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This file was created by CMPT_ME_BEME_RETS_WEEKLY using the 201701 CRSP database.

The Tbill return is over four


compounds to 1-month TBill rate from Ibbotson and Associates Inc. Group1 Group6 Group7
Mkt-RF SMB HML RF RAYONIER AVALONBAAGREE REALTY
19991231 1.23 3.47 -0.59 0.109 10.6837 34.625 14.25
20000107 -2.49 -0.85 1.76 0.103 10.4211 35.5 13.6875
20000114 2.07 1.91 -1.22 0.103 10.2829 35 14
20000121 0.02 6.96 -2.84 0.103 9.1358 35.25 13.625
20000128 -5.71 0.02 2 0.103 9.2878 34.75 13.75
20000204 4.46 1.51 -3.02 0.108 9.3155 34.5625 13.6875
20000211 -1.45 6.82 -3.65 0.108 8.7211 34.25 14
20000218 -1.89 4.89 -0.63 0.108 8.7903 34.1875 13.75
20000225 0.29 2.62 -1.52 0.108 8.4447 34 14.1875
20000303 6.46 3.12 -2.29 0.117 9.0667 34.25 13.8125
20000310 -0.33 2 0.06 0.117 8.1821 34.4375 13.6875
20000317 1.76 -10.66 3.62 0.117 8.9423 34.8125 13.8125
20000324 3.12 -4.02 0.88 0.117 9.813 35.75 14.0625
20000331 -3.29 -5.09 4.14 0.117 10.7805 36.625 13.0625
20000407 0 -1.38 0.87 0.115 9.9236 37.4375 14.0625
20000414 -13.74 -9.4 9 0.115 10.048 37.875 13.25
20000420 6.13 2.29 -2.92 0.115 9.7301 37.8125 13.875
20000428 2.29 2.18 0.78 0.115 10.3797 39.125 14.1875
20000505 -1.35 1.85 -0.25 0.126 10.3244 40.125 14.75
20000512 -2.05 -4.2 3.57 0.126 9.7716 40.6875 15.625
20000519 -1.5 -1.77 1.36 0.126 9.5504 40.375 15.4375
20000526 -3.05 -2.31 -0.06 0.126 8.8455 39.9375 15.375
20000602 9.26 3.93 -6.33 0.099 8.9423 39.875 15.625
20000609 -0.65 4.55 -1.04 0.099 8.5691 40.9375 15.8125
20000616 -0.17 0.26 -0.76 0.099 8.735 41.625 15.875
20000623 -1.15 1.65 -0.79 0.099 8.1268 41.5625 16.125
20000630 1.2 4.42 -2.6 0.099 7.9333 41.75 16.625
20000707 1.59 -1.55 1.78 0.12 8.4724 43.125 16.4375
20000714 2.77 0.06 -0.94 0.12 8.8594 43.3125 16.8125
20000721 -2.41 0.17 1.45 0.12 8.8732 45.5625 16.5
20000728 -5.4 -2.17 6.1 0.12 8.7903 47.25 16.1875
20000804 3.23 -2.65 1.59 0.126 8.7903 47 15.25
20000811 0.45 -0.27 1.88 0.126 9.3016 46.75 15.25
20000818 1.42 0.31 -1.11 0.126 9.1911 46.3125 14.8125
20000825 1.24 1.3 -2.39 0.126 9.2325 45.25 14.75
20000901 1.91 1.11 -1.41 0.127 9.2325 44.625 14.875
20000908 -2.25 -0.65 3.55 0.127 9.0805 46.4375 15.3125
20000915 -1.88 0.26 1.82 0.127 8.6244 47.1875 15.6875
20000922 -1.11 -0.53 -0.64 0.127 8.3894 47.1875 15.625
20000929 -0.71 -0.7 2.06 0.127 7.9472 47.6875 15
20001006 -3.73 -1.58 3.43 0.14 7.8089 45.875 14.625
20001013 -2.67 -0.14 1.01 0.14 7.4911 44.75 14.4375
20001020 1.94 -0.46 -2.45 0.14 7.2976 45.75 14.375
20001027 -1.73 -0.63 3.27 0.14 7.3252 45.9375 14.25
20001103 4.07 1.36 -1.86 0.127 7.7537 45.6875 14.0625
20001110 -5.48 -1.07 5.34 0.127 7.7122 45.25 14.1875
20001117 -0.39 -0.02 2.08 0.127 7.7398 46.1875 14.5
20001124 -2.63 -0.42 2.09 0.127 7.9057 45.4375 14.1875
20001201 -2.72 -2.13 3.76 0.126 7.8642 46.5625 14
20001208 5.3 -0.83 -1.78 0.126 8.3065 48.25 14.0625
20001215 -4.76 -0.1 3.26 0.126 7.8642 49 14.5
20001222 -1.14 -1.5 4.83 0.126 8.4309 47.75 13.875
20001229 1.53 1.91 1.25 0.126 8.8041 50.125 13.75
20010105 -2.67 1.29 0.51 0.134 8.7626 48.0625 14.5625
20010112 2.59 3.71 -4.03 0.134 8.7764 47.5 15.125
20010119 1.63 0.99 -2.67 0.134 8.9146 47.5 14.9375
20010126 0.97 -0.78 1.75 0.134 9.1358 47 15.8125
20010202 -0.71 0.43 2.8 0.094 9.6262 48 15.99
20010209 -2.73 0.92 3.7 0.094 9.5598 46 15.82
20010216 -0.86 0.49 1.7 0.094 9.5908 46.4 15.99
20010223 -4.57 -0.43 2.5 0.094 8.9716 46.25 15.92
20010302 -1.28 -0.89 3.54 0.104 9.0379 48.89 16.3
20010309 -0.51 -0.96 2.83 0.104 9.3962 48.76 16.7
20010316 -6.91 0.24 2.51 0.104 8.8013 48.66 16.77
20010323 -0.87 0.94 -1.68 0.104 8.578 47.35 16.6
20010330 1.51 -0.04 1.98 0.104 9.133 45.81 17.3
20010406 -3.24 -1.29 1.47 0.098 8.7836 44 16.38
20010412 5.26 -0.05 -3.54 0.098 9.0711 43 16.6
20010420 5.2 -1.28 -3.34 0.098 9.1618 43.58 16.3
