UCITS-Factor-Analysis

	A	B	C	M	N	O	P	Q	R	S	T	U	V	X	AB	AC	AD	AF	AG	AH	AJ	AK	AL
1
2		Index Level :		Net	0%
3		Currency :	USD	Gross	100%
4
5									Funds			crrltn.			FF5		t-stat	FF6		t-stat	FF6 + BaB		t-stat
6		Date	EUNL	Portfolio	Calc-Returns				EUNL	0%		0.94			Mkt	0.99	88.5	Mkt	1.00	90.6	Mkt	1.00	90.0
7									IS3S	0%		0.90			SmB	0.30	11.3	SmB	0.28	10.6	SmB	0.28	10.1
8	1	Mar 30, 2001	100.00	100.0	100.0	0	0.0	0.0	IS3R	33%		0.86			HmL	0.10	3.7	HmL	0.14	5.0	HmL	0.14	4.7
9	2	Apr 30, 2001	107.42	106.1	100.8	7.417	6.1	0.8	IS3Q	0%		0.89			RmW	0.29	8.7	RmW	0.24	7.1	RmW	0.24	6.6
10	3	May 31, 2001	106.08	107.6	101.6	6.082	7.6	1.6	MinVol	0%		0.80			CmA	0.06	1.5	CmA	0.01	0.3	CmA	0.01	0.3
11	4	Jun 29, 2001	102.77	106.1	102.4	2.774	6.1	2.4	HighDiv	0%		0.86			MoM			MoM	0.06	4.5	MoM	0.06	4.0
12	5	Jul 31, 2001	101.42	104.8	103.3	1.42	4.8	3.3	IFSW	0%		0.96			BaB			BaB			BaB	0.00	0.0
13	6	Aug 31, 2001	96.57	104.0	104.1	-3.428	4.0	4.1	JPGL	33.33%		0.96
14	7	Sep 28, 2001	88.08	93.9	105.0	-11.925	-6.1	5.0	ZPRX	0%		0.82			R²	0.977		R²	0.979		R²	0.979
15	8	Oct 31, 2001	89.77	94.7	105.8	-10.229	-5.3	5.8	ZPRV	0%		0.82			Alpha	0.62%	1.13	Alpha	0.46%	0.88	Alpha	0.47%	0.86
16	9	Nov 30, 2001	95.10	98.2	106.7	-4.904	-1.8	6.7	ZPR(W)	33.33%		0.92			Return	9.74%		Return	9.74%		Return	9.74%
17	10	Dec 31, 2001	95.71	100.6	107.5	-4.295	0.6	7.5	EIMI	0%		0.72
18	11	Jan 31, 2002	92.82	100.0	108.4	-7.184	0.0	8.4		100%
19	12	Feb 28, 2002	92.03	101.3	109.3	-7.973	1.3	9.3	** warning: do not use for factor regression						FF5 - CmA		t-stat	FF6 - CmA		t-stat	FF6 - CmA + BaB		t-stat
20	13	Mar 29, 2002	96.12	106.6	110.2	-3.885	6.6	10.2							Mkt	0.98	97.7	Mkt	1.00	97.0	Mkt	1.00	95.6
21	14	Apr 30, 2002	92.89	107.9	111.1	-7.114	7.9	11.1							SmB	0.29	11.2	SmB	0.27	10.8	SmB	0.27	10.2
22	15	May 31, 2002	93.10	109.7	112.0	-6.899	9.7	12.0	Risk measures						HmL	0.13	6.7	HmL	0.14	7.6	HmL	0.14	7.2
23	16	Jun 28, 2002	87.47	105.0	112.9	-12.529	5.0	12.9	Portfolio	EUNL	RR	P_A	P_B	Portfolio	RmW	0.29	8.7	RmW	0.24	7.1	RmW	0.24	6.6
24	17	Jul 31, 2002	80.11	96.2	113.8	-19.891	-3.8	13.8							MoM			MoM	0.06	4.8	MoM	0.06	4.3
25	18	Aug 30, 2002	80.28	96.3	114.7	-19.724	-3.7	14.7	CAGR	7.2%	8.0%	9.8%	9.9%	10.2%	BaB			BaB			BaB	0.00	0.0
26	19	Sep 30, 2002	71.47	89.4	115.6	-28.535	-10.6	15.6	Std-Dev	15%	16%	19%	16%	15%
27	20	Oct 31, 2002	76.75	90.7	116.6	-23.247	-9.3	16.6							R²	0.977		R²	0.979		R²	0.979
28	21	Nov 29, 2002	80.91	93.5	117.5	-19.092	-6.5	17.5	DrawDown Max	54%	55%	59%	56%	52%	Alpha	0.77%	1.42	Alpha	0.49%	0.93	Alpha	0.49%	0.92
