128762900 12/1/16 -0.1049085659 0.8947914341 -0.1052085659 0.0184 0.0011 0.0351 -0.0038
1/1/17 9.16 9.55 8.3 8.69 8.69 94261400 1/1/17 -0.0655913978 0.9340086022 -0.0659913978 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 8.72 8.92 7.99 8.39 8.39 68376900 2/1/17 -0.0345224396 0.9650775604 -0.0349224396 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 8.61 8.64 7.13 8 8 126601800 3/1/17 -0.0464839094 0.9532160906 -0.0467839094 0.002 0.0117 -0.0333 -0.0092
4/1/17 8 8.04 7.11 7.77 7.77 65084900 4/1/17 -0.02875 0.97075 -0.02925 0.0114 0.0072 -0.0211 0.0044
5/1/17 7.82 7.82 6.07 6.14 6.14 102274800 5/1/17 -0.2097812098 0.7896187902 -0.2103812098 0.0112 -0.0261 -0.0367 0.0146
6/1/17 6.12 7.25 5.99 6.58 6.58 98140600 6/1/17 0.0716612378 1.0710612378 0.0710612378 0.0084 0.0215 0.0145 -0.0032
7/1/17 6.53 6.67 6 6.45 6.45 78858000 7/1/17 -0.0197568389 0.9795431611 -0.0204568389 0.0194 -0.0147 -0.0036 0.0166
8/1/17 6.5 6.54 5.85 6.4 6.4 95787100 8/1/17 -0.007751938 0.991348062 -0.008651938 0.0025 -0.0162 -0.0219 0.0355
9/1/17 6.41 7.24 5.85 6.86 6.86 121819600 9/1/17 0.071875 1.070975 0.070975 0.026 0.0447 0.0314 -0.0118
10/1/17 6.87 7.08 6.56 6.73 6.73 78860500 10/1/17 -0.0189504373 0.9801495627 -0.0198504373 0.0234 -0.0195 0.0012 0.043
11/1/17 6.77 6.8 4.5 5.25 5.25 120825500 11/1/17 -0.219910847 0.779289153 -0.220710847 0.032 -0.0058 -0.0009 -0.0071
12/1/17 5.23 5.35 4.79 4.9 4.9 73698900 12/1/17 -0.0666666667 0.9324333333 -0.0675666667 0.0115 -0.0129 0.0017 -0.0163
1/1/18 4.95 5.14 4.28 4.46 4.46 96553800 1/1/18 -0.0897959184 0.9091040816 -0.0908959184 0.0569 -0.0309 -0.0132 0.0394
2/1/18 4.43 4.51 3.39 3.39 3.39 94080400 2/1/18 -0.2399103139 0.7589896861 -0.2410103139 -0.0354 0.003 -0.0101 0.0397
3/1/18 3.41 3.71 2.66 3.17 3.17 114223100 3/1/18 -0.0648967552 0.9339032448 -0.0660967552 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 3.15 3.32 2.91 3.04 3.04 76812700 4/1/18 -0.0410094637 0.9575905363 -0.0424094637 0.0043 0.0113 0.005 0.0027
5/1/18 3.04 5.02 3.02 3.88 3.88 139991300 5/1/18 0.2763157895 1.2749157895 0.2749157895 0.0279 0.0528 -0.0315 0.038
6/1/18 3.92 4.94 3.9 4.7 4.7 131221900 6/1/18 0.2113402062 1.2099402062 0.2099402062 0.0062 0.0119 -0.0231 -0.0238
7/1/18 4.68 6.4 4.62 5.62 5.62 156096500 7/1/18 0.1957446809 1.1941446809 0.1941446809 0.0335 -0.0221 0.0057 -0.0167
8/1/18 5.51 6.16 5.16 5.92 5.92 99410600 8/1/18 0.0533807829 1.0517807829 0.0517807829 0.036 0.0115 -0.0392 0.0522
9/1/18 5.97 5.99 3.21 3.46 3.46 134079700 9/1/18 -0.4155405405 0.5829594595 -0.4170405405 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 3.42 3.9 3.08 3.38 3.38 95346800 10/1/18 -0.0231213873 0.9749786127 -0.0250213873 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 3.4 3.92 3 3.74 3.74 88261800 11/1/18 0.1065088757 1.1047088757 0.1047088757 0.0187 -0.0071 0.0034 -0.0133
12/1/18 3.77 3.83 2.34 3.01 3.01 121086200 12/1/18 -0.1951871658 0.8029128342 -0.1970871658 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 2.93 3.94 2.93 3.68 3.68 85120000 1/1/19 0.2225913621 1.2204913621 0.2204913621 0.0862 0.0289 -0.0046 -0.0865
2/1/19 3.58 3.75 2.47 2.55 2.55 136639300 2/1/19 -0.3070652174 0.6911347826 -0.3088652174 0.0358 0.0212 -0.0271 0.0086
3/1/19 2.56 2.8 2.4 2.61 2.61 109229600 3/1/19 0.0235294118 1.0216294118 0.0216294118 0.0129 -0.0305 -0.0419 0.0214
4/1/19 2.64 2.64 2.29 2.39 2.39 77508500 4/1/19 -0.0842911877 0.9136088123 -0.0863911877 0.0417 -0.0175 0.0202 -0.0255
5/1/19 2.38 2.5 1.73 1.79 1.79 119900100 5/1/19 -0.2510460251 0.7468539749 -0.2531460251 -0.0673 -0.0118 -0.0228 0.076
6/1/19 1.77 2.48 1.76 2.44 2.44 95890200 6/1/19 0.3631284916 1.3613284916 0.3613284916 0.0711 0.0022 -0.0079 -0.0214
7/1/19 2.5 2.53 2.02 2.11 2.11 69691900 7/1/19 -0.1352459016 0.8628540984 -0.1371459016 0.0138 -0.0208 0.0034 0.0272
8/1/19 2.13 2.17 1.75 1.84 1.84 81019100 8/1/19 -0.1279620853 0.8704379147 -0.1295620853 -0.0242 -0.024 -0.0485 0.0764
9/1/19 1.81 2.3 1.79 2.09 2.09 67428400 9/1/19 0.1358695652 1.1340695652 0.1340695652 0.0161 -0.0105 0.0677 -0.0685
10/1/19 2.09 2.43 1.33 1.42 1.42 156297800 10/1/19 -0.3205741627 0.6779258373 -0.3220741627 0.0221 0.0024 -0.0188 0.0029
11/1/19 1.44 1.68 1.42 1.59 1.59 103416600 11/1/19 0.1197183099 1.1185183099 0.1185183099 0.0399 0.0091 -0.0205 -0.026
12/1/19 1.61 1.68 1.44 1.47 1.47 94378200 12/1/19 -0.0754716981 0.9231283019 -0.0768716981 0.0291 0.0067 0.0191 -0.0227
1/1/20 1.49 1.77 1.42 1.45 1.45 81937300 1/1/20 -0.0136054422 0.9850945578 -0.0149054422 0.0002 -0.0308 -0.0627 0.0543
2/1/20 1.47 1.67 1.36 1.5 1.5 71847500 2/1/20 0.0344827586 1.0332827586 0.0332827586 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 1.5 2.91 1.3 1.34 1.34 653110500 3/1/20 -0.1066666667 0.8921333333 -0.1078666667 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 1.28 2.38 1.12 2.22 2.22 283147900 4/1/20 0.6567164179 1.6567164179 0.6567164179 0.1365 0.0275 -0.0139 -0.0549
5/1/20 2.16 2.85 1.91 2.28 2.28 272250400 5/1/20 0.027027027 1.026927027 0.026927027 0.0559 0.0249 -0.0505 0.0067
6/1/20 2.44 3.52 2.18 3.41 3.41 300801000 6/1/20 0.4956140351 1.4955140351 0.4955140351 0.0247 0.0271 -0.0235 -0.0075
7/1/20 3.72 6.47 3.32 5.15 5.15 556692500 7/1/20 0.5102639296 1.5101639296 0.5101639296 0.0578 -0.0218 -0.0139 0.0761
8/1/20 5.28 5.88 3.05 3.24 3.24 322646300 8/1/20 -0.3708737864 0.6290262136 -0.3709737864 0.0764 -0.0025 -0.0294 0.0051
9/1/20 3.18 3.74 2.84 3.69 3.69 229143900 9/1/20 0.1388888889 1.1387888889 0.1387888889 -0.0362 0.0006 -0.0251 0.0305
10/1/20 3.75 4.76 3.3 3.52 3.52 231889900 10/1/20 -0.0460704607 0.9538295393 -0.0461704607 -0.0209 0.0444 0.0403 -0.0303
11/1/20 3.55 4.68 3.02 4.64 4.64 163740300 11/1/20 0.3181818182 1.3180818182 0.3180818182 0.1248 0.0548 0.0211 -0.1225
12/1/20 4.64 4.92 3.88 3.95 3.95 184131500 12/1/20 -0.1487068966 0.8511931034 -0.1488068966 0.0464 0.0491 -0.0146 -0.0234

OXY

OXY
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 79.873985 81.221687 73.025642 79.863998 60.961922 118774918 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 81.640976 83.597641 77.547943 77.747604 59.346443 96211356 2/1/15 -0.0264998043 0.9735001957 -0.0264998043 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 77.727638 78.666039 71.57811 72.8759 55.627747 103553542 3/1/15 -0.0626608068 0.9373391932 -0.0626608068 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.7075620804
4/1/15 74.093826 81.920502 73.225304 79.963829 61.610565 92346690 4/1/15 0.1075509673 1.1075509673 0.1075509673 0.0059 -0.0304 0.0188 -0.0732 R Square 0.5006440976
5/1/15 79.824066 81.880569 75.471481 78.057076 60.141472 88002401 5/1/15 -0.0238448227 0.9761551773 -0.0238448227 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.4708318049
6/1/15 78.75589 79.754189 76.769272 77.637794 59.818424 97682962 6/1/15 -0.0053714681 0.9946285319 -0.0053714681 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1176902039
7/1/15 77.398201 77.627808 67.185593 70.080658 54.512733 95514775 7/1/15 -0.0886966029 0.9113033971 -0.0886966029 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 69.351898 74.123772 64.719788 72.88588 56.69479 122398778 8/1/15 0.0400283912 1.0400283912 0.0400283912 -0.0604 0.0044 0.0273 -0.0209
9/1/15 70.84935 72.4067 63.491879 66.037544 51.36776 105223079 9/1/15 -0.0939597801 0.9060402199 -0.0939597801 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 66.916046 75.431549 65.139076 74.413284 58.512974 108956025 10/1/15 0.1390991937 1.1390991937 0.1390991937 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 73.86422 77.238472 72.236984 75.461494 59.3372 77819593 11/1/15 0.0140862093 1.0140862093 0.0140862093 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.9304099498 0.2326024875 16.7932102041 0.0000000014
12/1/15 75.551346 77.038811 64.779686 67.495064 53.073002 122214766 12/1/15 -0.105569491 0.894330509 -0.105669491 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.9280159344 0.0138509841
1/1/16 66.975945 68.71299 58.140991 68.71299 54.621655 138401783 1/1/16 0.0291796759 1.0290796759 0.0290796759 -0.0576 -0.0336 0.0201 0.0134 Total 71 1.8584258843
2/1/16 67.425179 72.067276 63.132492 68.82 54.70673 110104389 2/1/16 0.0015575324 1.0013575324 0.0013575324 -0.0006 0.0083 -0.006 -0.0406
3/1/16 69.25 71.660004 66.199997 68.43 54.396706 98241800 3/1/16 -0.0056670176 0.9941329824 -0.0058670176 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 67.230003 78.089996 66.940002 76.650002 61.587578 78131100 4/1/16 0.1321931515 1.1320931515 0.1320931515 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0130590167 0.0149483111 -0.8736115107 0.3854503629 -0.0428959706 0.0167779372 -0.0428959706 0.0167779372
5/1/16 76.220001 77.349998 73.82 75.440002 60.615356 88481400 5/1/16 -0.015786008 0.984113992 -0.015886008 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.4786603313 0.3571585743 4.140066731 0.0000992611 0.7657688332 2.1915518294 0.7657688332 2.1915518294
6/1/16 74.900002 78.309998 72.5 75.559998 60.71175 85096600 6/1/16 0.0015902571 1.0013902571 0.0013902571 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.7586563745 0.6070560529 1.2497303518 0.2157460073 -0.4530325784 1.9703453274 -0.4530325784 1.9703453274
7/1/16 75.43 77.660004 73.25 74.730003 60.636471 66457500 7/1/16 -0.0012399412 0.9985600588 -0.0014399412 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.9205069477 0.5433502049 1.6941319602 0.0948843731 -0.1640246004 2.0050384959 -0.1640246004 2.0050384959
8/1/16 74.400002 78.480003 72.110001 76.849998 62.356663 82839900 8/1/16 0.0283689333 1.0281689333 0.0281689333 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.8798561307 0.462853728 -1.9009377638 0.0616126349 -1.8037160386 0.0440037771 -1.8037160386 0.0440037771
9/1/16 76.550003 78.169998 67.830002 72.919998 59.167828 103972900 9/1/16 -0.051138641 0.948661359 -0.051338641 0.0027 0.0204 -0.0121 -0.0053
10/1/16 72.919998 75.599998 71.769997 72.910004 59.741829 94520800 10/1/16 0.0097012349 1.0095012349 0.0095012349 -0.02 -0.0443 0.0407 0.0069
11/1/16 72.449997 72.839996 64.370003 71.360001 58.471745 137582800 11/1/16 -0.0212595433 0.9786404567 -0.0213595433 0.0487 0.0547 0.0822 -0.0407
12/1/16 72.900002 73.510002 67.809998 71.230003 58.365253 90375300 12/1/16 -0.0018212557 0.9978787443 -0.0021212557 0.0184 0.0011 0.0351 -0.0038
1/1/17 72.269997 72.959999 67.32 67.769997 56.136074 89717400 1/1/17 -0.0381935978 0.9614064022 -0.0385935978 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 67.93 69.900002 64.190002 65.550003 54.297188 103125900 2/1/17 -0.0327576524 0.9668423476 -0.0331576524 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 66.209999 66.790001 61.009998 63.360001 52.483131 132650100 3/1/17 -0.0334097781 0.9662902219 -0.0337097781 0.002 0.0117 -0.0333 -0.0092
4/1/17 63.380001 65.730003 61.029999 61.540001 51.581467 82921700 4/1/17 -0.0171800726 0.9823199274 -0.0176800726 0.0114 0.0072 -0.0211 0.0044
5/1/17 61.540001 62.119999 57.200001 58.93 49.393826 112309600 5/1/17 -0.0424113762 0.9569886238 -0.0430113762 0.0112 -0.0261 -0.0367 0.0146
6/1/17 59.09 62.16 58.07 59.869999 50.181705 123663100 6/1/17 0.0159509612 1.0153509612 0.0153509612 0.0084 0.0215 0.0145 -0.0032
7/1/17 60.169998 63.02 57.84 61.93 52.556252 70070900 7/1/17 0.0473189781 1.0466189781 0.0466189781 0.0194 -0.0147 -0.0036 0.0166
8/1/17 62.099998 62.23 58.439999 59.700001 50.663788 74010800 8/1/17 -0.0360083516 0.9630916484 -0.0369083516 0.0025 -0.0162 -0.0219 0.0355
9/1/17 59.689999 65.699997 59.279999 64.209999 54.491154 77993000 9/1/17 0.0755444105 1.0746444105 0.0746444105 0.026 0.0447 0.0314 -0.0118
10/1/17 63.810001 66.239998 63.470001 64.57 55.487339 81185700 10/1/17 0.0182815912 1.0173815912 0.0173815912 0.0234 -0.0195 0.0012 0.043
11/1/17 65.160004 70.610001 65.07 70.5 60.583199 96743000 11/1/17 0.091838248 1.091038248 0.091038248 0.032 -0.0058 -0.0009 -0.0071
12/1/17 70.75 74.059998 68.279999 73.660004 63.298706 75471900 12/1/17 0.0448227734 1.0439227734 0.0439227734 0.0115 -0.0129 0.0017 -0.0163
1/1/18 74.010002 78.089996 73.489998 74.970001 65.147156 74866300 1/1/18 0.0292020188 1.0281020188 0.0281020188 0.0569 -0.0309 -0.0132 0.0394
2/1/18 75.019997 76.279999 65.589996 65.599998 57.004837 105584400 2/1/18 -0.1249834912 0.8739165088 -0.1260834912 -0.0354 0.003 -0.0101 0.0397
3/1/18 65.699997 67.620003 62.470001 64.959999 56.448692 124610200 3/1/18 -0.0097561019 0.9890438981 -0.0109561019 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 64.860001 78.110001 63.439999 77.260002 67.939575 115868100 4/1/18 0.2035633173 1.2021633173 0.2021633173 0.0043 0.0113 0.005 0.0027
5/1/18 76.959999 86.379997 75.970001 84.199997 74.042343 109430600 5/1/18 0.0898264082 1.0884264082 0.0884264082 0.0279 0.0528 -0.0315 0.038
6/1/18 84.650002 87.669998 80.830002 83.68 73.585098 107984500 6/1/18 -0.0061754529 0.9924245471 -0.0075754529 0.0062 0.0119 -0.0231 -0.0238
7/1/18 83.040001 86.599998 81.290001 83.93 74.467972 82283200 7/1/18 0.0119979999 1.0103979999 0.0103979999 0.0335 -0.0221 0.0057 -0.0167
8/1/18 83.089996 83.260002 76.099998 79.870003 70.865692 102517300 8/1/18 -0.0483735478 0.9500264522 -0.0499735478 0.036 0.0115 -0.0392 0.0522
9/1/18 80.040001 83.080002 74.690002 82.169998 72.906395 89782600 9/1/18 0.0287967695 1.0272967695 0.0272967695 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 82.32 83.349998 65.650002 67.07 60.113186 119920400 10/1/18 -0.1754744423 0.8226255577 -0.1773744423 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 67.18 75.790001 66.860001 70.269997 62.981262 117101500 11/1/18 0.0477112626 1.0459112626 0.0459112626 0.0187 -0.0071 0.0034 -0.0133
12/1/18 72.040001 72.43 56.830002 61.380001 55.013386 119304000 12/1/18 -0.1265118505 0.8715881495 -0.1284118505 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 60.52 67.459999 59.720001 66.779999 60.55278 99597300 1/1/19 0.100691748 1.098591748 0.098591748 0.0862 0.0289 -0.0046 -0.0865
2/1/19 67.260002 68.309998 63.380001 66.150002 59.981537 83625600 2/1/19 -0.009433803 0.988766197 -0.011233803 0.0358 0.0212 -0.0271 0.0086
3/1/19 66.370003 67.980003 62.119999 66.199997 60.026863 87767000 3/1/19 0.0007556659 0.9988556659 -0.0011443341 0.0129 -0.0305 -0.0419 0.0214
4/1/19 66.889999 68.830002 57.540001 58.880001 54.030525 180573700 4/1/19 -0.0998942423 0.8980057577 -0.1019942423 0.0417 -0.0175 0.0202 -0.0255
5/1/19 59.099998 60.73 49.689999 49.77 45.670841 335175000 5/1/19 -0.1547215023 0.8431784977 -0.1568215023 -0.0673 -0.0118 -0.0228 0.076
6/1/19 50.299999 51.630001 47 50.279999 46.138832 184971700 6/1/19 0.0102470414 1.0084470414 0.0084470414 0.0711 0.0022 -0.0079 -0.0214
7/1/19 51 52.700001 47.950001 51.360001 47.891617 162348100 7/1/19 0.0379893665 1.0360893665 0.0360893665 0.0138 -0.0208 0.0034 0.0272
8/1/19 51 54.049999 41.830002 43.48 40.543758 246059800 8/1/19 -0.1534268304 0.8449731696 -0.1550268304 -0.0242 -0.024 -0.0485 0.0764
9/1/19 42.860001 48.849998 42.369999 44.470001 41.466904 181938400 9/1/19 0.0227691276 1.0209691276 0.0209691276 0.0161 -0.0105 0.0677 -0.0685
10/1/19 44.669998 45.419998 39.970001 40.5 38.432892 164843000 10/1/19 -0.0731670732 0.9253329268 -0.0746670732 0.0221 0.0024 -0.0188 0.0029
11/1/19 40.75 44.619999 37.599998 38.57 36.601395 237296000 11/1/19 -0.0476544154 0.9511455846 -0.0488544154 0.0399 0.0091 -0.0205 -0.026
12/1/19 38.84 41.220001 37.25 41.209999 39.106651 215547700 12/1/19 0.0684470086 1.0670470086 0.0670470086 0.0291 0.0067 0.0191 -0.0227
1/1/20 41.630001 47.580002 39.419998 39.720001 38.471802 238260600 1/1/20 -0.0162337859 0.9824662141 -0.0175337859 0.0002 -0.0308 -0.0627 0.0543
2/1/20 39.700001 43.599998 29.639999 32.740002 31.711147 218159200 2/1/20 -0.1757301361 0.8230698639 -0.1769301361 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 33.580002 34.630001 9 11.58 11.216099 1055006500 3/1/20 -0.646304216 0.352495784 -0.647504216 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 11.04 18.27 10.12 16.6 16.565569 1170091900 4/1/20 0.4769456832 1.4769456832 0.4769456832 0.1365 0.0275 -0.0139 -0.0549
5/1/20 16.02 16.809999 12.72 12.95 12.923139 713793000 5/1/20 -0.2198795586 0.7800204414 -0.2199795586 0.0559 0.0249 -0.0505 0.0067
6/1/20 12.9 24.5 12.67 18.299999 18.262039 1087147000 6/1/20 0.4131271822 1.4130271822 0.4130271822 0.0247 0.0271 -0.0235 -0.0075
7/1/20 18.32 18.83 15.41 15.74 15.716379 463517400 7/1/20 -0.1393962635 0.8605037365 -0.1394962635 0.0578 -0.0218 -0.0139 0.0761
8/1/20 15.75 16.74 12.72 12.74 12.720881 476613600 8/1/20 -0.1905972107 0.8093027893 -0.1906972107 0.0764 -0.0025 -0.0294 0.0051
9/1/20 12.59 12.9 9.83 10.01 9.994979 604230500 9/1/20 -0.2142856301 0.7856143699 -0.2143856301 -0.0362 0.0006 -0.0251 0.0305
10/1/20 9.97 11.34 8.52 9.13 9.125228 517258600 10/1/20 -0.0870187921 0.9128812079 -0.0871187921 -0.0209 0.0444 0.0403 -0.0303
11/1/20 9.26 17.27 9.03 15.76 15.751762 570204000 11/1/20 0.7261773624 1.7260773624 0.7260773624 0.1248 0.0548 0.0211 -0.1225
12/1/20 15.9 21.65 14.77 17.309999 17.300951 621667700 12/1/20 0.0983502036 1.0982502036 0.0982502036 0.0464 0.0491 -0.0146 -0.0234