20010427 0.68 2.43 1.22 0.098 9.5797 45.36 16.66
20010504 1.58 1.42 -1.27 0.081 9.8362 45.17 16.68
20010511 -1.75 0.92 2.2 0.081 9.719 44.29 17
20010518 3.72 0.05 -0.7 0.081 9.9136 45.58 17.14
20010525 -0.67 1.72 -0.58 0.081 9.7721 46.79 18.22
20010601 -1.55 -0.12 2.49 0.07 10.0618 46.1 18.32
20010608 0.51 1.43 -1.74 0.07 10.137 46.55 19.04
20010615 -4.37 0.5 2.67 0.07 9.9402 46.11 19.4
20010622 0.6 -1.77 0.41 0.07 10.0198 47.15 19.99
20010629 0.86 5.32 -2.41 0.07 10.2719 46.75 19.01
20010706 -3.18 -2.64 2.78 0.075 10.095 47.87 18.74
20010713 1.86 -1.21 1.93 0.075 10.2166 47.6 18.59
20010720 -0.65 0.9 0.23 0.075 10.106 47.2 19.55
20010727 -0.49 -1.05 0.56 0.075 10.0419 47.81 19.7
20010803 0.69 -0.16 0.4 0.077 10.1724 48.99 19.4
20010810 -2.3 -0.47 1.32 0.077 10.2874 49.9 19.65
20010817 -2.25 1.72 1.11 0.077 10.451 50 20.3
20010824 1.7 -0.27 -1.37 0.077 10.5262 51.05 20.18
20010831 -4 1.29 1.41 0.077 10.2829 50.49 19.4
20010907 -4.35 -0.34 1.06 0.069 9.9778 49.19 18.9
20010910 0.32 -1.07 -0.5 0.069 9.7743 48.95 18.89
20010921 -11.95 -2.82 -0.34 0.069 8.2927 44.55 17.3
20010928 7.43 -2.33 1.76 0.069 8.9495 47.75 18.4
20011005 2.92 0.89 -3.58 0.056 9.0247 46.84 18.7
20011012 2.18 1.01 -0.91 0.056 9.3718 47.07 18.95
20011019 -1.54 2.2 -1.66 0.056 9.2016 45.84 18.64
20011026 2.92 1.2 -3.01 0.056 9.8362 45.5 18.98
20011102 -1.68 0.76 1.03 0.044 9.6483 45.39 19.19
20011109 2.79 -1.33 -0.33 0.044 9.8429 46.4 19.5
20011116 1.88 0.23 2.02 0.044 10.1171 47.62 19.24
20011123 1.02 0.75 -0.5 0.044 10.0375 48.15 19.34
20011130 -0.64 1.34 0.94 0.044 10.1127 48.35 19
20011207 2.02 1.69 0.1 0.037 10.1281 49.52 18.75
20011214 -2.87 2.02 0.22 0.037 10.5704 48.35 19
20011221 1.96 -0.03 0.42 0.037 10.5483 47.48 18.79
20011228 1.62 0.49 -0.45 0.037 11.1631 47.33 18.45
20020104 1.05 0.61 0.72 0.035 11.3112 47.47 15.45
20020111 -2.14 0.75 1.49 0.035 11.0901 46.36 15.45
20020118 -1.83 -1.07 0.98 0.035 10.5483 45.34 15.55
20020125 0.58 -0.09 0.62 0.035 10.9662 45.02 15.15
20020201 -0.85 1.57 0.01 0.032 10.8358 45.45 16.15
20020208 -2.34 -0.77 0.9 0.032 10.9353 45.91 16.22
20020215 0.66 0.71 -1.05 0.032 10.9198 45.97 16.37
20020222 -1.41 -0.15 1.61 0.032 11.1719 46.12 16.67
20020301 3.79 -1.95 1.17 0.033 11.4019 46.95 16.86
20020308 3.15 1.15 0 0.033 11.3731 48.96 17.9
20020315 0.09 0.39 0.13 0.033 11.7778 50.1 18.53
20020322 -1.19 2.08 0.51 0.033 11.4903 50.29 18.75
20020328 -0.04 0.92 0.8 0.033 11.7822 49.8 17.7
20020405 -2.15 0.21 1.8 0.038 11.8884 50.2 18.25
20020412 -0.51 3.54 1.53 0.038 12.3174 52.65 18.49
20020419 1.26 -0.33 0.41 0.038 12.5275 49.96 18.66
20020426 -4.13 1.19 0.65 0.038 12.5408 47.41 18.5
20020503 -0.13 1.64 1.27 0.036 12.4589 47.08 18.65
20020510 -1.79 -2.03 0.99 0.036 12.1648 46.1 18.75
20020517 4.65 -0.54 -2.8 0.036 12.3793 46.29 18.41
20020524 -2.2 -1.44 1.74 0.036 11.895 46.51 18.33
20020531 -1.47 0.57 -0.02 0.036 11.6142 47.36 18.55
20020607 -3.51 -0.37 1.18 0.032 11.0989 47.3 19.1
20020614 -2.11 0.76 -1.39 0.032 11.068 46.1 19.2
20020621 -1.77 1.97 1.4 0.032 11.4439 46.91 19.99
20020628 0.01 1.89 -0.74 0.032 10.8645 46.7 19.2
20020705 -0.75 -3.28 -0.52 0.039 10.9464 45.7 19.49
20020712 -6.47 1.08 0.08 0.039 10.7318 44 19.09
20020719 -7.25 1.32 -0.56 0.039 10.1679 42.2 18.35
20020726 0.11 -0.98 -2.67 0.039 10.2453 42.35 17.95
20020802 1.22 -2.99 0.2 0.035 10.6191 44.25 18.79
20020809 4.8 -2.06 -0.93 0.035 11.1011 44.35 18.9
20020816 2.33 -0.85 0.04 0.035 10.8889 45 19.54
20020823 1.22 -0.19 0.88 0.035 11.0901 44.32 19.89
20020830 -2.58 -0.63 2.06 0.035 10.7694 45.25 19.81
20020906 -2.04 1.67 0.74 0.036 10.2277 44.95 19.8
20020913 -0.47 0.38 -0.09 0.036 10.064 44.55 19.55
20020920 -5.05 -0.68 1.03 0.036 9.6571 43.5 19.31
20020927 -1.92 0.01 0.04 0.036 9.3718 41.8 18.57
20021004 -3.48 0.92 -0.93 0.034 8.6023 40.64 17.4
20021011 3.8 -4.1 -3.34 0.034 8.7681 38.73 16.8