29	22	Dec 31, 2002	77.00	91.3	118.5	-22.997	-8.7	18.5	DrawDown AVG	13%	12%	12%	11%	10%	Return	9.74%		Return	9.74%		Return	9.74%
30	23	Jan 31, 2003	74.68	89.0	119.4	-25.324	-11.0	19.4	Ulcer Index	17%	16%	17%	16%	14%
31	24	Feb 28, 2003	73.40	87.8	120.4	-26.602	-12.2	20.4
32	25	Mar 31, 2003	73.20	88.0	121.4	-26.804	-12.0	21.4	Sharpe	0.39	0.42	0.44	0.53	0.59	AQR4		t-stat	AQR4+QmJ		t-stat	AQR4+QmJ+BaB		t-stat
33	26	Apr 30, 2003	79.73	95.5	122.4	-20.267	-4.5	22.4							Mkt-RF	0.97	77.5	Mkt-RF	1.02	65.6	Mkt-RF	1.02	63.8
34	27	May 30, 2003	84.33	102.4	123.4	-15.671	2.4	23.4	Sterling ratio	0.47	0.58	0.71	0.78	0.93	SmB	0.19	6.4	SmB	0.26	8.3	SmB	0.23	7.1
35	28	Jun 30, 2003	85.82	104.4	124.4	-14.18	4.4	24.4	Martin ratio	0.34	0.41	0.51	0.54	0.62	HmL-Dev	0.17	7.0	HmL-Dev	0.19	8.1	HmL-Dev	0.18	7.5
36	29	Jul 31, 2003	87.58	106.7	125.4	-12.421	6.7	25.4							QmJ			QmJ	0.20	5.4	QmJ	0.18	4.7
37	30	Aug 29, 2003	89.49	110.2	126.4	-10.508	10.2	26.4							UmD	0.17	8.9	UmD	0.15	8.0	UmD	0.13	6.2
38	31	Sep 30, 2003	90.06	112.1	127.4	-9.941	12.1	27.4	0%						BaB			BaB			BaB	0.04	1.9
39	32	Oct 31, 2003	95.42	119.6	128.5	-4.578	19.6	28.5	0%
40	33	Nov 28, 2003	96.90	121.4	129.5	-3.102	21.4	29.5	18%						R²	0.971		R²	0.974		R²	0.975
41	34	Dec 31, 2003	103.00	127.5	130.5	3	27.5	30.5	0%						Alpha	0.90%	1.46	Alpha	-0.55%	0.86	Alpha	-0.67%	1.04
42	35	Jan 30, 2004	104.68	130.1	131.6	4.676	30.1	31.6	0%						Return	9.70%		Return	9.70%		Return	9.70%
43	36	Feb 27, 2004	106.47	133.7	132.7	6.466	33.7	32.7	0%
44	37	Mar 31, 2004	105.80	137.2	133.7	5.801	37.2	33.7	0%
45	38	Apr 30, 2004	103.69	133.0	134.8	3.693	33.0	34.8	32%						Ticker	old (2021)	new (2022)
46	39	May 31, 2004	104.71	134.1	135.9	4.71	34.1	35.9	12%						JPGL	25%	32%
47	40	Jun 30, 2004	106.90	138.8	137.0	6.904	38.8	37.0	24%						ZPRX	10%	12%
48	41	Jul 30, 2004	103.44	134.3	138.1	3.442	34.3	38.1	0%						ZPRV	15%	24%
49	42	Aug 31, 2004	103.94	135.4	139.3	3.938	35.4	39.3	14%						IS3N	10%	14%
50	43	Sep 30, 2004	105.94	140.0	140.4	5.938	40.0	40.4							5MVL	10%	-
51	44	Oct 29, 2004	108.56	143.3	141.5	8.556	43.3	41.5							XDEM	10%	18%
52	45	Nov 30, 2004	114.31	153.5	142.7	14.306	53.5	42.7							CEMR	10%	-
53	46	Dec 31, 2004	118.71	159.0	143.8	18.705	59.0	43.8							WVAL	10%	-
54	47	Jan 31, 2005	116.05	157.4	145.0	16.054	57.4	45.0
55	48	Feb 28, 2005	119.78	165.9	146.2	19.783	65.9	46.2
56	49	Mar 31, 2005	117.51	163.1	147.4	17.508	63.1	47.4
