Factor Regression Analysis

This factor regression tool supports factor regression analysis of individual assets or a portfolio of assets using the given risk factor model. The multiple linear regression indicates how well the returns of the given assets or a portfolio are explained by the risk factor exposures. The supported equity risk factor models include:

Additional supported equity factors include the short and long-term reversal factors (STREV, LTREV) based on Fama-French factor data, quality (QMJ) factor based on both AQR and Alpha Architect factor data, and bet against beta (BAB) factor based on AQR factor data.

For fixed income funds and balanced funds you can include the fixed income factor model to explain returns based on term risk (interest rate risk) and credit risk exposures. The fixed income factors can be further adjusted to account for the yield curve and to add high yield credit risk as an additional factor.

Portfolio Assets
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Factor Analysis Results

Factor Analysis Summary

Factor regression results
Name Ticker Start Date End Date Rm-Rf SMB HML RMW CMA Alpha Annual Alpha R2
iShares International Select Div ETF IDV Jul 2007 Sep 2022 1.11 -0.13 0.48 0.46 -0.06 -0.23% -2.71% 90.4%
Vanguard Intl Hi Div Yld Idx ETF VYMI Apr 2016 Sep 2022 0.99 -0.01 0.32 0.05 0.19 -0.05% -0.58% 96.0%
Schwab International Dividend Equity ETF SCHY May 2021 Sep 2022 0.87 -0.34 0.37 0.67 0.26 -0.56% -6.76% 94.3%
iShares International Dividend Gr ETF IGRO Jun 2016 Sep 2022 1.01 -0.21 0.03 0.38 0.34 -0.11% -1.36% 94.1%
SPDR S&P International Dividend ETF DWX Mar 2008 Sep 2022 1.02 -0.18 0.41 0.21 -0.37 -0.27% -3.24% 85.6%
WisdomTree Intl Hdgd Qual Div Gr ETF IHDG Jun 2014 Sep 2022 0.74 -0.39 -0.12 0.61 -0.10 0.27% 3.26% 82.3%
Vanguard Total International Stock ETF VXUS Feb 2011 Sep 2022 1.00 -0.01 -0.01 0.00 0.05 -0.08% -0.95% 95.2%
Avantis International Equity ETF AVDE Oct 2019 Sep 2022 1.03 0.10 0.21 0.13 -0.10 -0.08% -0.93% 99.0%
Avantis International Small Cap Val ETF AVDV Oct 2019 Sep 2022 1.15 0.82 0.56 0.58 -0.12 -0.07% -0.90% 98.5%

iShares International Select Div ETF

Factor regression results for iShares International Select Div ETF
Ticker IDV
Time Period Jul 2007 - Sep 2022
Regression Basis 183 monthly samples
Coefficient of Determination (R2) 90.4%
Adjusted R2 90.1%
Regression F statistic 331.52 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.270 with p-value 0.963)
Heteroscedasticity Heteroscedasticity confirmed (Breusch-Pagan test value is 22.694 with p-value 0.000)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 1.11 0.036 30.563 0.000 1.034...1.177
Size (SMB) -0.13 0.093 -1.407 0.161 -0.314...0.053
Value (HML) 0.48 0.106 4.538 0.000 0.272...0.689
Profitability (RMW) 0.46 0.162 2.843 0.005 0.141...0.783
Investment (CMA) -0.06 0.138 -0.402 0.688 -0.327...0.216
Alpha (α) -22.60bps 0.002 -1.472 0.143 -0.53%...0.08%
Annualized Alpha (α) -2.71%  

Vanguard Intl Hi Div Yld Idx ETF

Factor regression results for Vanguard Intl Hi Div Yld Idx ETF
Ticker VYMI
Time Period Apr 2016 - Sep 2022
Regression Basis 78 monthly samples
Coefficient of Determination (R2) 96.0%
Adjusted R2 95.7%
Regression F statistic 347.57 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.699 with p-value 0.999)
Heteroscedasticity No heteroscedasticity confirmed (Breusch-Pagan test value is 9.599 with p-value 0.087)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 0.99 0.030 33.197 0.000 0.934...1.054
Size (SMB) -0.01 0.087 -0.071 0.944 -0.179...0.167
Value (HML) 0.32 0.092 3.444 0.001 0.134...0.501
Profitability (RMW) 0.05 0.139 0.386 0.700 -0.224...0.331
Investment (CMA) 0.19 0.139 1.368 0.176 -0.087...0.466
Alpha (α) -4.85bps 0.001 -0.430 0.669 -0.27%...0.18%
Annualized Alpha (α) -0.58%  