20021018 5.8 -0.02 -1.95 0.034 9.3984 38.15 16.8
20021025 1.51 0.11 1.29 0.034 9.2989 37.93 16.97
20021101 0.63 2.62 -1.16 0.029 9.2259 38.05 17
20021108 -0.79 0.08 0.11 0.029 9.0025 38.79 17.01
20021115 1.77 0.02 -1.04 0.029 9.2436 38.55 16.89
20021122 2.36 0.96 -0.45 0.029 9.865 39.8 16.9
20021129 0.72 0.9 1.09 0.029 10.2299 39.6 16.97
20021206 -2.51 0.55 0.19 0.028 9.761 39.65 17.02
20021213 -2.39 0.03 1.19 0.028 9.5753 38.81 17.8
20021220 0.59 -1.15 0.2 0.028 9.8915 38.2 16.85
20021227 -2 1.35 0.07 0.028 9.8318 38.6 16.9
20030103 3.5 -2.16 0.43 0.024 10.2033 39.96 17.15
20030110 2.06 -0.24 -0.38 0.024 10.179 39.18 17.45
20030117 -2.63 0.74 1.49 0.024 9.9247 37.34 17.04
20030124 -4.23 1.56 -0.91 0.024 9.4868 36.5 17.25
20030131 -0.66 0.58 -0.78 0.024 9.3718 36.8 17.59
20030207 -3.12 0.14 -0.34 0.022 9.3586 36.15 17.7
20030214 0.35 -0.26 -1.01 0.022 9.1109 35.8 17.78
20030221 1.73 0.05 -0.29 0.022 9.4116 36.81 18.14
20030228 -0.78 -0.25 0.17 0.022 9.4028 36.71 17.9
20030307 -1.42 -0.24 -0.19 0.025 9.1883 35.87 17.95
20030314 0.58 0.01 -1.46 0.025 9.2701 35.75 18.68
20030321 7.21 -1.54 -0.77 0.025 10.1724 37.9 19.9
20030328 -3.29 1.87 0.03 0.025 9.7721 36.88 19.78
20030404 1.68 -0.16 0.29 0.024 10.0795 37.95 19.37
20030411 -1.14 0.37 1.18 0.024 10.3382 37.55 20
20030417 2.92 0.2 -0.26 0.024 10.3183 39.1 20
20030425 0.7 0.47 0.33 0.024 10.7849 39.6 20.45
20030502 3.7 1.48 -0.82 0.022 11.0436 40.19 20.99
20030509 0.53 1.25 0.21 0.022 11.2781 40.91 21.74
20030516 1.22 -1.08 1.1 0.022 11.1542 42.61 23.41
20030523 -0.81 0.81 0.59 0.022 11.1653 43 22.88
20030530 3.48 2.57 -1.24 0.022 11.4174 41.93 23.05
20030606 2.57 0.62 -0.93 0.025 11.581 44.3 24.4
20030613 0.07 -0.46 1.05 0.025 11.56 43.31 24.7
20030620 0.65 -0.03 -0.01 0.025 11.3941 42.19 25.56
20030627 -1.65 1.52 0 0.025 11.2316 43 25
20030703 1.11 1.04 0.1 0.017 11.0591 44.5 24.03
20030711 1.65 2.29 0.14 0.017 11.1354 43.52 22.87
20030718 -0.7 -0.86 -0.47 0.017 11.2515 42.7 23.32
20030725 0.56 0.66 -0.85 0.017 11.8088 44.53 23.8
20030801 -1.52 1.54 0.1 0.017 11.4638 47.2 24.82
20030808 -0.7 -2.23 -0.14 0.017 11.5401 47.24 24.55
20030815 1.74 2.22 0.4 0.017 11.623 46.01 23.87
20030822 0.71 2.15 1.3 0.017 12.9366 45.69 24.5
20030829 1.66 0.83 0.49 0.017 13.1456 46.4 24.25
20030905 1.42 1.16 0.2 0.021 13.1721 47 24.88
20030912 -0.26 1.12 -0.72 0.021 13.1688 46.93 24.97
20030919 1.8 0.45 0.44 0.021 13.6299 47.44 24.98
20030926 -4.13 -2.27 0 0.021 13.3545 46.94 24.65
20031003 3.55 1.65 0.37 0.018 13.6431 47.4 24.7
20031010 0.99 0.33 1.47 0.018 13.8521 48.07 25.26
20031017 0.12 0.6 0.31 0.018 14.0312 46.5 25.86
20031024 -1.09 -1.22 -0.85 0.018 13.6133 45.1 26.02
20031031 2.45 1.77 0.67 0.018 13.9483 45.67 25.8
20031107 0.68 2.11 1.11 0.018 13.9782 46.83 26.03
20031114 -0.44 -1.11 -0.69 0.018 12.1836 47.45 26.24
20031121 -1.4 -0.14 0.49 0.018 11.832 46.5 26.27
20031128 2.54 1.18 0.83 0.018 12.2997 47.8 26.45
20031205 -0.03 -1.15 0.13 0.02 12.4788 48.12 27.2
20031212 1.04 -0.04 0.77 0.02 12.6049 49.4 28.5
20031219 1.12 -1.61 0.7 0.02 13.2351 49.21 28
20031226 0.73 0.68 0.55 0.02 13.4706 48.95 28.14
20040102 1.17 0.07 0.61 0.017 13.7924 47.33 28.2
20040109 1.46 1.4 1.03 0.017 13.265 48.15 27.85
20040116 1.73 1.14 0.8 0.017 13.4408 47.4 28.24
20040123 0.32 0.37 0.8 0.017 13.6265 47.71 28.55
20040130 -1.19 -1.18 -1.24 0.017 13.1024 49.1 29.54
20040206 0.91 -0.64 -0.34 0.016 13.6232 50.6 29.89
20040213 0.47 -0.26 0.24 0.016 13.7227 50.26 30.55
20040220 -0.27 -0.75 0.22 0.016 13.9218 50.45 30.52
20040227 0.29 0.32 0.48 0.016 14.2833 50.38 29.94
20040305 1.25 0.84 0.33 0.022 14.7875 53.5 31.69
20040312 -3.07 0.29 -0.43 0.022 14.1573 52.58 31.5
20040319 -1.12 -1.18 0.5 0.022 14.3629 54.46 32.73
20040326 -0.13 0.65 -0.21 0.022 14.0478 53.1 32.3
20040402 3.4 2.31 0.32 0.02 14.4061 53.99 32.22
20040408 -0.15 -0.05 -0.15 0.02 13.4972 51.4 27.8