57	50	Apr 29, 2005	115.03	157.7	148.6	15.029	57.7	48.6
58	51	May 31, 2005	117.16	161.6	149.8	17.161	61.6	49.8
59	52	Jun 30, 2005	118.23	166.6	151.0	18.227	66.6	51.0
60	53	Jul 29, 2005	122.38	173.7	152.2	22.383	73.7	52.2
61	54	Aug 31, 2005	123.36	176.9	153.4	23.362	76.9	53.4
62	55	Sep 30, 2005	126.60	182.4	154.7	26.602	82.4	54.7
63	56	Oct 31, 2005	123.56	175.9	155.9	23.556	75.9	55.9
64	57	Nov 30, 2005	127.74	181.7	157.2	27.74	81.7	57.2
65	58	Dec 30, 2005	130.60	189.5	158.5	30.603	89.5	58.5
66	59	Jan 31, 2006	136.46	201.8	159.8	36.46	101.8	59.8
67	60	Feb 28, 2006	136.31	200.4	161.1	36.314	100.4	61.1
68	61	Mar 31, 2006	139.37	207.1	162.4	39.373	107.1	62.4
69	62	Apr 28, 2006	143.68	213.6	163.7	43.679	113.6	63.7
70	63	May 31, 2006	138.90	204.6	165.0	38.9	104.6	65.0
71	64	Jun 30, 2006	138.92	204.0	166.4	38.916	104.0	66.4
72	65	Jul 31, 2006	139.81	202.9	167.7	39.813	102.9	67.7
73	66	Aug 31, 2006	143.51	206.8	169.1	43.514	106.8	69.1
74	67	Sep 29, 2006	145.27	207.8	170.4	45.266	107.8	70.4
75	68	Oct 31, 2006	150.63	217.6	171.8	50.628	117.6	71.8
76	69	Nov 30, 2006	154.40	225.5	173.2	54.395	125.5	73.2
77	70	Dec 29, 2006	157.58	231.1	174.6	57.575	131.1	74.6
78	71	Jan 31, 2007	159.47	235.1	176.0	59.467	135.1	76.0
79	72	Feb 28, 2007	158.70	236.7	177.5	58.702	136.7	77.5
80	73	Mar 30, 2007	161.68	242.8	178.9	61.675	142.8	78.9
81	74	Apr 30, 2007	168.90	251.9	180.4	68.903	151.9	80.4
82	75	May 31, 2007	173.80	259.4	181.8	73.8	159.4	81.8
83	76	Jun 29, 2007	172.52	256.9	183.3	72.521	156.9	83.3
84	77	Jul 31, 2007	168.74	251.3	184.8	68.735	151.3	84.8
85	78	Aug 31, 2007	168.68	248.5	186.3	68.681	148.5	86.3
86	79	Sep 28, 2007	176.76	259.9	187.8	76.76	159.9	87.8
87	80	Oct 31, 2007	182.22	269.2	189.3	82.22	169.2	89.3
88	81	Nov 30, 2007	174.85	255.9	190.9	74.854	155.9	90.9
89	82	Dec 31, 2007	172.65	253.8	192.4	72.648	153.8	92.4
90	83	Jan 31, 2008	159.49	234.0	194.0	59.493	134.0	94.0
91	84	Feb 29, 2008	158.65	234.9	195.5	58.647	134.9	95.5
92	85	Mar 31, 2008	157.21	232.2	197.1	57.205	132.2	97.1
93	86	Apr 30, 2008	165.59	244.0	198.7	65.594	144.0	98.7
94	87	May 30, 2008	168.33	251.1	200.3	68.325	151.1	100.3
95	88	Jun 30, 2008	154.96	234.7	202.0	54.96	134.7	102.0
96	89	Jul 31, 2008	151.21	225.8	203.6	51.213	125.8	103.6
97	90	Aug 29, 2008	149.16	224.2	205.3	49.157	124.2	105.3
98	91	Sep 30, 2008	131.48	193.4	206.9	31.481	93.4	106.9
99	92	Oct 31, 2008	106.59	158.2	208.6	6.586	58.2	108.6
100	93	Nov 28, 2008	99.76	148.8	210.3	-0.24	48.8	110.3