PLUG

PLUG
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 2.97 3.3 2.48 2.67 2.67 99980600 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 2.67 3.38 2.62 3.08 3.08 89813300 2/1/15 0.1535580524 1.1535580524 0.1535580524 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 3.06 3.14 2.42 2.59 2.59 73739400 3/1/15 -0.1590909091 0.8409090909 -0.1590909091 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5098716211
4/1/15 2.57 2.82 2.47 2.54 2.54 60680500 4/1/15 -0.0193050193 0.9806949807 -0.0193050193 0.0059 -0.0304 0.0188 -0.0732 R Square 0.2599690701
5/1/15 2.54 2.8 2.32 2.72 2.72 62322800 5/1/15 0.0708661417 1.0708661417 0.0708661417 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.215788119
6/1/15 2.72 2.85 2.41 2.45 2.45 46028600 6/1/15 -0.0992647059 0.9007352941 -0.0992647059 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.2056783657
7/1/15 2.46 2.62 2.17 2.59 2.59 59744100 7/1/15 0.0571428571 1.0571428571 0.0571428571 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 2.68 2.85 1.56 1.71 1.71 80793700 8/1/15 -0.3397683398 0.6602316602 -0.3397683398 -0.0604 0.0044 0.0273 -0.0209
9/1/15 1.66 2.33 1.64 1.83 1.83 68455500 9/1/15 0.0701754386 1.0701754386 0.0701754386 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 1.86 2.56 1.8 2.41 2.41 56822700 10/1/15 0.3169398907 1.3169398907 0.3169398907 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 2.42 2.98 1.76 2.2 2.2 84917300 11/1/15 -0.0871369295 0.9128630705 -0.0871369295 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.9956892935 0.2489223234 5.8841890888 0.0004046165
12/1/15 2.22 2.35 1.92 2.11 2.11 42685600 12/1/15 -0.0409090909 0.9589909091 -0.0410090909 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 2.8343405377 0.0423035901
1/1/16 2 2.11 1.3 1.87 1.87 46810100 1/1/16 -0.1137440758 0.8861559242 -0.1138440758 -0.0576 -0.0336 0.0201 0.0134 Total 71 3.8300298312
2/1/16 1.9 2.13 1.55 2.08 2.08 30652600 2/1/16 0.1122994652 1.1120994652 0.1120994652 -0.0006 0.0083 -0.006 -0.0406
3/1/16 2.1 2.25 1.9 2.05 2.05 50904100 3/1/16 -0.0144230769 0.9853769231 -0.0146230769 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 2.05 2.28 1.98 2.06 2.06 29700200 4/1/16 0.0048780488 1.0047780488 0.0047780488 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0219837682 0.0261240452 0.8415147041 0.4030532254 -0.0301600443 0.0741275806 -0.0301600443 0.0741275806
5/1/16 2.04 2.08 1.65 1.92 1.92 27942000 5/1/16 -0.067961165 0.931938835 -0.068061165 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.49444772 0.6241793235 2.3942602128 0.0194590617 0.2485805758 2.7403148642 0.2485805758 2.7403148642
6/1/16 1.91 2.04 1.6 1.86 1.86 34663500 6/1/16 -0.03125 0.96855 -0.03145 -0.0003 0.0064 -0.014 0.0411 X Variable 2 1.3347186357 1.0609064535 1.2580926728 0.2127251137 -0.7828595084 3.4522967797 -0.7828595084 3.4522967797
7/1/16 1.86 1.95 1.66 1.79 1.79 36373900 7/1/16 -0.0376344086 0.9621655914 -0.0378344086 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -2.4543829973 0.9495725085 -2.5847241527 0.0119292476 -4.349737657 -0.5590283377 -4.349737657 -0.5590283377
8/1/16 1.8 1.85 1.51 1.55 1.55 34142300 8/1/16 -0.1340782123 0.8657217877 -0.1342782123 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -1.4527315554 0.8088948373 -1.7959461334 0.0770118369 -3.0672924081 0.1618292974 -3.0672924081 0.1618292974
9/1/16 1.55 1.75 1.34 1.71 1.71 48074100 9/1/16 0.1032258065 1.1030258065 0.1030258065 0.0027 0.0204 -0.0121 -0.0053
10/1/16 1.7 1.76 1.49 1.53 1.53 22712300 10/1/16 -0.1052631579 0.8945368421 -0.1054631579 -0.02 -0.0443 0.0407 0.0069
11/1/16 1.51 1.58 1.18 1.37 1.37 76214200 11/1/16 -0.1045751634 0.8953248366 -0.1046751634 0.0487 0.0547 0.0822 -0.0407
12/1/16 1.37 1.6 1.18 1.2 1.2 87210200 12/1/16 -0.1240875912 0.8756124088 -0.1243875912 0.0184 0.0011 0.0351 -0.0038
1/1/17 1.2 1.32 1.02 1.06 1.06 64076600 1/1/17 -0.1166666667 0.8829333333 -0.1170666667 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 1.06 1.31 0.83 1.08 1.08 226983300 2/1/17 0.0188679245 1.0184679245 0.0184679245 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 1.09 1.52 0.92 1.38 1.38 113591400 3/1/17 0.2777777778 1.2774777778 0.2774777778 0.002 0.0117 -0.0333 -0.0092
4/1/17 1.37 2.7 1.25 2.24 2.24 426395900 4/1/17 0.6231884058 1.6226884058 0.6226884058 0.0114 0.0072 -0.0211 0.0044
5/1/17 2.26 2.35 1.72 1.86 1.86 165996300 5/1/17 -0.1696428571 0.8297571429 -0.1702428571 0.0112 -0.0261 -0.0367 0.0146
6/1/17 1.86 2.39 1.81 2.04 2.04 141286200 6/1/17 0.0967741935 1.0961741935 0.0961741935 0.0084 0.0215 0.0145 -0.0032
7/1/17 2.03 2.52 2 2.26 2.26 91885200 7/1/17 0.1078431373 1.1071431373 0.1071431373 0.0194 -0.0147 -0.0036 0.0166
8/1/17 2.27 2.42 1.98 2.14 2.14 73898600 8/1/17 -0.0530973451 0.9460026549 -0.0539973451 0.0025 -0.0162 -0.0219 0.0355
9/1/17 2.14 2.82 2.09 2.61 2.61 128464200 9/1/17 0.2196261682 1.2187261682 0.2187261682 0.026 0.0447 0.0314 -0.0118
10/1/17 2.61 3.07 2.43 2.85 2.85 127534400 10/1/17 0.091954023 1.091054023 0.091054023 0.0234 -0.0195 0.0012 0.043
11/1/17 2.9 3.21 2.17 2.37 2.37 112608300 11/1/17 -0.1684210526 0.8307789474 -0.1692210526 0.032 -0.0058 -0.0009 -0.0071
12/1/17 2.42 2.59 2.3 2.36 2.36 68015800 12/1/17 -0.0042194093 0.9948805907 -0.0051194093 0.0115 -0.0129 0.0017 -0.0163
1/1/18 2.38 2.44 1.89 1.93 1.93 64896300 1/1/18 -0.1822033898 0.8166966102 -0.1833033898 0.0569 -0.0309 -0.0132 0.0394
2/1/18 1.94 2.13 1.53 1.86 1.86 78739300 2/1/18 -0.0362694301 0.9626305699 -0.0373694301 -0.0354 0.003 -0.0101 0.0397
3/1/18 1.85 2.13 1.76 1.89 1.89 79914300 3/1/18 0.0161290323 1.0149290323 0.0149290323 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 1.87 2.01 1.71 1.83 1.83 70291000 4/1/18 -0.0317460317 0.9668539683 -0.0331460317 0.0043 0.0113 0.005 0.0027
5/1/18 1.88 2.27 1.8 1.87 1.87 106130200 5/1/18 0.0218579235 1.0204579235 0.0204579235 0.0279 0.0528 -0.0315 0.038
6/1/18 1.89 2.05 1.78 2.02 2.02 65046400 6/1/18 0.0802139037 1.0788139037 0.0788139037 0.0062 0.0119 -0.0231 -0.0238
7/1/18 2 2.2 1.9 2 2 49843600 7/1/18 -0.0099009901 0.9884990099 -0.0115009901 0.0335 -0.0221 0.0057 -0.0167
8/1/18 2 2.1 1.83 1.97 1.97 58413700 8/1/18 -0.015 0.9834 -0.0166 0.036 0.0115 -0.0392 0.0522
9/1/18 2 2.05 1.72 1.92 1.92 51814900 9/1/18 -0.0253807107 0.9731192893 -0.0268807107 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 1.92 1.98 1.72 1.85 1.85 52269500 10/1/18 -0.0364583333 0.9616416667 -0.0383583333 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 1.83 2 1.71 1.75 1.75 33504800 11/1/18 -0.0540540541 0.9441459459 -0.0558540541 0.0187 -0.0071 0.0034 -0.0133
12/1/18 1.78 1.79 0.99 1.24 1.24 72594900 12/1/18 -0.2914285714 0.7066714286 -0.2933285714 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 1.24 1.7 1.23 1.37 1.37 69463900 1/1/19 0.1048387097 1.1027387097 0.1027387097 0.0862 0.0289 -0.0046 -0.0865
2/1/19 1.38 1.83 1.32 1.79 1.79 54350200 2/1/19 0.3065693431 1.3047693431 0.3047693431 0.0358 0.0212 -0.0271 0.0086
3/1/19 1.8 2.65 1.55 2.4 2.4 155316200 3/1/19 0.3407821229 1.3388821229 0.3388821229 0.0129 -0.0305 -0.0419 0.0214
4/1/19 2.42 2.86 2.32 2.49 2.49 100619600 4/1/19 0.0375 1.0354 0.0354 0.0417 -0.0175 0.0202 -0.0255
5/1/19 2.5 2.87 2.16 2.56 2.56 96373700 5/1/19 0.0281124498 1.0260124498 0.0260124498 -0.0673 -0.0118 -0.0228 0.076
6/1/19 2.53 2.71 1.86 2.25 2.25 79107700 6/1/19 -0.12109375 0.87710625 -0.12289375 0.0711 0.0022 -0.0079 -0.0214
7/1/19 2.32 2.4 2.16 2.21 2.21 56982900 7/1/19 -0.0177777778 0.9803222222 -0.0196777778 0.0138 -0.0208 0.0034 0.0272
8/1/19 2.2 2.29 1.88 2.17 2.17 57375800 8/1/19 -0.0180995475 0.9803004525 -0.0196995475 -0.0242 -0.024 -0.0485 0.0764
9/1/19 2.21 2.94 2.11 2.63 2.63 91431300 9/1/19 0.2119815668 1.2101815668 0.2101815668 0.0161 -0.0105 0.0677 -0.0685
10/1/19 2.65 3.14 2.32 2.65 2.65 110983400 10/1/19 0.0076045627 1.0061045627 0.0061045627 0.0221 0.0024 -0.0188 0.0029
11/1/19 2.7 4.04 2.55 3.9 3.9 210386300 11/1/19 0.4716981132 1.4704981132 0.4704981132 0.0399 0.0091 -0.0205 -0.026
12/1/19 3.91 4.01 2.75 3.16 3.16 239955900 12/1/19 -0.1897435897 0.8088564103 -0.1911435897 0.0291 0.0067 0.0191 -0.0227
1/1/20 3.21 4.53 3.12 3.87 3.87 335597800 1/1/20 0.2246835443 1.2233835443 0.2233835443 0.0002 -0.0308 -0.0627 0.0543
2/1/20 3.89 6.05 3.79 4.34 4.34 403708800 2/1/20 0.1214470284 1.1202470284 0.1202470284 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 4.6 4.8 2.53 3.54 3.54 380924200 3/1/20 -0.1843317972 0.8144682028 -0.1855317972 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 3.42 4.75 3.22 4.18 4.18 198154100 4/1/20 0.1807909605 1.1807909605 0.1807909605 0.1365 0.0275 -0.0139 -0.0549
5/1/20 4.11 4.57 3.79 4.21 4.21 196152200 5/1/20 0.0071770335 1.0070770335 0.0070770335 0.0559 0.0249 -0.0505 0.0067
6/1/20 4.11 8.34 4.11 8.21 8.21 567257100 6/1/20 0.9501187648 1.9500187648 0.9500187648 0.0247 0.0271 -0.0235 -0.0075
7/1/20 8.64 10.49 7.07 7.71 7.71 562504700 7/1/20 -0.0609013398 0.9389986602 -0.0610013398 0.0578 -0.0218 -0.0139 0.0761
8/1/20 8.17 14.35 8.06 12.98 12.98 684969000 8/1/20 0.6835278859 1.6834278859 0.6834278859 0.0764 -0.0025 -0.0294 0.0051
9/1/20 13.05 14.2 10.56 13.41 13.41 490730500 9/1/20 0.0331278891 1.0330278891 0.0330278891 -0.0362 0.0006 -0.0251 0.0305
10/1/20 13.77 19.02 13.27 14 14 616900700 10/1/20 0.0439970172 1.0438970172 0.0438970172 -0.0209 0.0444 0.0403 -0.0303
11/1/20 14.4 28.700001 13.92 26.389999 26.389999 866211700 11/1/20 0.8849999286 1.8848999286 0.8848999286 0.1248 0.0548 0.0211 -0.1225
12/1/20 25.92 37.509998 22.25 33.91 33.91 702500900 12/1/20 0.2849564716 1.2848564716 0.2848564716 0.0464 0.0491 -0.0146 -0.0234

SABR

SABR
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 20.309999 20.85 19.219999 20.43 17.820189 12993500 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 20.379999 22.709999 19.92 21.76 18.980293 38079800 2/1/15 0.0651005441 1.0651005441 0.0651005441 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 21.66 24.549999 21.25 24.299999 21.195822 26373200 3/1/15 0.1167278608 1.1167278608 0.1167278608 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.6840298563
4/1/15 24.299999 26.040001 23.450001 24.889999 21.800894 18992400 4/1/15 0.0285467579 1.0285467579 0.0285467579 0.0059 -0.0304 0.0188 -0.0732 R Square 0.4678968443
5/1/15 25.059999 26.83 24.870001 26.09 22.851959 35133800 5/1/15 0.0482120137 1.0482120137 0.0482120137 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.4361294917
6/1/15 26.25 26.610001 23.42 23.799999 20.846172 53392900 6/1/15 -0.0877730876 0.9122269124 -0.0877730876 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1039710076
7/1/15 23.98 26.709999 23.719999 26.6 23.385206 28550000 7/1/15 0.1217985729 1.1217985729 0.1217985729 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 26.540001 29.059999 25.25 27.219999 23.930277 57034800 8/1/15 0.0233083685 1.0233083685 0.0233083685 -0.0604 0.0044 0.0273 -0.0209
9/1/15 26.6 29.610001 26.389999 27.18 23.895111 31179000 9/1/15 -0.0014695191 0.9985304809 -0.0014695191 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 27.27 30.455 26.790001 29.32 25.857193 30442100 10/1/15 0.0821122781 1.0821122781 0.0821122781 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 29.34 30 27.57 29.26 25.804285 56369500 11/1/15 -0.0020461618 0.9979538382 -0.0020461618 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.6368741029 0.1592185257 14.7288586033 0.000000011
12/1/15 29.469999 29.879999 27.620001 27.969999 24.666634 33609300 12/1/15 -0.0440876777 0.9558123223 -0.0441876777 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.7242680177 0.0108099704
1/1/16 27.42 27.48 24.25 25.610001 22.654385 48362200 1/1/16 -0.0815777702 0.9183222298 -0.0816777702 -0.0576 -0.0336 0.0201 0.0134 Total 71 1.3611421206
2/1/16 25.459999 28.469999 22.030001 27.15 24.016649 80723900 2/1/16 0.0601324644 1.0599324644 0.0599324644 -0.0006 0.0083 -0.006 -0.0406
3/1/16 27.4 29.035 27.049999 28.92 25.582378 49022600 3/1/16 0.0651934831 1.0649934831 0.0649934831 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 28.67 29.76 27 28.950001 25.730639 57354900 4/1/16 0.0057954347 1.0056954347 0.0056954347 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0104909826 0.0132057803 -0.794423535 0.4297538943 -0.0368498303 0.0158678651 -0.0368498303 0.0158678651
5/1/16 28.959999 29.49 27.450001 28.17 25.037376 45979500 5/1/16 -0.026943093 0.972956907 -0.027043093 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.6937373476 0.3155244498 5.3680066593 0.0000010715 1.0639479099 2.3235267853 1.0639479099 2.3235267853
6/1/16 28.379999 28.91 24.860001 26.790001 23.810839 70974800 6/1/16 -0.0489882406 0.9508117594 -0.0491882406 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.9376597606 0.5362912746 1.7484150963 0.0849726512 -0.1327821038 2.0081016249 -0.1327821038 2.0081016249
7/1/16 26.889999 29.629999 26.32 29.15 26.033794 47412700 7/1/16 0.093358953 1.093158953 0.093158953 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.8128362569 0.480011644 1.6933677902 0.0950303969 -0.1452709946 1.7709435085 -0.1452709946 1.7709435085
8/1/16 29.190001 29.58 25.9 28.15 25.140694 78799100 8/1/16 -0.0343054109 0.9654945891 -0.0345054109 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.1406043951 0.4088986752 0.3438612146 0.7320274828 -0.6755607765 0.9567695667 -0.6755607765 0.9567695667
9/1/16 28.190001 29.450001 26.549999 28.18 25.167486 55871600 9/1/16 0.0010656826 1.0008656826 0.0008656826 0.0027 0.0204 -0.0121 -0.0053
10/1/16 28.02 28.225 25.299999 25.83 23.180317 50542600 10/1/16 -0.078957787 0.920842213 -0.079157787 -0.02 -0.0443 0.0407 0.0069
11/1/16 25.690001 26.74 22.9 25.85 23.198265 88593700 11/1/16 0.0007742776 1.0006742776 0.0006742776 0.0487 0.0547 0.0822 -0.0407
12/1/16 25.93 27.35 24.690001 24.950001 22.390593 47341100 12/1/16 -0.034816052 0.964883948 -0.035116052 0.0184 0.0011 0.0351 -0.0038
1/1/17 25.16 25.893 24.33 24.5 22.099771 41876000 1/1/17 -0.0129885796 0.9866114204 -0.0133885796 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 24.549999 25.021 20.889999 21.91 19.763512 111808800 2/1/17 -0.1057141723 0.8938858277 -0.1061141723 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 22.030001 22.33 20.715 21.190001 19.114046 43679500 3/1/17 -0.0328618719 0.9668381281 -0.0331618719 0.002 0.0117 -0.0333 -0.0092
4/1/17 21.129999 23.540001 20.09 23.41 21.252792 105541200 4/1/17 0.1118939444 1.1113939444 0.1113939444 0.0114 0.0072 -0.0211 0.0044
5/1/17 23.5 25.01 22.395 22.43 20.363098 93508200 5/1/17 -0.0418624527 0.9575375473 -0.0424624527 0.0112 -0.0261 -0.0367 0.0146
6/1/17 22.5 23 21.74 21.77 19.763912 66888900 6/1/17 -0.0294250904 0.9699749096 -0.0300250904 0.0084 0.0215 0.0145 -0.0032
7/1/17 21.879999 22.299999 21.129999 22.129999 20.216253 44612900 7/1/17 0.0228872199 1.0221872199 0.0221872199 0.0194 -0.0147 -0.0036 0.0166
8/1/17 23 23 17.299999 18.440001 16.845358 85972100 8/1/17 -0.166741829 0.832358171 -0.167641829 0.0025 -0.0162 -0.0219 0.0355
9/1/17 18.469999 18.790001 17.49 18.1 16.534758 36758700 9/1/17 -0.018438314 0.980661686 -0.019338314 0.026 0.0447 0.0314 -0.0118
10/1/17 18.15 20.049999 17.790001 19.559999 18.007944 35172500 10/1/17 0.0890963146 1.0881963146 0.0881963146 0.0234 -0.0195 0.0012 0.043
11/1/17 19.700001 20.07 18.32 19.91 18.33017 46516200 11/1/17 0.0178935474 1.0170935474 0.0170935474 0.032 -0.0058 -0.0009 -0.0071
12/1/17 19.870001 20.93 19.16 20.5 18.873354 38988900 12/1/17 0.0296333313 1.0287333313 0.0287333313 0.0115 -0.0129 0.0017 -0.0163
1/1/18 20.639999 21.290001 19.995001 20.77 19.254787 42952100 1/1/18 0.0202101333 1.0191101333 0.0191101333 0.0569 -0.0309 -0.0132 0.0394
2/1/18 20.74 24.09 17.91 22.969999 21.294294 55855500 2/1/18 0.1059220754 1.1048220754 0.1048220754 -0.0354 0.003 -0.0101 0.0397
3/1/18 23.030001 23.27 21.120001 21.450001 19.885181 63428100 3/1/18 -0.0661732669 0.9326267331 -0.0673732669 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 21.290001 21.360001 19.709999 20.639999 19.257038 46036400 4/1/18 -0.031588498 0.967011502 -0.032988498 0.0043 0.0113 0.005 0.0027
5/1/18 21.700001 25 21.67 24.51 22.867737 50907200 5/1/18 0.1875002272 1.1861002272 0.1861002272 0.0279 0.0528 -0.0315 0.038
6/1/18 24.700001 26.780001 24.040001 24.639999 22.989025 75438600 6/1/18 0.0053038917 1.0039038917 0.0039038917 0.0062 0.0119 -0.0231 -0.0238
7/1/18 24.41 26.780001 24.299999 24.620001 23.094772 39596500 7/1/18 0.0045998906 1.0029998906 0.0029998906 0.0335 -0.0221 0.0057 -0.0167
8/1/18 25.08 26.360001 24.215 26.110001 24.492464 60874200 8/1/18 0.0605198441 1.0589198441 0.0589198441 0.036 0.0115 -0.0392 0.0522
9/1/18 26.040001 26.620001 25.33 26.08 24.464321 32437800 9/1/18 -0.0011490473 0.9973509527 -0.0026490473 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 26.299999 26.42 22.49 24.65 23.249662 50529400 10/1/18 -0.0496502233 0.9484497767 -0.0515502233 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 24.84 26.17 23.459999 25.57 24.117399 52969300 11/1/18 0.0373225641 1.0355225641 0.0355225641 0.0187 -0.0071 0.0034 -0.0133
12/1/18 26.15 26.4 20.6 21.639999 20.410658 47706000 12/1/18 -0.1536957198 0.8444042802 -0.1555957198 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 21.360001 23.25 20.709999 22.98 21.808092 34769900 1/1/19 0.0684658966 1.0663658966 0.0663658966 0.0862 0.0289 -0.0046 -0.0865
2/1/19 22.98 24 21 22.43 21.286139 43370100 2/1/19 -0.0239339141 0.9742660859 -0.0257339141 0.0358 0.0212 -0.0271 0.0086
3/1/19 22.66 22.83 20.75 21.389999 20.299177 49686000 3/1/19 -0.0463664171 0.9517335829 -0.0482664171 0.0129 -0.0305 -0.0419 0.0214
4/1/19 21.57 23.27 20.540001 20.76 19.8319 44702100 4/1/19 -0.0230195047 0.9748804953 -0.0251195047 0.0417 -0.0175 0.0202 -0.0255
5/1/19 20.66 21.91 19.405001 20.280001 19.37336 48376000 5/1/19 -0.0231213348 0.9747786652 -0.0252213348 -0.0673 -0.0118 -0.0228 0.076
6/1/19 20.26 23.605 20.143 22.200001 21.207523 55760900 6/1/19 0.0946744912 1.0928744912 0.0928744912 0.0711 0.0022 -0.0079 -0.0214
7/1/19 22.530001 24.049999 21.09 23.51 22.596382 23396100 7/1/19 0.0654889777 1.0635889777 0.0635889777 0.0138 -0.0208 0.0034 0.0272
8/1/19 23.950001 25.440001 22.790001 23.639999 22.721329 37728200 8/1/19 0.0055295135 1.0039295135 0.0039295135 -0.0242 -0.024 -0.0485 0.0764
9/1/19 23.57 23.879999 22.07 22.395 21.524712 38310400 9/1/19 -0.0526649211 0.9455350789 -0.0544649211 0.0161 -0.0105 0.0677 -0.0685
10/1/19 22.440001 23.860001 20.75 23.48 22.70426 41024700 10/1/19 0.0547997111 1.0532997111 0.0532997111 0.0221 0.0024 -0.0188 0.0029
11/1/19 23.459999 23.559999 21.73 22.43 21.688951 26513500 11/1/19 -0.0447188765 0.9540811235 -0.0459188765 0.0399 0.0091 -0.0205 -0.026
12/1/19 22.52 23.07 21.98 22.440001 21.698622 26698800 12/1/19 0.0004458952 0.9990458952 -0.0009541048 0.0291 0.0067 0.0191 -0.0227
1/1/20 22.65 23.25 21.235001 21.540001 20.95784 31254200 1/1/20 -0.0341395873 0.9645604127 -0.0354395873 0.0002 -0.0308 -0.0627 0.0543
2/1/20 21.559999 22.83 13.49 13.615 13.247027 66022000 2/1/20 -0.3679202151 0.6308797849 -0.3691202151 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 13.86 13.86 3.3 5.93 5.76973 203520500 3/1/20 -0.5644509519 0.4343490481 -0.5656509519 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 5.57 7.55 4.27 7.27 7.27 259238400 4/1/20 0.2600242992 1.2600242992 0.2600242992 0.1365 0.0275 -0.0139 -0.0549
5/1/20 6.87 8.89 5.325 6.97 6.97 201809500 5/1/20 -0.0412654746 0.9586345254 -0.0413654746 0.0559 0.0249 -0.0505 0.0067
6/1/20 6.98 11.5 6.88 8.06 8.06 206084900 6/1/20 0.156384505 1.156284505 0.156284505 0.0247 0.0271 -0.0235 -0.0075
7/1/20 8.13 8.795 7.191 7.56 7.56 107719600 7/1/20 -0.0620347395 0.9378652605 -0.0621347395 0.0578 -0.0218 -0.0139 0.0761
8/1/20 7.58 8.94 6.64 6.99 6.99 242181000 8/1/20 -0.0753968254 0.9245031746 -0.0754968254 0.0764 -0.0025 -0.0294 0.0051
9/1/20 6.94 7.89 5.5 6.51 6.51 189199400 9/1/20 -0.0686695279 0.9312304721 -0.0687695279 -0.0362 0.0006 -0.0251 0.0305
10/1/20 6.57 7.815 6 6.52 6.52 157775000 10/1/20 0.0015360983 1.0014360983 0.0014360983 -0.0209 0.0444 0.0403 -0.0303
11/1/20 6.63 11.86 6.49 11.25 11.25 236735200 11/1/20 0.7254601227 1.7253601227 0.7253601227 0.1248 0.0548 0.0211 -0.1225
12/1/20 11.7 12.568 10.56 12.02 12.02 185961700 12/1/20 0.0684444444 1.0683444444 0.0683444444 0.0464 0.0491 -0.0146 -0.0234