Schwab International Dividend Equity ETF

Factor regression results for Schwab International Dividend Equity ETF
Ticker SCHY
Time Period May 2021 - Sep 2022
Regression Basis 17 monthly samples
Coefficient of Determination (R2) 94.3%
Adjusted R2 91.7%
Regression F statistic 36.39 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 1.595 with p-value 0.302)
Heteroscedasticity No heteroscedasticity confirmed (Breusch-Pagan test value is 4.199 with p-value 0.521)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 0.87 0.079 11.084 0.000 0.698...1.044
Size (SMB) -0.34 0.314 -1.094 0.298 -1.033...0.347
Value (HML) 0.37 0.288 1.302 0.219 -0.259...1.008
Profitability (RMW) 0.67 0.366 1.826 0.095 -0.137...1.475
Investment (CMA) 0.26 0.388 0.670 0.516 -0.594...1.115
Alpha (α) -56.35bps 0.003 -1.628 0.132 -1.33%...0.20%
Annualized Alpha (α) -6.76%  

iShares International Dividend Gr ETF

Factor regression results for iShares International Dividend Gr ETF
Ticker IGRO
Time Period Jun 2016 - Sep 2022
Regression Basis 76 monthly samples
Coefficient of Determination (R2) 94.1%
Adjusted R2 93.7%
Regression F statistic 224.76 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.665 with p-value 0.998)
Heteroscedasticity No heteroscedasticity confirmed (Breusch-Pagan test value is 2.409 with p-value 0.790)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 1.01 0.036 27.733 0.000 0.937...1.082
Size (SMB) -0.21 0.105 -1.976 0.052 -0.416...0.002
Value (HML) 0.03 0.111 0.311 0.756 -0.188...0.257
Profitability (RMW) 0.38 0.171 2.217 0.030 0.038...0.722
Investment (CMA) 0.34 0.168 2.049 0.044 0.009...0.678
Alpha (α) -11.34bps 0.001 -0.819 0.416 -0.39%...0.16%
Annualized Alpha (α) -1.36%  

SPDR S&P International Dividend ETF

Factor regression results for SPDR S&P International Dividend ETF
Ticker DWX
Time Period Mar 2008 - Sep 2022
Regression Basis 175 monthly samples
Coefficient of Determination (R2) 85.6%
Adjusted R2 85.2%
Regression F statistic 201.25 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.003 with p-value 0.485)
Heteroscedasticity Heteroscedasticity confirmed (Breusch-Pagan test value is 22.151 with p-value 0.000)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 1.02 0.045 22.816 0.000 0.934...1.111
Size (SMB) -0.18 0.120 -1.481 0.140 -0.413...0.059
Value (HML) 0.41 0.132 3.121 0.002 0.151...0.670
Profitability (RMW) 0.21 0.202 1.060 0.291 -0.185...0.614
Investment (CMA) -0.37 0.170 -2.195 0.030 -0.711...-0.038
Alpha (α) -26.99bps 0.002 -1.391 0.166 -0.65%...0.11%
Annualized Alpha (α) -3.24%  

WisdomTree Intl Hdgd Qual Div Gr ETF

Factor regression results for WisdomTree Intl Hdgd Qual Div Gr ETF
Ticker IHDG
Time Period Jun 2014 - Sep 2022
Regression Basis 100 monthly samples
Coefficient of Determination (R2) 82.3%
Adjusted R2 81.4%
Regression F statistic 87.62 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.021 with p-value 0.533)
Heteroscedasticity No heteroscedasticity confirmed (Breusch-Pagan test value is 1.878 with p-value 0.866)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 0.74 0.047 15.668 0.000 0.649...0.837
Size (SMB) -0.39 0.119 -3.253 0.002 -0.622...-0.150
Value (HML) -0.12 0.145 -0.852 0.396 -0.411...0.164
Profitability (RMW) 0.61 0.206 2.953 0.004 0.199...1.016
Investment (CMA) -0.10 0.217 -0.456 0.650 -0.529...0.332
Alpha (α) 27.15bps 0.002 1.577 0.118 -0.07%...0.61%
Annualized Alpha (α) 3.26%  

