Employee Satisfaction Strategy

Alpha from CAPM (monthly)=

Beta from CAPM=

R-Squared=

Alpha from 3-factor Model (monthly)=

Beta on Market Factor=

Beta on size Factor=

Beta on Value Factor=

R-Squared=

I have a spreadsheet to go with the question. Let me know a way I can send the attachment to make it easier. Thanks!

yyyymm ret_RF ret_1yearlag_RF ret_2yearlag_RF ret_dropped_RF ret_year_before_added_RF Mkt_RF SMB HML 199802 8.291516 . . . 8.914111 7.03 0.01 -0.15 Returns in Columns B-F created using Fortune lists from Alex Edmans. 199803 6.092519 . . . 4.854949 4.76 -0.93 1.03 Returns in Columns G-I from Kenneth R. French Data Librabry. 199804 0.5344488 . . . 4.247181 0.73 0.22 0.78 199805 -4.378022 . . . -6.415591 -3.07 -3.75 4.15 199806 1.720631 . . . 4.71192 3.18 -3.14 -2.34 199807 -5.084651 . . . -3.600811 -2.46 -5.13 -0.98 199808 -16.60179 . . . -19.47449 -16.08 -5.3 3.39 199809 4.198792 . . . 15.87231 6.15 -0.14 -3.26 199810 6.35015 . . . 5.885649 7.13 -3.3 -2.2 199811 8.107208 . . . 5.280439 6.1 1.06 -3.13 199812 8.409484 . . . 5.577207 6.16 -0.34 -4.45 199901 2.482989 . . . 0.5194282 3.5 0.37 -4.03 199902 -5.366617 -2.87677 . -3.310492 -3.902207 -4.08 -5.64 1.37 199903 4.518166 5.450887 . 7.270904 9.57024 3.45 -3.93 -2.65 199904 6.486416 3.568297 . 2.864668 0.5038328 4.33 3.96 2.54 199905 0.6213464 0.1629007 . 0.924669 1.573546 -2.46 3.46 2.33 199906 6.437195 5.432928 . 4.619055 8.767651 4.77 3.04 -3.58 199907 -2.952836 -3.577733 . -4.088392 -4.631882 -3.47 2.66 -0.8 199908 -1.0186523 -1.3221074 . -0.6688481 0.818826 -1.38 -1.35 -1.27 199909 -1.769599 -2.817292 . -5.563995 0.5387454 -2.81 3.33 -3.37 199910 5.051225 2.619176 . -0.3387982 13.09508 6.13 -6.87 -2.98 199911 6.255267 3.823703 . 3.560011 5.611226 3.37 7.4 -6.51 199912 7.905234 4.56891 . 3.209459 10.59693 7.72 7.15 -8.68 200001 -5.410918 -4.04235 . -7.229894 -4.256919 -4.74 5.01 -0.45 200002 3.739952 5.05223 0.885386 7.159494 22.40688 2.45 22.08 -10.49 200003 11.10965 8.567471 8.92599 8.130803 5.933909 5.2 -17.17 7.86 200004 -6.448817 -5.038466 -2.354592 -3.684579 -4.746764 -6.4 -7.77 8.57 200005 -3.806532 -2.857683 -1.1212887 -1.1340753 -3.059893 -4.42 -4.94 2.39 200006 6.304718 3.533554 1.695838 1.145989 9.561576 4.64 13.95 -10.03 200007 -0.0217792 1.777671 2.118649 2.164925 -0.5521096 -2.51 -2.78 8.15 200008 6.524848 9.55241 6.306346 11.22089 11.85298 7.03 -1.11 -0.69 200009 -2.181035 -2.386165 -1.1237739 -2.680285 -1.1372365 -5.45 -1.4 6.23 200010 -0.0622886 2.242534 3.868648 6.053089 3.80861 -2.76 -3.77 5.55 200011 -9.873563 -8.809591 -5.813298 -9.182256 -7.866431 -10.72 -2.77 11.29 200012 3.411896 2.187201 3.414621 0.597705 6.318042 1.19 0.96 7.3 200101 6.910324 9.7861 4.425359 14.1374 -0.4611495 3.13 6.56 -4.88 200102 -12.95224 -12.21096 -10.74741 -10.277934 -1.862729 -10.05 -0.72 12.91 200103 -10.18609 -8.63828 -8.020531 -8.275771 -8.736607 -7.26 0.39 6.49 200104 12.02601 9.107025 8.685211 4.667399 2.37984 7.94 0.5 -4.69 200105 -1.1534098 0.422385 0.6217083 1.998606 4.55733 0.72 2.6 3.13 200106 -3.11532 -3.134182 -0.0839337 -0.8944683 4.834529 -1.94 6.03 -1.09 200107 -0.3514932 -1.305659 -0.2694998 -4.495768 -0.5106616 -2.13 -4.35 5.61 200108 -6.654495 -7.669569 -6.185834 -8.794517 0.952486 -6.46 2.5 2.56 200109 -16.55092 -16.25944 -17.23247 -13.20402 -6.755335 -9.25 -6.11 1.56 200110 9.660937 8.561757 6.812243 5.824086 5.863301 2.46 7.56 -8.02 200111 12.22793 12.20211 12.1492 12.72609 10.9452 7.54 -0.4 2 200112 4.520007 4.188099 5.417113 2.795847 2.150571 1.61 4.56 1.08 200201 1.64913 0.6851899 0.4918293 -0.517589 1.622973 -1.44 1.19 3.35 200202 -2.042734 -3.972044 -4.931914 -9.835344 0.2250313 -2.29 -1.14 2.51 200203 5.683248 6.398605 4.378569 6.426405 13.96795 4.24 4.26 1.11 200204 -4.771617 -6.226627 -7.461193 -8.608151 -6.073088 -5.2 5.94 3.92 200205 0.350948 -1.716661 -0.9507594 -6.193638 -3.088951 -1.38 -3.22 1.7 200206 -7.405107 -9.749891 -10.52563 -14.79566 -4.094837 -7.21 4.26 0.12 200207 -8.153118 -8.525348 -9.87216 -6.076957 -13.50697 -8.18 -5.37 -3.52 200208 -0.3212743 0.2919721 2.504843 3.073567 -1.316429 0.5 -2.43 2.53 200209 -8.781934 -11.56629 -11.92087 -15.83946 -14.45405 -10.35 2.55 1.26 200210 6.943616 10.70702 13.81422 23.83089 6.249904 7.84 -2.86 -5.4 200211 9.529999 12.82495 13.65007 14.68561 16.7625 5.96 2.95 -0.95 200212 -6.79393 -7.835803 -9.270693 -9.301343 -7.599841 -5.76 0 2.21 200301 -3.086292 -1.733447 0.3300304 6.240528 -2.160864 -2.57 1.44 -0.83 200302 -1.535596 -1.212283 -1.818402 -2.73685 0.5030691 -1.88 -0.35 -1.47 200303 2.324097 0.967857 1.761446 -1.0025443 2.142581 1.09 1 -1.93 200304 9.633621 8.881356 8.791563 9.013257 8.653597 8.22 0.61 1.11 200305 8.475593 8.198968 9.425408 7.957022 15.93528 6.05 4.84 -0.1 200306 1.743644 2.559259 2.960227 2.370754 2.408484 1.42 1.6 0.57 200307 3.061513 3.903227 4.890689 3.781716 -0.7128305 2.35 5.34 -1.02 200308 5.582223 4.649091 4.813701 3.220743 6.387634 2.34 2.65 2.1 200309 -0.4601543 -0.4529975 -0.6568459 -1.442274 -4.464624 -1.24 0.81 0.01 200310 8.190451 8.315817 9.65134 11.10798 9.322021 6.08 2.81 1.93 200311 1.562451 1.669326 1.253757 2.326551 4.332209 1.35 2.16 1.96 200312 2.862248 2.662638 1.24538 2.205505 0.3469247 4.29 -3.05 2.35 200401 5.982533 3.22273 4.120104 1.427931 1.327723 2.15 2.74 1.96 200402 2.015471 1.915739 2.010801 2.216396 2.313617 1.4 -1.43 0.48 200403 -0.7405594 -1.851491 -1.56826 -3.308318 2.457303 -1.32 1.77 0.25 200404 -2.769143 -1.904541 -1.643413 -2.453734 -0.9697753 -1.83 -2.12 -2.62 200405 2.490357 2.214447 1.929325 0.1294567 -1.617768 1.17 -0.19 -0.35 