SWN

SWN
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 27.09 27.42 22.639999 24.790001 24.790001 355154300 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 25.17 28.02 24.85 25.08 25.08 166819100 2/1/15 0.0116982246 1.0116982246 0.0116982246 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 25.08 25.809999 21.459999 23.190001 23.190001 189151200 3/1/15 -0.0753588118 0.9246411882 -0.0753588118 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5017390975
4/1/15 23.41 28.549999 22.719999 28.030001 28.030001 166236700 4/1/15 0.2087106421 1.2087106421 0.2087106421 0.0059 -0.0304 0.0188 -0.0732 R Square 0.251742122
5/1/15 27.91 29.610001 25.42 25.77 25.77 157189200 5/1/15 -0.0806279315 0.9193720685 -0.0806279315 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2070700099
6/1/15 25.67 25.879999 22.4 22.73 22.73 161746100 6/1/15 -0.1179666279 0.8820333721 -0.1179666279 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.189345403
7/1/15 22.73 22.84 17.6 18.6 18.6 194216100 7/1/15 -0.1816981962 0.8183018038 -0.1816981962 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 18.290001 19.08 14.68 16.24 16.24 213422800 8/1/15 -0.1268817204 0.8731182796 -0.1268817204 -0.0604 0.0044 0.0273 -0.0209
9/1/15 15.64 16.209999 11.84 12.69 12.69 230683000 9/1/15 -0.2185960591 0.7814039409 -0.2185960591 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 12.88 13.9 10.25 11.04 11.04 317878400 10/1/15 -0.1300236407 0.8699763593 -0.1300236407 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 10.87 12.71 8.7 9.01 9.01 283384700 11/1/15 -0.1838768116 0.8161231884 -0.1838768116 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.8081443197 0.2020360799 5.6353306351 0.0005693574
12/1/15 8.97 9.14 5 7.11 7.11 483194800 12/1/15 -0.2108768036 0.7890231964 -0.2109768036 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 2.4020626705 0.0358516816
1/1/16 7.03 9.62 5.56 8.89 8.89 412958000 1/1/16 0.2503516174 1.2502516174 0.2502516174 -0.0576 -0.0336 0.0201 0.0134 Total 71 3.2102069902
2/1/16 8.49 9.9 5.3 5.78 5.78 426241600 2/1/16 -0.3498312711 0.6499687289 -0.3500312711 -0.0006 0.0083 -0.006 -0.0406
3/1/16 5.91 9.09 5.41 8.07 8.07 471813600 3/1/16 0.3961937716 1.3959937716 0.3959937716 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 7.9 14.03 7.55 13.43 13.43 421072400 4/1/16 0.6641883519 1.6640883519 0.6640883519 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0159242009 0.0240495292 -0.6621418975 0.5101514567 -0.0639272622 0.0320788603 -0.0639272622 0.0320788603
5/1/16 13.16 14.16 11.11 13.67 13.67 290159900 5/1/16 0.0178704393 1.0177704393 0.0177704393 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.3807492691 0.574613111 0.6626184851 0.5098480098 -0.7661833008 1.527681839 -0.7661833008 1.527681839
6/1/16 13.6 15.45 12.12 12.58 12.58 406131200 6/1/16 -0.0797366496 0.9200633504 -0.0799366496 -0.0003 0.0064 -0.014 0.0411 X Variable 2 1.18523117 0.9766596469 1.2135559954 0.2291781402 -0.7641896443 3.1346519843 -0.7641896443 3.1346519843
7/1/16 12.76 14.82 11.42 14.58 14.58 322736400 7/1/16 0.1589825119 1.1587825119 0.1587825119 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.6711519106 0.8741667541 -0.76776188 0.4453261067 -2.4159960545 1.0736922334 -2.4159960545 1.0736922334
8/1/16 14.5 14.85 13.23 13.91 13.91 232863000 8/1/16 -0.0459533608 0.9538466392 -0.0461533608 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -2.1854134096 0.7446603266 -2.9347788938 0.0045680069 -3.6717616424 -0.6990651768 -3.6717616424 -0.6990651768
9/1/16 13.85 15.59 12.85 13.84 13.84 239454900 9/1/16 -0.0050323508 0.9947676492 -0.0052323508 0.0027 0.0204 -0.0121 -0.0053
10/1/16 13.87 14.4 10.07 10.39 10.39 359948100 10/1/16 -0.2492774566 0.7505225434 -0.2494774566 -0.02 -0.0443 0.0407 0.0069
11/1/16 10.26 12.39 9.14 11.35 11.35 392847400 11/1/16 0.0923965351 1.0922965351 0.0922965351 0.0487 0.0547 0.0822 -0.0407
12/1/16 11.75 12.85 10.31 10.82 10.82 271000100 12/1/16 -0.0466960352 0.9530039648 -0.0469960352 0.0184 0.0011 0.0351 -0.0038
1/1/17 10.6 10.68 8.75 9.01 9.01 303178600 1/1/17 -0.1672828096 0.8323171904 -0.1676828096 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 9.17 9.75 7.2 7.51 7.51 313601600 2/1/17 -0.166481687 0.833118313 -0.166881687 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 7.56 8.39 7.22 8.17 8.17 314485500 3/1/17 0.0878828229 1.0875828229 0.0875828229 0.002 0.0117 -0.0333 -0.0092
4/1/17 8.16 8.94 7.29 7.51 7.51 484878800 4/1/17 -0.0807833537 0.9187166463 -0.0812833537 0.0114 0.0072 -0.0211 0.0044
5/1/17 7.46 7.81 6.01 6.06 6.06 484286000 5/1/17 -0.1930758988 0.8063241012 -0.1936758988 0.0112 -0.0261 -0.0367 0.0146
6/1/17 6.12 6.47 5.47 6.08 6.08 433807300 6/1/17 0.00330033 1.00270033 0.00270033 0.0084 0.0215 0.0145 -0.0032
7/1/17 6.09 6.37 5.51 5.7 5.7 345839300 7/1/17 -0.0625 0.9368 -0.0632 0.0194 -0.0147 -0.0036 0.0166
8/1/17 5.66 5.73 5 5.45 5.45 344299000 8/1/17 -0.0438596491 0.9552403509 -0.0447596491 0.0025 -0.0162 -0.0219 0.0355
9/1/17 5.46 6.39 5.09 6.11 6.11 338339600 9/1/17 0.1211009174 1.1202009174 0.1202009174 0.026 0.0447 0.0314 -0.0118
10/1/17 5.98 6.31 4.9 5.55 5.55 322610700 10/1/17 -0.0916530278 0.9074469722 -0.0925530278 0.0234 -0.0195 0.0012 0.043
11/1/17 5.63 6.72 5.6 6.36 6.36 348628800 11/1/17 0.1459459459 1.1451459459 0.1451459459 0.032 -0.0058 -0.0009 -0.0071
12/1/17 6.43 6.62 5.1 5.58 5.58 402723500 12/1/17 -0.1226415094 0.8764584906 -0.1235415094 0.0115 -0.0129 0.0017 -0.0163
1/1/18 5.68 6.05 4.16 4.24 4.24 650430000 1/1/18 -0.2401433692 0.7587566308 -0.2412433692 0.0569 -0.0309 -0.0132 0.0394
2/1/18 4.09 4.28 3.42 3.57 3.57 499087900 2/1/18 -0.1580188679 0.8408811321 -0.1591188679 -0.0354 0.003 -0.0101 0.0397
3/1/18 3.59 4.64 3.55 4.33 4.33 439001600 3/1/18 0.2128851541 1.2116851541 0.2116851541 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 4.31 4.67 4.01 4.1 4.1 320935100 4/1/18 -0.0531177829 0.9454822171 -0.0545177829 0.0043 0.0113 0.005 0.0027
5/1/18 4.1 4.93 3.91 4.73 4.73 333671600 5/1/18 0.1536585366 1.1522585366 0.1522585366 0.0279 0.0528 -0.0315 0.038
6/1/18 4.73 5.53 4.64 5.3 5.3 386867100 6/1/18 0.1205073996 1.1191073996 0.1191073996 0.0062 0.0119 -0.0231 -0.0238
7/1/18 5.25 5.66 4.75 5.14 5.14 328767300 7/1/18 -0.0301886792 0.9682113208 -0.0317886792 0.0335 -0.0221 0.0057 -0.0167
8/1/18 5.06 5.74 4.85 5.62 5.62 358367400 8/1/18 0.093385214 1.091785214 0.091785214 0.036 0.0115 -0.0392 0.0522
9/1/18 5.87 5.94 4.77 5.11 5.11 448115600 9/1/18 -0.090747331 0.907752669 -0.092247331 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 5.23 5.85 4.73 5.34 5.34 480103400 10/1/18 0.0450097847 1.0431097847 0.0431097847 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 5.39 6.23 4.76 4.82 4.82 439044500 11/1/18 -0.0973782772 0.9008217228 -0.0991782772 0.0187 -0.0071 0.0034 -0.0133
12/1/18 4.94 4.96 3.23 3.41 3.41 417560200 12/1/18 -0.2925311203 0.7055688797 -0.2944311203 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 3.34 4.65 3.32 4.37 4.37 365636500 1/1/19 0.2815249267 1.2794249267 0.2794249267 0.0862 0.0289 -0.0046 -0.0865
2/1/19 4.4 4.56 3.64 4.23 4.23 312950300 2/1/19 -0.0320366133 0.9661633867 -0.0338366133 0.0358 0.0212 -0.0271 0.0086
3/1/19 4.37 4.78 4.13 4.69 4.69 362671600 3/1/19 0.1087470449 1.1068470449 0.1068470449 0.0129 -0.0305 -0.0419 0.0214
4/1/19 4.74 4.9 3.94 3.95 3.95 388473800 4/1/19 -0.157782516 0.840117484 -0.159882516 0.0417 -0.0175 0.0202 -0.0255
5/1/19 3.95 4.25 3.45 3.59 3.59 300189300 5/1/19 -0.0911392405 0.9067607595 -0.0932392405 -0.0673 -0.0118 -0.0228 0.076
6/1/19 3.6 3.83 3.02 3.16 3.16 366115800 6/1/19 -0.1197771588 0.8784228412 -0.1215771588 0.0711 0.0022 -0.0079 -0.0214
7/1/19 3.21 3.21 1.86 2.2 2.2 477848700 7/1/19 -0.3037974684 0.6943025316 -0.3056974684 0.0138 -0.0208 0.0034 0.0272
8/1/19 2.2 2.26 1.56 1.58 1.58 402687300 8/1/19 -0.2818181818 0.7165818182 -0.2834181818 -0.0242 -0.024 -0.0485 0.0764
9/1/19 1.57 2.58 1.56 1.93 1.93 489721400 9/1/19 0.2215189873 1.2197189873 0.2197189873 0.0161 -0.0105 0.0677 -0.0685
10/1/19 1.95 2.3 1.71 2.05 2.05 437256900 10/1/19 0.0621761658 1.0606761658 0.0606761658 0.0221 0.0024 -0.0188 0.0029
11/1/19 2.06 2.45 1.77 1.82 1.82 435909800 11/1/19 -0.112195122 0.886604878 -0.113395122 0.0399 0.0091 -0.0205 -0.026
12/1/19 1.85 2.47 1.78 2.42 2.42 528768500 12/1/19 0.3296703297 1.3282703297 0.3282703297 0.0291 0.0067 0.0191 -0.0227
1/1/20 2.43 2.45 1.51 1.57 1.57 510586600 1/1/20 -0.3512396694 0.6474603306 -0.3525396694 0.0002 -0.0308 -0.0627 0.0543
2/1/20 1.63 1.79 1.15 1.42 1.42 389354000 2/1/20 -0.0955414013 0.9032585987 -0.0967414013 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 1.44 2.49 1.06 1.69 1.69 821773700 3/1/20 0.1901408451 1.1889408451 0.1889408451 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 1.63 3.32 1.55 3.23 3.23 482850200 4/1/20 0.9112426036 1.9112426036 0.9112426036 0.1365 0.0275 -0.0139 -0.0549
5/1/20 3 3.39 2.47 3.01 3.01 266838000 5/1/20 -0.0681114551 0.9317885449 -0.0682114551 0.0559 0.0249 -0.0505 0.0067
6/1/20 3 3.9 2.37 2.56 2.56 376105400 6/1/20 -0.1495016611 0.8503983389 -0.1496016611 0.0247 0.0271 -0.0235 -0.0075
7/1/20 2.53 2.89 2.34 2.43 2.43 281073900 7/1/20 -0.05078125 0.94911875 -0.05088125 0.0578 -0.0218 -0.0139 0.0761
8/1/20 2.51 3.25 2.48 2.78 2.78 400377500 8/1/20 0.1440329218 1.1439329218 0.1439329218 0.0764 -0.0025 -0.0294 0.0051
9/1/20 2.72 2.77 2.25 2.35 2.35 344411900 9/1/20 -0.154676259 0.845223741 -0.154776259 -0.0362 0.0006 -0.0251 0.0305
10/1/20 2.33 3.22 2.18 2.67 2.67 332397000 10/1/20 0.1361702128 1.1360702128 0.1360702128 -0.0209 0.0444 0.0403 -0.0303
11/1/20 2.64 3.38 2.42 3.11 3.11 314996800 11/1/20 0.1647940075 1.1646940075 0.1646940075 0.1248 0.0548 0.0211 -0.1225
12/1/20 3.13 3.75 2.73 2.98 2.98 435018500 12/1/20 -0.0418006431 0.9580993569 -0.0419006431 0.0464 0.0491 -0.0146 -0.0234

T

T
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 33.59 34.23 32.41 32.919998 23.050756 594245600 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 33.310001 35.07 32.799999 34.560001 24.542398 443615800 2/1/15 0.0647111965 1.0647111965 0.0647111965 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 34.560001 34.650002 32.52 32.650002 23.186035 576704000 3/1/15 -0.0552661154 0.9447338846 -0.0552661154 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5625900617
4/1/15 32.619999 35.23 32.369999 34.639999 24.599207 608103800 4/1/15 0.060949274 1.060949274 0.060949274 0.0059 -0.0304 0.0188 -0.0732 R Square 0.3165075775
5/1/15 34.560001 35.220001 33.029999 34.540001 24.880842 637840200 5/1/15 0.0114489463 1.0114489463 0.0114489463 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2757020597
6/1/15 34.529999 36.450001 34.240002 35.52 25.58679 739956600 6/1/15 0.0283731555 1.0283731555 0.0283731555 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.045414022
7/1/15 35.59 35.93 33.860001 34.740002 25.02492 757505600 7/1/15 -0.0219593783 0.9780406217 -0.0219593783 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 34.950001 35.02 30.969999 33.200001 24.234003 731259900 8/1/15 -0.031605176 0.968394824 -0.031605176 -0.0604 0.0044 0.0273 -0.0209
9/1/15 32.599998 33.5 31.85 32.580002 23.781439 558371900 9/1/15 -0.0186747522 0.9813252478 -0.0186747522 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 32.48 34.740002 32.169998 33.509998 24.460279 560372500 10/1/15 0.0285449505 1.0285449505 0.0285449505 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 33.689999 33.779999 32.220001 33.669998 24.928814 379389800 11/1/15 0.0191549328 1.0191549328 0.0191549328 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.0639889732 0.0159972433 7.7564896815 0.0000337403
12/1/15 33.779999 34.990002 33.009998 34.41 25.476696 540331000 12/1/15 0.0219778606 1.0218778606 0.0218778606 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.1381830372 0.0020624334
1/1/16 34.080002 36.060001 33.41 36.060001 26.698336 677721800 1/1/16 0.0479512728 1.0478512728 0.0478512728 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.2021720104
2/1/16 36.040001 37.5 35.790001 36.950001 27.742256 577261900 2/1/16 0.0391005642 1.0389005642 0.0389005642 -0.0006 0.0083 -0.006 -0.0406
3/1/16 37.099998 39.720001 37.060001 39.169998 29.40904 508161600 3/1/16 0.0600810547 1.0598810547 0.0598810547 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 38.669998 39.360001 37.73 38.82 29.146263 452326800 4/1/16 -0.0089352458 0.9909647542 -0.0090352458 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0006736431 0.0057682195 -0.1167852737 0.9073795804 -0.0121870574 0.0108397712 -0.0121870574 0.0108397712
5/1/16 38.869999 39.669998 37.77 39.150002 29.758514 385780800 5/1/16 0.0210061578 1.0209061578 0.0209061578 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.5328960566 0.1378195194 3.866622515 0.0002520402 0.2578071446 0.8079849686 0.2578071446 0.8079849686
6/1/16 39.099998 43.419998 38.580002 43.209999 32.844574 521848300 6/1/16 0.1037034309 1.1035034309 0.1035034309 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.1007999434 0.2342493767 0.4303104017 0.6683508792 -0.3667637695 0.5683636563 -0.3667637695 0.5683636563
7/1/16 43.209999 43.889999 41.700001 43.290001 32.905388 411549900 7/1/16 0.0018515692 1.0016515692 0.0016515692 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.2446137964 0.2096667124 1.1666792198 0.2474757896 -0.1738827131 0.663110306 -0.1738827131 0.663110306
8/1/16 43.25 43.5 40.549999 40.880001 31.421434 414250100 8/1/16 -0.0450975992 0.9547024008 -0.0452975992 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.0781731797 0.1786049193 -0.4376877191 0.6630204244 -0.4346700907 0.2783237312 -0.4346700907 0.2783237312
9/1/16 40.849998 41.700001 39.549999 40.610001 31.2139 447600600 9/1/16 -0.0066048545 0.9931951455 -0.0068048545 0.0027 0.0204 -0.0121 -0.0053
10/1/16 40.619999 41.040001 36.27 36.790001 28.277748 624136800 10/1/16 -0.0940655285 0.9057344715 -0.0942655285 -0.02 -0.0443 0.0407 0.0069
11/1/16 36.970001 39.669998 36.099998 38.630001 30.053572 500550600 11/1/16 0.0627993431 1.0626993431 0.0626993431 0.0487 0.0547 0.0822 -0.0407
12/1/16 38.630001 42.84 38.16 42.529999 33.087711 425966100 12/1/16 0.1009576832 1.1006576832 0.1006576832 0.0184 0.0011 0.0351 -0.0038
1/1/17 42.689999 43.029999 40.240002 42.16 32.799858 460664600 1/1/17 -0.0086996952 0.9909003048 -0.0090996952 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 42.279999 42.459999 40.41 41.790001 32.889874 372485800 2/1/17 0.0027444021 1.0023444021 0.0023444021 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 41.779999 42.700001 41.259998 41.549999 32.700977 380077200 3/1/17 -0.0057433178 0.9939566822 -0.0060433178 0.002 0.0117 -0.0333 -0.0092
4/1/17 41.599998 41.77 39.52 39.630001 31.189894 410751100 4/1/17 -0.0462091087 0.9532908913 -0.0467091087 0.0114 0.0072 -0.0211 0.0044
5/1/17 39.68 39.700001 37.450001 38.529999 30.686388 467181000 5/1/17 -0.0161432418 0.9832567582 -0.0167432418 0.0112 -0.0261 -0.0367 0.0146
6/1/17 38.68 39.369999 37.540001 37.73 30.049253 437030700 6/1/17 -0.020762789 0.978637211 -0.021362789 0.0084 0.0215 0.0145 -0.0032
7/1/17 37.84 39.669998 35.810001 39 31.060713 567280000 7/1/17 0.0336600714 1.0329600714 0.0329600714 0.0194 -0.0147 -0.0036 0.0166
8/1/17 39.25 39.27 37.200001 37.459999 30.222702 407679100 8/1/17 -0.0269797735 0.9721202265 -0.0278797735 0.0025 -0.0162 -0.0219 0.0355
9/1/17 37.59 39.310001 35.099998 39.169998 31.602327 563552300 9/1/17 0.0456486319 1.0447486319 0.0447486319 0.026 0.0447 0.0314 -0.0118
10/1/17 39.200001 39.799999 33.330002 33.650002 27.148802 821503000 10/1/17 -0.1409239579 0.8581760421 -0.1418239579 0.0234 -0.0195 0.0012 0.043
11/1/17 33.860001 36.900002 32.549999 36.380001 29.719942 879382500 11/1/17 0.094705468 1.093905468 0.093905468 0.032 -0.0058 -0.0009 -0.0071
12/1/17 36.349998 39.330002 35.810001 38.880001 31.762272 588631100 12/1/17 0.0687191785 1.0678191785 0.0678191785 0.0115 -0.0129 0.0017 -0.0163
1/1/18 39.060001 39.060001 36.32 37.450001 30.594059 632601900 1/1/18 -0.0367798941 0.9621201059 -0.0378798941 0.0569 -0.0309 -0.0132 0.0394
2/1/18 38.509998 39.290001 35.029999 36.299999 30.047367 618451700 2/1/18 -0.0178692209 0.9810307791 -0.0189692209 -0.0354 0.003 -0.0101 0.0397
3/1/18 36.310001 37.810001 34.439999 35.650002 29.509331 506953300 3/1/18 -0.0179062611 0.9808937389 -0.0191062611 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 35.580002 36.389999 32.470001 32.700001 27.067463 656698300 4/1/18 -0.0827490125 0.9158509875 -0.0841490125 0.0043 0.0113 0.005 0.0027
5/1/18 32.75 32.91 31.17 32.32 27.133688 637910600 5/1/18 0.0024466645 1.0010466645 0.0010466645 0.0279 0.0528 -0.0315 0.038
6/1/18 32.48 34.529999 31.4 32.110001 26.957388 1229625800 6/1/18 -0.0064974581 0.9921025419 -0.0078974581 0.0062 0.0119 -0.0231 -0.0238
7/1/18 32.16 32.799999 30.129999 31.969999 26.839849 956891800 7/1/18 -0.0043601776 0.9940398224 -0.0059601776 0.0335 -0.0221 0.0057 -0.0167
8/1/18 32.200001 33.580002 31.719999 31.940001 27.231302 580729900 8/1/18 0.0145847691 1.0129847691 0.0129847691 0.036 0.0115 -0.0392 0.0522
9/1/18 31.780001 34.279999 31.48 33.580002 28.62953 665314100 9/1/18 0.0513463513 1.0498463513 0.0498463513 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 33.66 34.299999 28.85 30.68 26.157057 993990200 10/1/18 -0.0863609357 0.9117390643 -0.0882609357 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 30.99 31.43 29.35 31.24 27.030729 698471600 11/1/18 0.0334010053 1.0316010053 0.0316010053 0.0187 -0.0071 0.0034 -0.0133
12/1/18 31.74 32.009998 26.799999 28.540001 24.694525 958232100 12/1/18 -0.0864277097 0.9116722903 -0.0883277097 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 28.5 31.379999 28.299999 30.059999 26.00972 781963900 1/1/19 0.0532585664 1.0511585664 0.0511585664 0.0862 0.0289 -0.0046 -0.0865
2/1/19 30.209999 31.43 28.92 31.120001 27.373199 554660400 2/1/19 0.0524219023 1.0506219023 0.0506219023 0.0358 0.0212 -0.0271 0.0086
3/1/19 31.200001 31.639999 29.67 31.360001 27.584301 611195900 3/1/19 0.007711996 1.005811996 0.005811996 0.0129 -0.0305 -0.0419 0.0214
4/1/19 31.6 32.52 30.049999 30.959999 27.232462 660997600 4/1/19 -0.012755045 0.985144955 -0.014855045 0.0417 -0.0175 0.0202 -0.0255
5/1/19 31.049999 33.080002 30.129999 30.58 27.328516 616430300 5/1/19 0.0035271875 1.0014271875 0.0014271875 -0.0673 -0.0118 -0.0228 0.076
6/1/19 30.719999 33.549999 30.68 33.509998 29.946976 513495500 6/1/19 0.0958142037 1.0940142037 0.0940142037 0.0711 0.0022 -0.0079 -0.0214
7/1/19 33.810001 34.639999 31.52 34.049999 30.429558 673175200 7/1/19 0.0161145486 1.0142145486 0.0142145486 0.0138 -0.0208 0.0034 0.0272
8/1/19 34.48 35.5 33.189999 35.259998 31.987211 630248300 8/1/19 0.0511888145 1.0495888145 0.0495888145 -0.0242 -0.024 -0.0485 0.0764
9/1/19 35.080002 38.75 34.919998 37.84 34.32774 764728900 9/1/19 0.0731707744 1.0713707744 0.0713707744 0.0161 -0.0105 0.0677 -0.0685
10/1/19 37.950001 38.869999 36.540001 38.490002 34.917408 644889900 10/1/19 0.0171775946 1.0156775946 0.0156775946 0.0221 0.0024 -0.0188 0.0029
11/1/19 38.950001 39.700001 36.400002 37.380001 34.378227 606026200 11/1/19 -0.0154416101 0.9833583899 -0.0166416101 0.0399 0.0091 -0.0205 -0.026
12/1/19 37.48 39.43 36.91 39.080002 35.941711 513385600 12/1/19 0.0454789015 1.0440789015 0.0440789015 0.0291 0.0067 0.0191 -0.0227
1/1/20 39.16 39.549999 36.32 37.619999 34.598957 742415100 1/1/20 -0.037359212 0.961340788 -0.038659212 0.0002 -0.0308 -0.0627 0.0543
2/1/20 37.959999 38.82 33.009998 35.220001 32.825245 696621400 2/1/20 -0.051264898 0.947535102 -0.052464898 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 35.369999 38.220001 26.08 29.15 27.167969 1422404300 3/1/20 -0.1723452788 0.8264547212 -0.1735452788 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 28.379999 31.870001 27.25 30.469999 28.398214 843918600 4/1/20 0.0452829212 1.0452829212 0.0452829212 0.1365 0.0275 -0.0139 -0.0549
5/1/20 30.77 32.07 27.610001 30.860001 29.267654 725010800 5/1/20 0.0306160099 1.0305160099 0.0305160099 0.0559 0.0249 -0.0505 0.0067
6/1/20 30.75 33.240002 28.92 30.23 28.670162 883894300 6/1/20 -0.0204147555 0.9794852445 -0.0205147555 0.0247 0.0271 -0.0235 -0.0075
7/1/20 30.129999 30.6 29.200001 29.58 28.053701 758181500 7/1/20 -0.0215018318 0.9783981682 -0.0216018318 0.0578 -0.0218 -0.0139 0.0761
8/1/20 29.950001 30.77 29.41 29.809999 28.762859 576186400 8/1/20 0.0252785898 1.0251785898 0.0251785898 0.0764 -0.0025 -0.0294 0.0051
9/1/20 29.74 30.18 27.75 28.51 27.508526 768452900 9/1/20 -0.0436094687 0.9562905313 -0.0437094687 -0.0362 0.0006 -0.0251 0.0305
10/1/20 28.52 29.16 26.35 27.02 26.070866 943136000 10/1/20 -0.0522623422 0.9476376578 -0.0523623422 -0.0209 0.0444 0.0403 -0.0303
11/1/20 27.4 29.440001 26.860001 28.75 28.250168 733689900 11/1/20 0.0835914695 1.0834914695 0.0834914695 0.1248 0.0548 0.0211 -0.1225
12/1/20 28.82 31.889999 28.32 28.76 28.259995 969928000 12/1/20 0.0003478563 1.0002478563 0.0002478563 0.0464 0.0491 -0.0146 -0.0234