Vanguard Total International Stock ETF

Factor regression results for Vanguard Total International Stock ETF
Ticker VXUS
Time Period Feb 2011 - Sep 2022
Regression Basis 140 monthly samples
Coefficient of Determination (R2) 95.2%
Adjusted R2 95.0%
Regression F statistic 533.40 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.725 with p-value 1.000)
Heteroscedasticity No heteroscedasticity confirmed (Breusch-Pagan test value is 5.728 with p-value 0.334)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 1.00 0.023 43.972 0.000 0.953...1.043
Size (SMB) -0.01 0.059 -0.240 0.811 -0.132...0.103
Value (HML) -0.01 0.074 -0.071 0.943 -0.152...0.141
Profitability (RMW) 0.00 0.099 0.017 0.987 -0.194...0.198
Investment (CMA) 0.05 0.111 0.419 0.676 -0.173...0.266
Alpha (α) -7.93bps 0.001 -0.882 0.379 -0.26%...0.10%
Annualized Alpha (α) -0.95%  

Avantis International Equity ETF

Factor regression results for Avantis International Equity ETF
Ticker AVDE
Time Period Oct 2019 - Sep 2022
Regression Basis 36 monthly samples
Coefficient of Determination (R2) 99.0%
Adjusted R2 98.8%
Regression F statistic 592.41 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.871 with p-value 0.997)
Heteroscedasticity No heteroscedasticity confirmed (Breusch-Pagan test value is 9.873 with p-value 0.079)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 1.03 0.030 34.684 0.000 0.973...1.094
Size (SMB) 0.10 0.081 1.288 0.208 -0.061...0.271
Value (HML) 0.21 0.093 2.305 0.028 0.024...0.402
Profitability (RMW) 0.13 0.129 1.036 0.308 -0.130...0.397
Investment (CMA) -0.10 0.147 -0.670 0.508 -0.400...0.202
Alpha (α) -7.74bps 0.001 -0.656 0.517 -0.32%...0.16%
Annualized Alpha (α) -0.93%  

Avantis International Small Cap Val ETF

Factor regression results for Avantis International Small Cap Val ETF
Ticker AVDV
Time Period Oct 2019 - Sep 2022
Regression Basis 36 monthly samples
Coefficient of Determination (R2) 98.5%
Adjusted R2 98.3%
Regression F statistic 396.76 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.557 with p-value 0.957)
Heteroscedasticity No heteroscedasticity confirmed (Breusch-Pagan test value is 5.439 with p-value 0.365)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 1.15 0.044 26.249 0.000 1.058...1.236
Size (SMB) 0.82 0.119 6.879 0.000 0.577...1.064
Value (HML) 0.56 0.136 4.145 0.000 0.286...0.840
Profitability (RMW) 0.58 0.189 3.053 0.005 0.191...0.963
Investment (CMA) -0.12 0.216 -0.543 0.591 -0.559...0.324
Alpha (α) -7.49bps 0.002 -0.432 0.669 -0.43%...0.28%
Annualized Alpha (α) -0.90%  
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Refer to the documentation regarding the list of factor data sources and methodology descriptions
  • Results are based on multiple linear regression against monthly factor returns.
  • 5-factor model: Ra = Rrf + Bmkt × ( Rmkt - Rrf ) + Bsmb × SMB + Bhml × HML + Brmw × RMW + Bcma × CMA + α
  • Symbols:
    Ra
    Asset return
    Rrf
    Risk free return
    Bmkt
    Market loading factor (exposure to market risk, different from CAPM beta)
    Rmkt
    Market return
    Bsmb
    Size loading factor (the level of exposure to size risk)
    SMB
    Small Minus Big: The size premium
    Bhml
    Value loading factor (the level of exposure to value risk)
    HML
    High Minus Low: The value premium
    Brmw
    Profitability loading factor
    RMW
    Robust Minus Weak: The profitability premium
    Bcma
    Investment loading factor
    CMA
    Conservative Minus Aggressive: The conservative investment premium
    Alpha
    Excess return over the benchmark
    t-stat
    t-statistic is a ratio of the departure of an estimated parameter from its notional value and its standard error
    p-value
    p-value measures the statistical significance of the estimated parameter
    R2
    Coefficient of determination

