Date
Excess Return on the Market
Small-Minus-Big Return
7/31/2013
0.057
8/30/2013
-0.027
9/30/2013
0.038
10/31/2013
0.042
11/29/2013
0.031
12/31/2013
0.028
1/31/2014
-0.033
2/28/2014
0.047
3/31/2014
0.004
4/30/2014
-0.002
5/30/2014
0.021
6/30/2014
0.026
7/31/2014
-0.020
8/29/2014
0.042
9/30/2014
-0.020
10/31/2014
0.025
11/28/2014
0.026
12/31/2014
-0.001
1/30/2015
-0.031
2/27/2015
0.061
3/31/2015
-0.011
4/30/2015
0.006
5/29/2015
0.014
6/30/2015
-0.015
7/31/2015
0.015
8/31/2015
-0.060
9/30/2015
-0.031
10/30/2015
0.078
11/30/2015
0.006
12/31/2015
-0.022
1/29/2016
-0.058
2/29/2016
-0.001
3/31/2016
0.070
4/29/2016
0.009
5/31/2016
0.018
6/30/2016
-0.001
7/29/2016
0.040
8/31/2016
0.005
9/30/2016
0.003
10/31/2016
-0.020
11/30/2016
0.049
12/30/2016
0.018
1/31/2017
0.019
2/28/2017
0.036
3/31/2017
0.002
0.019
0.003
0.029
-0.015
0.012
-0.005
0.009
0.003
-0.019
-0.043
-0.019
0.031
-0.042
0.004
-0.038
0.042
-0.021
0.025
-0.006
0.005
0.030
-0.030
0.009
0.028
-0.041
0.005
-0.026
-0.020
0.036
-0.028
-0.034
0.008
0.009
0.007
-0.003
0.007
0.027
0.012
0.020
-0.044
0.055
0.001
-0.010
-0.020
0.012
4/28/2017
5/31/2017
6/30/2017
7/31/2017
8/31/2017
9/29/2017
10/31/2017
11/30/2017
12/29/2017
1/31/2018
2/28/2018
3/29/2018
4/30/2018
5/31/2018
6/29/2018
0.011
0.011
0.008
0.019
0.002
0.025
0.023
0.031
0.011
0.056
-0.037
-0.024
0.003
0.027
0.005
0.007
-0.026
0.022
-0.014
-0.017
0.045
-0.019
-0.007
-0.013
-0.030
0.003
0.039
0.011
0.052
0.012
High-Minus-Low Return
0.006
-0.028
-0.012
0.011
0.002
-0.003
-0.021
-0.004
0.051
0.011
-0.003
-0.007
0.000
-0.006
-0.012
-0.017
-0.030
0.021
-0.035
-0.018
-0.005
0.019
-0.014
-0.008
-0.041
0.027
0.005
-0.001
-0.005
-0.026
0.021
-0.005
0.011
0.033
-0.018
-0.015
-0.011
0.033
-0.015
0.042
0.083
0.036
-0.028
-0.018
-0.032
Ahmed, Rommy
Alabdullatif, Abdullah Alabdulwahed, Saleh
Risk-Free Return ORCL
MSFT
HON
KO
CELG
0.000
0.057
-0.078
0.046
-0.001
0.255
0.000
-0.015
0.056
-0.036
-0.047
-0.047
0.000
0.041
-0.004
0.044
-0.001
0.101
0.000
0.014
0.064
0.044
0.045
-0.037
0.000
0.053
0.085
0.026
0.023
0.089
0.000
0.084
-0.019
0.032
0.028
0.044
0.000
-0.032
0.011
-0.002
-0.084
-0.101
0.000
0.060
0.020
0.040
0.010
0.058
0.000
0.046
0.070
-0.018
0.020
-0.132
0.000
0.002
-0.014
0.002
0.055
0.053
0.000
0.028
0.020
0.008
0.003
0.041
0.000
-0.035
0.019
-0.002
0.043
0.122
0.000
0.000
0.035
-0.012
-0.072
0.015
0.000
0.028
0.059
0.042
0.062
0.090
0.000
-0.078
0.020
-0.022
0.030
-0.003
0.000
0.023
0.013
0.032
-0.018
0.130
0.000
0.086
0.025
0.036
0.078
0.062
0.000
0.060
-0.028
0.009
-0.058
-0.016
0.000
-0.066
-0.130
-0.022
-0.025
0.065
0.000
0.046
0.093
0.057
0.052
0.020
0.000
-0.015
-0.073
0.015
-0.056
-0.051
0.000
0.014
0.196
-0.032
0.000
-0.063
0.000
-0.003
-0.030
0.038
0.010
0.059
0.000
-0.073
-0.058
-0.021
-0.034
0.011
0.000
-0.005
0.058
0.030
0.047
0.134
0.000
-0.071
-0.061
-0.050
-0.043
-0.100
0.000
-0.026
0.017
-0.046
0.029
-0.084
0.000
0.079
0.189
0.091
0.056
0.134
0.000
0.003
0.039
0.012
0.014
-0.108
0.000
-0.063
0.021
-0.004
0.008
0.094
0.000
-0.002
-0.007
-0.004
-0.001
-0.162
0.000
0.013
-0.070
-0.012
0.005
0.005
0.000
0.112
0.085
0.106
0.084
-0.007
0.000
-0.022
-0.097
0.020
-0.034
0.033
0.000
0.009
0.070
0.001
-0.004
0.020
0.000
0.018
-0.035
0.022
0.024
-0.065
0.000
0.006
0.108
0.000
-0.038
0.137
0.000
0.004
0.020
0.008
-0.005
-0.049
0.000
-0.047
0.002
-0.001
-0.017
-0.021
0.000
-0.018
0.040
-0.054
0.002
-0.022
0.000
0.046
0.012
0.045
-0.040
0.160
0.000
-0.043
0.031
0.017
0.028
-0.023
0.000
0.047
0.040
0.021
0.003
0.003
0.000
0.062
-0.004
0.058
0.009
0.063
0.000
0.047
0.029
0.003
0.020
0.007
-0.019
-0.038
0.013
-0.003
-0.022
0.030
-0.001
-0.001
0.001
-0.014
-0.012
-0.001
0.005
-0.032
-0.024
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.001
0.012
0.010
0.105
0.000
0.008
-0.039
0.057
-0.036
-0.036
0.095
-0.018
-0.097
0.002
0.023
-0.057
0.039
0.026
-0.013
0.055
0.034
-0.004
0.117
0.017
0.016
0.111
-0.009
-0.027
0.025
0.061
-0.002
0.050
0.019
0.002
0.021
0.021
0.025
0.017
0.087
-0.017
0.041
-0.049
-0.044
0.001
0.027
-0.026
0.017
0.054
-0.005
0.022
-0.006
-0.004
0.022
0.003
0.002
0.037
-0.092
0.014
-0.005
-0.005
0.029
-0.003
-0.078
0.135
0.043
0.026
0.050
-0.308
-0.001
0.035
-0.031
-0.139
0.024
-0.024
-0.097
0.009
Alabdulwahed, Saleh
Alazemi, Radaan
Aldajani, Omar
Aldarwish, Hassan
Alfrsani, Faris
XOM
GD
GE
CHTR
GM
IBM
KMI
FB
ABBV
0.038
0.097
0.051
0.015
0.077
0.021
0.000
0.479
0.110
-0.064
-0.024
-0.050
-0.034
-0.050
-0.061
0.005
0.122
-0.063
-0.013
0.051
0.041
0.110
0.055
0.016
-0.062
0.216
0.050
0.042
-0.004
0.094
-0.005
0.027
-0.032
0.004
0.000
0.092
0.050
0.058
0.020
0.008
0.048
0.008
0.007
-0.064
0.000
0.083
0.042
0.060
0.012
0.055
0.044
0.013
0.162
0.090
-0.089
0.066
-0.103
0.002
-0.117
-0.058
-0.044
0.145
-0.060
0.051
0.081
0.022
-0.075
0.003
0.053
-0.064
0.094
0.034
0.015
-0.006
0.016
-0.028
-0.041
0.040
0.020
-0.120
0.010
0.048
0.011
0.039
0.100
0.002
0.021
0.018
-0.008
0.021
-0.012
0.079
-0.004
0.056
0.003
-0.056
0.022
0.059
0.043
0.001
-0.013
-0.011
0.106
0.058
-0.017
0.086
0.063
0.039
-0.017
0.007
-0.043
-0.024
-0.068
0.057
0.004
0.080
-0.065
0.012
0.055
0.033
0.015
0.029
0.009
0.119
0.030
0.056
-0.054
0.031
-0.005
-0.035
-0.074
-0.013
-0.048
0.056
0.045
0.028
0.105
0.007
0.046
-0.017
-0.134
0.021
-0.051
0.106
-0.057
0.040
0.026
0.071
0.065
-0.007
0.068
0.036
0.090
0.021
-0.053
-0.037
-0.018
0.053
-0.011
0.023
0.004
-0.054
-0.054
-0.028
-0.055
-0.093
-0.066
-0.044
-0.019
-0.027
-0.070
0.021
0.042
0.098
0.195
0.144
0.063
-0.001
0.040
0.002
-0.040
-0.022
-0.045
0.069
0.013
-0.009
0.026
0.041
-0.032
0.028
0.017
0.091
-0.031
-0.065
0.067
0.033
-0.042
0.113
-0.016
0.021
0.007
-0.043
0.026
-0.002
-0.034
0.005
0.030
-0.023
0.016
-0.017
-0.043
-0.063
-0.041