TWTR

TWTR
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 36.23 40.950001 35.540001 37.529999 37.529999 381022600 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 37.700001 50.009998 36.919998 48.080002 48.080002 511178300 2/1/15 0.281108534 1.281108534 0.281108534 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 48.259998 51.869999 45.130001 50.080002 50.080002 379416400 3/1/15 0.041597336 1.041597336 0.041597336 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.3697771547
4/1/15 51 53.490002 38.07 38.959999 38.959999 537383000 4/1/15 -0.2220447795 0.7779552205 -0.2220447795 0.0059 -0.0304 0.0188 -0.0732 R Square 0.1367351442
5/1/15 39.189999 39.240002 36.099998 36.669998 36.669998 373218500 5/1/15 -0.0587782613 0.9412217387 -0.0587782613 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.0851969438
6/1/15 36.689999 37.790001 33.509998 36.220001 36.220001 495577200 6/1/15 -0.0122715305 0.9877284695 -0.0122715305 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1311931756
7/1/15 36.049999 38.82 30.85 31.01 31.01 497305700 7/1/15 -0.1438432042 0.8561567958 -0.1438432042 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 30.85 31.09 21.01 27.790001 27.790001 480821600 8/1/15 -0.1038374395 0.8961625605 -0.1038374395 -0.0604 0.0044 0.0273 -0.0209
9/1/15 27.23 29 24.6 26.940001 26.940001 321847100 9/1/15 -0.0305865408 0.9694134592 -0.0305865408 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 26.469999 31.870001 24.34 28.459999 28.459999 692811200 10/1/15 0.0564216015 1.0564216015 0.0564216015 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 28.540001 30.15 24.9 25.4 25.4 293351100 11/1/15 -0.107519294 0.892480706 -0.107519294 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.1826557648 0.0456639412 2.6530834071 0.0405050394
12/1/15 25.389999 26.25 21.99 23.139999 23.139999 397555900 12/1/15 -0.0889764173 0.9109235827 -0.0890764173 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 1.1531805041 0.0172116493
1/1/16 22.639999 23 15.48 16.799999 16.799999 464361100 1/1/16 -0.2739844544 0.7259155456 -0.2740844544 -0.0576 -0.0336 0.0201 0.0134 Total 71 1.3358362689
2/1/16 17.889999 18.959999 13.91 18.120001 18.120001 551104700 2/1/16 0.0785715523 1.0783715523 0.0783715523 -0.0006 0.0083 -0.006 -0.0406
3/1/16 18.469999 20.32 15.33 16.549999 16.549999 426043500 3/1/16 -0.0866446972 0.9131553028 -0.0868446972 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 16.41 17.98 14.32 14.62 14.62 549092500 4/1/16 -0.1166162608 0.8832837392 -0.1167162608 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0006163869 0.0166633785 -0.0369905117 0.9706025642 -0.0338766295 0.0326438557 -0.0338766295 0.0326438557
5/1/16 14.73 15.49 13.73 15.22 15.22 438626800 5/1/16 0.0410396717 1.0409396717 0.0409396717 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.9824877317 0.3981365143 2.4677157117 0.0161583198 0.1878039231 1.7771715402 0.1878039231 1.7771715402
6/1/16 15.22 17.07 14 16.91 16.91 497879000 6/1/16 0.1110381078 1.1108381078 0.1108381078 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.8876681789 0.6767055258 1.3117495646 0.1940817021 -0.4630417039 2.2383780617 -0.4630417039 2.2383780617
7/1/16 16.93 18.9 15.69 16.639999 16.639999 505122300 7/1/16 -0.0159669426 0.9838330574 -0.0161669426 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.2161490267 0.6056905032 -0.35686382 0.7223152622 -1.425112331 0.9928142776 -1.425112331 0.9928142776
8/1/16 16.65 21.1 16.200001 19.209999 19.209999 574211000 8/1/16 0.1544471247 1.1542471247 0.1542471247 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.3694634225 0.5159584093 0.7160721016 0.4764352676 -0.6603938729 1.3993207179 -0.6603938729 1.3993207179
9/1/16 19.370001 23.98 17.52 23.049999 23.049999 805181700 9/1/16 0.199895898 1.199695898 0.199695898 0.0027 0.0204 -0.0121 -0.0053
10/1/16 23.780001 25.25 16.280001 17.950001 17.950001 900013000 10/1/16 -0.2212580573 0.7785419427 -0.2214580573 -0.02 -0.0443 0.0407 0.0069
11/1/16 17.84 19.51 17.26 18.49 18.49 406573100 11/1/16 0.0300835081 1.0299835081 0.0299835081 0.0487 0.0547 0.0822 -0.0407
12/1/16 18.82 19.84 16.16 16.299999 16.299999 361085000 12/1/16 -0.1184424554 0.8812575446 -0.1187424554 0.0184 0.0011 0.0351 -0.0038
1/1/17 16.309999 17.780001 16.209999 17.620001 17.620001 270953300 1/1/17 0.0809817228 1.0805817228 0.0805817228 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 17.84 18.77 15.5 15.77 15.77 528946700 2/1/17 -0.1049943754 0.8946056246 -0.1053943754 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 15.87 16.1 14.32 14.95 14.95 310140900 3/1/17 -0.0519974635 0.9477025365 -0.0522974635 0.002 0.0117 -0.0333 -0.0092
4/1/17 14.97 16.790001 14.12 16.48 16.48 339860900 4/1/17 0.1023411371 1.1018411371 0.1018411371 0.0114 0.0072 -0.0211 0.0044
5/1/17 17.139999 19.790001 16.969999 18.32 18.32 481326600 5/1/17 0.1116504854 1.1110504854 0.1110504854 0.0112 -0.0261 -0.0367 0.0146
6/1/17 18.219999 19.01 16.27 17.870001 17.870001 342830600 6/1/17 -0.0245632642 0.9748367358 -0.0251632642 0.0084 0.0215 0.0145 -0.0032
7/1/17 17.940001 20.879999 16 16.09 16.09 442239500 7/1/17 -0.0996083324 0.8996916676 -0.1003083324 0.0194 -0.0147 -0.0036 0.0166
8/1/17 16.200001 17.1 15.67 16.91 16.91 257159200 8/1/17 0.0509633313 1.0500633313 0.0500633313 0.0025 -0.0162 -0.0219 0.0355
9/1/17 16.969999 18.49 16.440001 16.870001 16.870001 220791900 9/1/17 -0.0023654051 0.9967345949 -0.0032654051 0.026 0.0447 0.0314 -0.0118
10/1/17 16.799999 21.959999 16.780001 20.620001 20.620001 482599000 10/1/17 0.2222880722 1.2213880722 0.2213880722 0.0234 -0.0195 0.0012 0.043
11/1/17 20.74 22.48 19.26 20.58 20.58 363917300 11/1/17 -0.0019399126 0.9972600874 -0.0027399126 0.032 -0.0058 -0.0009 -0.0071
12/1/17 20.52 25.559999 20.120001 24.01 24.01 369977600 12/1/17 0.1666666667 1.1657666667 0.1657666667 0.0115 -0.0129 0.0017 -0.0163
1/1/18 24.07 26.65 22.040001 25.809999 25.809999 530591200 1/1/18 0.0749687214 1.0738687214 0.0738687214 0.0569 -0.0309 -0.0132 0.0394
2/1/18 25.52 35 24.1 31.860001 31.860001 768119100 2/1/18 0.2344053558 1.2333053558 0.2333053558 -0.0354 0.003 -0.0101 0.0397
3/1/18 31.950001 36.799999 27.389999 29.01 29.01 698505800 3/1/18 -0.0894538892 0.9093461108 -0.0906538892 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 28.370001 33.119999 26.6 30.309999 30.309999 637652500 4/1/18 0.0448120993 1.0434120993 0.0434120993 0.0043 0.0113 0.005 0.0027
5/1/18 30.209999 34.970001 29.6 34.700001 34.700001 379935200 5/1/18 0.1448367583 1.1434367583 0.1434367583 0.0279 0.0528 -0.0315 0.038
6/1/18 35.139999 47.790001 35.09 43.669998 43.669998 843714300 6/1/18 0.258501347 1.257101347 0.257101347 0.0062 0.0119 -0.0231 -0.0238
7/1/18 43.060001 46.900002 31.07 31.870001 31.870001 736827200 7/1/18 -0.2702083247 0.7281916753 -0.2718083247 0.0335 -0.0221 0.0057 -0.0167
8/1/18 32.25 36.150002 31.34 35.18 35.18 540143400 8/1/18 0.1038593943 1.1022593943 0.1022593943 0.036 0.0115 -0.0392 0.0522
9/1/18 34.75 35.130001 27.93 28.459999 28.459999 420419500 9/1/18 -0.1910176521 0.8074823479 -0.1925176521 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 28.51 35.639999 26.190001 34.75 34.75 686292200 10/1/18 0.2210119895 1.2191119895 0.2191119895 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 34.599998 35.349998 29.870001 31.450001 31.450001 404919000 11/1/18 -0.094964 0.903236 -0.096764 0.0187 -0.0071 0.0034 -0.0133
12/1/18 32.240002 37.139999 26.26 28.74 28.74 508745800 12/1/18 -0.0861685505 0.9119314495 -0.0880685505 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 28.26 33.889999 27.870001 33.560001 33.560001 373983800 1/1/19 0.1677105428 1.1656105428 0.1656105428 0.0862 0.0289 -0.0046 -0.0865
2/1/19 33.560001 35.25 29.42 30.780001 30.780001 439995700 2/1/19 -0.0828367079 0.9153632921 -0.0846367079 0.0358 0.0212 -0.0271 0.0086
3/1/19 31.17 34.209999 29.41 32.880001 32.880001 318109500 3/1/19 0.0682261186 1.0663261186 0.0663261186 0.0129 -0.0305 -0.0419 0.0214
4/1/19 33.16 40.919998 32.700001 39.91 39.91 402845900 4/1/19 0.213807749 1.211707749 0.211707749 0.0417 -0.0175 0.0202 -0.0255
5/1/19 40 40.82 36.299999 36.439999 36.439999 274961200 5/1/19 -0.0869456527 0.9109543473 -0.0890456527 -0.0673 -0.0118 -0.0228 0.076
6/1/19 36.450001 38.639999 34.040001 34.900002 34.900002 252976700 6/1/19 -0.0422611702 0.9559388298 -0.0440611702 0.0711 0.0022 -0.0079 -0.0214
7/1/19 35.5 43.240002 35.220001 42.310001 42.310001 315563300 7/1/19 0.2123208761 1.2104208761 0.2104208761 0.0138 -0.0208 0.0034 0.0272
8/1/19 42.540001 43.48 39.619999 42.650002 42.650002 282892100 8/1/19 0.0080359488 1.0064359488 0.0064359488 -0.0242 -0.024 -0.0485 0.0764
9/1/19 42.380001 45.860001 40.610001 41.200001 41.200001 223619900 9/1/19 -0.0339976772 0.9642023228 -0.0357976772 0.0161 -0.0105 0.0677 -0.0685
10/1/19 41.32 41.57 28.84 29.969999 29.969999 422568800 10/1/19 -0.2725728575 0.7259271425 -0.2740728575 0.0221 0.0024 -0.0188 0.0029
11/1/19 29.959999 31.360001 28.629999 30.91 30.91 297804600 11/1/19 0.0313647324 1.0301647324 0.0301647324 0.0399 0.0091 -0.0205 -0.026
12/1/19 30.91 32.889999 29.48 32.049999 32.049999 275139100 12/1/19 0.0368812358 1.0354812358 0.0354812358 0.0291 0.0067 0.0191 -0.0227
1/1/20 32.310001 34.540001 31.16 32.48 32.48 269746000 1/1/20 0.0134165683 1.0121165683 0.0121165683 0.0002 -0.0308 -0.0627 0.0543
2/1/20 32.560001 39.639999 31.51 33.200001 33.200001 462126200 2/1/20 0.0221675185 1.0209675185 0.0209675185 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 36 36.860001 20 24.559999 24.559999 585889900 3/1/20 -0.2602410163 0.7385589837 -0.2614410163 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 23.700001 31.5 22.360001 28.68 28.68 507948500 4/1/20 0.1677524905 1.1677524905 0.1677524905 0.1365 0.0275 -0.0139 -0.0549
5/1/20 28 34.27 27.120001 30.969999 30.969999 409505900 5/1/20 0.0798465481 1.0797465481 0.0797465481 0.0559 0.0249 -0.0505 0.0067
6/1/20 31.059999 36.939999 28.23 29.790001 29.790001 450255000 6/1/20 -0.0381013251 0.9617986749 -0.0382013251 0.0247 0.0271 -0.0235 -0.0075
7/1/20 30.15 40.259998 30.059999 36.400002 36.400002 589154800 7/1/20 0.2218865652 1.2217865652 0.2217865652 0.0578 -0.0218 -0.0139 0.0761
8/1/20 36.41 41.330002 35.650002 40.580002 40.580002 269748800 8/1/20 0.1148351585 1.1147351585 0.1147351585 0.0764 -0.0025 -0.0294 0.0051
9/1/20 40.610001 46.82 38.099998 44.5 44.5 378048500 9/1/20 0.096599256 1.096499256 0.096499256 -0.0362 0.0006 -0.0251 0.0305
10/1/20 45.07 52.93 40.830002 41.360001 41.360001 467193900 10/1/20 -0.0705617753 0.9293382247 -0.0706617753 -0.0209 0.0444 0.0403 -0.0303
11/1/20 41.150002 47.009998 38.93 46.509998 46.509998 332392900 11/1/20 0.1245163655 1.1244163655 0.1244163655 0.1248 0.0548 0.0211 -0.1225
12/1/20 46.759998 56.110001 45.810001 54.150002 54.150002 241883600 12/1/20 0.1642658424 1.1641658424 0.1641658424 0.0464 0.0491 -0.0146 -0.0234

UAL

UAL
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 67.739998 74.519997 62.369999 69.370003 69.370003 124165300 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 69.080002 72.230003 63.759998 65.18 65.18 109874100 2/1/15 -0.0604007902 0.9395992098 -0.0604007902 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 65.18 70.309998 63.09 67.25 67.25 108340800 3/1/15 0.031758208 1.031758208 0.031758208 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.638382192
4/1/15 65.059998 65.849998 57.950001 59.740002 59.740002 129579600 4/1/15 -0.1116728327 0.8883271673 -0.1116728327 0.0059 -0.0304 0.0188 -0.0732 R Square 0.407531823
5/1/15 60.34 63.900002 51.68 54.59 54.59 126181700 5/1/15 -0.0862069271 0.9137930729 -0.0862069271 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.3721605886
6/1/15 54.759998 56.889999 49.849998 53.009998 53.009998 123310200 6/1/15 -0.0289430665 0.9710569335 -0.0289430665 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0924874183
7/1/15 54.049999 60 50.099998 56.389999 56.389999 131458100 7/1/15 0.0637615757 1.0637615757 0.0637615757 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 56.860001 60.119999 49.200001 56.970001 56.970001 115315200 8/1/15 0.0102855473 1.0102855473 0.0102855473 -0.0604 0.0044 0.0273 -0.0209
9/1/15 56.009998 62.209999 52.110001 53.049999 53.049999 207263100 9/1/15 -0.0688081785 0.9311918215 -0.0688081785 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 52.950001 61.869999 49.759998 60.310001 60.310001 155637000 10/1/15 0.1368520667 1.1368520667 0.1368520667 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 60.610001 61.75 55.580002 55.73 55.73 83819300 11/1/15 -0.075940987 0.924059013 -0.075940987 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.39421815 0.0985545375 11.5215606515 0.000000355
12/1/15 55.68 61.490002 55.330002 57.299999 57.299999 93185800 12/1/15 0.0281715234 1.0280715234 0.0280715234 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.573112811 0.0085539226
1/1/16 55.790001 56.34 42.169998 48.279999 48.279999 152402000 1/1/16 -0.1574171057 0.8424828943 -0.1575171057 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.9673309609
2/1/16 47.709999 57.799999 44 57.259998 57.259998 120501700 2/1/16 0.1859983261 1.1857983261 0.1857983261 -0.0006 0.0083 -0.006 -0.0406
3/1/16 57.630001 61.41 55.290001 59.860001 59.860001 103497600 3/1/16 0.0454069698 1.0452069698 0.0452069698 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 57.43 58.900002 45.580002 45.810001 45.810001 128925700 4/1/16 -0.2347143295 0.7651856705 -0.2348143295 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0053334471 0.0117472029 -0.4540184734 0.6512828872 -0.0287809623 0.018114068 -0.0287809623 0.018114068
5/1/16 46.610001 47.540001 43.330002 45.09 45.09 115010100 5/1/16 -0.0157171138 0.9841828862 -0.0158171138 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.2011154243 0.2806748003 4.2793846224 0.0000609898 0.6408861781 1.7613446705 0.6408861781 1.7613446705
6/1/16 45.09 46.91 37.41 41.040001 41.040001 143700200 6/1/16 -0.0898203371 0.9099796629 -0.0900203371 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.2581806356 0.4770579475 0.5411934482 0.5901692505 -0.694031013 1.2103922842 -0.694031013 1.2103922842
7/1/16 41.02 49.869999 37.639999 46.889999 46.889999 105946400 7/1/16 0.1425438074 1.1423438074 0.1423438074 0.0397 0.026 -0.0123 -0.0308 X Variable 3 1.1048000788 0.4269943975 2.5873877625 0.0118458973 0.2525156942 1.9570844633 0.2525156942 1.9570844633
8/1/16 46.77 51.529999 44.150002 50.41 50.41 93178900 8/1/16 0.0750693341 1.0748693341 0.0748693341 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.0511373087 0.3637358502 -0.1405891354 0.8886163527 -0.7771571043 0.6748824869 -0.7771571043 0.6748824869
9/1/16 50.540001 54.529999 49.279999 52.470001 52.470001 103371300 9/1/16 0.0408649276 1.0406649276 0.0406649276 0.0027 0.0204 -0.0121 -0.0053
10/1/16 52.240002 56.810001 51.34 56.23 56.23 114927800 10/1/16 0.0716599758 1.0714599758 0.0714599758 -0.02 -0.0443 0.0407 0.0069
11/1/16 56.25 70.18 55.529999 68.949997 68.949997 104898900 11/1/16 0.2262137115 1.2261137115 0.2261137115 0.0487 0.0547 0.0822 -0.0407
12/1/16 68.669998 76.800003 68 72.879997 72.879997 63608500 12/1/16 0.056997827 1.056697827 0.056697827 0.0184 0.0011 0.0351 -0.0038
1/1/17 74.019997 76.75 69.339996 70.470001 70.470001 73206900 1/1/17 -0.0330680036 0.9665319964 -0.0334680036 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 70.949997 76.459999 70.550003 74.089996 74.089996 57821300 2/1/17 0.0513693054 1.0509693054 0.0509693054 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 74.639999 76.650002 64.160004 70.639999 70.639999 110694200 3/1/17 -0.0465649506 0.9531350494 -0.0468649506 0.002 0.0117 -0.0333 -0.0092
4/1/17 70.690002 72.099998 67.550003 70.209999 70.209999 97787300 4/1/17 -0.0060872028 0.9934127972 -0.0065872028 0.0114 0.0072 -0.0211 0.0044
5/1/17 70.559998 81.959999 70.239998 79.669998 79.669998 72086900 5/1/17 0.1347386289 1.1341386289 0.1341386289 0.0112 -0.0261 -0.0367 0.0146
6/1/17 79.989998 83.040001 74.970001 75.25 75.25 74222600 6/1/17 -0.0554788265 0.9439211735 -0.0560788265 0.0084 0.0215 0.0145 -0.0032
7/1/17 75.849998 81.389999 66.449997 67.68 67.68 98614800 7/1/17 -0.1005980066 0.8987019934 -0.1012980066 0.0194 -0.0147 -0.0036 0.0166
8/1/17 68.150002 69.309998 61.310001 61.959999 61.959999 84077700 8/1/17 -0.0845153812 0.9145846188 -0.0854153812 0.0025 -0.0162 -0.0219 0.0355
9/1/17 62.540001 63.080002 57.34 60.880001 60.880001 109888100 9/1/17 -0.0174305684 0.9816694316 -0.0183305684 0.026 0.0447 0.0314 -0.0118
10/1/17 60.900002 69.620003 58.040001 58.48 58.48 153805700 10/1/17 -0.0394218292 0.9596781708 -0.0403218292 0.0234 -0.0195 0.0012 0.043
11/1/17 58.200001 63.84 56.509998 63.32 63.32 79742800 11/1/17 0.0827633379 1.0819633379 0.0819633379 0.032 -0.0058 -0.0009 -0.0071
12/1/17 63.200001 67.989998 61.779999 67.400002 67.400002 76524000 12/1/17 0.0644346494 1.0635346494 0.0635346494 0.0115 -0.0129 0.0017 -0.0163
1/1/18 67.900002 79 65.440002 67.82 67.82 135147300 1/1/18 0.0062314241 1.0051314241 0.0051314241 0.0569 -0.0309 -0.0132 0.0394
2/1/18 67.220001 69.480003 60.439999 67.790001 67.790001 75668300 2/1/18 -0.0004423326 0.9984576674 -0.0015423326 -0.0354 0.003 -0.0101 0.0397
3/1/18 67.779999 73.410004 65.669998 69.470001 69.470001 75113700 3/1/18 0.0247824159 1.0235824159 0.0235824159 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 69.120003 72.599998 64.800003 67.540001 67.540001 94095300 4/1/18 -0.0277817759 0.9708182241 -0.0291817759 0.0043 0.0113 0.005 0.0027
5/1/18 67.589996 72.739998 65.57 69.589996 69.589996 62753900 5/1/18 0.0303523093 1.0289523093 0.0289523093 0.0279 0.0528 -0.0315 0.038
6/1/18 70 75.529999 67.93 69.730003 69.730003 60887100 6/1/18 0.002011884 1.000611884 0.000611884 0.0062 0.0119 -0.0231 -0.0238
7/1/18 69.400002 82.040001 67.940002 80.400002 80.400002 93174400 7/1/18 0.1530187658 1.1514187658 0.1514187658 0.0335 -0.0221 0.0057 -0.0167
8/1/18 80.769997 87.669998 78.699997 87.419998 87.419998 53626800 8/1/18 0.0873133809 1.0857133809 0.0857133809 0.036 0.0115 -0.0392 0.0522
9/1/18 87.839996 91.389999 86.260002 89.059998 89.059998 55554500 9/1/18 0.0187600096 1.0172600096 0.0172600096 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 89.290001 89.610001 78.870003 85.510002 85.510002 98781900 10/1/18 -0.039860724 0.958239276 -0.041760724 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 85.620003 96.800003 85.620003 96.699997 96.699997 69428900 11/1/18 0.130861826 1.129061826 0.129061826 0.0187 -0.0071 0.0034 -0.0133
12/1/18 97.669998 97.849998 79.050003 83.730003 83.730003 76595900 12/1/18 -0.1341261055 0.8639738945 -0.1360261055 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 81.690002 88.150002 77.389999 87.269997 87.269997 93456100 1/1/19 0.04227868 1.04017868 0.04017868 0.0862 0.0289 -0.0046 -0.0865
2/1/19 87.209999 90.93 86.660004 87.809998 87.809998 48060300 2/1/19 0.006187705 1.004387705 0.004387705 0.0358 0.0212 -0.0271 0.0086
3/1/19 88.459999 88.620003 77.019997 79.779999 79.779999 70890400 3/1/19 -0.091447434 0.906652566 -0.093347434 0.0129 -0.0305 -0.0419 0.0214
4/1/19 80.209999 90.160004 79.559998 88.860001 88.860001 61650400 4/1/19 0.1138130122 1.1117130122 0.1117130122 0.0417 -0.0175 0.0202 -0.0255
5/1/19 89.059998 89.709999 77.400002 77.650002 77.650002 50213100 5/1/19 -0.1261534872 0.8717465128 -0.1282534872 -0.0673 -0.0118 -0.0228 0.076
6/1/19 77.379997 89.410004 77.349998 87.550003 87.550003 43843200 6/1/19 0.1274951802 1.1256951802 0.1256951802 0.0711 0.0022 -0.0079 -0.0214
7/1/19 88.839996 96.029999 87.769997 91.910004 91.910004 62317400 7/1/19 0.0498001239 1.0479001239 0.0479001239 0.0138 -0.0208 0.0034 0.0272
8/1/19 92.029999 93.040001 80.779999 84.309998 84.309998 53155300 8/1/19 -0.0826896493 0.9157103507 -0.0842896493 -0.0242 -0.024 -0.0485 0.0764
9/1/19 83.639999 91.839996 82.25 88.410004 88.410004 47775300 9/1/19 0.0486301281 1.0468301281 0.0468301281 0.0161 -0.0105 0.0677 -0.0685
10/1/19 89.150002 92.800003 80.870003 90.839996 90.839996 61233900 10/1/19 0.0274854868 1.0259854868 0.0259854868 0.0221 0.0024 -0.0188 0.0029
11/1/19 91.650002 95.160004 90.769997 92.800003 92.800003 35095100 11/1/19 0.0215764761 1.0203764761 0.0203764761 0.0399 0.0091 -0.0205 -0.026
12/1/19 93 93.620003 86.080002 88.089996 88.089996 42638400 12/1/19 -0.0507543841 0.9478456159 -0.0521543841 0.0291 0.0067 0.0191 -0.0227
1/1/20 89.57 90.57 74.440002 74.800003 74.800003 98401800 1/1/20 -0.1508683574 0.8478316426 -0.1521683574 0.0002 -0.0308 -0.0627 0.0543
2/1/20 75.489998 82.720001 60.830002 61.59 61.59 99956500 2/1/20 -0.1766043111 0.8221956889 -0.1778043111 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 61.130001 63.529999 17.799999 31.549999 31.549999 472476700 3/1/20 -0.4877415327 0.5110584673 -0.4889415327 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 29.51 34.040001 21.559999 29.58 29.58 847683200 4/1/20 -0.0624405408 0.9375594592 -0.0624405408 0.1365 0.0275 -0.0139 -0.0549
5/1/20 28.1 32.75 18.18 28.040001 28.040001 1158951800 5/1/20 -0.0520621704 0.9478378296 -0.0521621704 0.0559 0.0249 -0.0505 0.0067
6/1/20 28.190001 48.950001 27.950001 34.610001 34.610001 1791841200 6/1/20 0.2343081229 1.2342081229 0.2342081229 0.0247 0.0271 -0.0235 -0.0075
7/1/20 36.919998 38.369999 29.23 31.379999 31.379999 1119519600 7/1/20 -0.0933256835 0.9065743165 -0.0934256835 0.0578 -0.0218 -0.0139 0.0761
8/1/20 31.33 39.860001 30.32 36 36 760651500 8/1/20 0.14722757 1.14712757 0.14712757 0.0764 -0.0025 -0.0294 0.0051
9/1/20 35.25 39.77 31.219999 34.75 34.75 587377400 9/1/20 -0.0347222222 0.9651777778 -0.0348222222 -0.0362 0.0006 -0.0251 0.0305
10/1/20 35.23 38.099998 32.16 33.860001 33.860001 493158700 10/1/20 -0.025611482 0.974288518 -0.025711482 -0.0209 0.0444 0.0403 -0.0303
11/1/20 34.080002 46.759998 32.950001 45.049999 45.049999 443920300 11/1/20 0.3304783718 1.3303783718 0.3303783718 0.1248 0.0548 0.0211 -0.1225
12/1/20 45.830002 51.310001 42.43 43.25 43.25 379491200 12/1/20 -0.0399555836 0.9599444164 -0.0400555836 0.0464 0.0491 -0.0146 -0.0234