Factor Performance Attribution in Basis Points

Factor regression results
Monthly Factor Premiums (BPS) 21.19 4.17 1.93 32.35 8.63  
Name Ticker Start Date End Date Annual Alpha Rm-Rf SMB HML RMW CMA Total R2
iShares International Select Div ETF IDV Jul 2007 Sep 2022 -2.71% 23.42 -0.54 0.93 14.95 -0.48 15.67 90.4%
Factor regression results
Monthly Factor Premiums (BPS) 31.50 -2.49 12.12 22.23 -3.83  
Name Ticker Start Date End Date Annual Alpha Rm-Rf SMB HML RMW CMA Total R2
Vanguard Intl Hi Div Yld Idx ETF VYMI Apr 2016 Sep 2022 -0.58% 31.32 0.02 3.84 1.20 -0.73 30.80 96.0%
Factor regression results
Monthly Factor Premiums (BPS) -157.71 -42.06 124.00 5.29 90.82  
Name Ticker Start Date End Date Annual Alpha Rm-Rf SMB HML RMW CMA Total R2
Schwab International Dividend Equity ETF SCHY May 2021 Sep 2022 -6.76% -137.41 14.42 46.46 3.54 23.65 -105.70 94.3%
Factor regression results
Monthly Factor Premiums (BPS) 29.26 -3.84 11.21 24.05 -3.37  
Name Ticker Start Date End Date Annual Alpha Rm-Rf SMB HML RMW CMA Total R2
iShares International Dividend Gr ETF IGRO Jun 2016 Sep 2022 -1.36% 29.55 0.80 0.39 9.15 -1.16 27.38 94.1%
Factor regression results
Monthly Factor Premiums (BPS) 26.66 8.59 3.33 33.43 8.07  
Name Ticker Start Date End Date Annual Alpha Rm-Rf SMB HML RMW CMA Total R2
SPDR S&P International Dividend ETF DWX Mar 2008 Sep 2022 -3.24% 27.25 -1.52 1.36 7.17 -3.02 4.25 85.6%
Factor regression results
Monthly Factor Premiums (BPS) 15.18 6.51 -5.56 29.78 -7.58  
Name Ticker Start Date End Date Annual Alpha Rm-Rf SMB HML RMW CMA Total R2
WisdomTree Intl Hdgd Qual Div Gr ETF IHDG Jun 2014 Sep 2022 3.26% 11.28 -2.51 0.69 18.09 0.75 55.43 82.3%
Factor regression results
Monthly Factor Premiums (BPS) 31.71 2.74 -1.04 34.86 0.71  
Name Ticker Start Date End Date Annual Alpha Rm-Rf SMB HML RMW CMA Total R2
Vanguard Total International Stock ETF VXUS Feb 2011 Sep 2022 -0.95% 31.64 -0.04 0.01 0.06 0.03 23.77 95.2%
Factor regression results
Monthly Factor Premiums (BPS) 5.61 4.86 22.47 22.08 -7.11  
Name Ticker Start Date End Date Annual Alpha Rm-Rf SMB HML RMW CMA Total R2
Avantis International Equity ETF AVDE Oct 2019 Sep 2022 -0.93% 5.80 0.51 4.80 2.95 0.70 7.01 99.0%