20040416 -0.8 -0.88 -1.31 0.02 13.6 51.1 25.83
20040423 0.75 0.49 -0.15 0.02 13.4109 50.25 24.81
20040430 -3.15 -2.55 -0.99 0.02 12.9366 49.63 24.5
20040507 -0.98 -0.74 -1.24 0.015 12.9499 50.01 23.85
20040514 -0.49 -0.8 -0.39 0.015 13.1588 51.16 23.05
20040521 -0.11 0.27 0.6 0.015 13.255 52.45 24.43
20040528 2.79 1.15 0.73 0.015 13.9317 54.45 24.3
20040604 0.11 -0.14 -0.19 0.021 14.1904 54.04 24.27
20040610 0.94 -0.78 0.7 0.021 14.2037 54.63 24.52
20040618 -0.15 0.4 0.09 0.021 14.3629 55.9 24.99
20040625 0.39 2.14 0.72 0.021 14.5951 57.5 26.35
20040702 -0.82 0.17 1.25 0.024 14.9136 57.25 25.01
20040709 -1.43 -2.01 1.32 0.024 14.9003 57.53 25.18
20040716 -1.09 -0.92 1.79 0.024 15.0894 57.9 26.17
20040723 -1.66 -1.5 0.8 0.024 14.4492 56.88 25.2
20040730 1.43 0.76 -0.69 0.024 14.5885 58.2 24.89
20040806 -3.77 -2.35 2.27 0.028 14.7577 58.7 25.95
20040813 0.03 -0.59 0.1 0.028 14.6117 58.88 25.84
20040820 3.5 1.98 -1.4 0.028 15.3315 61.1 26.91
20040827 0.83 -0.1 -0.48 0.028 15.3315 59.99 27.4
20040903 0.55 0.1 0.4 0.029 15.5869 61.06 27.7
20040910 1.11 1.36 -0.98 0.029 15.1259 60.75 28.03
20040917 0.53 0.06 0 0.029 14.6084 60.7 28.6
20040924 -1.45 0.26 0.81 0.029 14.7975 59.25 29.04
20041001 1.96 1.39 -0.16 0.028 15.0761 61.4 28.14
20041008 -0.9 -0.82 0.97 0.028 15.3249 62.71 27.9
20041015 -1.22 0.15 -0.78 0.028 15.3149 64.1 28.6
20041022 -0.93 0.89 -0.91 0.028 15.4178 65.51 27.86
20041029 3.06 -0.46 0.27 0.028 15.7229 65.47 28.74
20041105 3.2 0.3 -0.08 0.039 15.5571 67.15 28.56
20041112 1.66 0.97 0.08 0.039 15.6068 70.46 28.88
20041119 -1.03 0.14 0.65 0.039 15.4012 69.15 29.6
20041126 1.25 1.26 1.18 0.039 15.8822 71.05 30.22
20041203 0.86 1.05 -1.26 0.041 16.0049 74.06 30.6
20041210 -0.42 -1.16 0.2 0.041 15.7594 73.43 30.88
20041217 0.8 0.9 0.99 0.041 15.922 73.83 31.65
20041223 1.26 -0.12 0 0.041 16.2139 74.25 31.77
20041231 0.29 0.49 -0.08 0.041 16.2238 75.3 31.69
20050107 -2.64 -3.19 0.5 0.041 15.4244 71.05 29.41
20050114 0 0.53 0.61 0.041 15.0761 68.85 28.6
20050121 -1.33 0.23 0.49 0.041 15.1922 69.63 29.1
20050128 0.25 0.22 0.19 0.041 14.7743 66.8 28.85
20050204 2.9 0.92 0.43 0.041 15.1723 69.32 29.65
20050211 0.08 -0.69 0.27 0.041 15.242 69.95 29.66
20050218 -0.33 -0.33 0.71 0.041 15.4509 71.12 29.01
20050225 0.84 0.18 0.23 0.041 16.1077 69.12 27.3
20050304 0.84 0.26 1.02 0.053 16.5058 70.51 28.12
20050311 -1.77 -1.02 0.15 0.053 16.1342 67.76 28
20050318 -0.86 -0.07 0.97 0.053 16.5456 67.6 28.1
20050324 -1.41 0.57 -0.9 0.053 16.1641 66.47 27.06
20050401 -0.02 -1 0.89 0.051 16.4328 66.68 26.7
20050408 0.59 -0.64 -0.18 0.051 16.5522 67.25 27.01
20050415 -3.41 -1.38 -0.85 0.051 16.2437 68.39 26.54
20050422 0.7 0.38 0.23 0.051 16.2702 70.05 27.26
20050429 0.17 -2.42 -0.05 0.051 16.6716 72 27.16
20050506 1.53 1.36 -0.1 0.06 16.6318 72.74 27.16
20050513 -1.55 -0.5 -1.59 0.06 16.5787 73.78 27.85
20050520 3.2 1.11 0.04 0.06 17.9023 76.57 28.48
20050527 0.95 0.42 0.53 0.06 17.5307 74.84 28.71
20050603 -0.04 0.56 0.57 0.057 17.8425 75.9 28.72
20050610 0.2 0.54 1.04 0.057 17.6634 79.12 28.75
20050617 1.64 0.9 0.67 0.057 17.9785 81.52 29.95
20050624 -1.99 -0.44 0.25 0.057 17.6601 79.52 30.12
20050701 0.58 1.53 0.48 0.059 17.7464 80.86 30.21
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20110121 -1.25 -3.15 0.31 0.002 28.2814 112.83 23.54
20110128 -0.38 0.68 -0.19 0.002 29.2815 113.78 23.5
20110204 2.77 0.44 -0.8 0.003 29.8238 113.8 23.03
20110211 1.67 1.03 0.7 0.003 30.7144 116 22.75
20110218 1.08 0.41 0.58 0.003 30.8239 116.07 25.67
20110225 -1.73 0.01 -0.07 0.003 30.197 118.11 25.21
20110304 0.19 0.3 -0.61 0.002 30.202 115.03 24.3
20110311 -1.43 -1.55 0.95 0.002 29.8935 117.65 23.61
20110318 -1.81 0.79 0.11 0.002 29.8039 117.45 22.67
20110325 2.94 1.39 -1.12 0.002 30.2268 117.4 22.68
20110401 1.59 1.19 -0.4 0.001 31.4658 120.86 22.59