-0.075
0.083
0.009
-0.048
0.052
-0.018
0.085
-0.055
-0.004
-0.085
0.096
0.050
-0.041
-0.047
-0.049
-0.023
-0.066
-0.079
-0.064
-0.049
-0.109
-0.012
-0.029
0.025
-0.032
0.032
-0.020
-0.146
0.005
-0.128
0.113
0.082
0.147
0.086
0.163
-0.034
0.007
0.134
0.104
-0.004
-0.014
0.035
-0.019
0.037
0.005
-0.138
0.022
-0.024
-0.045
-0.062
0.048
-0.023
-0.051
-0.013
-0.367
0.004
0.019
-0.001
-0.021
-0.066
-0.064
-0.128
-0.093
0.111
0.072
-0.064
0.039
0.019
0.009
0.048
-0.007
0.060
0.100
-0.047
-0.005
0.043
-0.036
0.091
0.127
0.081
0.156
-0.013
0.067
0.046
0.058
0.075
-0.033
0.048
0.012
-0.036
0.001
0.031
0.078
0.015
0.010
-0.017
-0.067
-0.016
0.063
0.018
0.010
0.032
0.053
-0.013
0.049
0.044
-0.083
-0.013
0.035
-0.038
-0.016
-0.051
0.055
-0.011
0.027
0.114
0.058
0.093
0.085
0.079
-0.012
0.036
0.003
0.095
0.012
-0.002
0.075
0.018
-0.032
0.002
0.019
-0.044
0.050
0.007
0.000
0.059
0.017
-0.016
-0.045
-0.024
-0.018
-0.074
-0.005
-0.032
-0.111
0.021
-0.107
0.057
0.163
0.057
0.102
0.093
0.065
0.087
-0.096
0.090
0.034
-0.015
0.035
0.046
0.020
0.023
-0.067
-0.028
0.030
-0.071
0.053
-0.060
0.125
0.051
0.051
0.085
0.133
-0.014
-0.022
0.048
0.012
-0.003
0.006
0.038
-0.046
0.040
0.012
0.008
-0.014
0.000
0.013
-0.030
-0.032
0.020
0.048
0.054
-0.004
-0.005
0.003
-0.009
-0.037
0.074
0.017
0.009
0.004
0.044
-0.124
-0.015
0.042
0.055
0.018
0.040
0.049
-0.025
-0.005
0.026
0.021
-0.009
0.021
-0.018
0.098
0.000
-0.007
-0.084
0.002
-0.076
-0.027
-0.056
-0.005
-0.052
-0.041
-0.005
-0.166
-0.093
-0.039
-0.073
-0.120
-0.045
0.044
0.001
-0.025
0.055
0.001
-0.025
0.163
0.017
-0.088
-0.080
-0.024
0.030
0.123
-0.094
-0.090
-0.128
-0.038
0.123
-0.020
-0.020
0.041
0.030
0.016
0.115
0.064
0.003
-0.040
0.035
-0.072
-0.067
0.011
0.162
-0.068
-0.080
-0.038
0.008
-0.060
-0.001
0.014
0.062
0.009
-0.004
0.067
-0.039
-0.015
-0.055
-0.014
-0.011
-0.045
-0.091
0.021
0.073
-0.054
-0.008
-0.049
-0.049
0.049
0.002
-0.099
-0.070
0.064
0.054
0.059
0.058
0.008
-0.003
0.121
0.016
-0.006
0.054
-0.016
-0.004
0.059
-0.046
-0.104
0.076
0.115
0.013
0.022
0.001
0.098
-0.027
0.077
0.180
0.023
0.074
-0.002
0.168
0.032
-0.183
0.030
0.025
-0.064
PEP
Alhashim, Ali
Alkhaldi, Khaled
Almutairi, Khalid
Almutairi, Fahad
Alsadaan, Assim
MO
COP
AMGN
SLB
CVX
AAPL
TXN
CVS
0.021
0.002
0.083
0.098
0.135
0.064
0.141
0.132
0.079
-0.046
-0.034
0.022
0.010
-0.001
-0.035
0.083
-0.025
-0.056
0.004
0.028
0.048
0.027
0.092
0.009
-0.021
0.055
-0.022
0.058
0.084
0.065
0.038
0.061
-0.013
0.096
0.052
0.101
0.004
-0.007
-0.007
-0.014
-0.057
0.029
0.070
0.022
0.075
-0.011
0.051
-0.030
0.000
0.023
0.020
0.009
0.021
0.069
-0.031
-0.083
-0.081
0.043
-0.028
-0.106
-0.108
-0.028
-0.050
-0.004
0.030
0.034
0.048
0.067
0.042
0.057
0.060
0.080
0.050
0.046
0.058
-0.005
0.048
0.031
0.020
0.049
0.024
0.029
0.072
0.056
-0.094
0.042
0.056
0.099
-0.030
-0.025
0.028
0.036
0.085
0.043
0.025
-0.013
0.078
0.034
0.077
0.019
0.021
0.072
0.021
0.138
0.063
0.028
0.017
-0.038
-0.014
-0.032
-0.029
0.076
-0.081
-0.010
0.029
-0.026
0.017
0.050
0.061
-0.016
0.099
0.015
0.010
0.077
0.042
0.040
0.014
0.078
-0.058
0.008
-0.073
-0.078
-0.017
-0.010
0.002
0.033
0.052
-0.048
0.155
-0.030
0.005
0.072
0.048
0.082
0.041
0.040
-0.084
0.023
-0.129
-0.083
0.106
0.096
0.065
-0.049
-0.009
0.045
-0.036
-0.002
0.030
-0.072
-0.018
0.054
-0.008
0.078
-0.088
-0.044
-0.035
-0.086
0.061
0.006
0.023
0.055
0.060
0.047
0.041
0.028
0.051
0.100
0.100
0.058
-0.027
-0.102
-0.045
0.014
-0.009
-0.016
-0.031
-0.027
-0.006
-0.005
0.001
0.091
-0.012
0.134
0.058
0.006
-0.046
-0.035
0.014
0.023
-0.052
-0.005
-0.041
-0.063
0.045
0.032
0.031
-0.025
-0.035
-0.036
-0.018
-0.045
-0.063
-0.037
-0.079
0.024
0.032
0.112
-0.168
0.150
-0.039
-0.083
-0.033
-0.023
0.076
-0.035
-0.015
-0.024
-0.136
-0.060
-0.073
-0.066
-0.043
-0.090
0.022
0.026
-0.024
-0.089
-0.109
-0.026
-0.022
0.035
-0.058
0.084
0.112
0.128
0.144
0.133
0.152
0.083
0.153
0.027
-0.020
-0.047
0.013
0.023
-0.007
0.017
-0.006
0.025
-0.047
0.005
0.020
-0.136
0.008
-0.096
-0.015
-0.110
-0.057
0.039
-0.006
0.050
-0.163
-0.059
0.036
-0.039
-0.075
-0.027
-0.008
-0.015
0.008
-0.128
-0.062
-0.001
-0.023
-0.001
0.002
0.006
0.055
0.027
0.190
0.054
0.028
0.143
0.127
0.083
0.068
0.005
0.001
0.187
0.056
0.089
0.071
-0.140
0.000
-0.027
-0.017
0.015
-0.078
0.004
-0.044
-0.001
0.071
0.062
-0.040
0.055
0.092
-0.004
-0.037
0.036
0.038
-0.043
0.034
-0.007
0.028
-0.018
-0.058
0.131
0.018
-0.022
0.090
0.119
-0.027
-0.013
-0.024
0.006
-0.006
-0.019
-0.008
0.024
-0.003
0.007
0.019
-0.034
0.059
-0.019
0.002
0.023
0.066
0.009
-0.047
-0.014
0.046
0.005
-0.154
-0.005
0.018
0.004
0.010
-0.050
-0.059
-0.033
0.117
0.028
0.074
0.075
-0.022
0.051
-0.086
0.045
0.067
0.033
0.015
0.005
0.055
0.048
-0.013
0.026
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0.053
-0.028
0.072
-0.003
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0.048
0.042
0.005
0.064
0.053
-0.019
0.134
-0.034
0.020
0.134
0.014
0.022
0.020
-0.039
0.048
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-0.028
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0.049
0.051
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0.013
0.039
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0.010
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-0.037
-0.011
0.064
0.029
0.003
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0.002
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0.002
0.086
0.005
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-0.024
0.011
0.013
0.056
0.063
-0.015
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0.001
-0.100
-0.007
0.031
-0.039
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-0.016
0.038
-0.038
0.146
0.027
-0.005
0.079
0.071
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0.092