Factor regression results
Monthly Factor Premiums (BPS) 5.61 4.86 22.47 22.08 -7.11  
Name Ticker Start Date End Date Annual Alpha Rm-Rf SMB HML RMW CMA Total R2
Avantis International Small Cap Val ETF AVDV Oct 2019 Sep 2022 -0.90% 6.44 3.99 12.65 12.74 0.83 29.16 98.5%
Regression residuals
MonthIDVVYMISCHYIGRODWXIHDGVXUSAVDEAVDV
Jul 20070.60%
Aug 20070.61%
Sep 2007-1.67%
Oct 20072.51%
Nov 2007-4.69%
Dec 2007-2.09%
Jan 20085.88%
Feb 2008-5.86%
Mar 20080.40%0.88%
Apr 2008-4.21%-6.23%
May 2008-0.79%-2.58%
Jun 2008-4.35%-1.73%
Jul 20081.01%-0.02%
Aug 20081.34%4.73%
Sep 20082.99%-0.39%
Oct 2008-6.26%-4.42%
Nov 2008-2.84%-1.51%
Dec 20082.75%4.89%
Jan 2009-2.75%-3.21%
Feb 20096.35%0.42%
Mar 20093.53%5.90%
Apr 20092.43%10.62%
May 20091.45%1.42%
Jun 20092.39%-0.67%
Jul 20090.15%-0.42%
Aug 20090.90%1.30%
Sep 20094.42%2.48%
Oct 2009-1.82%0.17%
Nov 20092.48%2.94%
Dec 2009-2.60%-1.06%
Jan 2010-0.27%0.79%
Feb 20101.32%0.17%
Mar 2010-2.21%-2.90%
Apr 2010-0.75%-0.33%
May 20101.07%0.61%
Jun 20100.51%0.95%
Jul 20102.58%1.59%
Aug 20100.89%0.24%
Sep 20101.65%2.18%
Oct 2010-0.13%1.15%
Nov 20101.39%-1.62%
Dec 2010-1.09%0.60%
Jan 2011-0.60%-1.19%
Feb 2011-0.50%-0.99%-1.03%
Mar 20112.90%4.64%1.44%
Apr 20110.29%2.83%-0.46%
May 2011-0.33%-0.59%-0.17%
Jun 2011-1.03%-1.21%0.25%
Jul 2011-0.72%-3.18%-0.45%
Aug 20114.42%2.82%0.21%
Sep 2011-1.85%-2.43%-2.35%
Oct 20112.84%1.54%1.62%
Nov 20111.88%2.59%2.55%
Dec 2011-1.38%-0.71%-1.63%
Jan 2012-0.33%-0.95%1.51%
Feb 2012-0.89%-0.55%-0.70%
Mar 20120.78%-0.57%-0.28%
Apr 2012-0.78%-0.96%-0.55%
May 20120.95%-0.80%0.41%
Jun 20121.36%2.87%0.16%
Jul 20120.85%-4.46%-0.39%
Aug 20120.35%2.09%-0.30%
Sep 2012-1.96%-1.76%0.13%
Oct 20121.65%-0.24%0.08%
Nov 2012-1.64%-1.99%0.32%
Dec 2012-0.83%2.96%1.63%
Jan 2013-2.38%-3.23%-2.80%
Feb 2013-0.54%-0.63%-0.13%
Mar 20130.45%2.58%0.19%
Apr 20130.33%-1.24%-0.89%
May 2013-5.36%-4.92%-1.68%
Jun 20131.30%0.30%0.19%
Jul 20130.26%-3.14%-0.76%
Aug 20131.96%-0.42%-0.81%
Sep 20130.39%1.21%0.50%
Oct 20130.33%-0.43%0.40%
Nov 2013-2.03%-2.47%-0.44%
Dec 20130.23%0.46%-0.08%
Jan 2014-0.89%-0.84%-2.12%
Feb 20140.66%0.71%0.27%
Mar 20141.00%2.41%0.82%
Apr 20141.41%2.32%0.27%
May 2014-0.40%-0.08%0.58%
Jun 2014-0.29%1.34%-1.94%0.54%