20110408 -0.3 -0.27 -0.16 0.001 30.7543 118.01 22.04
20110415 -0.69 -0.16 -1.19 0.001 30.2517 121.1 23.32
20110421 1.36 0.17 -1.19 0.001 30.9583 122.99 23.31
20110429 2.01 0.12 -0.31 0.001 33.0182 126.61 23.39
20110506 -1.88 -1.89 -0.37 0 32.3564 126.09 23.09
20110513 -0.06 0.58 -1.46 0 32.9634 126.93 23.07
20110520 -0.37 -0.71 0 0 33.247 127.1 22.52
20110527 0.03 1.01 -0.26 0 32.3564 130 22.48
20110603 -2.49 -0.93 -0.04 0.001 32.7992 131.24 21.03
20110610 -2.38 -0.98 0.04 0.001 31.0229 130 20.8
20110617 0.01 0.01 0.9 0.001 31.0528 129.08 21.75
20110624 0.22 2.34 -1.13 0.001 31.3513 127.5 22.57
20110701 5.58 -0.42 -0.37 -0.001 33.1475 132.56 22.23
20110708 0.52 1.13 -1.72 -0.001 33.6302 137.33 23.01
20110715 -2.15 -0.29 -0.25 -0.001 32.8341 132.71 23.04
20110722 2.06 -0.77 -0.03 -0.001 33.1973 139.51 22.92
20110729 -4.11 -1.28 0.63 -0.001 32.0678 134.19 22.71
20110805 -7.74 -2.27 -0.04 0.002 28.8884 121.46 20.91
20110812 -1.59 -1.09 -3.42 0.002 29.0874 129.3 20.82
20110819 -5.05 -1.6 1.81 0.002 28.7441 125.5 20.99
20110826 5.01 1.15 -1.22 0.002 30.1522 130.59 21.3
20110902 -0.21 -0.88 -1.16 0 29.7417 134.36 20.9
20110909 -1.56 0.41 -0.26 0 29.794 132.32 20.33
20110916 5.47 0.27 -0.34 0 30.3686 130.18 21.5
20110923 -6.77 -1.56 -1.6 0 28.0177 117.35 22.21
20110930 -0.62 -0.93 2.45 0 27.4579 114.05 21.78
20111007 2.27 0.23 -1.63 0 27.8236 115.97 22.11
20111014 6.28 2.19 -0.29 0 29.6148 121.83 22
20111021 0.95 -1.74 2.24 0 30.4582 124.45 22.47
20111028 4.09 2.46 0.34 0 31.5404 133.09 23.87
20111104 -2.28 0.84 -1.73 0 31.3687 130.32 24.29
20111111 0.61 -1.04 0.54 0 31.1971 129.32 24.7
20111118 -3.69 0.44 -0.09 0 30.2865 123.24 23.96
20111125 -4.86 -2.39 -0.4 0 28.5476 118.1 23.32
20111202 7.68 2.2 0.53 0 30.3388 124.01 24.18
20111209 0.86 0.45 0.1 0 30.9732 125.64 24.5
20111216 -2.88 -0.4 0.61 0 31.1896 128.96 24.42
20111223 3.66 -0.51 1.48 0 32.8391 131.95 24.8
20111230 -0.62 -0.18 -0.46 0 33.3092 130.6 24.38
20120106 1.7 -0.58 0.85 0 33.6152 128.2 24.45
20120113 1.18 0.87 0.16 0 34.1227 126.49 24.68
20120120 2.13 0.6 -0.17 0 35.2422 127.82 25.66
20120127 0.33 1.81 -1.71 0 34.1526 135.42 24.73
20120203 2.5 1.62 0.39 0.001 34.1078 139.82 25.4
20120210 -0.23 -1.61 -0.38 0.001 33.354 134.45 24.95
20120217 1.6 0.33 0.36 0.001 33.3689 134.03 25.08
20120224 0.26 -0.56 -1.02 0.001 33.2719 133 24.91
20120302 0.05 -3.36 0.43 0.001 33.0928 132.22 23.51
20120309 0.32 1.66 0.08 0.001 33.6152 137.8 23.53
20120316 2.29 -0.75 1.53 0.001 33.3689 138.48 23.16
20120323 -0.44 0.62 -0.32 0.001 33.0331 137.09 23
20120330 0.74 -0.66 -0.39 0.001 32.9062 141.35 22.58
20120405 -0.71 -0.64 -0.68 0.001 32.3763 139.72 22.59
20120413 -2.05 -0.19 -0.13 0.001 32.1002 140.15 22.12
20120420 0.56 0.18 0.42 0.001 32.9286 144.83 22.22
20120427 1.87 0.67 -0.07 0.001 33.966 146.06 23.01
20120504 -2.68 -1.59 0.14 0.002 33.8317 145.43 22.28
20120511 -0.99 0.82 0.2 0.002 33.1152 146.9 22.36
20120518 -4.47 -0.48 -0.13 0.002 31.4061 136.92 21.44
20120525 1.95 0.51 -1.06 0.002 31.9285 139.84 21
20120601 -3.15 -0.5 0.5 0.001 31.4807 137.01 21
20120608 3.73 0.16 -0.17 0.001 32.3763 141.66 21.86
20120615 1.07 -1.04 0.66 0.001 32.4509 140.7 21.9
20120622 -0.35 1.17 -0.19 0.001 32.6301 137.36 21.78
20120629 2.1 0.89 0.03 0.001 33.5107 141.48 22.13
20120706 -0.26 1.55 -0.47 0.001 34.078 144.59 22.55
20120713 -0.05 -1.18 0.53 0.001 34.5034 149.05 23.09
20120720 0.26 -1.32 -1.63 0.001 35.2348 148.07 23.58
20120727 1.45 -1.26 0.85 0.001 35.6005 145.51 23.57
20120803 0.17 -1.25 0.99 0.001 35.705 144.72 23.72
20120810 1.37 0.71 0.88 0.001 35.0258 140.34 24.05
20120817 1.13 1.2 -0.18 0.001 35.8319 141.76 24.09
20120824 -0.55 -1.05 0.22 0.001 36.1155 144.18 24.25
20120831 -0.18 0.42 -0.09 0.001 36.5633 141.52 24.82
20120907 2.55 0.81 1.31 0.002 37.6903 144.36 24.91
20120914 2.09 0.62 1.85 0.002 38.3918 141.33 25.41
