SUMMARY OUTPUT

Regression Statistics
Multiple R 0.988583428
R Square 0.977297194
Adjusted R Square 0.976080972
Standard Error 0.830066928
Observations 60

ANOVA
df SS MS F Significance F
Regression 3 1660.968351 553.6561171 803.5518048 5.58723E-46
Residual 56 38.58462189 0.689011105
Total 59 1699.552973

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

Intercept -0.09629442 0.113535529 -0.84814349 0.39996881 -0.32373341 0.131144575
Mkt-RF 1.02728432 0.031945911 32.15698947 8.65914E-38 0.96328897 1.091279669
SMB 1.104905641 0.05428062 20.35543532 1.49301E-27 0.996168494 1.213642788
HML -0.43034821 0.060953923 -7.06022171 2.75215E-09 -0.5524536 -0.30824283

RESIDUAL OUTPUT

Observation
Predicted Practice Portfolio Excess
ResidualsStandard
Returns Residuals
1 3.43241085 -0.00241085 -0.00298119
2 -1.23994313 0.039943128 0.049392494
3 -1.93683823 0.276838234 0.342329993
4 -3.60393865 -0.69606135 -0.86072894
5 -9.21596593 0.155965933 0.192862872
6 -11.5818901 0.461890143 0.571159724
7 15.93207909 -0.39207909 -0.48483344
8 -0.5716487 -0.8583513 -1.06141189
9 -0.61944882 0.409448822 0.506312334
10 8.785749733 -0.79574973 -0.98400064
11 2.616904485 0.963095515 1.190935503
12 2.826056185 -0.26605618 -0.32899723
13 -1.579507 0.319507003 0.395092934
14 -6.61115184 0.011151838 0.013790034
15 4.562427118 1.307572882 1.616906051
16 -2.16179796 -0.79820204 -0.9870331
17 3.02745656 0.20254344 0.250459243
18 2.58930138 0.66069862 0.817000422
19 -4.87681243 1.026812429 1.269725959
20 1.938313185 -1.17831319 -1.45706732
21 1.491863982 1.018136018 1.258996965
22 5.601465456 0.978534544 1.21002695
23 0.666442597 0.423557403 0.52375859
24 5.046102728 0.293897272 0.363424696
25 -1.29612629 0.526126294 0.650592254
26 4.417549833 0.832450167 1.029383319
27 0.146892338 0.363107662 0.449008223
28 7.479537361 -0.08953736 -0.11071926
29 -1.547794 0.317794002 0.392974688
30 7.612244295 -1.1122443 -1.37536848
31 1.899876723 -0.76987672 -0.95200684
32 4.741889482 0.198110518 0.244977622
33 2.401334736 -0.62133474 -0.76832421
34 -1.78075204 1.410752038 1.744494352
35 5.245018098 -1.1650181 -1.44062701
36 -3.63404316 0.544043157 0.672747719
37 -5.59609907 -0.65390093 -0.8085946
38 0.150417221 -0.68041722 -0.84138386
39 6.091549168 1.188450832 1.469603239
40 -6.90501734 0.695017335 0.859437933
41 5.128635717 -0.19863572 -0.24562707
42 -5.59570097 0.845700966 1.045768866
43 8.000388477 -0.86038848 -1.06393101
44 1.675350344 -0.07535034 -0.09317601
45 2.043479973 0.326520027 0.403765032
46 -2.65932462 -0.29067538 -0.3594406
47 7.649816255 -0.04981625 -0.06160131
48 2.536705051 -0.40670505 -0.50291947
49 -3.75470246 0.774702459 0.957974207
50 3.168134221 0.011865779 0.014672872
51 1.917454734 0.322545266 0.398849961
52 -1.18946961 1.019469609 1.260646043
53 -7.06538514 -1.78461486 -2.20680208
54 -6.55850577 -0.96149423 -1.18895541
55 5.947745996 -1.547746 -1.91389704
56 4.930728128 0.679271872 0.839967558
57 -4.73834846 0.808348457 0.999579856
58 -11.4146695 -2.1053305 -2.60338959
59 0.651287242 -1.35128724 -1.67096194
60 7.422272507 0.297727493 0.368161035
 Mkt-RF Line Fit Plot