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0.033
0.033
-0.005
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0.109
0.013
0.025
0.049
-0.060
0.009
-0.010
0.070
-0.005
-0.072
0.023
0.037
0.028
-0.071
-0.034
-0.054
0.042
-0.074
0.106
-0.083
-0.018
0.080
0.092
-0.101
-0.013
0.058
0.002
-0.017
-0.006
-0.020
0.008
0.047
-0.004
0.092
-0.014
0.036
0.052
0.001
-0.098
0.019
0.097
0.002
0.017
0.000
0.068
-0.057
0.033
0.107
-0.060
0.097
0.020
-0.015
-0.011
0.068
-0.058
-0.015
0.135
-0.009
-0.011
0.042
-0.067
0.064
0.018
0.082
0.086
0.006
0.073
0.056
-0.012
-0.041
-0.024
0.109
-0.015
0.057
-0.068
0.047
0.000
-0.032
0.051
-0.151
0.118
-0.054
0.092
-0.139
-0.082
0.131
-0.092
0.015
Alsadaan, Assim
Altami, Saad
Arno, Christopher
Azzarello, Lane
Bader, Alexander
UTX
PG
SO
CAT
CL
BMY
BA
ABT
LMT
0.136
0.051
0.016
0.012
0.051
-0.025
0.026
0.054
0.108
-0.047
-0.030
-0.060
-0.004
-0.035
-0.036
-0.007
-0.090
0.029
0.077
-0.030
-0.011
0.010
0.026
0.110
0.131
-0.004
0.042
-0.015
0.076
0.006
0.007
0.097
0.142
0.111
0.105
0.045
0.049
0.043
-0.007
0.015
0.017
-0.022
0.032
0.045
0.072
0.027
-0.033
0.012
0.073
-0.009
0.041
0.017
0.004
0.049
0.002
-0.051
0.016
0.041
-0.056
-0.060
-0.082
-0.038
0.015
0.031
0.027
0.027
0.033
0.026
0.076
0.035
0.085
0.084
-0.002
0.025
0.038
0.025
0.032
-0.034
-0.027
-0.032
0.006
0.013
0.032
0.043
0.067
0.043
-0.029
0.028
0.012
0.006
-0.013
-0.021
-0.033
-0.030
0.016
-0.007
0.054
0.033
0.005
-0.007
-0.027
0.037
0.063
-0.003
-0.025
-0.059
0.022
-0.018
-0.089
-0.008
-0.034
-0.066
-0.065
0.051
-0.053
0.035
0.039
0.033
0.075
0.026
0.083
0.021
0.001
0.059
0.003
0.050
-0.022
0.008
-0.017
-0.092
0.008
0.010
0.005
-0.015
0.050
0.013
0.050
0.074
0.031
0.031
0.144
-0.019
0.053
0.043
0.034
0.036
0.023
-0.008
0.041
0.015
0.081
0.021
0.013
0.045
0.007
0.035
-0.090
-0.006
0.006
-0.033
0.011
0.005
-0.002
-0.068
0.033
-0.119
-0.019
0.021
0.118
0.000
-0.022
0.068
0.010
-0.087
0.037
0.049
0.011
0.044
0.058
0.070
-0.039
-0.037
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-0.035
-0.021
0.059
-0.005
-0.022
0.015
-0.029
-0.022
0.000
0.094
-0.024
-0.006
-0.045
0.007
-0.081
0.036
-0.014
-0.002
-0.018
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0.014
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0.047
0.017
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0.030
-0.013
0.010
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-0.096
-0.011
0.068
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0.046
-0.008
0.039
0.038
0.114
-0.080
-0.079
-0.017
-0.028
-0.077
-0.094
-0.087
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-0.021
-0.029
0.018
0.030
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0.010
0.002
0.002
-0.112
0.030
0.106
0.071
0.009
0.129
0.052
0.114
0.131
0.120
0.060
-0.017
-0.020
0.000
-0.005
-0.010
0.016
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0.003
0.004
0.000
0.061
0.051
-0.065
0.014
0.032
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0.000
-0.009
-0.087
0.037
0.046
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0.019
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-0.169
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-0.028
0.109
-0.017
-0.004
0.088
-0.028
-0.004
-0.007
0.024
0.031
0.036
0.025
0.074
0.131
0.076
0.038
0.074
0.080
0.026
0.043
-0.018
-0.032
0.025
0.009
0.130
0.062
-0.064
0.049
-0.030
0.011
-0.002
-0.067
-0.007
-0.007
-0.056
0.019
0.024
0.020
0.045
0.085
0.046
0.040
0.031
0.029
-0.008
0.051
0.050
0.019
-0.002
0.102
0.022
0.022
0.029
0.145
0.018
-0.005
0.020
-0.030
-0.010
-0.001
-0.233
-0.023
-0.061
-0.032
-0.045
0.028
-0.001
0.083
-0.003
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0.018
0.006
-0.013
0.006
-0.025
0.005
-0.051
-0.032
-0.049
0.081
-0.066
0.028
0.060
-0.050
-0.081
0.145
-0.086
0.109
0.065
-0.030
0.084
0.018
0.020
0.051
-0.030
0.003
0.035
0.034
0.009
-0.058
0.000
0.050
0.005
0.040
-0.007
-0.152
0.050
0.094
0.006
0.032
0.040
0.039
0.010
0.130
0.154
0.112
0.079
0.068
-0.003
-0.013
-0.020
-0.040
0.003
-0.041
-0.019
-0.015
0.004
0.060
0.025
0.007
-0.029
0.016
-0.030
0.032
0.020
0.050
0.082
-0.019
-0.066
-0.045
0.045
0.002
-0.020
0.009
-0.011
0.050
0.016
-0.014
-0.043
0.042
0.021
-0.053
-0.091
0.010
-0.078
0.011
0.067
0.000
0.028
-0.054
0.001
0.019
0.018
0.062
-0.008
-0.061
-0.062
-0.033
0.037
0.033
-0.013
0.031
0.111
0.031
0.019
0.068
0.031
0.061
0.095
0.039
0.116
0.038
-0.050
-0.047
-0.015
0.052
-0.107
-0.010
0.060
-0.029
-0.021
-0.008
0.017
-0.027
0.028
0.041
-0.011
-0.071
0.039
-0.084
-0.033
0.027
0.038
-0.037
0.033
0.028
0.063
0.054
-0.027
0.025
-0.030
0.028
0.058
-0.045
-0.169
0.009
0.052
0.045
0.023
0.054
0.226
-0.006
0.061
0.015
0.078
0.065
0.202
0.027
-0.095
0.017
0.061
-0.047
-0.011
0.046
0.065
0.017
0.036
0.048
0.021
0.039
0.012
0.094
-0.029
-0.007
-0.025
0.058
-0.009
0.007
0.050
-0.013
0.052
0.052
0.016
0.000
0.042
0.006
0.105
-0.001
-0.041
-0.051
-0.013
-0.061
EXC
Bader, Nicholas
Barclay, Evan
Bechard, Edmund
Brancatto, Michael
Britt, Laurie
PFE
EMR
JNJ
MMM
MRK
HAL
NEE
RTN
-0.009
0.052
0.125
0.089
0.074
0.037
0.083
0.063
0.095
0.007
-0.035
-0.010
-0.069
-0.027
-0.018
0.065
-0.065
0.050
-0.028
0.018
0.072
0.003
0.051
0.016
0.003
-0.002
0.029
-0.037
0.068
0.035
0.068
0.054
-0.053
0.101
0.057
0.069
-0.046
0.042
0.007
0.029
0.066
0.105
-0.007
0.006
0.077
0.018
-0.035
0.048
-0.032
0.050
0.013
-0.034
0.012
0.029
0.059
-0.008
-0.060
-0.034
-0.086
0.058
-0.034
0.074
0.048
0.059
0.065
-0.004
0.049
0.058
0.076
0.163
0.002
0.030
0.104
0.000
0.024
0.066
0.007
0.004
0.036
0.046
0.015
0.044
-0.026
0.021
0.031
0.025
0.032
0.071
0.044
-0.034
0.060
-0.044
-0.015
0.009
0.031
-0.012
0.025
-0.018
0.022
-0.010
0.002
-0.006
0.031
0.005
0.007
0.101