20120921 -0.48 -0.26 -1.14 0.002 37.3843 138.81 25.6
20120928 -1.41 -0.67 -0.38 0.002 36.5782 135.99 25.49
20121005 1.46 -1.11 1.47 0.002 36.2125 136.21 26.45
20121012 -2.21 -0.11 0.56 0.002 35.5856 132.29 26.04
20121019 0.26 -1.23 1.73 0.002 36.6976 136.91 25.85
20121026 -1.37 0.81 -0.38 0.002 36.4737 133.07 25.42
20121102 0.27 0.1 0.81 0.002 36.6827 137.72 25.51
20121109 -2.33 0.07 -0.8 0.002 36.3394 131.93 25.25
20121116 -1.46 -1.07 -0.27 0.002 35.9811 128.87 25.31
20121123 3.72 0.42 0.15 0.002 36.8096 128.54 25.8
20121130 0.83 1.55 -0.36 0.002 37.1977 131.79 26.22
20121207 0.13 -0.61 1.32 0.003 37.653 133.68 26.17
20121214 -0.14 0.55 0.82 0.003 36.7946 132.6 25.85
20121221 1.4 1.07 1.29 0.003 38.1455 136.65 26.54
20121228 -1.88 0.09 0.14 0.003 38.0186 133.98 26.55
20130104 4.8 0.85 0.83 0 39.7203 136.37 27.01
20130111 0.44 -0.32 -0.77 0 40.3025 136.16 28.63
20130118 0.98 0.49 -0.07 0 41.0488 138.56 28.25
20130125 1.27 0.09 0.08 0 40.504 138.42 28.53
20130201 0.73 -0.17 1.07 0.001 40.3025 126.11 28.25
20130208 0.45 0.01 -0.01 0.001 40.6906 128.84 28.52
20130215 0.23 0.64 1.18 0.001 41.1981 130.26 28.15
20130222 -0.36 -0.49 -0.6 0.001 41.0488 128.83 28.45
20130301 0.2 -0.55 -1.04 0.001 41.7952 126.21 28.43
20130308 2.47 0.51 0.72 0.001 43.0117 124.08 28.57
20130315 0.67 0.32 0.96 0.001 42.8102 128.37 28.68
20130322 -0.21 0.05 -0.77 0.001 43.5192 126.83 27.94
20130328 0.85 -0.19 -0.78 0.001 44.5342 126.67 30.1
20130405 -1.39 -1.99 0.07 0.001 43.3102 133.44 29.97
20130412 2.38 0.03 -0.22 0.001 44.0267 135.57 30.28
20130419 -2.24 -1.41 -0.61 0.001 43.2505 133.07 29.45
20130426 1.92 0.53 1.49 0.001 43.6983 130.22 30.6
20130503 2.05 0.3 -0.13 0 44.0043 129.79 30.35
20130510 1.44 0.71 0.57 0 44.0342 133.29 31.56
20130517 2.14 -0.09 0.61 0 45.0119 138.69 32.86
20130524 -1.07 0.15 0.22 0 43.3998 138.58 33.47
20130531 -0.76 1.09 1.04 0 41.3473 132.66 33.33
20130607 0.73 -0.43 -0.22 0 40.8921 134.48 31.52
20130614 -0.93 0.52 -0.57 0 40.0711 134.59 31.13
20130621 -2.08 0.59 0.37 0 39.071 131.69 29.81
20130628 1.11 0.5 0.28 0 41.3399 134.91 29.52
20130705 1.84 1.42 0.17 0 41.0115 135.01 29.11
20130712 3.02 0.08 -0.53 0 42.4295 140.45 30.76
20130719 0.72 0.4 1.86 0 43.4893 140.36 31.51
20130726 0.12 -0.16 -0.21 0 44.0566 138.98 32.31
20130802 1.44 -0.11 -0.99 0 43.8625 133.95 29.27
20130809 -0.98 -0.05 -0.47 0 43.4222 133.12 29.72
20130816 -2.04 0.1 0.4 0 41.0339 122.79 27.9
20130823 0.61 0.9 -1.19 0 42.0116 126.23 27.62
20130830 -1.87 -0.53 -1.31 0 41.2279 123.9 27.1
20130906 1.49 0.26 0.32 0 41.1309 125.59 26.94
20130913 2.16 0.27 -0.34 0 41.422 129.19 28.28
20130920 1.36 0.57 -0.61 0 42.2504 133.04 29.75
20130927 -0.77 1.2 -0.57 0 41.6459 129.3 29.93
20131004 0.17 0.35 0.18 0.001 41.213 124.91 29.99
20131011 0.55 -0.27 1.37 0.001 42.6236 128.96 30.94
20131018 2.51 0.2 -0.02 0.001 43.4819 132.64 31.22
20131025 0.72 -0.17 -0.36 0.001 35.0631 131.47 31.9
20131101 -0.12 -1.73 0.17 0.001 34.6601 125.71 31.9
20131108 0.47 0.09 0.71 0.001 33.5555 121.84 31.82
20131115 1.71 -0.02 -0.94 0.001 32.6301 120.22 31.47
20131122 0.36 0.18 0.82 0.001 33.1749 117.56 29.13
20131129 0.35 1.64 -0.55 0.001 32.9211 118.56 29.3
20131206 -0.07 -0.84 -0.12 0.001 32.8913 121.7 28.28
20131213 -1.46 -0.69 0.44 0.001 31.5031 119.24 27.96
20131220 2.56 1.05 -0.37 0.001 31.8539 118.76 28.47
20131227 1.35 0.22 -0.01 0.001 31.8165 118.91 28.63
20140103 -0.42 -0.06 -0.08 0.001 32.0554 119.76 29.08
20140110 0.67 0.51 -1.43 0.001 31.3464 121.8 28.65
20140117 -0.12 0.64 -0.7 0.001 31.2792 121.88 28.76
20140124 -2.6 0.48 -0.09 0.001 30.7343 119.52 29.07
20140131 -0.44 -0.82 -0.16 0.001 33.0331 123.5 28.59
20140207 0.56 -2.19 0.03 0.001 32.8764 127.81 28.57
20140214 2.53 0.56 -0.01 0.001 33.3242 128.99 29.72
20140221 0.14 1.56 -0.8 0.001 34.3168 128.66 30.57
20140228 1.37 0.45 0.4 0.001 35.1452 128.97 30.74