V

V
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 65.845001 66.6875 61.2925 63.727501 61.084843 224446400 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 64.077499 68.625 62.424999 67.827499 65.014824 196760400 2/1/15 0.0643364345 1.0643364345 0.0643364345 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 69.177498 69.662498 64.752502 65.410004 62.81152 269012100 3/1/15 -0.0338892558 0.9661107442 -0.0338892558 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.8505555141
4/1/15 65.449997 69.980003 64.349998 66.050003 63.426121 160639300 4/1/15 0.0097848452 1.0097848452 0.0097848452 0.0059 -0.0304 0.0188 -0.0732 R Square 0.7234446825
5/1/15 65.220001 70.690002 65.150002 68.68 65.95163 144586800 5/1/15 0.0398181216 1.0398181216 0.0398181216 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.7069339173
6/1/15 69.129997 70.019997 66.690002 67.150002 64.595268 131193300 6/1/15 -0.0205660118 0.9794339882 -0.0205660118 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0291914467
7/1/15 67.940002 76.919998 66.529999 75.339996 72.473656 177282000 7/1/15 0.1219654046 1.1219654046 0.1219654046 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 75.589996 76.169998 60 71.300003 68.587387 179158500 8/1/15 -0.0536231952 0.9463768048 -0.0536231952 -0.0604 0.0044 0.0273 -0.0209
9/1/15 69.410004 72.32 67.029999 69.660004 67.119553 201185100 9/1/15 -0.0214009319 0.9785990681 -0.0214009319 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 70.089996 78.889999 68.360001 77.580002 74.750732 177323100 10/1/15 0.1136953192 1.1136953192 0.1136953192 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 75.190002 81.010002 74.529999 79.010002 76.128586 183636600 11/1/15 0.0184326489 1.0184326489 0.0184326489 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.14935142 0.037337855 43.8165447019 5.03161711604299E-18
12/1/15 79.529999 80.489998 75.519997 77.550003 74.856102 196740000 12/1/15 -0.0167149302 0.9831850698 -0.0168149302 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.0570934176 0.0008521406
1/1/16 76.059998 76.510002 68.760002 74.489998 71.902405 260402300 1/1/16 -0.039458333 0.960441667 -0.039558333 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.2064448376
2/1/16 74.080002 74.779999 66.120003 72.389999 69.875351 213972400 2/1/16 -0.0281917413 0.9716082587 -0.0283917413 -0.0006 0.0083 -0.006 -0.0406
3/1/16 72.989998 77 69.580002 76.480003 73.968933 195619100 3/1/16 0.0585840635 1.0583840635 0.0583840635 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 76.25 81.730003 75.800003 77.239998 74.703979 174306800 4/1/16 0.0099372259 1.0098372259 0.0098372259 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0028160671 0.0037077243 0.7595136198 0.4502094782 -0.0045845816 0.0102167158 -0.0045845816 0.0102167158
5/1/16 77.809998 79.870003 76.220001 78.940002 76.348183 146457000 5/1/16 0.0220095907 1.0219095907 0.0219095907 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.0978722417 0.0885883034 12.3929706246 5.33155180921414E-19 0.9210492481 1.2746952354 0.9210492481 1.2746952354
6/1/16 78.690002 81.709999 73.25 74.169998 71.861786 233198700 6/1/16 -0.0587623284 0.9410376716 -0.0589623284 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -0.4068108215 0.1505719578 -2.7017701525 0.0087284307 -0.7073537072 -0.1062679358 -0.7073537072 -0.1062679358
7/1/16 74.5 80.169998 73.830002 78.050003 75.621078 183766400 7/1/16 0.0523128106 1.0521128106 0.0521128106 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.3918513467 0.1347705929 -2.9075433923 0.0049356252 -0.660854576 -0.1228481175 -0.660854576 -0.1228481175
8/1/16 78.309998 81.760002 77.730003 80.900002 78.382378 149268200 8/1/16 0.0365149516 1.0363149516 0.0363149516 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.1000525956 0.1148045418 0.8715038102 0.3865913497 -0.1290982289 0.3292034202 -0.1290982289 0.3292034202
9/1/16 81.139999 83.790001 80.970001 82.699997 80.265396 178964600 9/1/16 0.0240234865 1.0238234865 0.0238234865 0.0027 0.0204 -0.0121 -0.0053
10/1/16 82.419998 83.699997 81.110001 82.510002 80.080994 178715000 10/1/16 -0.0022974035 0.9975025965 -0.0024974035 -0.02 -0.0443 0.0407 0.0069
11/1/16 82.639999 83.959999 77.279999 77.32 75.043777 234725300 11/1/16 -0.0629015294 0.9369984706 -0.0630015294 0.0487 0.0547 0.0822 -0.0407
12/1/16 77.57 80.389999 75.169998 78.019997 75.88253 244921300 12/1/16 0.0111768495 1.0108768495 0.0108768495 0.0184 0.0011 0.0351 -0.0038
1/1/17 78.760002 84.269997 78.489998 82.709999 80.444038 159204500 1/1/17 0.0601127559 1.0597127559 0.0597127559 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 82.900002 88.489998 81.57 87.940002 85.530746 167748600 2/1/17 0.0632328775 1.0628328775 0.0628328775 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 88.739998 92.050003 87.849998 88.870003 86.599815 176909000 3/1/17 0.0124992362 1.0121992362 0.0121992362 0.002 0.0117 -0.0333 -0.0092
4/1/17 89.139999 92.800003 88.129997 91.220001 88.889771 156747400 4/1/17 0.0264429664 1.0259429664 0.0259429664 0.0114 0.0072 -0.0211 0.0044
5/1/17 91.290001 95.529999 91.139999 95.230003 92.797348 158133400 5/1/17 0.043959805 1.043359805 0.043359805 0.0112 -0.0261 -0.0367 0.0146
6/1/17 95.400002 96.599998 92.800003 93.779999 91.546539 199947700 6/1/17 -0.0134789305 0.9859210695 -0.0140789305 0.0084 0.0215 0.0145 -0.0032
7/1/17 94.379997 101.18 93.190002 99.559998 97.188889 156786000 7/1/17 0.061633679 1.060933679 0.060933679 0.0194 -0.0147 -0.0036 0.0166
8/1/17 100.360001 104.199997 99.43 103.519997 101.054573 151872300 8/1/17 0.0397749582 1.0388749582 0.0388749582 0.0025 -0.0162 -0.0219 0.0355
9/1/17 104.040001 106.839996 102.260002 105.239998 102.899048 141274000 9/1/17 0.0182522665 1.0173522665 0.0173522665 0.026 0.0447 0.0314 -0.0118
10/1/17 105.540001 110.739998 104.900002 109.980003 107.533607 142874100 10/1/17 0.0450398628 1.0441398628 0.0441398628 0.0234 -0.0195 0.0012 0.043
11/1/17 110.5 113.620003 106.900002 112.589996 110.085541 137176700 11/1/17 0.0237315019 1.0229315019 0.0229315019 0.032 -0.0058 -0.0009 -0.0071
12/1/17 112.379997 114.919998 106.599998 114.019997 111.681267 178517500 12/1/17 0.0144953278 1.0135953278 0.0135953278 0.0115 -0.0129 0.0017 -0.0163
1/1/18 114.57 126.879997 113.949997 124.230003 121.681862 151396400 1/1/18 0.0895458591 1.0884458591 0.0884458591 0.0569 -0.0309 -0.0132 0.0394
2/1/18 124.739998 126.260002 111.019997 122.940002 120.418304 186505200 2/1/18 -0.0103841113 0.9885158887 -0.0114841113 -0.0354 0.003 -0.0101 0.0397
3/1/18 123.260002 125.440002 116.029999 119.620003 117.370407 184691600 3/1/18 -0.0253109112 0.9734890888 -0.0265109112 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 119.269997 127.900002 116.709999 126.879997 124.493858 165179500 4/1/18 0.0606920533 1.0592920533 0.0592920533 0.0043 0.0113 0.005 0.0027
5/1/18 126.860001 132.5 125.32 130.720001 128.261642 147562200 5/1/18 0.0302648184 1.0288648184 0.0288648184 0.0279 0.0528 -0.0315 0.038
6/1/18 131.839996 136.690002 129.529999 132.449997 130.167969 154580100 6/1/18 0.014862799 1.013462799 0.013462799 0.0062 0.0119 -0.0231 -0.0238
7/1/18 131.960007 143.139999 131.149994 136.740005 134.384033 161547600 7/1/18 0.0323894122 1.0307894122 0.0307894122 0.0335 -0.0221 0.0057 -0.0167
8/1/18 137.740005 147.710007 137 146.889999 144.359161 143154600 8/1/18 0.0742285209 1.0726285209 0.0726285209 0.036 0.0115 -0.0392 0.0522
9/1/18 146.929993 150.639999 142.539993 150.089996 147.725708 147499300 9/1/18 0.0233206329 1.0218206329 0.0218206329 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 150.889999 151.559998 129.789993 137.850006 135.678558 254090900 10/1/18 -0.0815508022 0.9165491978 -0.0834508022 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 139 145.460007 129.539993 141.710007 139.477737 208765500 11/1/18 0.0280013221 1.0262013221 0.0262013221 0.0187 -0.0071 0.0034 -0.0133
12/1/18 145 145.720001 121.599998 131.940002 130.094803 242678900 12/1/18 -0.0672719116 0.9308280884 -0.0691719116 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 130 139.899994 127.879997 135.009995 133.121841 193201600 1/1/19 0.0232679395 1.0211679395 0.0211679395 0.0862 0.0289 -0.0046 -0.0865
2/1/19 135.389999 148.820007 135.259995 148.119995 146.048508 154774400 2/1/19 0.0971040282 1.0953040282 0.0953040282 0.0358 0.0212 -0.0271 0.0086
3/1/19 149.460007 156.820007 144.5 156.190002 154.274445 207400300 3/1/19 0.056323321 1.054423321 0.054423321 0.0129 -0.0305 -0.0419 0.0214
4/1/19 157.529999 165.699997 156.320007 164.429993 162.413376 136485800 4/1/19 0.052756184 1.050656184 0.050656184 0.0417 -0.0175 0.0202 -0.0255
5/1/19 165.539993 165.770004 156.419998 161.330002 159.35141 147281300 5/1/19 -0.0188529176 0.9790470824 -0.0209529176 -0.0673 -0.0118 -0.0228 0.076
6/1/19 161.539993 174.940002 156.75 173.550003 171.685196 158884600 6/1/19 0.0773999176 1.0755999176 0.0755999176 0.0711 0.0022 -0.0079 -0.0214
7/1/19 175.330002 184.070007 172.740005 178 176.087372 126711100 7/1/19 0.0256409761 1.0237409761 0.0237409761 0.0138 -0.0208 0.0034 0.0272
8/1/19 179.190002 182.399994 166.979996 180.820007 178.87709 152861700 8/1/19 0.0158428056 1.0142428056 0.0142428056 -0.0242 -0.024 -0.0485 0.0764
9/1/19 180.520004 187.050003 172.009995 172.009995 170.407272 170929800 9/1/19 -0.0473499317 0.9508500683 -0.0491499317 0.0161 -0.0105 0.0677 -0.0685
10/1/19 173.020004 180.179993 168.589996 178.860001 177.193436 161724400 10/1/19 0.0398232066 1.0383232066 0.0383232066 0.0221 0.0024 -0.0188 0.0029
11/1/19 180.130005 184.850006 175.179993 184.509995 182.790787 134080900 11/1/19 0.0315889297 1.0303889297 0.0303889297 0.0399 0.0091 -0.0205 -0.026
12/1/19 184.240005 189.889999 179.660004 187.899994 186.461014 160575600 12/1/19 0.0200788402 1.0186788402 0.0186788402 0.0291 0.0067 0.0191 -0.0227
1/1/20 189 210.130005 187.160004 198.970001 197.446213 184029800 1/1/20 0.0589141867 1.0576141867 0.0576141867 0.0002 -0.0308 -0.0627 0.0543
2/1/20 199.940002 214.169998 172.979996 181.759995 180.368027 199954000 2/1/20 -0.0864953839 0.9123046161 -0.0876953839 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 186.320007 194.490005 133.929993 161.119995 160.117661 417986300 3/1/20 -0.1122724816 0.8865275184 -0.1134724816 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 156.320007 182.25 150.600006 178.720001 177.60817 263801500 4/1/20 0.1092353516 1.1092353516 0.1092353516 0.1365 0.0275 -0.0139 -0.0549
5/1/20 174.449997 198.289993 171.720001 195.240005 194.025391 189870200 5/1/20 0.0924350552 1.0923350552 0.0923350552 0.0559 0.0249 -0.0505 0.0067
6/1/20 194.710007 202.179993 186.210007 193.169998 192.289703 192243200 6/1/20 -0.0089456745 0.9909543255 -0.0090456745 0.0247 0.0271 -0.0235 -0.0075
7/1/20 193.850006 200.949997 187.179993 190.399994 189.532318 168898000 7/1/20 -0.0143397434 0.9855602566 -0.0144397434 0.0578 -0.0218 -0.0139 0.0761
8/1/20 191.800003 216.160004 190.080002 211.990005 211.023941 161598100 8/1/20 0.1133929201 1.1132929201 0.1132929201 0.0764 -0.0025 -0.0294 0.0051
9/1/20 212.210007 217.350006 193.130005 199.970001 199.359634 176328500 9/1/20 -0.0552748041 0.9446251959 -0.0553748041 -0.0362 0.0006 -0.0251 0.0305
10/1/20 202.210007 207.970001 179.229996 181.710007 181.155396 172167100 10/1/20 -0.0913135605 0.9085864395 -0.0914135605 -0.0209 0.0444 0.0403 -0.0303
11/1/20 184.509995 217.649994 183.889999 210.350006 209.707977 156682600 11/1/20 0.1576137484 1.1575137484 0.1575137484 0.1248 0.0548 0.0211 -0.1225
12/1/20 212.130005 220.389999 204.5 218.729996 218.390945 178600400 12/1/20 0.0414050439 1.0413050439 0.0413050439 0.0464 0.0491 -0.0146 -0.0234

VALE

VALE
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 8.02 8.83 6.69 7.03 5.702364 581967700 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 6.97 8.13 6.95 7.42 6.018712 515101500 2/1/15 0.0554766409 1.0554766409 0.0554766409 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 7.38 7.39 5.56 5.65 4.582982 660486400 3/1/15 -0.2385443929 0.7614556071 -0.2385443929 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5269317817
4/1/15 5.59 8.45 5.45 7.68 6.22961 741403100 4/1/15 0.3592918323 1.3592918323 0.3592918323 0.0059 -0.0304 0.0188 -0.0732 R Square 0.2776571025
5/1/15 7.9 9.14 6.3 6.3 5.277239 746848100 5/1/15 -0.1528781095 0.8471218905 -0.1528781095 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2345321534
6/1/15 6.33 6.93 5.83 5.89 4.9338 591852200 6/1/15 -0.0650792962 0.9349207038 -0.0650792962 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1329226395
7/1/15 5.91 5.96 4.91 5.26 4.406076 707561400 7/1/15 -0.1069609632 0.8930390368 -0.1069609632 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 5.16 5.69 4.13 4.95 4.146401 557469100 8/1/15 -0.0589356607 0.9410643393 -0.0589356607 -0.0604 0.0044 0.0273 -0.0209
9/1/15 4.67 5.3 4.03 4.2 3.518159 460027400 9/1/15 -0.1515150127 0.8484849873 -0.1515150127 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 4.21 5.53 4.11 4.36 3.652184 630568600 10/1/15 0.0380952083 1.0380952083 0.0380952083 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 4.33 4.85 3.3 3.37 2.878752 531298100 11/1/15 -0.2117724627 0.7882275373 -0.2117724627 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.4550279736 0.1137569934 6.4384331653 0.0001908997
12/1/15 3.38 3.5 2.99 3.29 2.810413 424348700 12/1/15 -0.0237391064 0.9761608936 -0.0238391064 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 1.1837846822 0.0176684281
1/1/16 3.17 3.24 2.13 2.45 2.092861 487574300 1/1/16 -0.2553190581 0.7445809419 -0.2554190581 -0.0576 -0.0336 0.0201 0.0134 Total 71 1.6388126559
2/1/16 2.38 3.34 2.14 2.94 2.511433 543684000 2/1/16 0.1999999044 1.1997999044 0.1997999044 -0.0006 0.0083 -0.006 -0.0406
3/1/16 3.08 4.89 2.99 4.21 3.596305 899717100 3/1/16 0.4319732997 1.4317732997 0.4317732997 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 4.06 6.26 3.96 5.67 4.843479 838061900 4/1/16 0.3467931669 1.3466931669 0.3466931669 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0220276021 0.0168830447 1.304717397 0.1964528443 -0.0116710961 0.0557263004 -0.0116710961 0.0557263004
5/1/16 5.62 5.75 3.85 3.93 3.35712 681910100 5/1/16 -0.3068783823 0.6930216177 -0.3069783823 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.7675984014 0.4033849789 1.9028928729 0.0613525829 -0.0375613864 1.5727581892 -0.0375613864 1.5727581892
6/1/16 3.87 5.14 3.85 5.06 4.322399 571784000 6/1/16 0.2875318726 1.2873318726 0.2873318726 -0.0003 0.0064 -0.014 0.0411 X Variable 2 -1.1603795612 0.6856262475 -1.6924374839 0.0952084158 -2.528895279 0.2081361565 -2.528895279 0.2081361565
7/1/16 5.01 5.86 4.68 5.75 4.911817 523600800 7/1/16 0.1363636258 1.1361636258 0.1361636258 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.2379413034 0.613675064 0.387731745 0.6994436585 -0.986959251 1.4628418578 -0.986959251 1.4628418578
8/1/16 5.82 6.17 5.18 5.27 4.501787 533194300 8/1/16 -0.0834782729 0.9163217271 -0.0836782729 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -1.5204169397 0.52276007 -2.9084412275 0.0049230826 -2.5638504066 -0.4769834728 -2.5638504066 -0.4769834728
9/1/16 5.29 5.74 4.86 5.5 4.698259 453576700 9/1/16 0.0436431133 1.0434431133 0.0434431133 0.0027 0.0204 -0.0121 -0.0053
10/1/16 5.54 7.05 5.39 6.92 5.911265 616054700 10/1/16 0.2581820202 1.2579820202 0.2579820202 -0.02 -0.0443 0.0407 0.0069
11/1/16 6.99 9.18 6.59 8.49 7.252404 830333200 11/1/16 0.2268785108 1.2267785108 0.2267785108 0.0487 0.0547 0.0822 -0.0407
12/1/16 8.8 9.34 7.54 7.62 6.509225 628629900 12/1/16 -0.1024734695 0.8972265305 -0.1027734695 0.0184 0.0011 0.0351 -0.0038
1/1/17 7.89 10.96 7.84 10.18 8.748264 563504900 1/1/17 0.3439793524 1.3435793524 0.3435793524 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 10.49 11.7 9.53 10.35 8.894356 581520000 2/1/17 0.0166995418 1.0162995418 0.0162995418 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 10.67 10.8 8.7 9.5 8.1639 643465100 3/1/17 -0.0821257885 0.9175742115 -0.0824257885 0.002 0.0117 -0.0333 -0.0092
4/1/17 9.55 10.1 8.26 8.58 7.373291 548939100 4/1/17 -0.096842073 0.902657927 -0.097342073 0.0114 0.0072 -0.0211 0.0044
5/1/17 8.58 8.9 7.47 8.37 7.434207 674170400 5/1/17 0.0082617111 1.0076617111 0.0076617111 0.0112 -0.0261 -0.0367 0.0146
6/1/17 8.38 8.93 7.65 8.75 7.771723 564163900 6/1/17 0.0454004038 1.0448004038 0.0448004038 0.0084 0.0215 0.0145 -0.0032
7/1/17 8.87 10.08 8.56 10.03 8.908614 567528300 7/1/17 0.1462855791 1.1455855791 0.1455855791 0.0194 -0.0147 -0.0036 0.0166
8/1/17 9.9 11.13 9.56 11.07 9.832337 656051700 8/1/17 0.1036887444 1.1027887444 0.1027887444 0.0025 -0.0162 -0.0219 0.0355
9/1/17 11.27 11.72 9.69 10.07 8.944141 611123600 9/1/17 -0.0903341698 0.9087658302 -0.0912341698 0.026 0.0447 0.0314 -0.0118
10/1/17 10.11 10.65 9.72 9.79 8.695447 624110500 10/1/17 -0.0278052414 0.9712947586 -0.0287052414 0.0234 -0.0195 0.0012 0.043
11/1/17 10.02 11.42 9.53 10.7 9.503706 540932100 11/1/17 0.0929519782 1.0921519782 0.0921519782 0.032 -0.0058 -0.0009 -0.0071
12/1/17 10.82 12.3 10.55 12.23 10.862646 447823100 12/1/17 0.1429905344 1.1420905344 0.1420905344 0.0115 -0.0129 0.0017 -0.0163
1/1/18 12.55 13.57 12.51 13.09 11.750339 527486600 1/1/18 0.0817197762 1.0806197762 0.0806197762 0.0569 -0.0309 -0.0132 0.0394
2/1/18 13.09 14.67 12.15 13.73 12.324839 598079800 2/1/18 0.0488922064 1.0477922064 0.0477922064 -0.0354 0.003 -0.0101 0.0397
3/1/18 13.85 13.96 11.93 12.72 11.418205 462748600 3/1/18 -0.0735615289 0.9252384711 -0.0747615289 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 12.83 14.18 12.35 13.84 12.563798 403535500 4/1/18 0.1003303934 1.0989303934 0.0989303934 0.0043 0.0113 0.005 0.0027
5/1/18 13.91 15.24 13.36 13.6 12.345929 476269600 5/1/18 -0.0173410142 0.9812589858 -0.0187410142 0.0279 0.0528 -0.0315 0.038
6/1/18 13.79 14.73 12.28 12.82 11.637853 507404800 6/1/18 -0.0573529947 0.9412470053 -0.0587529947 0.0062 0.0119 -0.0231 -0.0238
7/1/18 12.53 14.68 12.42 14.66 13.308185 382563600 7/1/18 0.1435257861 1.1419257861 0.1419257861 0.0335 -0.0221 0.0057 -0.0167
8/1/18 14.31 14.44 12.57 13.2 11.982813 439961500 8/1/18 -0.0995907406 0.8988092594 -0.1011907406 0.036 0.0115 -0.0392 0.0522
9/1/18 12.82 15.29 12.43 14.84 13.864615 347270800 9/1/18 0.1570417564 1.1555417564 0.1555417564 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 14.81 16.129999 14.1 15.1 14.107526 606754200 10/1/18 0.0175202124 1.0156202124 0.0156202124 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 15.26 15.92 12.55 13.7 12.799543 448230400 11/1/18 -0.0927152642 0.9054847358 -0.0945152642 0.0187 -0.0071 0.0034 -0.0133
12/1/18 14.22 14.28 12.55 13.19 12.323064 411806100 12/1/18 -0.037226251 0.960873749 -0.039126251 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 12.94 15.45 11.08 12.44 11.622358 916983800 1/1/19 -0.0568613455 0.9410386545 -0.0589613455 0.0862 0.0289 -0.0046 -0.0865
2/1/19 12.47 12.65 10.89 12.48 11.659729 676938800 2/1/19 0.0032154404 1.0014154404 0.0014154404 0.0358 0.0212 -0.0271 0.0086
3/1/19 12.04 13.98 11.92 13.06 12.201609 604754900 3/1/19 0.0464744935 1.0445744935 0.0445744935 0.0129 -0.0305 -0.0419 0.0214
4/1/19 13.59 13.85 12.35 12.78 11.940012 383014200 4/1/19 -0.0214395495 0.9764604505 -0.0235395495 0.0417 -0.0175 0.0202 -0.0255
5/1/19 12.83 12.96 11.23 12.47 11.650388 494517500 5/1/19 -0.024256592 0.973643408 -0.026356592 -0.0673 -0.0118 -0.0228 0.076
6/1/19 12.55 14 12.28 13.44 12.556632 371324900 6/1/19 0.0777865939 1.0759865939 0.0759865939 0.0711 0.0022 -0.0079 -0.0214
7/1/19 13.96 14.19 12.85 12.99 12.136209 418035900 7/1/19 -0.0334821471 0.9646178529 -0.0353821471 0.0138 -0.0208 0.0034 0.0272
8/1/19 12.73 12.84 10.2 11 10.277005 461340700 8/1/19 -0.1531947909 0.8452052091 -0.1547947909 -0.0242 -0.024 -0.0485 0.0764
9/1/19 10.93 12.38 10.83 11.5 10.744142 347235900 9/1/19 0.0454545853 1.0436545853 0.0436545853 0.0161 -0.0105 0.0677 -0.0685
10/1/19 11.43 12.23 10.73 11.74 10.968368 432949900 10/1/19 0.020869605 1.019369605 0.019369605 0.0221 0.0024 -0.0188 0.0029
11/1/19 12 12.48 11.13 11.76 10.987053 390924700 11/1/19 0.0017035351 1.0005035351 0.0005035351 0.0399 0.0091 -0.0205 -0.026
12/1/19 11.98 13.57 11.91 13.2 12.332406 384974200 12/1/19 0.1224489406 1.1210489406 0.1210489406 0.0291 0.0067 0.0191 -0.0227
1/1/20 13.31 13.67 11.59 11.73 11.248363 458872800 1/1/20 -0.0879019877 0.9107980123 -0.0892019877 0.0002 -0.0308 -0.0627 0.0543
2/1/20 11.83 12.64 9.53 9.82 9.416788 584946100 2/1/20 -0.1628303603 0.8359696397 -0.1640303603 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 10.11 10.91 6.49 8.29 7.949611 986247900 3/1/20 -0.1558043995 0.8429956005 -0.1570043995 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 7.94 8.88 7.36 8.25 7.911253 527219100 4/1/20 -0.0048251418 0.9951748582 -0.0048251418 0.1365 0.0275 -0.0139 -0.0549
5/1/20 8 9.8 7.69 9.76 9.359253 526314600 5/1/20 0.1830304251 1.1829304251 0.1829304251 0.0559 0.0249 -0.0505 0.0067
6/1/20 9.84 11.33 9.81 10.31 9.88667 661053600 6/1/20 0.0563524674 1.0562524674 0.0562524674 0.0247 0.0271 -0.0235 -0.0075
7/1/20 10.37 12.15 10.11 11.64 11.16206 572229100 7/1/20 0.129000968 1.128900968 0.128900968 0.0578 -0.0218 -0.0139 0.0761
8/1/20 11.8 11.95 10.8 11 10.548338 577413800 8/1/20 -0.0549828616 0.9449171384 -0.0550828616 0.0764 -0.0025 -0.0294 0.0051
9/1/20 11.24 12.08 10.39 10.58 10.145583 757112700 9/1/20 -0.0381818444 0.9617181556 -0.0382818444 -0.0362 0.0006 -0.0251 0.0305
10/1/20 10.58 11.45 10.29 10.57 10.57 517232800 10/1/20 0.0418326872 1.0417326872 0.0417326872 -0.0209 0.0444 0.0403 -0.0303
11/1/20 10.72 14.81 10.64 14.56 14.56 724217000 11/1/20 0.3774834437 1.3773834437 0.3773834437 0.1248 0.0548 0.0211 -0.1225
12/1/20 15.24 17.459999 14.84 16.76 16.76 613329400 12/1/20 0.1510989011 1.1509989011 0.1509989011 0.0464 0.0491 -0.0146 -0.0234