0.053
-0.048
-0.148
-0.024
-0.041
-0.043
-0.016
-0.019
-0.028
-0.084
-0.016
0.085
0.024
0.013
0.043
0.028
0.059
-0.018
0.056
0.061
0.020
0.006
-0.022
0.028
-0.016
-0.006
-0.046
-0.046
0.061
0.073
0.013
0.024
0.011
0.085
-0.023
-0.145
0.068
0.022
-0.003
0.049
0.002
0.011
0.047
0.042
-0.235
0.049
0.027
0.025
0.000
-0.032
-0.034
0.026
-0.052
-0.064
0.018
0.014
-0.028
0.003
-0.078
-0.042
-0.012
0.061
0.017
0.028
-0.069
-0.050
0.107
0.025
0.031
0.045
-0.029
0.074
-0.046
0.087
-0.009
0.014
-0.022
-0.019
-0.022
-0.010
0.026
0.006
0.011
0.012
-0.025
0.039
-0.014
-0.052
0.036
0.116
-0.030
-0.048
0.004
0.032
0.033
0.017
0.024
0.022
-0.073
0.022
-0.007
-0.071
-0.035
-0.081
-0.027
-0.030
-0.058
-0.047
-0.042
-0.067
0.021
0.075
-0.066
0.028
-0.019
0.036
-0.030
0.073
0.140
-0.032
-0.099
-0.069
-0.055
-0.054
-0.087
-0.054
-0.057
-0.060
-0.034
-0.025
-0.074
-0.007
-0.003
-0.074
-0.102
-0.009
0.065
-0.060
0.077
0.069
0.082
0.109
0.107
0.086
0.052
0.081
-0.011
-0.023
0.069
0.010
0.003
-0.030
0.038
-0.020
0.056
0.017
-0.015
-0.043
0.015
-0.038
0.005
-0.141
0.040
0.004
0.065
-0.055
-0.039
0.017
0.002
-0.041
-0.066
0.075
0.035
0.075
-0.017
0.072
0.015
0.046
-0.009
0.021
0.018
-0.034
0.139
-0.001
0.114
0.028
0.062
0.063
0.107
0.049
-0.010
-0.021
0.104
0.005
0.036
0.005
0.036
0.156
-0.006
0.036
-0.014
0.070
-0.039
0.013
0.012
0.026
0.025
0.029
0.026
0.061
0.015
0.003
0.076
0.040
0.032
0.074
0.086
0.048
0.025
0.048
0.072
0.032
0.019
0.018
-0.036
-0.016
0.032
-0.079
-0.049
-0.049
-0.041
0.011
0.070
-0.015
-0.051
0.004
-0.021
-0.027
0.035
-0.010
-0.017
0.001
0.048
0.011
-0.029
0.023
-0.064
-0.070
-0.018
-0.062
-0.059
0.025
0.046
0.009
-0.036
0.023
0.123
-0.034
0.046
0.042
0.154
-0.101
0.095
0.092
0.011
-0.012
0.035
0.040
-0.030
0.022
0.046
-0.046
0.011
-0.023
0.052
-0.017
-0.021
0.053
0.046
0.036
0.015
0.032
0.085
0.033
0.086
0.073
0.063
-0.052
0.067
0.069
-0.020
0.003
-0.004
0.019
0.027
-0.028
-0.079
-0.020
-0.011
-0.038
0.058
-0.007
0.063
-0.004
-0.005
0.067
0.045
-0.055
-0.023
-0.029
0.053
0.017
0.052
0.029
-0.008
-0.028
0.029
-0.013
0.033
0.052
-0.018
0.043
-0.001
0.023
-0.011
-0.023
0.032
-0.009
0.010
0.007
-0.011
0.008
0.000
-0.002
0.064
0.026
0.013
0.075
0.036
-0.009
-0.039
-0.028
0.074
-0.024
-0.009
0.046
0.032
0.003
0.004
-0.018
0.072
0.005
0.003
-0.011
-0.054
-0.013
-0.013
-0.047
0.014
0.024
0.050
0.018
-0.034
0.021
0.027
0.097
0.061
-0.032
0.064
-0.054
-0.068
-0.114
0.022
-0.003
-0.019
0.045
-0.008
-0.003
0.000
0.010
-0.140
0.003
0.027
0.053
-0.085
0.013
0.081
0.011
0.028
-0.068
-0.015
-0.051
-0.006
-0.082
0.186
-0.071
-0.022
0.174
0.099
-0.136
0.015
0.129
-0.061
-0.090
0.040
0.066
-0.009
0.043
0.037
-0.026
0.058
0.025
-0.012
0.014
-0.033
0.073
0.004
0.012
0.014
0.023
0.057
-0.011
0.064
0.060
0.025
-0.030
0.061
-0.017
0.117
0.041
-0.008
-0.046
0.022
-0.078
Britt, Laurie
F
0.098
-0.041
0.042
0.020
-0.002
-0.097
-0.022
0.029
0.014
0.043
0.018
0.049
-0.006
0.023
-0.150
-0.039
0.116
-0.015
-0.041
0.111
-0.012
-0.012
-0.040
-0.011
-0.002
-0.065
-0.022
0.102
-0.032
-0.017
-0.124
0.048
0.079
0.016
-0.005
-0.068
0.019
-0.005
-0.042
-0.015
0.019
0.014
0.035
0.014
-0.071
DIS
Bushong, Joshua
Chuhy, Brendan
Frame, Zachary
Gilmore, Ryan
BH
DUK
OXY
WFC
MCD
JPM
UNP
0.024
0.015
0.052
-0.002
0.054
-0.009
0.063
0.028
-0.059
0.082
-0.065
-0.009
-0.049
-0.030
-0.093
-0.027
0.060
-0.011
0.018
0.068
0.006
0.020
0.023
0.012
0.064
0.057
0.074
0.027
0.033
0.003
0.004
-0.025
0.028
0.112
-0.014
-0.012
0.038
0.017
0.110
0.075
0.095
0.044
-0.014
0.008
0.031
-0.003
0.022
0.037
-0.050
-0.138
0.023
-0.079
-0.001
-0.029
-0.047
0.037
0.113
0.028
0.015
0.102
0.030
0.019
0.026
0.040
-0.009
0.086
0.005
-0.005
0.072
0.030
0.068
0.040
-0.009
-0.120
0.046
0.005
-0.002
0.034
-0.072
0.015
0.059
-0.017
-0.035
0.041
0.030
0.008
-0.007
0.046
0.021
0.003
0.044
0.037
0.035
-0.007
0.037
0.006
0.002
0.005
-0.028
-0.048
-0.032
-0.061
0.008
-0.014
0.047
-0.092
0.037
0.062
0.017
0.000
0.031
0.076
-0.009
-0.055
0.011
-0.066
0.008
0.012
0.013
0.030
0.026
0.028
0.099
-0.075
0.024
-0.011
0.011
0.074
0.012
0.064
-0.006
-0.103
0.033
0.042
-0.005
0.007
0.031
0.076
0.033
0.057
0.006
-0.032
0.040
0.020
-0.034
0.036
0.043
-0.008
-0.053
-0.013
-0.125
-0.016
0.144
0.051
-0.089
-0.027
0.062
0.079
0.127
0.031
0.008
-0.049
-0.023
-0.053
-0.007
-0.015
-0.011
-0.099
0.037
-0.117
0.010
0.097
0.013
-0.009
0.051
-0.019
0.015
-0.033
-0.013
-0.024
0.022
0.002
0.040
-0.045
0.034
0.171
-0.067
0.004
0.005
-0.009
0.030
-0.055
0.057
0.051
0.051
-0.097
0.029
0.050
0.018
0.023
-0.151
-0.142
-0.033
0.040
-0.072
-0.040
-0.065
-0.116
0.003
-0.020
0.015
-0.084
-0.037
0.037
-0.049
0.031
0.113
0.050
-0.007
0.127
0.054
0.139
0.061
0.011
-0.002
-0.039
-0.040
0.014
0.025
0.025
0.038
-0.054
-0.068
-0.117
0.054
-0.096
-0.013
0.035
-0.010
-0.068
-0.088
0.161
0.055
0.018
-0.076
0.048
-0.092
-0.079
-0.003
-0.025
-0.003
0.000
-0.058
-0.046
-0.054
0.103
0.040
0.008
0.086
0.005
0.031
0.072
0.052
0.009
0.040
0.006
-0.024
0.120
0.033
0.006
0.075
0.097
-0.039
0.071
0.003
-0.016
0.022
-0.035
0.033
-0.029
-0.014
0.008
0.097
0.012
-0.067
-0.007
-0.048
0.036
-0.012
0.029
-0.002
-0.011
0.014
-0.022
0.037
0.066
-0.016
0.061
-0.059
0.028
0.067
-0.009
0.055
0.033
-0.017
-0.010
0.005
-0.041
-0.128
-0.003
-0.013
0.021
-0.002
0.005
0.000
0.000
0.039
-0.024
0.047
-0.096
0.069
0.070
-0.067
-0.021
0.158
0.068
0.158
0.156
0.059
0.009
0.052
0.009
0.041
0.021
0.076
0.023
0.062
-0.063
0.012
-0.049
0.022
0.007
-0.014
0.028
-0.005
-0.031
0.062
-0.033
0.034
0.049
0.071
0.018
0.030
0.006
-0.007
-0.022
-0.038
0.015
-0.031
-0.019
-0.002
-0.031
0.006
0.016
-0.017
0.085
0.038
0.020
-0.002
-0.099
-0.033
0.044
0.028
0.028
-0.042
0.019
-0.066
-0.016
0.042
-0.079
-0.026
-0.008
0.072
0.034
0.011
-0.051
-0.026
