Table V Fund index multi-factor...

Table V

Fund index multi-factor regression results

Variable	Coef	All	Balanced	Bond	EBond	Equity
α	Estimate	−0.0017	−0.003	−0.0015	−0.0011	0.0007
α	t-stat	−2.1016	−1.5376	−3.15	−1.2319	0.3017
BAll	Estimate	−0.1036	−1.3757	0.7933
BAll	t-stat	−0.5496	−3.0844	7.7201
BIST	Estimate	0.1249	0.2721			0.9004
BIST	t-stat	22.2208	20.457			67.6843
Bond91	Estimate	0.9115	2.2122	0.2531	0.1245	−0.0419
Bond91	t-stat	3.9098	4.0101	1.9589	1.5525	−0.2219
Curvature	Estimate	−0.1501	−0.5728	−0.1053	−0.1025
Curvature	t-stat	−3.2755	−5.2836	−3.9824	−2.4319
EBond	Estimate	0.0713	0.1203		0.7252
EBond	t-stat	3.8228	2.725		34.7642
EURUSD	Estimate	0.027	0.0445		0.1797
EURUSD	t-stat	2.0547	1.4318		11.9445
Momentum	Estimate	0.0006	−0.048			−0.0564
Momentum	t-stat	0.0653	−2.0976			−2.0225
Size	Estimate	−0.0085	−0.0563			0.0224
Size	t-stat	−0.7921	−2.2134			0.7239
Slope	Estimate	0.6353	1.7749	0.0247	0.027
Slope	t-stat	3.0551	3.6074	0.2085	0.5714
TIPS	Estimate	0.1427	0.2575	−0.0145
TIPS	t-stat	4.262	3.2508	−0.7518
USDTRY	Estimate	0.0605	0.0686		0.1238
USDTRY	t-stat	3.09	1.4789		6.0373
Value	Estimate	0.0039	−0.0283			0.0565
Value	t-stat	0.3358	−1.0269			1.6772
	R²	0.8992	0.8314	0.9747	0.9697	0.9667

Variable	Coef	All	Balanced	Bond	EBond	Equity
α	Estimate	−0.0017	−0.003	−0.0015	−0.0011	0.0007
α	t-stat	−2.1016	−1.5376	−3.15	−1.2319	0.3017
BAll	Estimate	−0.1036	−1.3757	0.7933
BAll	t-stat	−0.5496	−3.0844	7.7201
BIST	Estimate	0.1249	0.2721			0.9004
BIST	t-stat	22.2208	20.457			67.6843
Bond91	Estimate	0.9115	2.2122	0.2531	0.1245	−0.0419
Bond91	t-stat	3.9098	4.0101	1.9589	1.5525	−0.2219
Curvature	Estimate	−0.1501	−0.5728	−0.1053	−0.1025
Curvature	t-stat	−3.2755	−5.2836	−3.9824	−2.4319
EBond	Estimate	0.0713	0.1203		0.7252
EBond	t-stat	3.8228	2.725		34.7642
EURUSD	Estimate	0.027	0.0445		0.1797
EURUSD	t-stat	2.0547	1.4318		11.9445
Momentum	Estimate	0.0006	−0.048			−0.0564
Momentum	t-stat	0.0653	−2.0976			−2.0225
Size	Estimate	−0.0085	−0.0563			0.0224
Size	t-stat	−0.7921	−2.2134			0.7239
Slope	Estimate	0.6353	1.7749	0.0247	0.027
Slope	t-stat	3.0551	3.6074	0.2085	0.5714
TIPS	Estimate	0.1427	0.2575	−0.0145
TIPS	t-stat	4.262	3.2508	−0.7518
USDTRY	Estimate	0.0605	0.0686		0.1238
USDTRY	t-stat	3.09	1.4789		6.0373
Value	Estimate	0.0039	−0.0283			0.0565
Value	t-stat	0.3358	−1.0269			1.6772
	R²	0.8992	0.8314	0.9747	0.9697	0.9667

Notes: Dependent variable is AUM weighted fund category indices. Slope is defined as difference between BIST-KYD All Bonds Index and BIST-KYD 182 Day Bond Index. Curvature is generated as the return of a portfolio taking a unit long position in BIST-KYD All bonds index and BIST-KYD 182 day index and simultaneously holding two short positions in BIST-KYD 365 day bond index. USDTRY and EURUSD stand for exchange rates. TIPS is the return difference BIST-KYD All Bonds Index and BIST-KYD Inflation Linked Bonds Index. Size, Value and Momentum are factors from Fama and French (1993) and Carhart (1997) with two modifications. We remove any stock with negative book value, and use monthly re-balancing. Other covariates are defined in Table V

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