20140307 1.17 0.49 1.6 0.001 34.8467 128.22 30.67
20140314 -1.94 0.2 -0.08 0.001 33.7944 129.75 30.99
20140321 1.28 -0.55 2.06 0.001 33.1376 129.84 31.5
20140328 -1.01 -2.91 1.6 0.001 33.7496 130.13 30.15
20140404 0.33 -0.29 1.09 0 33.9212 133.43 30.74
20140411 -2.87 -0.78 -0.01 0 32.4286 132.25 29.72
20140417 2.68 -0.51 0.17 0 33.257 133.64 29.76
20140425 -0.34 -1.07 0.54 0 34.175 135.33 29.87
20140502 0.99 -0.56 -0.64 0 33.5854 137.07 29.65
20140509 -0.47 -1.96 0.69 0 34.1899 139.33 30.47
20140516 0 -0.21 -1.2 0 33.66 140.63 29.69
20140523 1.39 0.81 -0.21 0 34.0929 140.06 30.49
20140530 1.18 -0.5 0.23 0 35.5259 141.84 30.84
20140606 1.6 1.05 0.31 0.001 36.3543 142.56 31.01
20140613 -0.52 0.7 -0.58 0.001 35.5408 140.02 30.01
20140620 1.51 0.74 -0.28 0.001 35.4811 141.3 30.61
20140627 -0.06 0.18 -0.25 0.001 36.22 142.35 30.24
20140703 1.38 0.52 -0.3 0 35.49 142.03 30.52
20140711 -1.35 -3.05 0.58 0 35.12 143.86 30.33
20140718 0.37 -1.43 0.87 0 35.1 147.32 30.69
20140725 -0.01 -0.48 -0.83 0 35.08 147.98 29.9
20140801 -2.63 0.26 -0.27 0 33.31 148.68 29.02
20140808 0.51 0.97 -0.58 0 33.83 149.8 29.41
20140815 1.31 -0.46 -0.36 0 33.59 150.96 29.94
20140822 1.79 0.01 0.4 0 33.99 153.63 29.84
20140829 0.89 0.13 0.01 0 34.27 154.1 29.53
20140905 0.18 -0.49 -0.02 0 34.48 155.86 29.75
20140912 -0.86 0.55 -0.49 0 32.56 144.97 28.38
20140919 0.9 -2.33 0.41 0 31.9 145 28.27
20140926 -1.58 -0.76 -0.89 0 30.94 141.03 27.59
20141003 -0.79 -0.39 -0.7 0 31.07 142.69 27.09
20141010 -3.59 -1.4 0.59 0 31.9 146.25 28.5
20141017 -0.51 3.58 -0.87 0 32.5 149.37 28.79
20141024 4.06 -0.74 -0.67 0 32.76 151.23 29.53
20141031 2.87 2.29 -0.13 0 33.47 155.84 30.61
20141107 0.69 -0.74 0.66 0 33.9 157.3 30.6
20141114 0.54 -0.08 -1.25 0 26.09 156.75 30.3
20141121 1.05 -1.39 -0.24 0 26.94 157.43 30.19
20141128 0.26 0.15 -2.02 0 27.28 160.79 30.81
20141205 0.29 0.16 1.36 0 27.03 160.62 30.42
20141212 -3.44 0.89 -0.85 0 26.83 162.96 30.93
20141219 3.47 0.14 0.56 0 27.82 165.6 31.1
20141226 1.03 0.64 0.54 0 28.46 167.44 31.44
20150102 -1.38 0.1 0.56 0 28.15 165.81 31.46
20150109 -0.78 -0.36 -2.31 0 28.57 173.28 32.27
20150116 -1.32 0.43 -0.3 0 28.7 179.08 33.74
20150123 1.64 -0.69 -0.42 0 29.25 178.9 35.45
20150130 -2.5 0.6 -0.55 0 29.35 172.99 34.64
20150206 3.32 0.19 1.55 0 29.61 169.16 33.77
20150213 2.1 -0.45 -1.29 0 28.02 170.82 33.36
20150220 0.8 0.15 -1.41 0 27.14 171 32.67
20150227 -0.19 0.65 -0.46 0 27.41 168.34 32.83
20150306 -1.36 0.59 -0.53 0 27.03 164.64 31.66
20150313 -0.61 1.68 0.5 0 26.35 170.68 32.51
20150320 2.59 0.03 -1.02 0 27.44 179.83 34.17
20150327 -2.16 0.4 0.24 0 27 174.12 32.6
20150402 0.45 0.7 1.06 0.001 26.45 174.74 33.23
20150410 1.67 -0.71 -1.35 0.001 26.35 168.31 32.65
20150417 -1.02 0 0.72 0.001 26.35 168.31 31.85
20150424 1.77 -0.22 -1.35 0.001 26.12 171.27 31.65
20150501 -0.77 -2.61 2.41 0 25.86 167.63 31.07
20150508 0.41 -0.04 0.1 0 26.15 168.51 31.01
20150515 0.41 0.32 -0.47 0 26.03 168.45 31.15
20150522 0.32 0.43 -0.11 0 25.26 166.24 30.65
20150529 -0.79 0.44 -0.15 0 25.82 166.5 30.31
20150605 -0.29 1.83 -0.11 0 25.34 161.05 30.05
20150612 0.11 0.09 0.58 0 24.98 162.54 29.96
20150619 0.83 0.71 -1.37 0 26.05 165.86 30.45
20150626 -0.35 0.35 0.63 0 25.82 161.92 29.51
20150702 -1.33 -1.56 -0.7 0 25.96 163.98 29.6
20150710 -0.02 0.12 -1.33 0 25.89 167.3 30.51
20150717 2.27 -1.44 -1.71 0 25.53 169.21 31.12
20150724 -2.33 -1.44 -0.42 0 24.28 169.27 30.39
20150731 1.19 0.04 -0.81 0 24.6 172.34 30.99
20150807 -1.36 -1.21 0.89 0.001 23.04 173.85 30.5
20150814 0.69 -0.31 1.26 0.001 23.88 177.12 30.32
20150821 -5.69 1.23 0.02 0.001 22.86 173.44 29.63
20150828 1.07 0.02 -0.76 0.001 23.26 168.71 28.8
20150904 -3.08 1.45 0.13 0 23.02 160.53 27.96
20150911 2.09 -0.43 -1.52 0 22.7 165.77 28.56
20150918 -0.15 1.18 -1.78 0 22.75 170.83 29.37
20150925 -1.77 -2.71 3.69 0 22.3 170.65 30.25