200406 1.076353 2.462595 1.751915 5.659816 -0.2572201 1.86 2.23 1.35 200407 -4.732179 -5.389606 -4.502006 -8.889207 -2.255584 -4.06 -3.8 4.09 200408 -0.1274788 -0.0443319 0.0612588 1.988192 2.094644 0.08 -1.59 0.96 200409 2.166548 1.781654 1.65603 -0.2449503 4.675198 1.6 3.05 -0.24 200410 4.244356 3.157971 3.218629 0.6061166 2.801694 1.43 0.33 -0.56 200411 3.817901 4.513909 3.236608 7.391217 3.639369 4.54 3.9 1.81 200412 5.296392 5.713473 4.606021 8.126425 1.399657 3.43 0.16 -0.04 200501 -3.680343 -5.288707 -4.757037 -6.480273 -3.536742 -2.76 -1.53 1.95 200502 3.061637 3.679924 2.080138 5.895298 2.769624 1.89 -0.49 1.65 200503 -0.2823869 -0.779711 -1.1671677 -3.195634 -3.030679 -1.97 -1.42 1.54 200504 -3.412177 -2.998019 -3.146452 -1.955446 -0.9927401 -2.61 -4 -0.35 200505 5.177653 5.508917 4.972252 5.751132 9.234096 3.65 2.87 -0.81 200506 0.902247 0.4390168 0.0471585 -1.913447 -2.483476 0.57 2.59 2.69 200507 4.964434 5.378516 4.719498 7.205491 5.587679 3.92 2.89 -0.54 200508 -1.554236 -2.636996 -1.1973018 -3.953408 0.1515868 -1.22 -0.93 1.27 200509 -0.4344907 -0.2433739 -0.4291315 -2.207459 1.626308 0.49 -0.58 0.76 200510 -3.05192 -1.0331054 -1.0466716 3.883369 -0.7203578 -2.02 -1.21 0.25 200511 3.726466 4.981593 3.662765 7.969938 2.465455 3.61 0.89 -1.19 200512 -0.3089048 0.3801861 0.609849 3.303449 -1.591354 -0.25 -0.49 0.4 200601 3.882547 3.819725 3.381651 1.975986 -3.790742 3.04 5.43 1.12 200602 -1.728634 -1.639483 -1.0782988 -2.728389 -2.323334 -0.3 -0.38 -0.25 200603 2.899163 1.819801 2.038106 -3.070272 1.547752 1.46 3.51 0.51 200604 -0.63611 -0.5112098 0.0882183 0.0406492 3.190431 0.73 -1.34 2.61 200605 -4.222127 -3.444496 -4.140747 -2.365698 -7.851714 -3.57 -3.03 2.57 200606 -0.0691411 -0.2002814 0.4383125 0.4467563 4.620794 -0.35 -0.38 0.86 200607 -2.066804 -1.3337324 -1.1137539 -0.3914499 -2.565823 -0.78 -4.07 2.92 200608 1.8231 2.347617 2.960131 3.434876 1.196271 2.03 0.92 -1.72 200609 2.219708 2.942419 2.786246 3.303673 3.092652 1.84 -1.36 0.03 200610 1.998853 1.832677 3.18855 1.489475 3.559363 3.23 1.75 -0.05 200611 1.757654 1.778624 1.094259 3.089364 1.695902 1.71 0.86 0.04 200612 0.2044918 0.464629 -0.0924419 0.0920841 -2.168808 0.87 -1.1 3.16 200701 1.317507 0.4499594 0.4522207 -0.3235444 3.224762 1.4 0.1 -0.13 200702 -2.010048 -1.526439 -1.871416 -0.6084943 -0.7507914 -1.96 1.32 -0.1 200703 -0.6989826 -0.7449272 0.2269632 -1.0425748 0.4611967 0.68 -0.06 -0.23 200704 1.896792 3.086683 3.563254 5.596775 0.3094302 3.49 -2.07 -1.15 200705 2.301604 2.233968 2.194262 3.00022 3.603438 3.24 -0.01 -0.07 200706 -3.924519 -3.340504 -3.663691 -0.9163916 -3.036755 -1.96 0.79 -1.11 200707 -5.794466 -6.584177 -6.284859 -7.383252 -4.677657 -3.73 -2.5 -3.34 200708 -0.5983457 -1.2303859 -0.7033728 -0.9565453 0.1742274 0.92 -0.1 -2.25 200709 1.325553 1.263383 1.544018 1.039682 5.095938 3.22 -2.28 -1.91 200710 1.249844 0.5091245 0.50468 -1.384096 1.006402 1.8 0.22 -2.62 200711 -7.383605 -6.969998 -6.1201 -4.308534 -5.278561 -4.83 -2.61 -1.18 200712 -3.637551 -4.346099 -2.50016 -6.776321 -1.799775 -0.87 0.19 -0.44 200801 -2.014859 -1.946637 -2.769231 -3.206516 -2.159292 -6.36 -0.87 3.69 200802 -3.175967 -3.978751 -4.846775 -6.23252 0.3264027 -3.09 -0.21 -0.88 200803 0.7878485 0.2905095 -0.6482417 0.2658265 -4.625383 -0.93 0.91 -0.18 200804 4.475084 3.534267 5.380397 0.6213209 10.43413 4.6 -1.65 -0.99 200805 1.297517 -0.4167955 -0.0036036 -5.640062 -2.681092 1.86 3.15 -1.49 200806 -9.873217 -10.64793 -11.20835 -8.986923 -9.508384 -8.44 1.32 -2.47 200807 0.516195 3.035064 2.950834 8.437068 2.154657 -0.77 2.44 5.89 200808 2.410428 3.719209 3.21456 5.585218 1.542207 1.53 3.61 1.57 200809 -7.392188 -3.722066 -4.000758 3.934216 -8.584669 -9.24 -1.11 6.26 200810 -19.91101 -18.41794 -19.65329 -14.2474 -14.19066 -17.23 -2.25 -2.75 200811 -11.09034 -12.79589 -11.09766 -17.32497 -12.4875 -7.86 -3.01 -5.85 200812 4.854109 4.517514 5.040354 4.664298 8.580793 1.74 3.62 -0.21 200901 -7.414004 -9.248263 -8.936205 -15.69967 -7.154201 -8.12 0.1 -11.25 200902 -8.715784 -9.582911 -9.056977 -10.38123 -8.182676 -10.1 0.15 -7.27 200903 13.49712 11.66501 11.2305 8.953221 8.892827 8.95 -0.1 3.62 200904 19.57125 20.09444 20.98143 17.16111 15.40697 10.19 4.74 5.44 200905 5.159274 5.718883 6.631326 4.536505 1.91169 5.21 -2.35 -0.14 200906 0.1658574 -0.1635781 -0.9315009 1.192165 2.750921 0.43 2.6 -2.66 200907 12.06553 11.5082 13.15197 7.022057 10.06593 7.72 2.05 5.22 200908 4.537136 3.982929 5.235769 1.303326 4.214104 3.33 -0.81 7.85 200909 7.198567 7.699023 5.074589 7.983662 2.987803 4.08 2.49 0.97 200910 -2.752294 -2.974982 -3.94617 -2.631926 -1.351941 -2.59 -4.29 -4.26 200911 4.216799 5.325994 4.701012 7.04126 10.91831 5.56 -2.48 -0.12 200912 5.693435 5.119158 5.520758 3.584981 -0.0833837 2.75 6.11 0 201001 -5.313553 -5.552043 -4.111187 -4.576773 -3.860642 -3.36 0.37 0.3 201002 5.274026 5.736403 3.581486 4.34028 5.032744 3.4 1.19 3.18 201003 5.783386 6.79745 6.669645 10.80279 8.070934 6.31 1.49 2.15 201004 4.007117 3.769891 3.455667 0.0784453 0.4443573 2 4.99 2.83 201005 -7.412878 -7.084891 -6.786068 -7.644624 -2.170198 -7.89 0 -2.41 201006 -5.83411 -6.77438 -6.635901 -6.897133 -5.514296 -5.56 -2.01 -4.52 201007 6.98612 6.807125 6.745236 8.033094 4.697447 6.93 0.21 -0.21 201008 -5.198561 -4.669329 -4.944196 -3.354885 -5.687994 -4.77 -2.99 -1.96 201009 10.52605 11.41797 9.714487 9.028734 10.57974 9.54 3.92 -3.12 201010 5.665927 5.598993 4.654414 6.650232 4.917963 3.88 1.14 -2.52 201011 1.125327 1.222509 0.7385497 2.034676 3.14341 0.6 3.68 -0.91 201012 6.325769 6.914394 7.026675 7.502486 3.465446 6.82 0.68 3.78 201101 1.298075 2.770799 2.697078 7.8241 -0.183371 1.99 -2.48 0.82 201102 3.938248 3.869278 4.717662 4.08208 5.329397 3.49 1.53 1.1 201103 -0.9054863 -0.9990643 -1.367249 0.5176434 -2.736404 0.45 2.58 -1.57 201104 2.29306 2.293905 1.642168 0.8536031 4.788063 2.9 -0.31 -2.53 201105 0.0879179 -0.2313377 -1.267759 0.5885015 -0.8144308 -1.27 -0.72 -2.09 201106 -1.752376 -1.339173 -1.986665 0.9541123 -3.527546 -1.75 -0.2 -0.33 201107 -1.103337 -1.548275 -2.388508 -5.56297 -4.711589 -2.36 -1.34 -1.16 201108 -6.653925 -6.767171 -7.636103 -4.794317 -11.71963 -5.99 -3.03 -2.4 201109 -7.766413 -7.710815 -9.046218 -7.329607 -7.323464 -7.59 -3.54 -1.37 201110 14.01739 14.33842 16.4686 13.04685 16.01893 11.35 3.44 -0.22 201111 -0.9386333 -0.8833098 -1.232621 1.430686 -1.604977 -0.28 -0.18 -0.42 201112 -0.0648993 0.048004 -0.7725421 -1.649198 -4.82267 0.74 -0.67 1.71 201201 5.442066 5.808882 6.477384 7.702471 11.70115 5.05 2.15 -1.11 201202 4.619248 4.160083 3.447041 2.735372 . 4.42 -1.72 0.11 201203 4.608226 4.175369 4.314348 5.713696 . 3.11 -0.63 0.89 201204 -2.504621 -2.588986 -2.639133 -2.690195 . -0.85 -0.54 -0.46 201205 -6.744842 -6.456607 -6.031472 -4.853001 . -6.19 0 -0.52 201206 1.951386 1.464923 2.066612 -1.30146 . 3.89 0.79 0.41 201207 0.7027765 0.8751965 0.8505064 4.400588 . 0.79 -2.6 -0.25 201208 3.140847 3.657442 3.465996 6.118675 . 2.55 0.39 1.34 201209 2.140105 1.965633 1.464985 1.375345 . 2.73 0.48 1.57 201210 -2.119478 -1.987116 -1.495071 -2.079735 . -1.76 -1.09 3.64 201211 1.13492 0.9568082 1.267438 0.3040569 . 0.78 0.54 -0.81 201212 0.9005164 0.6867611 1.072595 0.8870324 . 1.18 1.49 3.52 201301 6.085504 6.181635 6.066547 5.202936 . 5.57 0.44 0.95 201302 . 0.3798535 1.115068 . . 1.29 -0.43 0.11 201303 . 4.862095 4.403568 . . 4.03 0.84 -0.26 201304 . 0.9970948 1.430343 . . 1.56 -2.43 0.57 201305 . 4.237838 4.453186 . . 2.8 1.69 2.49 201306 . -0.0943755 0.1964841 . . -1.2 1.17 -0.13 201307 . 5.295069 5.267561 . . 5.65 1.88 0.61 201308 . -1.542227 -1.858765 . . -2.71 0.25 -2.77 201309 . 3.147305 2.773229 . . 3.77 2.94 -1.2 201310 . 5.245277 5.670933 . . 4.18 -1.52 1.1 201311 . 3.677553 2.905256 . . 3.12 1.25 0.26 201312 . 2.061885 1.421469 . . 2.81 -0.48 -0.31 201401 . -2.651524 -2.879322 . . -3.32 0.87 -2.13 201402 . . 4.354514 . . 4.65 0.34 -0.37 201403 . . 0.483882 . . 0.43 -1.85 5.03 201404 . . -0.7136591 . . -0.19 -4.19 1.1 201405 . . 3.482198 . . 2.06 -1.85 -0.36 201406 . . 3.699517 . . 2.61 3.01 -0.66 201407 . . -2.798765 . . -2.04 -4.22 -0.02 201408 . . 3.863529 . . 4.24 0.4 -0.55 201409 . . -1.47236 . . -1.97 -3.8 -1.19 201410 . . 2.645306 . . 2.52 4.28 -1.68 201411 . . 3.136419 . . 2.55 -2.05 -2.98 201412 . . -0.277206 . . -0.06 2.59 2.12 201501 . . -3.367824 . . -3.11 -0.51 -3.47