WFC

WFC
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 55.110001 55.189999 50.419998 51.919998 42.635754 388756400 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 52.189999 55.580002 51.990002 54.790001 44.99255 278034600 2/1/15 0.0552774556 1.0552774556 0.0552774556 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 54.790001 56.290001 53.290001 54.400002 44.966736 348820200 3/1/15 -0.0005737394 0.9994262606 -0.0005737394 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.7919272196
4/1/15 54.419998 55.759998 53.560001 55.099998 45.545349 309923300 4/1/15 0.0128675784 1.0128675784 0.0128675784 0.0059 -0.0304 0.0188 -0.0732 R Square 0.6271487212
5/1/15 55.259998 56.700001 54.450001 55.959999 46.256229 266599600 5/1/15 0.0156081799 1.0156081799 0.0156081799 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.6048889434
6/1/15 56.240002 58.259998 55.740002 56.240002 46.802658 362266300 6/1/15 0.0118130901 1.0118130901 0.0118130901 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0489211966
7/1/15 57.09 58.77 55.080002 57.869999 48.15913 300870000 7/1/15 0.0289827984 1.0289827984 0.0289827984 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 58.07 58.16 47.75 53.330002 44.380978 383406500 8/1/15 -0.0784514172 0.9215485828 -0.0784514172 -0.0604 0.0044 0.0273 -0.0209
9/1/15 52.110001 53.91 49.799999 51.349998 43.012184 409157600 9/1/15 -0.0308419071 0.9691580929 -0.0308419071 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 51.509998 55.57 49.509998 54.139999 45.349159 353524000 10/1/15 0.0543328607 1.0543328607 0.0543328607 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 54.209999 56.34 54.130001 55.099998 46.153297 268235700 11/1/15 0.017732148 1.017732148 0.017732148 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.2697142229 0.0674285557 28.1740781862 0
12/1/15 55.509998 56.240002 52.75 54.360001 45.846439 340655400 12/1/15 -0.0066486691 0.9932513309 -0.0067486691 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.1603499928 0.0023932835
1/1/16 53.09 53.27 46.880001 50.23 42.363251 472033500 1/1/16 -0.0759751046 0.9239248954 -0.0760751046 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.4300642157
2/1/16 50.119999 50.18 44.5 46.919998 39.571644 473024200 2/1/16 -0.065896902 0.933903098 -0.066096902 -0.0006 0.0083 -0.006 -0.0406
3/1/16 47.139999 50.75 47.139999 48.360001 41.101768 395938300 3/1/16 0.038667183 1.038467183 0.038467183 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 48.23 51.41 46.619999 49.98 42.478622 376851000 4/1/16 0.0334986563 1.0333986563 0.0333986563 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0059040446 0.00621368 -0.9501687524 0.345441493 -0.0183066018 0.0064985126 -0.0183066018 0.0064985126
5/1/16 50.279999 51.189999 47.549999 50.720001 43.107571 363734500 5/1/16 0.0148062477 1.0147062477 0.0147062477 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.0003778891 0.1484628647 6.7382364672 0.0000000044 0.7040447709 1.2967110074 0.7040447709 1.2967110074
6/1/16 50.259998 51.110001 44.5 47.330002 40.53442 460863700 6/1/16 -0.0596913939 0.9401086061 -0.0598913939 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.1160750746 0.2523396809 0.4599953295 0.6470088899 -0.3875970364 0.6197471857 -0.3875970364 0.6197471857
7/1/16 47.080002 49.150002 45.700001 47.970001 41.082531 353764100 7/1/16 0.0135221128 1.0133221128 0.0133221128 0.0397 0.026 -0.0123 -0.0308 X Variable 3 1.0849381079 0.2258585787 4.8036169981 0.000009133 0.6341224979 1.5357537178 0.6341224979 1.5357537178
8/1/16 47.98 50.919998 47.330002 50.799999 43.506207 356092400 8/1/16 0.0589952941 1.0587952941 0.0587952941 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.0565582162 0.1923979861 0.2939646995 0.7696936412 -0.3274697714 0.4405862037 -0.3274697714 0.4405862037
9/1/16 50.919998 51 44.099998 44.279999 38.226871 760596400 9/1/16 -0.1213467311 0.8784532689 -0.1215467311 0.0027 0.0204 -0.0121 -0.0053
10/1/16 44.119999 46.810001 43.549999 46.009998 39.720379 586021900 10/1/16 0.0390695854 1.0388695854 0.0388695854 -0.02 -0.0443 0.0407 0.0069
11/1/16 46.119999 54.060001 44.490002 52.919998 45.685772 672239000 11/1/16 0.1501846949 1.1500846949 0.1500846949 0.0487 0.0547 0.0822 -0.0407
12/1/16 53.130001 58.02 53.060001 55.110001 47.972778 514610900 12/1/16 0.0500594802 1.0497594802 0.0497594802 0.0184 0.0011 0.0351 -0.0038
1/1/17 55.669998 57.330002 53.34 56.330002 49.034782 433876600 1/1/17 0.0221376381 1.0217376381 0.0217376381 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 56.540001 59.009998 55.169998 57.880001 50.384041 302405300 2/1/17 0.0275163658 1.0271163658 0.0271163658 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 59.110001 59.990002 54.240002 55.66 48.780628 395621300 3/1/17 -0.0318238269 0.9678761731 -0.0321238269 0.002 0.0117 -0.0333 -0.0092
4/1/17 55.700001 56.200001 51.259998 53.84 47.185574 413088700 4/1/17 -0.032698513 0.966801487 -0.033198513 0.0114 0.0072 -0.0211 0.0044
5/1/17 54.099998 55.599998 50.830002 51.139999 44.819271 397353300 5/1/17 -0.0501488654 0.9492511346 -0.0507488654 0.0112 -0.0261 -0.0367 0.0146
6/1/17 51.529999 56.599998 51.060001 55.41 48.902241 407671900 6/1/17 0.0910985366 1.0904985366 0.0904985366 0.0084 0.0215 0.0145 -0.0032
7/1/17 55.810001 56.450001 53.18 53.939999 47.604881 323918200 7/1/17 -0.0265296635 0.9727703365 -0.0272296635 0.0194 -0.0147 -0.0036 0.0166
8/1/17 54.23 54.389999 50.869999 51.07 45.07196 394552400 8/1/17 -0.0532071701 0.9458928299 -0.0541071701 0.0025 -0.0162 -0.0219 0.0355
9/1/17 51.060001 55.23 49.27 55.150002 49.026337 375336300 9/1/17 0.0877347468 1.0868347468 0.0868347468 0.026 0.0447 0.0314 -0.0118
10/1/17 55.16 56.52 52.84 56.139999 49.906403 375160400 10/1/17 0.0179508822 1.0170508822 0.0170508822 0.0234 -0.0195 0.0012 0.043
11/1/17 56.32 57.330002 53.209999 56.470001 50.199764 368177900 11/1/17 0.0058782237 1.0050782237 0.0050782237 0.032 -0.0058 -0.0009 -0.0071
12/1/17 56.57 62.240002 55.439999 60.669998 54.310234 422124100 12/1/17 0.0818822575 1.0809822575 0.0809822575 0.0115 -0.0129 0.0017 -0.0163
1/1/18 61.040001 66.309998 60.700001 65.779999 58.884571 362611700 1/1/18 0.0842260595 1.0831260595 0.0831260595 0.0569 -0.0309 -0.0132 0.0394
2/1/18 65.370003 66.089996 54.720001 58.41 52.287128 601421000 2/1/18 -0.112040266 0.886859734 -0.113140266 -0.0354 0.003 -0.0101 0.0397
3/1/18 58.25 58.939999 50.689999 52.41 47.195911 463858700 3/1/18 -0.09737037 0.90142963 -0.09857037 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 52.369999 53.959999 50.259998 51.959999 46.790672 435118800 4/1/18 -0.0085863159 0.9900136841 -0.0099863159 0.0043 0.0113 0.005 0.0027
5/1/18 51.759998 56.18 50.810001 53.990002 48.618725 402405200 5/1/18 0.0390687486 1.0376687486 0.0376687486 0.0279 0.0528 -0.0315 0.038
6/1/18 54.560001 57.119999 53.02 55.439999 50.300346 387613300 6/1/18 0.0345879288 1.0331879288 0.0331879288 0.0062 0.0119 -0.0231 -0.0238
7/1/18 55.200001 59.27 53.630001 57.290001 51.978836 413772800 7/1/18 0.033369353 1.031769353 0.031769353 0.0335 -0.0221 0.0057 -0.0167
8/1/18 57.959999 59.529999 57.080002 58.48 53.058521 374293600 8/1/18 0.0207716271 1.0191716271 0.0191716271 0.036 0.0115 -0.0392 0.0522
9/1/18 58.450001 59.200001 52.41 52.560001 48.036308 406124000 9/1/18 -0.0946542215 0.9038457785 -0.0961542215 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 52.740002 55.009998 50.02 53.23 48.64864 546018500 10/1/18 0.0127472744 1.0108472744 0.0108472744 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 53.43 54.630001 51.16 54.279999 49.608265 419240800 11/1/18 0.0197256285 1.0179256285 0.0179256285 0.0187 -0.0071 0.0034 -0.0133
12/1/18 54.779999 55.040001 43.02 46.080002 42.45475 597259600 12/1/18 -0.1442000642 0.8538999358 -0.1461000642 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 45.529999 50.540001 45.41 48.91 45.062096 470423300 1/1/19 0.0614147062 1.0593147062 0.0593147062 0.0862 0.0289 -0.0046 -0.0865
2/1/19 49 50.23 47.060001 49.889999 46.381683 331490100 2/1/19 0.0292837466 1.0274837466 0.0274837466 0.0358 0.0212 -0.0271 0.0086
3/1/19 50.23 52.419998 47.799999 48.32 44.922089 463436000 3/1/19 -0.0314691901 0.9666308099 -0.0333691901 0.0129 -0.0305 -0.0419 0.0214
4/1/19 48.43 49.68 45.66 48.41 45.00576 556953700 4/1/19 0.0018625803 0.9997625803 -0.0002374197 0.0417 -0.0175 0.0202 -0.0255
5/1/19 48.32 48.849998 44.220001 44.369999 41.249855 413827600 5/1/19 -0.0834538735 0.9144461265 -0.0855538735 -0.0673 -0.0118 -0.0228 0.076
6/1/19 44.240002 47.700001 44.200001 47.32 44.417686 382936800 6/1/19 0.076796173 1.074996173 0.074996173 0.0711 0.0022 -0.0079 -0.0214
7/1/19 47.880001 49.57 45.139999 48.41 45.440826 411656700 7/1/19 0.0230345183 1.0211345183 0.0211345183 0.0138 -0.0208 0.0034 0.0272
8/1/19 48.41 48.639999 43.34 46.57 43.713688 424863900 8/1/19 -0.038008508 0.960391492 -0.039608508 -0.0242 -0.024 -0.0485 0.0764
9/1/19 46.310001 51.41 45.48 50.439999 47.879356 468177600 9/1/19 0.0952943618 1.0934943618 0.0934943618 0.0161 -0.0105 0.0677 -0.0685
10/1/19 50.650002 52.360001 47.32 51.630001 49.008949 463966700 10/1/19 0.0235924852 1.0220924852 0.0220924852 0.0221 0.0024 -0.0188 0.0029
11/1/19 52.130001 54.75 51.91 54.459999 51.695282 328835000 11/1/19 0.0548131118 1.0536131118 0.0536131118 0.0399 0.0091 -0.0205 -0.026
12/1/19 54.310001 54.560001 52.169998 53.799999 51.557533 390643100 12/1/19 -0.0026646339 0.9959353661 -0.0040646339 0.0291 0.0067 0.0191 -0.0227
1/1/20 53.849998 54.040001 46.740002 46.939999 44.983467 484374600 1/1/20 -0.1275093205 0.8711906795 -0.1288093205 0.0002 -0.0308 -0.0627 0.0543
2/1/20 47.240002 48.5 39.75 40.849998 39.147308 428725900 2/1/20 -0.1297400887 0.8690599113 -0.1309400887 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 40.98 42.900002 25.110001 28.700001 27.797188 1116095800 3/1/20 -0.2899336016 0.7088663984 -0.2911336016 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 27.02 33.91 25.91 29.049999 28.136179 868292300 4/1/20 0.0121951544 1.0121951544 0.0121951544 0.1365 0.0275 -0.0139 -0.0549
5/1/20 28.5 28.530001 22 26.469999 25.637337 1055611300 5/1/20 -0.0888124148 0.9110875852 -0.0889124148 0.0559 0.0249 -0.0505 0.0067
6/1/20 26.610001 33.889999 25.17 25.6 25.298502 1222761300 6/1/20 -0.0132164663 0.9866835337 -0.0133164663 0.0247 0.0271 -0.0235 -0.0075
7/1/20 25.73 26.85 23.33 24.26 23.974281 1032622700 7/1/20 -0.0523438502 0.9475561498 -0.0524438502 0.0578 -0.0218 -0.0139 0.0761
8/1/20 24.25 26.139999 23.52 24.15 23.86558 736385000 8/1/20 -0.0045340672 0.9953659328 -0.0046340672 0.0764 -0.0025 -0.0294 0.0051
9/1/20 24.02 26 22.559999 23.51 23.328726 997624300 9/1/20 -0.0224949069 0.9774050931 -0.0225949069 -0.0362 0.0006 -0.0251 0.0305
10/1/20 23.57 25.74 20.76 21.450001 21.284611 820604600 10/1/20 -0.0876222302 0.9122777698 -0.0877222302 -0.0209 0.0444 0.0403 -0.0303
11/1/20 21.700001 28.73 21.17 27.35 27.139116 868248500 11/1/20 0.2750581159 1.2749581159 0.2749581159 0.1248 0.0548 0.0211 -0.1225
12/1/20 28.15 30.49 27.85 30.18 30.084795 737767900 12/1/20 0.108539976 1.108439976 0.108439976 0.0464 0.0491 -0.0146 -0.0234