Jul 2014-0.68%-0.01%0.61%0.29%
Aug 20140.98%1.19%1.38%1.46%
Sep 2014-2.03%-2.86%0.75%-0.87%
Oct 20143.10%1.77%-1.26%1.77%
Nov 2014-0.95%-2.12%0.78%-1.28%
Dec 2014-1.45%-2.72%0.43%-0.83%
Jan 20150.30%0.84%2.19%0.61%
Feb 2015-0.74%-1.00%1.96%0.23%
Mar 2015-2.94%-3.12%1.22%-0.12%
Apr 2015-0.39%5.12%-0.47%0.08%
May 2015-0.40%-3.32%3.06%-0.37%
Jun 2015-1.25%-0.61%-3.21%-0.05%
Jul 2015-1.73%-6.43%0.89%-1.32%
Aug 2015-0.36%-0.21%-2.34%-1.02%
Sep 20152.41%1.40%1.48%0.87%
Oct 2015-1.88%-2.17%0.83%-0.47%
Nov 20150.65%-1.26%1.66%0.14%
Dec 20150.33%-0.84%-1.23%-0.83%
Jan 20162.23%4.25%0.76%1.23%
Feb 20160.29%0.71%-2.31%-1.37%
Mar 20161.46%3.81%-2.85%1.48%
Apr 2016-0.72%-1.40%1.09%-0.99%-1.03%
May 2016-0.27%0.44%-1.86%3.05%0.06%
Jun 20163.37%1.35%0.68%5.82%-0.73%2.33%
Jul 2016-3.10%-1.44%-1.44%-2.15%-0.41%-0.37%
Aug 2016-0.04%0.49%-0.01%-1.68%-0.10%0.47%
Sep 20160.91%-0.27%-0.03%1.95%0.06%0.16%
Oct 2016-2.13%-1.09%-0.61%0.07%0.63%-0.20%
Nov 20161.06%0.32%-1.30%0.02%2.93%0.23%
Dec 2016-0.50%-0.44%1.15%-0.09%0.27%-0.80%
Jan 2017-0.24%0.02%0.17%-0.14%-0.53%0.57%
Feb 2017-0.40%0.24%0.41%-0.03%2.37%0.63%
Mar 20170.11%0.06%-0.86%-0.47%-0.49%0.02%
Apr 2017-2.00%-1.02%0.01%-1.59%-0.03%-0.67%
May 20170.62%-0.49%-1.17%-0.35%-1.27%-0.53%
Jun 20170.20%-0.06%0.67%-0.01%-1.33%0.32%
Jul 2017-1.19%-0.63%-1.90%-0.01%-1.48%0.14%
Aug 2017-1.02%-0.08%0.18%1.04%0.36%0.28%
Sep 2017-0.30%-0.46%0.52%-2.09%1.25%-0.29%
Oct 2017-2.28%-1.08%-1.21%-1.30%1.55%0.61%
Nov 2017-0.66%-0.19%1.08%0.77%-1.99%-0.08%
Dec 20170.58%0.13%0.94%0.29%0.48%0.29%
Jan 2018-0.41%1.00%-1.86%-1.35%-1.93%0.96%
Feb 2018-0.50%-1.11%-2.44%-0.34%-1.18%-0.95%
Mar 20181.12%1.62%2.04%0.86%-0.88%0.89%
Apr 20180.40%-2.36%-2.24%-2.39%0.21%-1.36%
May 20180.23%0.01%1.48%0.48%1.23%0.13%
Jun 20180.55%-0.07%-1.22%1.11%-1.07%-0.68%
Jul 20181.51%1.40%2.03%0.35%0.62%0.66%
Aug 20181.04%0.06%1.24%0.18%-0.57%-0.41%
Sep 2018-0.28%-0.00%-0.68%-1.39%-2.16%-0.57%
Oct 20183.10%0.99%-0.37%3.13%-0.17%-0.08%
Nov 20181.37%1.43%0.61%3.40%-1.19%1.74%
Dec 2018-1.01%0.21%-0.44%1.37%-4.07%0.16%
Jan 20190.19%1.06%1.07%-0.46%1.26%1.13%
Feb 20190.63%-0.11%-0.00%-0.52%1.15%-0.76%
Mar 2019-1.41%0.41%-0.50%0.55%0.99%0.27%
Apr 20190.03%0.43%0.10%-0.69%0.14%-0.12%