Practce Portolio Excess Returns

20
SMB Line Fit Plot

Practce Portolio Excess Returns

Practice Portfolio
10 Excess Returns
20
0
HML LineExcess
Fit Plot
Predicted Practice

Practce Portolio Excess Returns

Practice Portfolio
-10 -5 -10 0 5 1010 15 Portfolio
Excess Returns
Returns
0 20 Predicted Practice
-20 Practice Portfolio
-5 -4 -3 -2 -10
-1 0 1 210 3 4 5 Portfolio Excess
Excess Returns
Mkt-RF Returns
0 Predicted Practice
-20 Portfolio Excess
-6 -4 -2-10 0 2 4 6
SMB Returns
-20
HML

Lower 95.0% Upper 95.0%

-0.32373341 0.131144575
0.96328897 1.091279669
0.996168494 1.213642788
-0.5524536 -0.30824283
actice Portfolio
cess Returns
edicted Practice
rtfolio Excess
turns
 Monthly Returns (%)
Practce
Date Portolio Excess Mkt-RF SMB HML
Returns
201104 3.43 2.9 -0.34 -2.15
201105 -1.2 -1.27 -0.68 -2.12
201106 -1.66 -1.75 -0.14 -0.26
201107 -4.3 -2.36 -1.44 -1.18
201108 -9.06 -5.99 -3.3 -1.58
201109 -11.12 -7.59 -3.72 -0.98
201110 15.54 11.35 3.58 -0.96
201111 -1.43 -0.28 -0.24 -0.18
201112 -0.21 0.74 -0.55 1.57
201201 7.99 5.05 2.51 -2.14
201202 3.58 4.42 -1.65 0.01
201203 2.56 3.11 -0.27 -0.06
201204 -1.26 -0.85 -0.63 -0.2
201205 -6.6 -6.19 -0.11 0.08
201206 5.87 3.89 0.81 0.54
201207 -2.96 0.79 -2.6 0.01
201208 3.23 2.55 0.69 0.6
201209 3.25 2.73 0.5 1.56
201210 -3.85 -1.76 -1.07 4.16
201211 0.76 0.78 0.68 -1.12
201212 2.51 1.18 1.61 3.26
201301 6.58 5.57 0.5 1.34
201302 1.09 1.29 -0.4 0.28
201303 5.34 4.03 0.88 -0.07
201304 -0.77 1.56 -2.4 0.35
201305 5.25 2.8 2 1.33
201306 0.51 -1.2 1.18 -0.4
201307 7.39 5.65 1.88 0.71
201308 -1.23 -2.71 0.24 -2.48
201309 6.5 3.77 2.86 -1.57
201310 1.13 4.18 -1.55 1.36
201311 4.94 3.12 1.33 -0.38
201312 1.78 2.81 -0.43 -0.2
201401 -0.37 -3.32 0.83 -1.88
201402 4.08 4.65 0.32 -0.49
201403 -3.09 0.43 -1.81 4.6
201404 -6.25 -0.19 -4.17 1.62
201405 -0.53 2.06 -1.84 -0.38
201406 7.28 2.61 2.94 -0.6
201407 -6.21 -2.04 -4.25 0.04
201408 4.93 4.23 0.5 -0.76
201409 -4.75 -1.97 -3.8 -1.68
201410 7.14 2.52 4.28 -1.81
201411 1.6 2.55 -2.08 -3.37
201412 2.37 -0.06 2.6 1.56
201501 -2.95 -3.11 -0.62 -3.06
201502 7.6 6.13 0.47 -2.16
201503 2.13 -1.12 3.14 -0.73
201504 -2.98 0.59 -3.03 2.13
201505 3.18 1.36 0.95 -1.9
201506 2.24 -1.53 2.84 -1.04
201507 -0.17 1.54 -4.17 -4.49
201508 -8.85 -6.04 0.43 2.88
201509 -7.52 -3.07 -2.71 0.73
201510 4.4 7.75 -1.86 -0.32
201511 5.61 0.56 3.55 -1.23
201512 -3.93 -2.17 -2.99 -2.07
201601 -13.52 -5.77 -3.66 3.13
201602 -0.7 -0.07 0.73 -0.03
201603 7.72 6.96 0.84 1.3