20151002 0.73 -1.55 0.59 0 22.66 175.8 29.81
20151009 3.44 1.52 2.02 0 22.98 178.94 30.68
20151016 0.62 -1.24 0.08 0 22.87 183.42 30.75
20151023 1.7 -1.53 0.25 0 23.1 182.85 32.25
20151030 0.17 -0.44 -1.46 0 22.65 174.83 32.38
20151106 1.38 2.61 0.51 0.001 24.15 172.95 32.7
20151113 -3.72 -0.89 -0.06 0.001 23.19 172.64 32.3
20151120 3.14 -0.51 -0.86 0.001 24.16 180.02 33.16
20151127 0.38 2.43 -0.92 0.001 24.38 182.35 33.68
20151204 -0.19 -1.51 0.2 0.003 23.54 182.11 33.37
20151211 -3.93 -0.86 -1.63 0.003 22.7 174.92 32.93
20151218 -0.35 0.16 -0.76 0.003 21.98 178.21 32.84
20151224 2.83 0.22 0.98 0.003 22.79 182.73 33.68
20151231 -0.9 -0.78 -0.57 0.003 22.2 184.13 33.99
20160108 -6.22 -1.76 0.56 0.002 20.51 179.42 32.89
20160115 -2.55 -1.33 -0.13 0.002 19.62 175.7 32.53
20160122 1.38 0.24 -1.51 0.002 19.25 174.33 34.47
20160129 1.71 -0.67 3.78 0.002 21.09 171.49 36.92
20160205 -3.36 -1.36 1.22 0.005 20.21 166.27 36.89
20160212 -0.82 -0.5 -0.39 0.005 19.08 164.42 36.67
20160219 3.09 0.96 -1.67 0.005 21.1 170.11 37.38
20160226 1.84 1.28 -0.06 0.005 21.83 171.42 37.01
20160304 3.08 1.17 2.42 0.005 23.07 180.02 36.37
20160311 1 -0.5 1.26 0.005 23.08 183.21 37.73
20160318 1.42 -0.3 0.2 0.005 23.37 187.04 38.54
20160324 -0.8 -0.87 -0.97 0.005 23.67 185.09 38.7
20160401 2.06 1.62 -2.01 0.002 24.86 189.87 38.49
20160408 -1.17 -0.18 -1.67 0.002 24.45 189.2 38.69
20160415 1.94 0.74 2.07 0.002 25.26 181.42 39.56
20160422 0.74 0.6 1.74 0.002 24.77 180.17 39.38
20160429 -1.19 -0.1 1.75 0.002 24.68 176.79 38.78
20160506 -0.63 -1.23 -0.52 0.003 25.32 187.71 43.07
20160513 -0.52 -0.58 -0.76 0.003 25.34 186.09 42.7
20160520 0.54 0.17 0.63 0.003 25.45 180.44 41.27
20160527 2.43 1 -0.86 0.003 25.82 180.15 42.29
20160603 0.16 1.32 -1.29 0.005 25.93 173.41 43.46
20160610 -0.25 0.54 -0.08 0.005 26.15 170.06 44.24
20160617 -1.2 -0.3 -0.14 0.005 25.75 173.5 44.63
20160624 -1.6 0.3 -0.23 0.005 25.28 172.57 45.51
20160701 3.14 -0.66 -0.7 0.005 26.27 180.72 48.7
20160708 1.38 0.82 -1.4 0.005 26.26 184.94 49.24
20160715 1.6 0.59 2.3 0.005 26.78 183.26 49.08
20160722 0.6 0.03 -1.11 0.005 27.12 185.32 49.9
20160729 0.07 0.77 -0.31 0.005 27.22 185.65 50.72
20160805 0.56 0.5 0.68 0.005 27.04 182.62 49.23
20160812 0.18 -0.31 -0.09 0.005 27.37 180.79 48.42
20160819 0.15 0.39 1.47 0.005 26.91 176.16 47.79
20160826 -0.53 0.65 0.36 0.005 27.06 173.55 47.4
20160902 0.7 0.15 0.62 0.005 27.9 175.46 48.35
20160909 -2.3 0.09 0.39 0.005 26.31 169.69 47.06
20160916 0.56 0.54 -2.57 0.005 25.9 173.33 46.41
20160923 1.26 1.1 -0.25 0.005 26.92 182.77 49.64
20160930 0.21 -0.18 1.24 0.005 26.54 177.84 49.44
20161007 -0.57 -0.51 1.25 0.004 25.51 165.63 45.73
20161014 -1.12 -1.21 0.61 0.004 25.69 168.93 46.82
20161021 0.42 -0.3 0.62 0.004 26.17 167.94 47.96
20161028 -0.77 -2.35 1.43 0.004 26.5 167.46 47.14
20161104 -1.89 -0.51 1.16 0.004 25.99 171.61 45.87
20161111 4.67 6.02 2.53 0.004 26.92 167.66 43.22
20161118 1.29 1.01 1.38 0.004 26.9 162.32 43.59
20161125 1.64 0.81 0.62 0.004 27.24 160.9 44.55
20161202 -1.13 -2.14 3.89 0.006 26.72 164.63 44.64
20161209 3.35 1.99 1.86 0.006 28.23 169.05 45.59
20161216 -0.29 -1.37 -0.84 0.006 27.08 172.93 44.62
20161223 0.32 0.17 0.71 0.006 26.61 174.49 44.76
20161230 -1.16 -0.11 0.13 0.006 26.6 177.15 46.05
20170106 1.69 -0.58 -1.25 0.009 27.28 180 46.41
20170113 0.09 0.47 -1.04 0.009 27.6 176.26 45.79
20170120 -0.3 -1.13 -0.15 0.009 27.33 176.97 45.99
20170127 1.15 0.22 0.59 0.009 27.55 173.12 46.29

Copyright 2017 Kenneth R. French


Instructions
1. Compute the weekly stock return for your assigned stock. The one on the left are raw prices.
2. Run a regression of excess stock return (R i-RF) against fama french factors
3. Explain the results (R2, alpha, betas)
4. What is the expected return for your chosen stock on 24 Jan 2017?

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