-0.001
-0.009
0.054
-0.012
-0.109
0.051
-0.064
-0.205
0.119
0.072
-0.040
0.208
-0.004
0.016
-0.026
-0.162
-0.028
-0.147
0.006
0.049
-0.024
0.018
0.036
-0.039
0.052
0.020
-0.057
-0.067
-0.029
0.028
0.035
-0.026
0.025
-0.029
-0.042
0.029
0.034
-0.036
0.088
0.006
0.092
0.056
0.018
-0.125
0.002
0.189
0.090
0.003
-0.033
-0.043
0.083
-0.027
-0.046
0.080
0.018
0.013
0.074
0.084
-0.106
-0.103
-0.009
0.047
0.027
0.080
0.078
0.021
0.013
0.037
-0.021
0.065
0.036
0.001
-0.006
-0.072
-0.009
0.071
-0.044
-0.014
-0.004
-0.056
0.113
0.010
-0.010
0.051
0.059
0.039
0.023
0.087
-0.001
-0.048
-0.006
-0.016
-0.026
0.057
-0.009
-0.013
-0.055
0.029
0.101
-0.002
0.098
0.060
-0.004
-0.019
0.032
-0.006
0.074
-0.008
TGT
Gretz, Gabriel
Gyori, Brandon
Harrison, Samuel
Hearn, Daniel
Johnson, Robert
BK
DHR
LLY
WMT
NKE
AXP
INTC
BAC
0.035
0.127
0.064
0.081
0.046
-0.012
-0.010
-0.037
0.135
-0.105
-0.054
-0.027
-0.023
-0.058
0.002
-0.025
-0.048
-0.033
0.011
0.015
0.058
-0.021
0.013
0.156
0.050
0.043
-0.022
0.013
0.058
0.040
-0.010
0.038
0.043
0.086
0.068
0.012
-0.007
0.060
0.038
0.018
0.056
0.045
0.049
-0.017
0.132
-0.010
0.037
0.032
0.016
-0.023
-0.003
0.057
0.089
-0.015
-0.105
-0.081
-0.036
0.059
-0.051
-0.074
-0.060
-0.055
0.076
0.112
0.001
0.028
0.113
0.000
0.078
0.074
0.018
-0.013
-0.032
0.103
-0.018
-0.013
0.030
-0.057
-0.014
0.043
0.041
0.020
-0.035
-0.022
0.004
0.043
-0.012
-0.026
0.034
-0.120
-0.074
0.020
0.069
0.021
-0.031
0.058
0.047
0.032
0.000
0.021
0.084
0.005
0.039
-0.022
0.008
0.037
0.131
0.016
0.028
0.046
-0.062
-0.018
-0.020
-0.005
-0.070
0.097
-0.008
0.017
0.004
0.037
0.049
0.033
0.022
0.018
0.037
0.055
0.043
-0.011
-0.007
0.020
0.013
0.136
-0.022
-0.003
0.063
-0.014
0.004
0.058
0.023
-0.003
0.042
0.031
-0.023
0.006
0.205
0.034
0.039
0.034
0.148
0.068
0.027
0.102
-0.007
0.026
0.013
0.027
0.013
-0.013
-0.029
0.007
-0.026
0.053
-0.030
-0.108
-0.039
0.044
-0.010
-0.041
-0.130
-0.090
-0.153
0.051
0.087
0.059
-0.018
-0.012
0.056
0.011
0.014
0.044
0.068
0.028
-0.026
0.035
-0.014
0.033
-0.039
-0.060
-0.023
-0.039
0.056
-0.036
-0.011
-0.051
-0.015
-0.009
0.041
0.035
0.013
0.024
0.054
0.105
-0.042
0.031
0.029
0.066
0.036
0.029
-0.032
-0.007
0.058
-0.045
0.062
-0.021
-0.117
0.035
0.003
0.038
0.070
0.012
0.015
0.067
-0.021
-0.048
0.051
-0.044
-0.083
-0.050
-0.020
-0.094
-0.030
0.009
-0.006
-0.086
0.012
-0.016
-0.019
0.016
0.002
0.103
-0.034
0.056
-0.043
-0.019
0.068
0.095
-0.025
-0.117
0.066
-0.008
0.123
0.077
-0.053
0.053
0.033
0.012
0.028
0.010
-0.022
0.034
0.039
0.002
-0.060
-0.035
0.027
0.050
-0.053
-0.029
-0.009
-0.032
-0.003
-0.117
-0.067
-0.061
0.083
-0.008
-0.227
-0.100
-0.160
0.091
-0.023
0.030
-0.083
0.000
-0.007
0.039
-0.038
-0.115
0.049
0.041
0.064
0.000
0.040
0.001
0.105
0.093
0.084
-0.034
0.097
0.020
0.049
-0.024
-0.041
0.070
-0.064
0.077
-0.128
0.045
0.017
0.000
0.066
-0.063
0.005
0.052
0.016
0.015
-0.076
0.028
0.050
0.032
0.003
-0.072
0.038
-0.099
0.079
0.019
0.050
0.053
-0.001
0.005
0.061
0.063
0.092
-0.060
0.058
0.000
-0.056
-0.014
0.039
0.017
0.037
0.119
-0.022
-0.043
-0.036
0.032
0.010
-0.084
-0.023
0.052
-0.030
0.001
0.090
0.002
-0.080
-0.029
-0.047
0.042
-0.076
0.054
0.133
0.096
-0.005
-0.084
0.006
-0.002
0.085
0.003
0.285
-0.065
-0.001
-0.003
0.096
-0.012
0.019
0.028
0.045
0.046
-0.107
-0.052
0.078
0.047
-0.034
0.041
0.035
0.015
0.024
-0.079
0.054
0.019
0.082
0.063
0.081
0.048
-0.010
0.090
-0.061
0.002
0.001
0.016
0.023
-0.022
-0.012
-0.004
-0.041
0.012
-0.002
-0.052
0.084
-0.027
0.082
0.001
0.025
0.089
0.153
0.011
-0.079
0.046
0.013
0.044
0.000
0.001
0.083
0.044
-0.014
0.014
-0.025
0.064
-0.016
0.057
0.006
-0.096
0.062
0.004
-0.015
-0.026
0.019
-0.005
-0.034
0.024
0.030
0.076
0.023
-0.015
0.091
-0.035
0.003
0.025
-0.010
-0.004
-0.024
-0.024
0.034
0.004
-0.010
0.052
-0.042
0.039
-0.002
-0.036
-0.047
0.005
0.048
0.056
0.003
0.043
0.052
-0.037
0.057
-0.018
0.001
0.117
0.114
0.021
0.079
-0.156
-0.006
-0.006
-0.061
0.038
-0.006
-0.044
0.117
0.001
-0.103
-0.018
0.061
0.099
0.039
0.091
-0.017
-0.006
0.029
0.050
0.113
0.006
-0.029
0.095
0.016
0.010
0.051
0.060
0.023
0.016
0.004
-0.019
-0.043
0.062
-0.005
-0.003
0.002
0.006
-0.066
0.051
-0.004
0.086
0.195
-0.008
0.029
0.043
0.030
0.057
-0.009
0.075
-0.099
-0.011
-0.037
0.083
-0.006
-0.005
0.061
0.081
0.033
0.048
0.084
0.003
-0.062
-0.002
-0.025
-0.029
Johnson, Robert
Khabina, Yana
Kuhlman, Kody
Munaf, Bilal
Murphy, Romero
MDT
FDX
LOW
VZ
T
USB
HD
AIG
MS
0.079
0.075
0.094
-0.007
0.009
0.032
0.020
0.018
0.116
-0.063
0.013
0.028
-0.042
-0.041
-0.032
-0.057
0.021
-0.053
0.029
0.064
0.039
-0.015
0.000
0.019
0.023
0.049
0.046
0.083
0.148
0.049
0.094
0.084
0.021
0.027
0.062
0.068
-0.001
0.059
-0.046
-0.018
-0.027
0.050
0.036
-0.037
0.089
0.006
0.038
0.044
-0.010
-0.001
0.036
0.026
0.028
0.002
-0.014
-0.073
-0.062
-0.012
-0.039
-0.017
-0.067
-0.061
-0.057
0.048
0.000
0.081
-0.009
-0.042
0.035
0.067
0.038
0.044
0.038
-0.005
-0.023
0.000
0.098
0.047
-0.030
0.007
0.012
-0.040
0.028
-0.057
-0.007
0.031
-0.049
0.005
0.062
-0.004
0.038
0.058
0.025
0.069
-0.006
0.035
0.009
0.018
-0.002
0.045
0.051
0.019
-0.021
-0.003
0.033
0.015
0.012
0.048
-0.027
-0.030
0.002
0.041
0.020
-0.030
-0.001
-0.048
0.003
0.034
0.007
0.097
-0.012
-0.018
0.006
0.156
0.078
0.061
-0.030
0.093
0.008
0.003
0.008
-0.005
-0.014
-0.034
0.008
0.105
0.037
0.085
0.016
0.002
0.018
0.063
-0.008
0.014
0.084
0.064
0.116
0.007
0.015
0.038
0.019
0.023
0.007
-0.018
-0.024
0.078
-0.075
-0.051
0.023
0.061
0.024
0.103
-0.011
-0.026
-0.012
-0.011
-0.006
-0.068
-0.005
-0.127
-0.126
0.087
0.047
0.093
0.082
0.050
0.064
0.099
0.132
0.059
0.009
-0.064
0.004
-0.017
-0.055
-0.016
-0.005
-0.008
-0.003
-0.045
0.025
-0.071
0.049
0.075
-0.018
-0.058
0.027
0.050
0.025
0.022
0.016
-0.020
-0.003
0.006
0.042
0.041
0.024
-0.024
-0.015
-0.043
-0.057
0.028
0.013
0.003
0.057
0.015
0.058
0.006
0.040
0.016
-0.009
0.042
0.053
0.037
0.005
-0.078
-0.121
-0.003
-0.017
-0.044
-0.063
-0.005
-0.059
-0.113
-0.069
-0.042
-0.004
-0.054
-0.019
-0.026
-0.003
-0.054
-0.086
0.104
0.084
0.075
0.090
0.043
0.029
0.071
0.110
0.051
0.019
0.016
0.038
-0.031
0.005
0.041
0.083
0.008
0.040
0.026
-0.059
-0.007
0.017
0.022
-0.022
-0.008
-0.021
-0.073
-0.013
-0.108
-0.054
0.093
0.062
-0.061
-0.049
-0.089
-0.182
0.019
0.030
-0.058
0.015
0.025
-0.038
-0.013
-0.111
-0.046
-0.026
0.191
0.122
0.066
0.060
0.060
0.081
0.083
0.013
0.055
0.015
0.007
-0.048
0.003
0.052
0.003
0.033
0.088
0.017
-0.001
0.054
-0.001
0.009
0.003
-0.008
0.037
0.011
0.078
-0.078
-0.012
0.097
0.104
-0.052
-0.034
-0.081
-0.051
0.015
0.067
0.044
0.002
0.013
0.046
0.083
0.029
0.114
-0.007
0.019
-0.070
-0.056
-0.056
0.047
-0.025
0.099
0.116
-0.002
0.062
-0.057
-0.007
-0.007
-0.022
-0.041
-0.003
0.000
-0.051
-0.002
-0.072
-0.064
-0.082
0.044
-0.052
0.040
0.053
-0.110
0.100
0.059
0.037
0.050
0.109
0.066
0.026
0.232
-0.018
-0.026
0.008
0.070
0.101
0.041
0.036
0.036
0.022
0.067
0.016
0.032
-0.071
0.003
0.025
0.026
-0.016
0.010
0.064
0.020
0.018
0.013
-0.009
0.045
0.053
-0.005
0.075
0.001
0.013
0.105
-0.018
-0.006
-0.059
0.019
-0.018
-0.062
0.031
0.014
0.053
-0.049
-0.040
-0.030
0.035
0.020
-0.011
0.064
-0.070
0.010
-0.001
0.077
-0.008
-0.028
0.022
0.124
-0.043
0.031
0.055
0.001
0.025
0.080
0.052
-0.061
-0.024
0.030
0.008
-0.086
0.037
-0.072
-0.016
0.004
-0.045
0.082
0.005
0.043
0.115
0.131
-0.145
-0.021
-0.056
0.153
0.006
-0.046
0.016
-0.042
0.097
-0.009
0.032
-0.021
0.063
0.040
0.033
-0.117
0.002
0.044
-0.034
0.055
-0.034
-0.028
-0.021
0.047
-0.039
0.046
-0.128
0.081
0.069
-0.024
-0.031
-0.018
-0.069
-0.012
-0.006
-0.004
-0.008
0.026
0.017
-0.029
0.052
0.015
0.014
-0.023
0.066
-0.049
-0.065
-0.001
-0.009
0.007
0.063
-0.011
-0.001
-0.025
0.008
0.091
0.014
0.090
0.054
0.060
-0.093
-0.016
0.037
0.015
0.046
-0.024
0.045
-0.012
0.047
-0.076
0.020
0.052
-0.072
-0.001
0.073
-0.103
-0.045
0.029
-0.057
0.010
0.017
-0.038
0.068
0.058
-0.030
0.059
0.043
0.032
0.017
0.083
-0.009
-0.037
-0.039
-0.029
-0.055
C
Palmer, Evan
Philipp, Zachary
Rhodes, Jacob
Salem, Waleed
Schoen, Austin
CSCO
BIIB
QCOM
GILD
SBUX
ALL
SPG
COF
0.087
0.059
0.014
0.057
0.198
0.088
0.059
0.014
0.099
-0.073
-0.089
-0.023
0.032
-0.018
-0.008
-0.055
-0.083
-0.060
0.004
0.005
0.130
0.016
0.043
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0.042
-0.022
Schoen, Austin
Sharp, Zachary
Shaughnessy, Ryan
Smith, Hannah
Stout, Jacob
AMZN
NVDA
GS
COST
BLK
UPS
MET
MDLZ
ACN
0.085
0.028
0.084
0.062
0.098
0.004
0.058
0.096
0.026
-0.067
0.027
-0.069
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-0.071
-0.007
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-0.021
0.113
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0.029
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0.068
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0.042
0.223
0.151
0.079
0.094
0.183
0.044
0.069
0.102
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0.122
0.017
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0.000
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0.318
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-0.015
0.057
0.024
-0.039
-0.050
0.298
0.234
0.018
0.087
0.083
0.180
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0.027
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0.158
0.092
0.067
0.032
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0.080
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0.098
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0.024
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0.015
0.007
-0.015
-0.021
0.043
0.075
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0.020
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-0.020
0.150
0.065
-0.006
0.241
0.042
-0.043
0.082
0.041
0.043
-0.043
0.385
0.001
0.124
0.044
0.055
0.157
-0.029
-0.036
0.270
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0.059
-0.114
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0.048
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0.148
0.009
0.047
-0.018
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0.046
0.008
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0.003
0.064
0.038
0.010
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0.067
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0.001
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0.050
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0.040
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0.069
-0.173
0.002
0.084
0.031
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-0.019
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0.001
-0.043
0.109
0.031
0.009
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-0.049
-0.031
-0.006
0.039
-0.026
-0.052
0.045
0.035
-0.069
0.019
-0.076
0.005
0.019
0.036
0.002
0.037
-0.011
-0.044
-0.053
-0.006
0.050
0.022
0.026
-0.006
0.042
0.015
0.033
0.064
0.040
0.034
0.050
0.002
-0.047
-0.006
0.030
0.050
Teynor, Keaton
Thompson, Denzel
Whitesel, Christiana
NFLX
CMCSA
FOXA
FOX
MA
PM
V
0.158
0.084
0.032
0.029
0.064
0.030
0.161
-0.066
0.049
0.047
-0.007
-0.064
0.089
0.077
0.074
0.068
0.110
0.049
0.043
0.055
0.017
0.018
0.067
0.029
0.134
0.048
-0.017
-0.029
0.061
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0.006
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0.048
0.098
0.030
0.112
0.048
-0.095
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-0.093
-0.103
0.089
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0.054
0.042
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0.035
