Fama French Factor regression of US ETFs and selected securities

flyingkiwiguy

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Sep 18, 2022
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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:
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Reda

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May 30, 2022
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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
wich output give this?
 

flyingkiwiguy

Moderator
Sep 18, 2022
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It is coded with the statistical programming language "R". Code and .csv files are attached as a zip file.

Here's some background on the Fama French factor model:

  1. Market Beta
  2. Market Alpha
  3. Fama French Three Factor Model

I'm just reporting above the market "Beta" factor above. As you can see bonds and Berkshire provide the least exposure to changes in the S&P. ARKK and BTC the most. Note however there's a large error in the Bitcoin regression.
 

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Reda

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May 30, 2022
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It is coded with the statistical programming language "R". Code and .csv files are attached as a zip file.

Here's some background on the Fama French factor model:

  1. Market Beta
  2. Market Alpha
  3. Fama French Three Factor Model

I'm just reporting above the market "Beta" factor above. As you can see bonds and Berkshire provide the least exposure to changes in the S&P. ARKK and BTC the most. Note however there's a large error in the Bitcoin regression.
Will be interesting to test it and run it . Nice work 👏