Can't attach code... Linear regression of major USA ETFs against Fama French beta factor - http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html#Research
Code:
asset factor estimate std.error p.value description
<chr> <chr> <dbl> <dbl> <dbl> <chr>
1 SPY Beta 1 0.01 1.5e-167 S&P500
2 QQQ Beta 1.12 0.03 9.1e- 84 Nasdaq
3 MTUM Beta 1.05 0.03 2.3e- 56 USA Momentum
4 VLUE Beta 0.98 0.03 4.5e- 50 USA Value
5 USMV Beta 0.8 0.04 1.1e- 43 S&P500 Min. Volatility
6 HYG Beta 0.42 0.04 2.5e- 22 High yeild bonds
7 ARKK Beta 1.51 0.13 1.6e- 19 ARK Innovation
8 BRK-A Beta 0.67 0.07 1.4e- 18 Berkshire
9 VXX Beta -3.23 0.34 2.5e- 12 S&P Volatility
10 USO Beta 1.05 0.2 3 e- 7 US Oil Fund
11 SPYC Beta 0.99 0.12 6.1e- 7 S&P500 + Convexity
12 BTC-USD Beta 1.77 0.56 2.4e- 3 Bitcoin
13 TLT Beta -0.14 0.07 3.7e- 2 20+ Year Treasury Bond
Last edited: