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Consider the following results from two different factor regressions of the same U.S. Eq- uity ETF. The first regression results are the Fama-French Three-Factor Model,

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Consider the following results from two different factor regressions of the same U.S. Eq- uity ETF. The first regression results are the Fama-French Three-Factor Model, and the second set of results are the Four-Factor Model (sometimes known as the Carhart Model). These regressions were estimated with Portfolio Visualizer. Both models are analyzing the same investment over the same time period. Three-Factor Model: Time Period May 2013 - Aug 2020 Regression Basis 88 monthly samples Coefficient of Determination (R2) 89.2% Adjusted R2 88.8% Regression F statistic 232.04 (p-value = 0.000) Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 1.896 with p-value 0.317) Heteroscedasticity Heteroscedasticity confirmed (Breusch-Pagan test value is 15.538 with p-value 0.001) Factor Loading Standard Error -stat p-value 95% Confidence Interval Market (Rm-Rf) 0.95 0.037 25.539 0.000 0.875...1.023 Size (SMB) -0.14 0.062 -2.256 0.027 -0.262...-0.017 Value (HML) -0.33 0.050 -6.662 0.000 -0.429...-0.232 Alpha (a) 8.25bps 0.002 0.545 0.587 -0.22%...0.38% Annualized Alpha (a) 0.99% Four-Factor Model: Time Period May 2013 - Aug 2020 Regression Basis 88 monthly samples Coefficient of Determination (R?) 93.1% Adjusted R2 92.8% Regression F statistic 282.09 (p-value = 0.000) Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.193 with p-value 0.824) Heteroscedasticity Heteroscedasticity confirmed (Breusch-Pagan test value is 11.129 with p-value 0.025) Factor Loading Standard Error t-stat p-value 95% Confidence Interval Market (Rm-Rf) 1.01 0.031 32.510 0.000 0.944...1.067 Size (SMB) -0.11 0.050 2.172 0.033 -0.207...-0.009 Value (HML) -0.16 0.047 -3.489 0.001 -0.256...-0.070 Momentum (MOM) 0.28 0.040 6.887 0.000 0.198...0.358 Alpha (a) 2.50bps 0.001 0.205 0.838 -0.22%...0.27% Annualized Alpha (a) 0.30%

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