May 20190.77%-0.21%-0.64%3.80%-2.55%-0.79%
Jun 2019-1.31%0.32%1.19%-0.39%-0.91%0.66%
Jul 2019-0.53%-0.80%-0.73%-0.61%1.90%-0.44%
Aug 20191.81%-0.36%0.16%3.05%-0.49%0.24%
Sep 20191.30%0.48%1.13%-0.73%0.56%0.21%
Oct 2019-0.67%-0.22%0.17%-1.37%-1.51%0.13%-0.34%-0.43%
Nov 20190.40%-0.05%0.61%-1.44%1.96%-0.33%0.18%0.39%
Dec 20191.31%0.52%0.96%-1.05%0.67%0.97%-0.83%0.01%
Jan 20202.24%-0.86%-0.24%2.54%-0.81%-1.11%0.33%-0.44%
Feb 20201.08%1.11%1.21%0.94%-0.97%2.24%0.78%1.78%
Mar 2020-3.90%-2.86%-1.47%0.15%-1.32%-2.41%-1.22%-1.46%
Apr 2020-0.46%1.17%1.35%-2.23%1.16%0.80%0.84%2.30%
May 2020-0.78%1.01%-0.49%-2.20%0.50%0.24%0.66%0.16%
Jun 2020-0.32%0.58%0.74%-0.53%-0.80%1.01%-0.09%-0.65%
Jul 2020-0.03%1.72%2.16%0.43%-3.72%1.82%0.56%0.00%
Aug 2020-2.21%-1.70%0.97%-2.02%-1.79%-1.25%-0.51%-1.54%
Sep 2020-0.35%0.33%-0.23%1.01%3.17%0.41%0.15%-0.87%
Oct 20200.95%0.63%-0.63%-0.13%-1.40%1.16%0.18%-0.31%
Nov 2020-2.17%-1.08%0.29%-6.98%-2.90%-1.88%-1.59%-0.81%
Dec 2020-0.41%0.22%0.15%-1.96%0.28%0.85%0.38%0.60%
Jan 20211.90%1.21%1.24%0.87%2.73%1.25%0.02%-0.06%
Feb 2021-0.33%-1.03%-2.42%-3.56%0.99%-0.25%-0.09%-0.43%
Mar 2021-1.24%-0.26%0.31%1.21%1.48%-0.77%-0.25%-0.66%
Apr 2021-0.16%-0.20%-0.33%-0.56%-0.62%-0.60%-0.40%0.04%
May 2021-1.42%0.06%0.01%-0.47%-0.98%-1.61%-0.35%0.05%-0.64%
Jun 2021-0.08%0.65%1.40%-0.55%0.74%1.98%0.87%0.02%-0.41%
Jul 2021-1.56%-0.92%0.39%-1.41%0.54%0.36%-1.65%0.15%-0.33%
Aug 2021-0.23%0.69%0.80%0.78%-0.42%-0.68%0.02%-0.10%0.08%
Sep 2021-1.53%-0.68%-1.70%-0.36%-1.97%-0.60%-0.47%-0.49%-0.67%
Oct 2021-0.14%0.62%-0.32%0.33%0.00%-0.17%0.34%1.09%1.08%
Nov 20210.09%-0.01%-0.07%-0.41%1.10%-0.63%0.03%-0.45%-1.21%
Dec 2021-0.51%-0.10%0.48%-0.16%-0.06%1.31%-0.35%0.22%0.28%
Jan 20224.56%2.21%1.17%1.95%3.85%1.63%1.89%0.98%0.55%
Feb 20220.80%-0.90%0.89%0.30%1.12%-0.63%-0.81%-0.69%0.03%
Mar 20221.31%0.86%0.90%-0.39%0.57%2.54%-0.70%0.27%0.54%
Apr 20220.70%-0.94%-1.39%-0.07%2.40%1.28%-0.10%-0.12%1.18%
May 20221.65%0.15%-1.40%-1.15%-0.73%0.70%0.35%0.89%0.19%
Jun 2022-1.43%0.10%0.24%1.71%3.21%-2.32%1.23%-0.37%-0.19%
Jul 2022-1.98%-0.85%-1.13%-2.26%-3.09%1.60%-1.26%0.23%1.31%
Aug 2022-0.12%0.16%-0.31%-0.22%-0.64%-0.01%0.37%-0.63%-0.79%
Sep 2022-1.60%-0.11%0.04%0.83%-0.48%1.29%-0.39%0.21%1.39%