-0.210
-0.028
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-0.040
-0.039
0.023
-0.085
0.034
0.002
0.006
-0.014
0.043
0.297
0.009
0.106
0.100
0.039
0.036
0.054
0.033
-0.007
-0.007
-0.039
-0.037
-0.041
0.001
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0.118
0.088
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0.067
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0.031
0.067
0.066
0.042
-0.023
-0.014
0.017
0.044
0.043
-0.013
-0.052
0.293
-0.080
-0.137
-0.137
-0.046
-0.015
0.075
0.117
0.055
0.069
0.099
0.034
-0.123
-0.045
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-0.041
-0.080
0.336
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0.108
0.121
0.012
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0.003
0.023
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0.033
-0.031
-0.036
0.013
-0.023
0.218
0.038
0.060
0.040
0.044
0.067
0.006
-0.097
-0.206
-0.175
-0.052
-0.067
-0.102
0.010
-0.009
-0.016
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0.007
0.050
0.105
0.138
0.141
0.100
0.114
0.138
-0.028
-0.038
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-0.011
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-0.073
-0.080
-0.091
-0.006
0.018
-0.197
-0.008
-0.007
-0.005
-0.084
0.024
0.017
0.036
0.002
0.002
-0.024
0.011
0.094
0.058
0.037
0.044
0.087
0.089
-0.119
-0.001
0.085
0.068
0.028
0.000
0.139
0.042
-0.046
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-0.011
0.006
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0.030
-0.063
-0.068
-0.082
0.041
-0.003
0.036
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0.084
-0.014
0.068
-0.030
-0.079
-0.081
0.015
-0.003
0.011
0.017
-0.006
0.003
0.053
-0.017
0.267
-0.064
0.085
0.067
0.053
-0.008
-0.063
0.124
0.070
0.063
-0.045
-0.085
0.058
-0.003
-0.002
-0.029
0.010
0.048
0.137
0.092
0.119
0.138
0.032
0.051
0.010
-0.008
-0.047
-0.054
0.039
0.138
0.040
0.005
0.089
0.089
0.018
0.042
Zapadka, Kyle
UNH
-0.031
0.113
-0.013
-0.015
0.096
0.002
0.029
-0.047
0.037
0.091
0.094
0.015
-0.033
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0.051
0.069
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-0.085
0.062
0.061
-0.019
0.031
0.001
-0.009
0.009
0.069
0.004
-0.001
0.132
0.102
0.071
0.038
0.016
0.029
-0.028
0.051
0.066
0.069
-0.036
0.044
0.010
-0.058
0.042
0.079
-0.022
0.019
0.122
-0.005
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-0.023
0.007
0.114
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0.034
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0.086
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0.015
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0.061
0.052
0.014
0.038
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0.022
0.034
-0.002
0.010
-0.061
0.125
0.009
0.011
0.060
0.013
0.065
0.020
0.011
-0.005
0.030
0.071
-0.084
0.216
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0.038
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0.408
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0.066
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-0.037
-0.009
0.221
0.081
0.069
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0.001
-0.004
0.054
0.289
-0.060
-0.099
0.036
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-0.042
-0.013
0.224
0.095
0.069
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0.004
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0.058
0.291
0.036
0.056
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0.054
0.043
0.059
0.055
0.011
0.006
0.118
0.040
-0.003
0.019
0.066
0.034
-0.018
0.081
-0.011
-0.006
0.002
-0.041
-0.057
-0.018
0.039
0.015
-0.034
-0.030
-0.175
-0.030
0.029
0.026
0.046
-0.015
0.062
0.041
0.017
0.045
0.026
0.013
0.090
-0.009
-0.027
0.061
0.032
0.013
0.066
0.002
0.063
0.034
0.037
-0.012
0.073
0.089
-0.034
0.074
-0.045
-0.050
0.105
0.022
0.020
Investments | Project 2
Using the data contained in the Project 2 Data file on Blackboard, estimate the Fama and French
3-factor model for each of the two stocks assigned to you. The file contains monthly returns of the
risk-free asset, the excess returns of the market index, the returns on the small-minus-big and
highminus-low factor mimicking portfolios and the monthly returns of different stocks. You need
to estimate the model only for the two stocks that appear under your name.
If you are unsure how to estimate or interpret the model, follow the steps in the Project 2 Example
file on Blackboard. Prepare a professional report with the items in the following order:
1) Start a Microsoft Word file for your report.
2) First, add a description of your companies and their main line of business to your report.
In addition, report the following (search for your tickers in Yahoo Finance and look under
the Statistics tab):
a. Market Capitalization (Market Cap) of your companies.
b. Price-to-Book Ratio (Price/Book) of your companies.
3) Second, answer the following questions based on your regression results and add to your
report:
a. What are the alphas of your stocks? If either is not statistically significant at the 5%
level, then indicate so.
b. What are the size factor betas of your stocks? If either is not statistically significant
at the 5% level, then indicate so.
c. What are the value factor betas of your stocks? If either is not statistically significant
at the 5% level, then indicate so.
d. Which stock had a stronger exposure to the size factor?
e. Which stock had a stronger exposure to the value factor?
f. Are the differences in the size and value factor betas of your stocks consistent with
the differences in their Market Cap and Price/Book? Note that Price/Book is the
opposite of Book-to-Market Ratio.