X

X
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 27.190001 27.49 20.129999 24.440001 23.07579 228050600 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 24.440001 26.6 22.91 23.950001 22.613144 165199700 2/1/15 -0.0200489777 0.9799510223 -0.0200489777 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 23.950001 25.75 21.280001 24.4 23.087809 190353600 3/1/15 0.0209906681 1.0209906681 0.0209906681 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5979976521
4/1/15 24.25 27.68 23.459999 24.02 22.728239 177289100 4/1/15 -0.01557402 0.98442598 -0.01557402 0.0059 -0.0304 0.0188 -0.0732 R Square 0.357601192
5/1/15 24.299999 27.09 23.190001 24.4 23.087809 145662300 5/1/15 0.0158204074 1.0158204074 0.0158204074 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.3192490243
6/1/15 24.370001 26.950001 20.26 20.620001 19.551283 147217300 6/1/15 -0.1531772027 0.8468227973 -0.1531772027 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1811265566
7/1/15 20.77 21.01 15.68 19.469999 18.46089 259765200 7/1/15 -0.0557709179 0.9442290821 -0.0557709179 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 19.27 21.49 14.19 16.379999 15.53104 239104300 8/1/15 -0.1587057829 0.8412942171 -0.1587057829 -0.0604 0.0044 0.0273 -0.0209
9/1/15 15.83 16.639999 10.02 10.42 9.904061 247886900 9/1/15 -0.3623053575 0.6376946425 -0.3623053575 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 10.33 13.08 9.66 11.68 11.101675 207451300 10/1/15 0.1209215089 1.1209215089 0.1209215089 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 11.7 13.48 7.5 8.07 7.670419 234825400 11/1/15 -0.3090755224 0.6909244776 -0.3090755224 0.0056 0.0368 -0.0049 0.0221 Regression 4 1.2235826089 0.3058956522 9.3241455159 0.0000047285
12/1/15 8.06 9.58 6.8 7.98 7.621133 235783100 12/1/15 -0.0064254639 0.9934745361 -0.0065254639 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 2.1980575768 0.0328068295
1/1/16 7.85 8.25 6.15 7 6.685205 199837000 1/1/16 -0.122806937 0.877093063 -0.122906937 -0.0576 -0.0336 0.0201 0.0134 Total 71 3.4216401857
2/1/16 6.71 9.24 6.67 9.12 8.709865 199412900 2/1/16 0.3028568309 1.3026568309 0.3026568309 -0.0006 0.0083 -0.006 -0.0406
3/1/16 9.35 17.040001 8.52 16.049999 15.427494 533262700 3/1/16 0.7712667188 1.7710667188 0.7710667188 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 15.78 20.549999 15.53 19.110001 18.368813 339645700 4/1/16 0.1906543603 1.1905543603 0.1905543603 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0032480934 0.0230056201 0.1411869538 0.8881459011 -0.0426713165 0.0491675034 -0.0426713165 0.0491675034
5/1/16 19.200001 20.43 12.77 14.47 13.908775 375459100 5/1/16 -0.2428049107 0.7570950893 -0.2429049107 0.0179 -0.0027 -0.016 0.0214 X Variable 1 1.5863805733 0.5496710905 2.8860542251 0.0052447855 0.4892324846 2.683528662 0.4892324846 2.683528662
6/1/16 14.27 18.709999 13.72 16.860001 16.249088 335072000 6/1/16 0.168261619 1.168061619 0.168061619 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.9393147953 0.93426614 1.0054038727 0.3183197526 -0.925488225 2.8041178155 -0.925488225 2.8041178155
7/1/16 16.700001 27.639999 16.700001 27.49 26.493917 300768200 7/1/16 0.6304864002 1.6302864002 0.6302864002 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.4157917212 0.8362221185 0.4972264091 0.6206572249 -1.2533146132 2.0848980557 -1.2533146132 2.0848980557
8/1/16 27.290001 27.35 18.860001 19.440001 18.735607 338719500 8/1/16 -0.2928336342 0.7069663658 -0.2930336342 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -1.4234236888 0.712337129 -1.9982444137 0.0497511419 -2.8452545492 -0.0015928283 -2.8452545492 -0.0015928283
9/1/16 19.530001 20.280001 15.72 18.860001 18.210993 375998100 9/1/16 -0.0280009076 0.9717990924 -0.0282009076 0.0027 0.0204 -0.0121 -0.0053
10/1/16 18.940001 20.93 16.17 19.34 18.674473 370801200 10/1/16 0.0254505616 1.0252505616 0.0252505616 -0.02 -0.0443 0.0407 0.0069
11/1/16 19.860001 33.779999 17.049999 32.34 31.227123 470946800 11/1/16 0.6721822886 1.6720822886 0.6720822886 0.0487 0.0547 0.0822 -0.0407
12/1/16 32.66 39.139999 31.5 33.009998 31.951504 325375600 12/1/16 0.0231971738 1.0228971738 0.0228971738 0.0184 0.0011 0.0351 -0.0038
1/1/17 33.740002 37.419998 31.309999 32.709999 31.661125 363050100 1/1/17 -0.0090881168 0.9905118832 -0.0094881168 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 33.830002 41.830002 30.709999 38.720001 37.478409 372952200 2/1/17 0.183735859 1.183335859 0.183335859 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 40.259998 40.779999 30.73 33.810001 32.77433 345077700 3/1/17 -0.1255143728 0.8741856272 -0.1258143728 0.002 0.0117 -0.0333 -0.0092
4/1/17 34.259998 34.93 21.85 22.32 21.63629 531759700 4/1/17 -0.3398403568 0.6596596432 -0.3403403568 0.0114 0.0072 -0.0211 0.0044
5/1/17 22.4 22.51 18.549999 20.85 20.211323 429545900 5/1/17 -0.0658600435 0.9335399565 -0.0664600435 0.0112 -0.0261 -0.0367 0.0146
6/1/17 21.049999 23.299999 19.75 22.139999 21.51186 456010800 6/1/17 0.0643469505 1.0637469505 0.0637469505 0.0084 0.0215 0.0145 -0.0032
7/1/17 22.17 27.440001 20.67 23.49 22.823557 371960300 7/1/17 0.060975527 1.060275527 0.060275527 0.0194 -0.0147 -0.0036 0.0166
8/1/17 23.52 27.120001 22.379999 26.610001 25.855042 257745600 8/1/17 0.1328226358 1.1319226358 0.1319226358 0.0025 -0.0162 -0.0219 0.0355
9/1/17 26.93 28.35 23.16 25.66 24.985039 242673200 9/1/17 -0.0336492588 0.9654507412 -0.0345492588 0.026 0.0447 0.0314 -0.0118
10/1/17 25.5 28.940001 24.450001 25.32 24.653978 253778900 10/1/17 -0.0132503696 0.9858496304 -0.0141503696 0.0234 -0.0195 0.0012 0.043
11/1/17 27.85 29.48 25.459999 28.92 28.159286 213066000 11/1/17 0.1421802194 1.1413802194 0.1413802194 0.032 -0.0058 -0.0009 -0.0071
12/1/17 29.049999 35.93 28.780001 35.189999 34.327297 201631400 12/1/17 0.2190400353 1.2181400353 0.2181400353 0.0115 -0.0129 0.0017 -0.0163
1/1/18 35.57 41.720001 35.389999 37.41 36.492878 235259500 1/1/18 0.0630862663 1.0619862663 0.0619862663 0.0569 -0.0309 -0.0132 0.0394
2/1/18 37.169998 46.82 30.91 43.509998 42.443321 278313100 2/1/18 0.163057652 1.161957652 0.161957652 -0.0354 0.003 -0.0101 0.0397
3/1/18 45.380001 47.639999 32.860001 35.189999 34.375946 344434900 3/1/18 -0.1900740755 0.8087259245 -0.1912740755 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 34.740002 38.349998 31.870001 33.830002 33.047409 261477200 4/1/18 -0.0386472855 0.9599527145 -0.0400472855 0.0043 0.0113 0.005 0.0027
5/1/18 33.139999 39.23 31.370001 36.869999 36.017086 201120800 5/1/18 0.0898611144 1.0884611144 0.0884611144 0.0279 0.0528 -0.0315 0.038
6/1/18 37.380001 38.630001 33.759998 34.75 33.995258 178143900 6/1/18 -0.0561352465 0.9424647535 -0.0575352465 0.0062 0.0119 -0.0231 -0.0238
7/1/18 34.5 38.889999 33.849998 36.43 35.638767 144329700 7/1/18 0.0483452427 1.0467452427 0.0467452427 0.0335 -0.0221 0.0057 -0.0167
8/1/18 36.59 36.599998 28.41 29.68 29.035372 210621600 8/1/18 -0.1852868535 0.8131131465 -0.1868868535 0.036 0.0115 -0.0392 0.0522
9/1/18 28.93 30.91 27.889999 30.48 29.865812 115479500 9/1/18 0.0286009768 1.0271009768 0.0271009768 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 30.9 30.91 24.84 26.530001 25.995407 184316600 10/1/18 -0.1295931616 0.8685068384 -0.1314931616 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 26.950001 29.84 21.959999 23.059999 22.595327 163182400 11/1/18 -0.1307954132 0.8674045868 -0.1325954132 0.0187 -0.0071 0.0034 -0.0133
12/1/18 24.049999 24.219999 17.09 18.24 17.902954 159801300 12/1/18 -0.2076700638 0.7904299362 -0.2095700638 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 17.790001 22.860001 17.639999 22.540001 22.123497 228134600 1/1/19 0.2357456205 1.2336456205 0.2336456205 0.0862 0.0289 -0.0046 -0.0865
2/1/19 22.32 24.74 21.51 22.41 21.995899 184136500 2/1/19 -0.005767533 0.992432467 -0.007567533 0.0358 0.0212 -0.0271 0.0086
3/1/19 22.549999 22.93 18.76 19.49 19.172327 179641100 3/1/19 -0.1283681108 0.8697318892 -0.1302681108 0.0129 -0.0305 -0.0419 0.0214
4/1/19 19.950001 20.530001 15.48 15.6 15.345734 227460200 4/1/19 -0.1995893873 0.7983106127 -0.2016893873 0.0417 -0.0175 0.0202 -0.0255
5/1/19 15.61 16.99 11.67 11.82 11.627341 342920000 5/1/19 -0.2423079274 0.7555920726 -0.2444079274 -0.0673 -0.0118 -0.0228 0.076
6/1/19 11.85 15.68 11.85 15.31 15.108269 245256700 6/1/19 0.2993743797 1.2975743797 0.2975743797 0.0711 0.0022 -0.0079 -0.0214
7/1/19 15.6 15.9 13.18 15.03 14.831958 231233400 7/1/19 -0.0182887265 0.9798112735 -0.0201887265 0.0138 -0.0208 0.0034 0.0272
8/1/19 14.82 15.11 10.16 11.07 10.924138 278733900 8/1/19 -0.2634729683 0.7349270317 -0.2650729683 -0.0242 -0.024 -0.0485 0.0764
9/1/19 10.84 13.63 10.17 11.55 11.446815 280522800 9/1/19 0.0478460635 1.0460460635 0.0460460635 0.0161 -0.0105 0.0677 -0.0685
10/1/19 11.61 12.66 9.93 11.51 11.407171 432880900 10/1/19 -0.0034633215 0.9950366785 -0.0049633215 0.0221 0.0024 -0.0188 0.0029
11/1/19 12.3 14.03 12.25 13.12 13.002789 270391500 11/1/19 0.1398785027 1.1386785027 0.1386785027 0.0399 0.0091 -0.0205 -0.026
12/1/19 13.28 14.52 11.1 11.41 11.349185 301518500 12/1/19 -0.1271730242 0.8714269758 -0.1285730242 0.0291 0.0067 0.0191 -0.0227
1/1/20 11.55 11.6 9 9.07 9.021657 316225700 1/1/20 -0.2050832725 0.7936167275 -0.2063832725 0.0002 -0.0308 -0.0627 0.0543
2/1/20 9.1 9.88 7.41 8.02 7.977254 272655400 2/1/20 -0.1157662057 0.8830337943 -0.1169662057 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 8.15 8.58 4.54 6.31 6.283023 469996400 3/1/20 -0.2123827322 0.7864172678 -0.2135827322 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 6.11 8.19 5.85 7.68 7.647167 321871600 4/1/20 0.2171158692 1.2171158692 0.2171158692 0.1365 0.0275 -0.0139 -0.0549
5/1/20 7.41 8.8 6.88 8.04 8.005628 252551800 5/1/20 0.0468750061 1.0467750061 0.0467750061 0.0559 0.0249 -0.0505 0.0067
6/1/20 8.05 10.96 7.07 7.22 7.198053 437836300 6/1/20 -0.1008759088 0.8990240912 -0.1009759088 0.0247 0.0271 -0.0235 -0.0075
7/1/20 7.16 8.2 6.58 6.66 6.639755 261992300 7/1/20 -0.077562363 0.922337637 -0.077662363 0.0578 -0.0218 -0.0139 0.0761
8/1/20 6.79 8.24 6.63 7.83 7.806199 171137600 8/1/20 0.1756757591 1.1755757591 0.1755757591 0.0764 -0.0025 -0.0294 0.0051
9/1/20 7.76 9.25 6.85 7.34 7.327966 234730400 9/1/20 -0.0612632345 0.9386367655 -0.0613632345 -0.0362 0.0006 -0.0251 0.0305
10/1/20 7.41 10.31 7.25 9.66 9.644161 240809700 10/1/20 0.3160761117 1.3159761117 0.3159761117 -0.0209 0.0444 0.0403 -0.0303
11/1/20 9.93 14.88 8.96 14.19 14.166735 252924600 11/1/20 0.4689442659 1.4688442659 0.4688442659 0.1248 0.0548 0.0211 -0.1225
12/1/20 14.68 20 14.64 16.77 16.759836 310719800 12/1/20 0.1830415406 1.1829415406 0.1829415406 0.0464 0.0491 -0.0146 -0.0234

XOM

XOM
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 92.25 93.050003 86.029999 87.419998 65.618683 326819500 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 87.849998 93.449997 87.5 88.540001 66.459366 276447700 2/1/15 0.0128116409 1.0128116409 0.0128116409 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 88.339996 88.519997 82.68 85 64.28244 330260500 3/1/15 -0.0327557443 0.9672442557 -0.0327557443 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.8087192065
4/1/15 85.699997 88.669998 83.809998 87.370003 66.074799 251671200 4/1/15 0.0278825602 1.0278825602 0.0278825602 0.0059 -0.0304 0.0188 -0.0732 R Square 0.6540267549
5/1/15 87.849998 90.089996 84.769997 85.199997 64.433678 198924100 5/1/15 -0.0248373211 0.9751626789 -0.0248373211 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.6333716358
6/1/15 85.25 85.970001 82.800003 83.199997 63.44157 238808600 6/1/15 -0.0153973517 0.9846026483 -0.0153973517 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0441404319
7/1/15 83.279999 83.529999 78.93 79.209999 60.399136 274029000 7/1/15 -0.047956474 0.952043526 -0.047956474 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 78.699997 79.290001 66.550003 75.239998 57.371929 387523600 8/1/15 -0.0501200381 0.9498799619 -0.0501200381 -0.0604 0.0044 0.0273 -0.0209
9/1/15 73.300003 75.470001 71.510002 74.349998 57.223747 316644500 9/1/15 -0.0025828311 0.9974171689 -0.0025828311 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 75.199997 83.879997 73.029999 82.739998 63.681129 318077700 10/1/15 0.1128444455 1.1128444455 0.1128444455 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 82.300003 87.440002 77.910004 81.660004 62.849911 264207900 11/1/15 -0.0130528151 0.9869471849 -0.0130528151 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.246774885 0.0616937212 31.6641483141 0
12/1/15 81.760002 82.129997 73.790001 77.949997 60.517502 367069000 12/1/15 -0.0371107765 0.9627892235 -0.0372107765 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.1305413076 0.0019483777
1/1/16 77.5 79.919998 71.550003 77.849998 60.439861 418954700 1/1/16 -0.0012829512 0.9986170488 -0.0013829512 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.3773161925
2/1/16 76.660004 83.440002 73.550003 80.150002 62.225498 359915800 2/1/16 0.0295440289 1.0293440289 0.0293440289 -0.0006 0.0083 -0.006 -0.0406
3/1/16 80.559998 85.099998 80.309998 83.589996 65.485214 292841700 3/1/16 0.0523855349 1.0521855349 0.0521855349 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 82.400002 89.779999 81.989998 88.400002 69.25341 221801200 4/1/16 0.0575426996 1.0574426996 0.0574426996 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0120096209 0.0056064557 -2.1421057542 0.0358232732 -0.0232001533 -0.0008190886 -0.0232001533 -0.0008190886
5/1/16 88.239998 90.459999 87.230003 89.019997 69.739105 219170200 5/1/16 0.0070133009 1.0069133009 0.0069133009 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.9706340055 0.133954511 7.2459971545 0.0000000005 0.7032596825 1.2380083285 0.7032596825 1.2380083285
6/1/16 88.43 93.830002 87.610001 93.739998 74.053986 252091800 6/1/16 0.0618717576 1.0616717576 0.0616717576 -0.0003 0.0064 -0.014 0.0411 X Variable 2 0.2450523049 0.227680091 1.0763009791 0.2856530405 -0.2093990588 0.6995036686 -0.2093990588 0.6995036686
7/1/16 93.360001 95.550003 86.120003 88.949997 70.269928 209716200 7/1/16 -0.0510986404 0.9487013596 -0.0512986404 0.0397 0.026 -0.0123 -0.0308 X Variable 3 0.4684201954 0.2037868225 2.2985794154 0.0246555199 0.0616599952 0.8751803956 0.0616599952 0.8751803956
8/1/16 88.080002 88.940002 85.580002 87.139999 68.840042 235412300 8/1/16 -0.0203484768 0.9794515232 -0.0205484768 0.0052 0.0113 0.0331 -0.0317 X Variable 4 -0.2521677953 0.1735961258 -1.4526118839 0.1509989732 -0.5986671127 0.094331522 -0.5986671127 0.094331522
9/1/16 86.720001 89.370003 82.290001 87.279999 69.538628 271447100 9/1/16 0.0101479601 1.0099479601 0.0099479601 0.0027 0.0204 -0.0121 -0.0053
10/1/16 86.940002 88.669998 82.989998 83.32 66.383545 192041100 10/1/16 -0.0453716602 0.9544283398 -0.0455716602 -0.02 -0.0443 0.0407 0.0069
11/1/16 83.5 88.190002 82.760002 87.300003 69.554558 233089000 11/1/16 0.0477680576 1.0476680576 0.0476680576 0.0487 0.0547 0.0822 -0.0407
12/1/16 87.980003 93.220001 86.599998 90.260002 72.549652 220435500 12/1/16 0.0430610744 1.0427610744 0.0427610744 0.0184 0.0011 0.0351 -0.0038
1/1/17 90.940002 91.339996 83.129997 83.889999 67.429527 252514500 1/1/17 -0.0705740808 0.9290259192 -0.0709740808 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 84 84.160004 80.760002 81.32 65.363815 237345100 2/1/17 -0.0306351252 0.9689648748 -0.0310351252 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 81.699997 84.25 80.309998 82.010002 66.521172 315475000 3/1/17 0.0177063869 1.0174063869 0.0174063869 0.002 0.0117 -0.0333 -0.0092
4/1/17 82.019997 83.550003 80.300003 81.650002 66.229172 192624700 4/1/17 -0.0043895799 0.9951104201 -0.0048895799 0.0114 0.0072 -0.0211 0.0044
5/1/17 81.510002 83.230003 80.470001 80.5 65.296371 220122400 5/1/17 -0.014084443 0.985315557 -0.014684443 0.0112 -0.0261 -0.0367 0.0146
6/1/17 80.370003 83.690002 79.260002 80.730003 66.101318 303836700 6/1/17 0.0123275917 1.0117275917 0.0117275917 0.0084 0.0215 0.0145 -0.0032
7/1/17 80.790001 82.489998 78.269997 80.040001 65.536339 201333900 7/1/17 -0.0085471669 0.9907528331 -0.0092471669 0.0194 -0.0147 -0.0036 0.0166
8/1/17 80.160004 80.82 76.050003 76.330002 62.498615 224413200 8/1/17 -0.04635175 0.95274825 -0.04725175 0.0025 -0.0162 -0.0219 0.0355
9/1/17 76.370003 82.449997 76.32 81.980003 67.775436 216249200 9/1/17 0.084431007 1.083531007 0.083531007 0.026 0.0447 0.0314 -0.0118
10/1/17 81.300003 84.239998 81.25 83.349998 68.908043 172408300 10/1/17 0.0167111725 1.0158111725 0.0158111725 0.0234 -0.0195 0.0012 0.043
11/1/17 83.389999 84.139999 80.010002 83.290001 68.858452 191810600 11/1/17 -0.0007196693 0.9984803307 -0.0015196693 0.032 -0.0058 -0.0009 -0.0071
12/1/17 83.440002 84.360001 82.169998 83.639999 69.787743 220601300 12/1/17 0.0134956708 1.0125956708 0.0125956708 0.0115 -0.0129 0.0017 -0.0163
1/1/18 83.82 89.300003 83.660004 87.300003 72.841591 233944600 1/1/18 0.0437590882 1.0426590882 0.0426590882 0.0569 -0.0309 -0.0132 0.0394
2/1/18 87.5 89.25 73.900002 75.739998 63.196121 369414700 2/1/18 -0.1324170693 0.8664829307 -0.1335170693 -0.0354 0.003 -0.0101 0.0397
3/1/18 75.529999 76.980003 72.669998 74.610001 62.88987 356741300 3/1/18 -0.0048460411 0.9939539589 -0.0060460411 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 74.269997 80.900002 72.160004 77.75 65.536613 285826800 4/1/18 0.0420853629 1.0406853629 0.0406853629 0.0043 0.0113 0.005 0.0027
5/1/18 77.260002 82.650002 75.400002 81.239998 68.478378 299337700 5/1/18 0.0448873517 1.0434873517 0.0434873517 0.0279 0.0528 -0.0315 0.038
6/1/18 81.870003 83.790001 79.300003 82.730003 70.441162 257136500 6/1/18 0.0286628284 1.0272628284 0.0272628284 0.0062 0.0119 -0.0231 -0.0238
7/1/18 81.889999 84.400002 80.709999 81.510002 69.402374 204469200 7/1/18 -0.014746889 0.983653111 -0.016346889 0.0335 -0.0221 0.0057 -0.0167
8/1/18 80.889999 81.589996 76.510002 80.169998 68.261429 215072500 8/1/18 -0.0164395673 0.9819604327 -0.0180395673 0.036 0.0115 -0.0392 0.0522
9/1/18 80.410004 87.360001 79.599998 85.019997 73.13768 227023600 9/1/18 0.0714349388 1.0699349388 0.0699349388 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 85.349998 86.889999 76.220001 79.68 68.543976 305909200 10/1/18 -0.0628089926 0.9352910074 -0.0647089926 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 79.830002 83.75 74.699997 79.5 68.389137 287081300 11/1/18 -0.0022589731 0.9959410269 -0.0040589731 0.0187 -0.0071 0.0034 -0.0133
12/1/18 80.239998 81.949997 64.650002 68.190002 59.254467 380647000 12/1/18 -0.1335690199 0.8645309801 -0.1354690199 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 67.349998 73.489998 67.260002 73.279999 63.677479 269226500 1/1/19 0.0746443639 1.0725443639 0.0725443639 0.0862 0.0289 -0.0046 -0.0865
2/1/19 74.919998 79.75 72.730003 79.029999 68.674004 245067300 2/1/19 0.0784661246 1.0766661246 0.0766661246 0.0358 0.0212 -0.0271 0.0086
3/1/19 79.379997 82 77.860001 80.800003 70.99157 272454400 3/1/19 0.0337473551 1.0318473551 0.0318473551 0.0129 -0.0305 -0.0419 0.0214
4/1/19 81.230003 83.489998 79.559998 80.279999 70.534691 219523400 4/1/19 -0.0064356796 0.9914643204 -0.0085356796 0.0417 -0.0175 0.0202 -0.0255
5/1/19 79.940002 80.260002 70.629997 70.769997 62.179127 250094000 5/1/19 -0.1184603474 0.8794396526 -0.1205603474 -0.0673 -0.0118 -0.0228 0.076
6/1/19 71.089996 77.760002 70.970001 76.629997 68.09951 218953600 6/1/19 0.0952149586 1.0934149586 0.0934149586 0.0711 0.0022 -0.0079 -0.0214
7/1/19 77.129997 77.93 74.18 74.360001 66.082207 186899500 7/1/19 -0.029622871 0.968477129 -0.031522871 0.0138 -0.0208 0.0034 0.0272
8/1/19 73.739998 74.269997 66.529999 68.480003 60.85677 277599800 8/1/19 -0.0790747954 0.9193252046 -0.0806747954 -0.0242 -0.024 -0.0485 0.0764
9/1/19 67.889999 75.18 67.629997 70.610001 63.529888 215355500 9/1/19 0.0439247433 1.0421247433 0.0421247433 0.0161 -0.0105 0.0677 -0.0685
10/1/19 70.830002 70.910004 66.309998 67.57 60.794708 237608200 10/1/19 -0.0430534365 0.9554465635 -0.0445534365 0.0221 0.0024 -0.0188 0.0029
11/1/19 68.389999 73.120003 67.32 68.129997 61.298557 249330500 11/1/19 0.0082877115 1.0070877115 0.0070877115 0.0399 0.0091 -0.0205 -0.026
12/1/19 68.5 70.540001 67.519997 69.779999 63.540272 286029400 12/1/19 0.0365704367 1.0351704367 0.0351704367 0.0291 0.0067 0.0191 -0.0227
1/1/20 70.239998 71.370003 61.860001 62.119999 56.565224 359133900 1/1/20 -0.1097736566 0.8889263434 -0.1110736566 0.0002 -0.0308 -0.0627 0.0543
2/1/20 61.380001 63.009998 48.009998 51.439999 46.840229 479904600 2/1/20 -0.1719253335 0.8268746665 -0.1731253335 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 52.59 54.150002 30.110001 37.970001 35.071091 1171277200 3/1/20 -0.251261325 0.747538675 -0.252461325 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 36.860001 47.68 36.34 46.470001 42.922138 791631600 4/1/20 0.2238609286 1.2238609286 0.2238609286 0.1365 0.0275 -0.0139 -0.0549
5/1/20 45.630001 47.150002 40.200001 45.470001 41.998486 477222400 5/1/20 -0.0215192449 0.9783807551 -0.0216192449 0.0559 0.0249 -0.0505 0.0067
6/1/20 45.32 55.360001 43.16 44.720001 42.106636 584980000 6/1/20 0.0025750928 1.0024750928 0.0024750928 0.0247 0.0271 -0.0235 -0.0075
7/1/20 44.490002 45.380001 40.91 42.080002 39.620914 447156400 7/1/20 -0.0590339727 0.9408660273 -0.0591339727 0.0578 -0.0218 -0.0139 0.0761
8/1/20 42.049999 46.419998 39.310001 39.939999 37.605972 449493200 8/1/20 -0.0508555153 0.9490444847 -0.0509555153 0.0764 -0.0025 -0.0294 0.0051
9/1/20 39.75 40.029999 33.759998 34.330002 32.961494 590817700 9/1/20 -0.123503735 0.876396265 -0.123603735 -0.0362 0.0006 -0.0251 0.0305
10/1/20 33.790001 35.950001 31.110001 32.619999 31.319654 630446900 10/1/20 -0.049810849 0.950089151 -0.049910849 -0.0209 0.0444 0.0403 -0.0303
11/1/20 33.139999 42.080002 32.529999 38.130001 36.610012 703960200 11/1/20 0.1689149567 1.1688149567 0.1688149567 0.1248 0.0548 0.0211 -0.1225
12/1/20 38.959999 44.470001 38.34 41.220001 40.531681 603926000 12/1/20 0.1071201233 1.1070201233 0.1070201233 0.0464 0.0491 -0.0146 -0.0234

