Mutual Fund and ETF Factor Regressions
The table on this page shows the factor regression analysis results for mutual funds and ETFs. You can filter the data set based on factor series, geographic market area, factor model, time period and regression fit. You can also run the regression analysis for a specific ticker and time period using the desired factor model and factor data set or view the factor performance attribution for mutual funds and ETFs.
Factor Regressions » Download as CSV or Excel
Table of mutual fund and ETF factor regressions
Notes on results:
- Results are based on multiple linear regression against monthly factor returns.
- Fama-French U.S. research factors data is used for the MKT, SMB, HML and MOM factors
- See methodology section of the FAQ regarding fixed income factor model details.
- Statistically significant factors and alpha are in bold.
- Market premium exposure
- Size premium exposure
- Value premium exposure
- Momentum premium exposure