Sources: NBIM, Fama-French Data Library
Monthly fund returns regressed against a benchmark.
If "Factor model" is selected, the fund's returns are regressed against the Fama-French factors.
For fixed income portfolios, the fund's returns are regressed against the spread between Baa and 10 year fed bonds.
CAPM is the most robust model.
- If alpha>0, the fund is outperforming the benchmark on average.
- If p-value>0.1, the performance is not statistically significant. That means the fund's performance could be due to luck.
- If p-value<0.1, the performance is statistically significant. That means the fund's performance is likely due to skill.
- If beta>1, the fund is more volatile than the benchmark.
About this chart
Excess returns, one point per month
Each point is one month: the fund's return above the risk-free rate (y-axis) against the benchmark's excess return (x-axis). The line is the model's fitted relationship. Hover a point or the line to see what it means.
| Variable | Coef. | Std. err | t-stat | p-value | Sign. |
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