UAA

UAA
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 34.209999 36.834999 31.885 36.040001 36.040001 95423400 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 36.099998 38.639999 35.505001 38.505001 38.505001 99312000 2/1/15 0.0683962245 1.0683962245 0.0683962245 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 38.494999 41.334999 37.200001 40.375 40.375 78064600 3/1/15 0.0485650942 1.0485650942 0.0485650942 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5356161719
4/1/15 40.314999 44.075001 38.529999 38.775002 38.775002 137075000 4/1/15 -0.0396284334 0.9603715666 -0.0396284334 0.0059 -0.0304 0.0188 -0.0732 R Square 0.2868846836
5/1/15 38.904999 39.845001 38.075001 39.205002 39.205002 70144000 5/1/15 0.011089619 1.011089619 0.011089619 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2443106349
6/1/15 39.290001 43.150002 38.775002 41.720001 41.720001 72424400 6/1/15 0.0641499521 1.0641499521 0.0641499521 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.1068679349
7/1/15 42.130001 50.009998 41.654999 49.665001 49.665001 117772600 7/1/15 0.190436237 1.190436237 0.190436237 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 49.830002 50.91 40.060001 47.764999 47.764999 124133000 8/1/15 -0.0382563568 0.9617436432 -0.0382563568 -0.0604 0.0044 0.0273 -0.0209
9/1/15 46.68 52.945 46.259998 48.389999 48.389999 124841000 9/1/15 0.0130848951 1.0130848951 0.0130848951 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 48.529999 52.369999 44.005001 47.540001 47.540001 150088600 10/1/15 -0.0175655718 0.9824344282 -0.0175655718 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 47.619999 48.77 42.095001 43.110001 43.110001 136937000 11/1/15 -0.0931846846 0.9068153154 -0.0931846846 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.3078344607 0.0769586152 6.7384872273 0.0001278185
12/1/15 43.395 44.279999 38.889999 40.305 40.305 124259800 12/1/15 -0.0650661316 0.9348338684 -0.0651661316 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.7651906197 0.0114207555
1/1/16 39.834999 43.145 31.615 42.715 42.715 227761800 1/1/16 0.0597940702 1.0596940702 0.0596940702 -0.0576 -0.0336 0.0201 0.0134 Total 71 1.0730250805
2/1/16 42.400002 42.974998 35.165001 41.845001 41.845001 161189400 2/1/16 -0.020367529 0.979432471 -0.020567529 -0.0006 0.0083 -0.006 -0.0406
3/1/16 42.07 43.415001 39.450001 42.415001 42.415001 105838800 3/1/16 0.0136216988 1.0134216988 0.0134216988 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 42.025002 47.950001 40.009998 43.939999 43.939999 143157300 4/1/16 0.0359542135 1.0358542135 0.0358542135 0.0093 0.0069 0.0328 -0.0626 Intercept -0.0037703053 0.0135737308 -0.277764852 0.7820482012 -0.0308635853 0.0233229747 -0.0308635853 0.0233229747
5/1/16 43.889999 44.099998 36.200001 37.73 37.73 136912300 5/1/16 -0.1413290656 0.8585709344 -0.1414290656 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.7132550341 0.3243158565 2.1992604423 0.0313148793 0.0659178751 1.360592193 0.0659178751 1.360592193
6/1/16 37.73 40.279999 35.349998 40.130001 40.130001 161171600 6/1/16 0.063609886 1.063409886 0.063409886 -0.0003 0.0064 -0.014 0.0411 X Variable 2 1.4079258312 0.5512338717 2.5541351928 0.0129252709 0.3076584182 2.5081932442 0.3076584182 2.5081932442
7/1/16 40.119999 44.68 38.849998 39.459999 39.459999 101315900 7/1/16 -0.0166957883 0.9831042117 -0.0168957883 0.0397 0.026 -0.0123 -0.0308 X Variable 3 1.1996638996 0.4933861309 2.4314909247 0.0177174561 0.2148610606 2.1844667386 0.2148610606 2.1844667386
8/1/16 39.549999 43.849998 37.23 39.630001 39.630001 82417400 8/1/16 0.004308211 1.004108211 0.004108211 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.4159645709 0.4202917529 0.9897043377 0.3258795082 -0.4229412789 1.2548704207 -0.4229412789 1.2548704207
9/1/16 39.869999 40.150002 37.720001 38.68 38.68 84321900 9/1/16 -0.0239717632 0.9758282368 -0.0241717632 0.0027 0.0204 -0.0121 -0.0053
10/1/16 38.810001 39.200001 30.57 31.1 31.1 170872300 10/1/16 -0.195966908 0.803833092 -0.196166908 -0.02 -0.0443 0.0407 0.0069
11/1/16 31.26 32.610001 30.059999 30.799999 30.799999 117972600 11/1/16 -0.0096463344 0.9902536656 -0.0097463344 0.0487 0.0547 0.0822 -0.0407
12/1/16 30.799999 33.450001 29 29.049999 29.049999 86922500 12/1/16 -0.0568181837 0.9428818163 -0.0571181837 0.0184 0.0011 0.0351 -0.0038
1/1/17 29.34 31.059999 20.799999 21.49 21.49 120134000 1/1/17 -0.2602409384 0.7393590616 -0.2606409384 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 21.65 22.34 20.440001 20.620001 20.620001 124389300 2/1/17 -0.0404838995 0.9591161005 -0.0408838995 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 20.73 21.049999 18.4 19.780001 19.780001 113889500 3/1/17 -0.0407371464 0.9589628536 -0.0410371464 0.002 0.0117 -0.0333 -0.0092
4/1/17 19.969999 22.120001 18.809999 21.49 21.49 121808300 4/1/17 0.0864509056 1.0859509056 0.0859509056 0.0114 0.0072 -0.0211 0.0044
5/1/17 21.52 21.610001 18.35 19.16 19.16 98839300 5/1/17 -0.1084225221 0.8909774779 -0.1090225221 0.0112 -0.0261 -0.0367 0.0146
6/1/17 19.24 23.459999 19.049999 21.76 21.76 113351000 6/1/17 0.1356993737 1.1350993737 0.1350993737 0.0084 0.0215 0.0145 -0.0032
7/1/17 21.940001 22.370001 19.129999 20.02 20.02 87107500 7/1/17 -0.0799632353 0.9193367647 -0.0806632353 0.0194 -0.0147 -0.0036 0.0166
8/1/17 19.1 19.450001 16.120001 16.15 16.15 111187500 8/1/17 -0.1933066933 0.8057933067 -0.1942066933 0.0025 -0.0162 -0.0219 0.0355
9/1/17 16.209999 18.190001 15.92 16.48 16.48 81819200 9/1/17 0.0204334365 1.0195334365 0.0195334365 0.026 0.0447 0.0314 -0.0118
10/1/17 16.459999 17.610001 12.48 12.52 12.52 152740700 10/1/17 -0.2402912621 0.7588087379 -0.2411912621 0.0234 -0.0195 0.0012 0.043
11/1/17 12.47 13.88 11.4 13.29 13.29 160281000 11/1/17 0.0615015974 1.0607015974 0.0607015974 0.032 -0.0058 -0.0009 -0.0071
12/1/17 13.3 16.190001 12.73 14.43 14.43 109711200 12/1/17 0.085778781 1.084878781 0.084878781 0.0115 -0.0129 0.0017 -0.0163
1/1/18 14.59 16.85 13.48 13.86 13.86 136540800 1/1/18 -0.0395010395 0.9593989605 -0.0406010395 0.0569 -0.0309 -0.0132 0.0394
2/1/18 13.78 18.75 12.5 16.58 16.58 176457700 2/1/18 0.1962481962 1.1951481962 0.1951481962 -0.0354 0.003 -0.0101 0.0397
3/1/18 16.690001 17.73 15.6 16.35 16.35 126556100 3/1/18 -0.0138721351 0.9849278649 -0.0150721351 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 16 18.280001 15.85 17.76 17.76 117729600 4/1/18 0.0862385321 1.0848385321 0.0848385321 0.0043 0.0113 0.005 0.0027
5/1/18 16.85 21.809999 16.41 20.9 20.9 128787500 5/1/18 0.1768018018 1.1754018018 0.1754018018 0.0279 0.0528 -0.0315 0.038
6/1/18 21.200001 24.690001 21.07 22.48 22.48 129784200 6/1/18 0.0755980861 1.0741980861 0.0741980861 0.0062 0.0119 -0.0231 -0.0238
7/1/18 22.290001 22.860001 19.76 19.969999 19.969999 98257000 7/1/18 -0.1116548488 0.8867451512 -0.1132548488 0.0335 -0.0221 0.0057 -0.0167
8/1/18 19.84 22.08 18.9 20.450001 20.450001 93975500 8/1/18 0.0240361554 1.0224361554 0.0224361554 0.036 0.0115 -0.0392 0.0522
9/1/18 20.51 21.610001 18.450001 21.219999 21.219999 84390500 9/1/18 0.0376527121 1.0361527121 0.0361527121 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 21.379999 23.879999 17.34 22.110001 22.110001 144816400 10/1/18 0.0419416608 1.0400416608 0.0400416608 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 22.110001 24.58 20.290001 23.879999 23.879999 98680700 11/1/18 0.08005418 1.07825418 0.07825418 0.0187 -0.0071 0.0034 -0.0133
12/1/18 24.43 24.959999 16.52 17.67 17.67 134621000 12/1/18 -0.2600502203 0.7380497797 -0.2619502203 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 17.440001 21.52 17.110001 20.74 20.74 83496800 1/1/19 0.1737408036 1.1716408036 0.1716408036 0.0862 0.0289 -0.0046 -0.0865
2/1/19 20.690001 23.08 19.75 22.549999 22.549999 137525600 2/1/19 0.0872709257 1.0854709257 0.0854709257 0.0358 0.0212 -0.0271 0.0086
3/1/19 22.91 23.41 20.450001 21.139999 21.139999 78115600 3/1/19 -0.062527719 0.935572281 -0.064427719 0.0129 -0.0305 -0.0419 0.0214
4/1/19 21.280001 23.17 20.559999 23.09 23.09 76256100 4/1/19 0.0922422466 1.0901422466 0.0901422466 0.0417 -0.0175 0.0202 -0.0255
5/1/19 23.16 24.309999 20.84 22.799999 22.799999 133275500 5/1/19 -0.0125595929 0.9853404071 -0.0146595929 -0.0673 -0.0118 -0.0228 0.076
6/1/19 22.73 27.5 22.709999 25.35 25.35 92508000 6/1/19 0.111842154 1.110042154 0.110042154 0.0711 0.0022 -0.0079 -0.0214
7/1/19 25.809999 27.719999 22.049999 23.07 23.07 103837600 7/1/19 -0.0899408284 0.9081591716 -0.0918408284 0.0138 -0.0208 0.0034 0.0272
8/1/19 23.049999 23.16 17.639999 18.610001 18.610001 110116600 8/1/19 -0.1933246207 0.8050753793 -0.1949246207 -0.0242 -0.024 -0.0485 0.0764
9/1/19 18.610001 21.879999 18.24 19.940001 19.940001 78627300 9/1/19 0.0714669494 1.0696669494 0.0696669494 0.0161 -0.0105 0.0677 -0.0685
10/1/19 20.01 21.469999 18.68 20.65 20.65 72877000 10/1/19 0.0356067685 1.0341067685 0.0341067685 0.0221 0.0024 -0.0188 0.0029
11/1/19 20.809999 21.309999 16.74 18.889999 18.889999 144497700 11/1/19 -0.0852300726 0.9135699274 -0.0864300726 0.0399 0.0091 -0.0205 -0.026
12/1/19 18.950001 21.889999 17.91 21.6 21.6 80278900 12/1/19 0.1434622098 1.1420622098 0.1420622098 0.0291 0.0067 0.0191 -0.0227
1/1/20 21.83 21.959999 19.549999 20.18 20.18 104085900 1/1/20 -0.0657407407 0.9329592593 -0.0670407407 0.0002 -0.0308 -0.0627 0.0543
2/1/20 20.33 21.16 13.51 14.19 14.19 194793200 2/1/20 -0.2968285431 0.7019714569 -0.2980285431 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 14.36 14.37 7.61 9.21 9.21 155363700 3/1/20 -0.3509513742 0.6478486258 -0.3521513742 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 8.78 11.31 7.39 10.42 10.42 109558600 4/1/20 0.1313789359 1.1313789359 0.1313789359 0.1365 0.0275 -0.0139 -0.0549
5/1/20 10.08 10.15 7.15 8.75 8.75 244854600 5/1/20 -0.160268714 0.839631286 -0.160368714 0.0559 0.0249 -0.0505 0.0067
6/1/20 8.82 11.8 8.73 9.74 9.74 187970200 6/1/20 0.1131428571 1.1130428571 0.1130428571 0.0247 0.0271 -0.0235 -0.0075
7/1/20 9.68 11.9 9.07 10.52 10.52 175710200 7/1/20 0.0800821355 1.0799821355 0.0799821355 0.0578 -0.0218 -0.0139 0.0761
8/1/20 10.62 11.32 9.63 9.81 9.81 132153600 8/1/20 -0.0674904943 0.9324095057 -0.0675904943 0.0764 -0.0025 -0.0294 0.0051
9/1/20 9.72 12.42 9.66 11.23 11.23 172138900 9/1/20 0.1447502548 1.1446502548 0.1446502548 -0.0362 0.0006 -0.0251 0.0305
10/1/20 11.37 15.39 11.34 13.84 13.84 166400200 10/1/20 0.232413179 1.232313179 0.232313179 -0.0209 0.0444 0.0403 -0.0303
11/1/20 14.14 17.15 14.01 16.57 16.57 128665500 11/1/20 0.1972543353 1.1971543353 0.1971543353 0.1248 0.0548 0.0211 -0.1225
12/1/20 16.780001 17.940001 16.219999 17.17 17.17 112077200 12/1/20 0.0362100181 1.0361100181 0.0361100181 0.0464 0.0491 -0.0146 -0.0234

ZNGA

ZNGA
Date Open High Low Close Adj Close Volume Date MOM Return 1 + Return Ret - Rf Mkt - Ref (Dec) SMB (Dec) HML (Dec) MOM (Dec) SUMMARY OUTPUT
1/1/15 2.7 2.77 2.48 2.56 2.56 236111200 1/1/15 1 0 -0.0311 -0.0051 -0.0356 0.0381
2/1/15 2.56 2.87 2.2 2.3 2.3 382093300 2/1/15 -0.1015625 0.8984375 -0.1015625 0.0614 0.0052 -0.0181 -0.0283 Regression Statistics
3/1/15 2.29 2.89 2.28 2.85 2.85 383601600 3/1/15 0.2391304348 1.2391304348 0.2391304348 -0.0112 0.0302 -0.0041 0.03 Multiple R 0.5221680787
4/1/15 2.86 2.9 2.35 2.45 2.45 424250300 4/1/15 -0.1403508772 0.8596491228 -0.1403508772 0.0059 -0.0304 0.0188 -0.0732 R Square 0.2726595024
5/1/15 2.46 3.13 2.46 2.95 2.95 412437100 5/1/15 0.2040816327 1.2040816327 0.2040816327 0.0136 0.0089 -0.011 0.0603 Adjusted R Square 0.2292361891
6/1/15 2.95 3.08 2.86 2.86 2.86 155783100 6/1/15 -0.0305084746 0.9694915254 -0.0305084746 -0.0153 0.0285 -0.0074 0.0307 Standard Error 0.0817041288
7/1/15 2.87 2.96 2.45 2.48 2.48 214670800 7/1/15 -0.1328671329 0.8671328671 -0.1328671329 0.0154 -0.0409 -0.0421 0.1029 Observations 72
8/1/15 2.49 2.75 2.2 2.53 2.53 259413300 8/1/15 0.0201612903 1.0201612903 0.0201612903 -0.0604 0.0044 0.0273 -0.0209
9/1/15 2.47 2.58 2.2 2.28 2.28 202711300 9/1/15 -0.0988142292 0.9011857708 -0.0988142292 -0.0307 -0.0261 0.0039 0.0535 ANOVA
10/1/15 2.3 2.53 2.22 2.37 2.37 151754200 10/1/15 0.0394736842 1.0394736842 0.0394736842 0.0775 -0.0198 -0.0025 -0.0403 df SS MS F Significance F
11/1/15 2.37 2.65 2.36 2.58 2.58 174009600 11/1/15 0.0886075949 1.0886075949 0.0886075949 0.0056 0.0368 -0.0049 0.0221 Regression 4 0.1676662604 0.0419165651 6.2791040523 0.0002365921
12/1/15 2.59 2.75 2.44 2.68 2.68 209764000 12/1/15 0.0387596899 1.0386596899 0.0386596899 -0.0216 -0.0286 -0.0245 0.0341 Residual 67 0.4472628321 0.0066755647
1/1/16 2.64 2.65 2.15 2.46 2.46 240299800 1/1/16 -0.0820895522 0.9178104478 -0.0821895522 -0.0576 -0.0336 0.0201 0.0134 Total 71 0.6149290925
2/1/16 2.42 2.49 1.78 2.11 2.11 368910000 2/1/16 -0.1422764228 0.8575235772 -0.1424764228 -0.0006 0.0083 -0.006 -0.0406
3/1/16 2.15 2.36 2.12 2.28 2.28 260498700 3/1/16 0.0805687204 1.0803687204 0.0803687204 0.0698 0.0082 0.0111 -0.0513 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
4/1/16 2.25 2.55 2.18 2.38 2.38 217981400 4/1/16 0.0438596491 1.0437596491 0.0437596491 0.0093 0.0069 0.0328 -0.0626 Intercept 0.0137818786 0.0103775735 1.3280444287 0.1886699703 -0.0069318447 0.034495602 -0.0069318447 0.034495602
5/1/16 2.39 2.64 2.28 2.57 2.57 167499000 5/1/16 0.0798319328 1.0797319328 0.0797319328 0.0179 -0.0027 -0.016 0.0214 X Variable 1 0.0349325955 0.2479503746 0.1408854315 0.8883831782 -0.4599784236 0.5298436147 -0.4599784236 0.5298436147
6/1/16 2.56 2.68 2.27 2.49 2.49 314810700 6/1/16 -0.0311284047 0.9686715953 -0.0313284047 -0.0003 0.0064 -0.014 0.0411 X Variable 2 1.8406663106 0.4214368254 4.3675972286 0.0000446247 0.9994748864 2.6818577348 0.9994748864 2.6818577348
7/1/16 2.49 2.94 2.47 2.87 2.87 288087100 7/1/16 0.1526104418 1.1524104418 0.1524104418 0.0397 0.026 -0.0123 -0.0308 X Variable 3 -0.8023275899 0.3772102829 -2.1270034944 0.0371052666 -1.5552424658 -0.049412714 -1.5552424658 -0.049412714
8/1/16 2.86 3.02 2.61 2.73 2.73 276527000 8/1/16 -0.0487804878 0.9510195122 -0.0489804878 0.0052 0.0113 0.0331 -0.0317 X Variable 4 0.2889462145 0.3213271737 0.8992274483 0.3717520394 -0.3524255086 0.9303179377 -0.3524255086 0.9303179377
9/1/16 2.75 2.95 2.67 2.91 2.91 297715100 9/1/16 0.0659340659 1.0657340659 0.0657340659 0.0027 0.0204 -0.0121 -0.0053
10/1/16 2.91 3.04 2.76 2.81 2.81 258732200 10/1/16 -0.0343642612 0.9654357388 -0.0345642612 -0.02 -0.0443 0.0407 0.0069
11/1/16 2.81 2.93 2.7 2.86 2.86 212265400 11/1/16 0.0177935943 1.0176935943 0.0176935943 0.0487 0.0547 0.0822 -0.0407
12/1/16 2.86 3.08 2.52 2.57 2.57 219961200 12/1/16 -0.1013986014 0.8983013986 -0.1016986014 0.0184 0.0011 0.0351 -0.0038
1/1/17 2.6 2.76 2.51 2.52 2.52 179040800 1/1/17 -0.0194552529 0.9801447471 -0.0198552529 0.0198 -0.0106 -0.0281 -0.0098
2/1/17 2.55 2.85 2.4 2.65 2.65 268086600 2/1/17 0.0515873016 1.0511873016 0.0511873016 0.0361 -0.0201 -0.0179 -0.0163
3/1/17 2.7 2.95 2.68 2.85 2.85 153285500 3/1/17 0.0754716981 1.0751716981 0.0751716981 0.002 0.0117 -0.0333 -0.0092
4/1/17 2.85 2.94 2.73 2.89 2.89 147910300 4/1/17 0.0140350877 1.0135350877 0.0135350877 0.0114 0.0072 -0.0211 0.0044
5/1/17 2.9 3.63 2.84 3.52 3.52 336162700 5/1/17 0.2179930796 1.2173930796 0.2173930796 0.0112 -0.0261 -0.0367 0.0146
6/1/17 3.54 3.86 3.44 3.64 3.64 348664200 6/1/17 0.0340909091 1.0334909091 0.0334909091 0.0084 0.0215 0.0145 -0.0032
7/1/17 3.65 3.83 3.47 3.61 3.61 166502900 7/1/17 -0.0082417582 0.9910582418 -0.0089417582 0.0194 -0.0147 -0.0036 0.0166
8/1/17 3.61 3.81 3.49 3.75 3.75 230747900 8/1/17 0.0387811634 1.0378811634 0.0378811634 0.0025 -0.0162 -0.0219 0.0355
9/1/17 3.77 4.02 3.57 3.78 3.78 210118500 9/1/17 0.008 1.0071 0.0071 0.026 0.0447 0.0314 -0.0118
10/1/17 3.79 3.99 3.63 3.9 3.9 171024100 10/1/17 0.0317460317 1.0308460317 0.0308460317 0.0234 -0.0195 0.0012 0.043
11/1/17 3.91 4.34 3.63 4.1 4.1 237890900 11/1/17 0.0512820513 1.0504820513 0.0504820513 0.032 -0.0058 -0.0009 -0.0071
12/1/17 4.08 4.1 3.7 4 4 154644600 12/1/17 -0.0243902439 0.9747097561 -0.0252902439 0.0115 -0.0129 0.0017 -0.0163
1/1/18 3.94 4.09 3.48 3.58 3.58 291608000 1/1/18 -0.105 0.8939 -0.1061 0.0569 -0.0309 -0.0132 0.0394
2/1/18 3.56 3.86 3.2 3.46 3.46 296757400 2/1/18 -0.0335195531 0.9653804469 -0.0346195531 -0.0354 0.003 -0.0101 0.0397
3/1/18 3.49 3.94 3.37 3.66 3.66 218685800 3/1/18 0.0578034682 1.0566034682 0.0566034682 -0.0223 0.0405 -0.0012 -0.0128
4/1/18 3.64 3.69 3.34 3.45 3.45 159776500 4/1/18 -0.0573770492 0.9412229508 -0.0587770492 0.0043 0.0113 0.005 0.0027
5/1/18 3.43 4.52 3.43 4.4 4.4 343882400 5/1/18 0.2753623188 1.2739623188 0.2739623188 0.0279 0.0528 -0.0315 0.038
6/1/18 4.46 4.57 3.92 4.07 4.07 252544800 6/1/18 -0.075 0.9236 -0.0764 0.0062 0.0119 -0.0231 -0.0238
7/1/18 4.03 4.43 3.75 3.79 3.79 156116500 7/1/18 -0.0687960688 0.9296039312 -0.0703960688 0.0335 -0.0221 0.0057 -0.0167
8/1/18 3.85 4.18 3.65 4.16 4.16 262127900 8/1/18 0.0976253298 1.0960253298 0.0960253298 0.036 0.0115 -0.0392 0.0522
9/1/18 4.17 4.23 3.85 4.01 4.01 162377300 9/1/18 -0.0360576923 0.9624423077 -0.0375576923 0.0021 -0.0228 -0.0163 -0.0006
10/1/18 4.06 4.5 3.58 3.64 3.64 396317900 10/1/18 -0.0922693267 0.9058306733 -0.0941693267 -0.0749 -0.0478 0.0346 -0.0184
11/1/18 3.54 3.9 3.32 3.62 3.62 225669300 11/1/18 -0.0054945055 0.9927054945 -0.0072945055 0.0187 -0.0071 0.0034 -0.0133
12/1/18 3.67 3.97 3.48 3.93 3.93 233862300 12/1/18 0.0856353591 1.0837353591 0.0837353591 -0.0936 -0.0248 -0.0189 0.0185
1/1/19 3.9 4.54 3.87 4.48 4.48 289645100 1/1/19 0.1399491094 1.1378491094 0.1378491094 0.0862 0.0289 -0.0046 -0.0865
2/1/19 4.49 5.25 4.33 5.22 5.22 316262200 2/1/19 0.1651785714 1.1633785714 0.1633785714 0.0358 0.0212 -0.0271 0.0086
3/1/19 5.24 5.47 4.99 5.33 5.33 255819500 3/1/19 0.0210727969 1.0191727969 0.0191727969 0.0129 -0.0305 -0.0419 0.0214
4/1/19 5.34 5.7 5.22 5.66 5.66 288792300 4/1/19 0.0619136961 1.0598136961 0.0598136961 0.0417 -0.0175 0.0202 -0.0255
5/1/19 5.73 6.45 5.47 6.29 6.29 463223100 5/1/19 0.1113074205 1.1092074205 0.1092074205 -0.0673 -0.0118 -0.0228 0.076
6/1/19 6.27 6.55 5.8 6.13 6.13 386042100 6/1/19 -0.0254372019 0.9727627981 -0.0272372019 0.0711 0.0022 -0.0079 -0.0214
7/1/19 6.2 6.52 6.09 6.38 6.38 432707700 7/1/19 0.0407830343 1.0388830343 0.0388830343 0.0138 -0.0208 0.0034 0.0272
8/1/19 6.48 6.65 5.51 5.71 5.71 439193800 8/1/19 -0.105015674 0.893384326 -0.106615674 -0.0242 -0.024 -0.0485 0.0764
9/1/19 5.65 6.22 5.53 5.82 5.82 397140000 9/1/19 0.0192644483 1.0174644483 0.0174644483 0.0161 -0.0105 0.0677 -0.0685
10/1/19 5.82 6.47 5.63 6.17 6.17 399904100 10/1/19 0.060137457 1.058637457 0.058637457 0.0221 0.0024 -0.0188 0.0029
11/1/19 6.21 6.42 6.04 6.23 6.23 254436400 11/1/19 0.0097244733 1.0085244733 0.0085244733 0.0399 0.0091 -0.0205 -0.026
12/1/19 6.21 6.38 6.03 6.12 6.12 225350000 12/1/19 -0.0176565008 0.9809434992 -0.0190565008 0.0291 0.0067 0.0191 -0.0227
1/1/20 6.19 6.92 5.9 6.02 6.02 431269200 1/1/20 -0.0163398693 0.9823601307 -0.0176398693 0.0002 -0.0308 -0.0627 0.0543
2/1/20 6.04 7.29 5.89 6.71 6.71 473633900 2/1/20 0.1146179402 1.1134179402 0.1134179402 -0.0801 0.0102 -0.0392 -0.0023
3/1/20 6.84 7.42 5.65 6.85 6.85 485122000 3/1/20 0.0208643815 1.0196643815 0.0196643815 -0.1326 -0.0503 -0.1396 0.0855
4/1/20 6.7 7.85 6.5 7.54 7.54 412384600 4/1/20 0.100729927 1.100729927 0.100729927 0.1365 0.0275 -0.0139 -0.0549
5/1/20 7.46 9.19 7.18 9.15 9.15 447013600 5/1/20 0.2135278515 1.2134278515 0.2134278515 0.0559 0.0249 -0.0505 0.0067
6/1/20 9.4 9.92 8.6 9.54 9.54 543819800 6/1/20 0.0426229508 1.0425229508 0.0425229508 0.0247 0.0271 -0.0235 -0.0075
7/1/20 9.52 10.55 9.26 9.83 9.83 406088400 7/1/20 0.0303983229 1.0302983229 0.0302983229 0.0578 -0.0218 -0.0139 0.0761
8/1/20 9.9 10.69 8.71 9.06 9.06 449825400 8/1/20 -0.0783316378 0.9215683622 -0.0784316378 0.0764 -0.0025 -0.0294 0.0051
9/1/20 9.01 9.25 8.1 9.12 9.12 398689600 9/1/20 0.0066225166 1.0065225166 0.0065225166 -0.0362 0.0006 -0.0251 0.0305
10/1/20 9.22 9.72 8.89 8.99 8.99 346449800 10/1/20 -0.014254386 0.985645614 -0.014354386 -0.0209 0.0444 0.0403 -0.0303
11/1/20 9.16 9.91 7.77 8.25 8.25 563526000 11/1/20 -0.0823136819 0.9175863181 -0.0824136819 0.1248 0.0548 0.0211 -0.1225
12/1/20 8.2 10.14 8.09 9.87 9.87 465951600 12/1/20 0.1963636364 1.1962636364 0.1962636364 0.0464 0.0491 -0.0146 -0.0234