4) Third, clearly label your regression output with the stock ticker for each of your two stocks
and then add it to your report. DO NOT include the raw data used in you analysis!
5) Print the Microsoft Word file and submit in class on the due date.
Date
Excess Return on the Market
Small-Minus-Big Return
High-Minus-Low Return
7/31/2013
0.057
0.019
0.006
8/30/2013
-0.027
0.003
-0.028
9/30/2013
0.038
0.029
-0.012
10/31/2013
0.042
-0.015
0.011
11/29/2013
0.031
0.012
0.002
12/31/2013
0.028
-0.005
-0.003
1/31/2014
-0.033
0.009
-0.021
2/28/2014
0.047
0.003
-0.004
3/31/2014
0.004
-0.019
0.051
4/30/2014
-0.002
-0.043
0.011
5/30/2014
0.021
-0.019
-0.003
6/30/2014
0.026
0.031
-0.007
7/31/2014
-0.020
-0.042
0.000
8/29/2014
0.042
0.004
-0.006
9/30/2014
-0.020
-0.038
-0.012
10/31/2014
0.025
0.042
-0.017
11/28/2014
0.026
-0.021
-0.030
12/31/2014
-0.001
0.025
0.021
1/30/2015
-0.031
-0.006
-0.035
2/27/2015
0.061
0.005
-0.018
3/31/2015
-0.011
0.030
-0.005
4/30/2015
0.006
-0.030
0.019
5/29/2015
0.014
0.009
-0.014
6/30/2015
-0.015
0.028
-0.008
7/31/2015
0.015
-0.041
-0.041
8/31/2015
-0.060
0.005
0.027
9/30/2015
-0.031
-0.026
0.005
10/30/2015
0.078
-0.020
-0.001
11/30/2015
0.006
0.036
-0.005
12/31/2015
-0.022
-0.028
-0.026
1/29/2016
-0.058
-0.034
0.021
2/29/2016
-0.001
0.008
-0.005
3/31/2016
0.070
0.009
0.011
4/29/2016
0.009
0.007
0.033
5/31/2016
0.018
-0.003
-0.018
6/30/2016
-0.001
0.007
-0.015
7/29/2016
0.040
0.027
-0.011
8/31/2016
0.005
0.012
0.033
9/30/2016
0.003
0.020
-0.015
10/31/2016
-0.020
-0.044
0.042
11/30/2016
0.049
0.055
0.083
12/30/2016
0.018
0.001
0.036
1/31/2017
0.019
-0.010
-0.028
2/28/2017
0.036
-0.020
-0.018
3/31/2017
0.002
0.012
-0.032
4/28/2017
0.011
0.007
-0.019
5/31/2017
6/30/2017
7/31/2017
8/31/2017
9/29/2017
10/31/2017
11/30/2017
12/29/2017
1/31/2018
2/28/2018
3/29/2018
4/30/2018
5/31/2018
6/29/2018
0.011
0.008
0.019
0.002
0.025
0.023
0.031
0.011
0.056
-0.037
-0.024
0.003
0.027
0.005
-0.026
0.022
-0.014
-0.017
0.045
-0.019
-0.007
-0.013
-0.030
0.003
0.039
0.011
0.052
0.012
-0.038
0.013
-0.003
-0.022
0.030
-0.001
-0.001
0.001
-0.014
-0.012
-0.001
0.005
-0.032
-0.024
Risk-Free Return
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
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
0.00010
0.00010
0.00020
0.00020
0.00010
0.00010
0.00020
0.00020
0.00020
0.00020
0.00020
0.00010
0.00030
0.00040
0.00040
0.00030
0.00050
GOOGL
0.008
-0.046
0.034
0.177
0.028
0.058
0.054
0.029
-0.083
-0.042
0.069
0.023
-0.009
0.005
0.010
-0.035
-0.033
-0.034
0.013
0.047
-0.014
-0.011
-0.006
-0.010
0.218
-0.015
-0.015
0.155
0.035
0.020
-0.021
-0.058
0.064
-0.072
0.058
-0.061
0.125
-0.002
0.018
0.007
-0.042
0.021
0.035
0.030
0.003
0.090
0.00060
0.00060
0.00070
0.00090
0.00090
0.00090
0.00080
0.00090
0.00110
0.00110
0.00120
0.00140
0.00140
0.00140
0.068
-0.058
0.017
0.010
0.019
0.061
0.003
0.017
0.122
-0.066
-0.060
-0.018
0.080
0.027
1) We are going to estimate Fama and French 3 factor model for a stock,
specifically GOOGL. According to the model, the depended variable is
the excess return on the stock (GOOGL) and the independent variables
are the excess return on the market, the return of the small-minus-big
factor mimicking portfolio, and the return of the high-minus-low factor
mimicking portfolio.
2) Our independent variable are already given to us. We will need excess
returns of the stock. Let's calculate excess returns of GOOGL in column J.
3) We can now estimate the regressions. First, we need to make sure
that we have the data analysis module. Under the Data tab, you should
have the Data Analysis button on the far right of the ribbon. If you do
not, go to File, then Options and then Add-ins. Select the Analysis
ToolPak and click Go. Put a check mark next to Analysis ToolPak when a
dialog box appears, click OK.
4) To estimate the regression, click Data Analysis under the Data tab
and select Regression when a dialog box appears. Set up the regression
for GOOGL as shown in the screenshot below. When you click OK,
regression results will appear on a new sheet.
5) Look at the sheet titled GOOGL to learn where to find alpha, market
beta, size beta, and value beta.
GOOGL Excess Return
0.008
-0.046
0.034
0.177
0.028
0.058
0.054
0.029
-0.083
-0.042
0.069
0.023
-0.009
0.005
0.010
-0.035
-0.033
-0.034
0.013
0.047
-0.014
-0.011
-0.006
-0.010
0.218
-0.015
-0.015
0.155
0.035
0.020
-0.022
-0.058
0.063
-0.072
0.058
-0.061
0.125
-0.002
0.018
0.007
-0.042
0.021
0.035
0.030
0.003
0.090
0.067
-0.059
0.016
0.009
0.018
0.060
0.002
0.016
0.121
-0.067
-0.062
-0.019
0.079
0.025
GOOGL
Regression Statistics
Multiple R
R Square
Adjusted R Square
Standard Error
Observations
0.63824375
0.407355084
0.375606249
0.047096152
60
ANOVA
df
Regression
Residual
Total
Intercept
Excess Return on the Market
Small-Minus-Big Return
High-Minus-Low Return
3
56
59
SS
0.085376326
0.124210664
0.20958699
MS
0.028458775
0.002218048
Coefficients
Standard Error
t Stat
0.004232635
0.006524889 0.648690633
1.062008581
0.213518363 4.973851266
-0.612626432
0.250743724 -2.44323735
-0.836663147
0.264810499 -3.159478765
alpha
market beta
size factor beta *
value factor beta **
F
12.83055227
P-value
0.519189778
6.57759E-06
0.017734333
0.00254852
p-value of alpha
p-value of market beta
p-value of size factor beta
p-value of value factor beta
* The higher the size factor beta, the stronger the exposure of the stock to the size factor. We
** The higher the value factor beta, the stronger the exposure of the stock to the value factor.
Significance F
1.72002E-06
Lower 95%
Upper 95%
Lower 95.0% Upper 95.0%
-0.00883829 0.017303559 -0.00883829 0.017303559
0.634279902 1.489737261 0.634279902 1.489737261
-1.11492647 -0.110326394 -1.11492647 -0.110326394
-1.367142321 -0.306183974 -1.367142321 -0.306183974
alpha is significant at the 5% level if its p-value is less that 0.05
market beta is significant at the 5% level if its p-value is less than 0.05
size factor beta is significant at the 5% level if its p-value is less than 0.05
value factor beta is significant at the 5% level if its p-value is less than 0.05
ck to the size factor. We would also expect smaller firms (measured by Market Cap) to have stronger exposure to the size factor.
stock to the value factor. We would also expect firms with low Price-to-Book ratio to have stronger exposure to the value factor.
e to the size factor.
to the value factor.
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attachment