This factor regression tool supports factor regression analysis of individual assets or a portfolio of assets using the given risk factor model. The multiple linear regression indicates how well the returns of the given assets or a portfolio are explained by the risk factor exposures. The supported equity risk factor models include:

- The capital asset pricing model (CAPM) with market factor (MKT)
- The Fama-French three factor model with market, size, and value factors (MKT, SMB, HML)
- The Carhart four-factor model with market, size, value, and momentum factors (MKT, SMB, HML, MOM)
- The Fama-French five factor model with market, size, value, profitability, and investment factors (MKT, SMB, HML, RMW, CMA)
- The q-factor model with market, size, investment, return on equity, and expected growth factors (MKT, ME, I/A, ROE, EG)

Additional supported equity factors include the short and long-term reversal factors (STREV, LTREV) based on Fama-French factor data, quality (QMJ) factor based on both AQR and Alpha Architect factor data, and bet against beta (BAB) factor based on AQR factor data.

For fixed income funds and balanced funds you can include the fixed income factor model to explain returns based on term risk (interest rate risk) and credit risk exposures. The fixed income factors can be further adjusted to account for the yield curve and to add high yield credit risk as an additional factor.

Ticker | Name | Allocation |
---|---|---|

MTUM | iShares MSCI USA Momentum Factor ETF | 11.00% |

VOE | Vanguard Mid-Cap Value ETF | 15.00% |

FNDA | Schwab Fundamental US Small Company ETF | 25.00% |

FNDF | Schwab Fundamental Intl Lg Co ETF | 22.00% |

FNDC | Schwab Fundamental Intl Sm Co ETF | 14.00% |

FNDE | Schwab Fundamental Emerg Mkts Lg Co ETF | 13.00% |

Save portfolio » |

Time Period | Sep 2013 - Jan 2016 | ||||
---|---|---|---|---|---|

Regression Basis | 29 monthly samples | ||||

Coefficient of Determination (R^{2}) |
96.6% | ||||

Adjusted R^{2} |
96.0% | ||||

Regression F statistic | 170.50 (p-value = 0.000) | ||||

Autocorrelation | No autocorrelation confirmed (Durbin-Watson test value is 2.720 with p-value 0.980) | ||||

Heteroscedasticity | No heteroscedasticity confirmed (Breusch-Pagan test value is 6.479 with p-value 0.166) | ||||

Factor | Loading | Standard Error | t-stat | p-value | 95% Confidence Interval |

Market (Rm-Rf) | 1.03 | 0.042 | 24.177 | 0.000 | 0.939...1.114 |

Size (SMB) | 0.15 | 0.089 | 1.683 | 0.105 | -0.034...0.332 |

Value (HML) | 0.19 | 0.137 | 1.389 | 0.177 | -0.092...0.472 |

Momentum (MOM) | 0.06 | 0.075 | 0.828 | 0.416 | -0.093...0.218 |

Alpha (α) | -2.17bps | 0.002 | -0.141 | 0.889 | -0.34%...0.29% |

Annualized Alpha (α) | -0.26% |

Weight | Rm-Rf | t(Rm-Rf) | SMB | t(SMB) | HML | t(HML) | MOM | t(MOM) | Annual Alpha | t(Alpha) | R^2 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|

Intl Developed | 100.00% | 0.95 | 12.71 | 0.11 | 1.25 | 0.02 | 0.16 | -0.11 | -1.29 | -2.89% | -0.98 | 90.14% |

iShares MSCI USA Momentum Factor ETF | 11.00% | 0.93 | 16.12 | -0.14 | -2.01 | -0.27 | -2.35 | 0.19 | 2.77 | 2.36% | 1.03 | 93.36% |

Vanguard Mid-Cap Value ETF | 15.00% | 0.95 | 21.54 | 0.16 | 2.98 | 0.08 | 0.86 | 0.00 | 0.08 | 1.11% | 0.64 | 96.18% |

Schwab Fundamental US Small Company ETF | 25.00% | 1.04 | 24.79 | 0.54 | 10.66 | 0.22 | 2.54 | 0.05 | 0.97 | -0.49% | -0.29 | 97.58% |

Schwab Fundamental Intl Lg Co ETF | 22.00% | 1.00 | 7.30 | -0.19 | -1.14 | -0.13 | -0.48 | -0.17 | -1.09 | -7.99% | -1.48 | 74.85% |

Schwab Fundamental Intl Sm Co ETF | 14.00% | 0.77 | 5.88 | 0.11 | 0.70 | -0.10 | -0.39 | -0.12 | -0.79 | -1.54% | -0.29 | 67.30% |

Schwab Fundamental Emerg Mkts Lg Co ETF | 13.00% | 0.89 | 4.16 | -0.05 | -0.18 | 0.24 | 0.57 | -0.70 | -2.79 | -9.39% | -1.11 | 64.60% |

Factor regressions from September 2013 to January 2016. Statistically significant values in bold. |

Notes on results:

- Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
- Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
- The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
- The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
- The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
- Refer to the FAQ section regarding the list of factor data sources and methodology descriptions
- Results are based on multiple linear regression against monthly factor returns.
- 4-factor model: R
_{a}= R_{rf}+ B_{mkt}× ( R_{mkt}- R_{rf}) + B_{smb}× SMB + B_{hml}× HML + B_{mom}× MOM + α - Symbols:
- R
_{a} - Asset return
- R
_{rf} - Risk free return
- B
_{mkt} - Market loading factor (exposure to market risk, different from CAPM beta)
- R
_{mkt} - Market return
- B
_{smb} - Size loading factor (the level of exposure to size risk)
- SMB
- Small Minus Big: The size premium
- B
_{hml} - Value loading factor (the level of exposure to value risk)
- HML
- High Minus Low: The value premium
- B
_{mom} - Momentum loading factor (the level of exposure to momentum)
- MOM
- Up Minus Down: The momentum premium
- Alpha
- Excess return over the benchmark
- t-stat
- t-statistic is a ratio of the departure of an estimated parameter from its notional value and its standard error
- p-value
- p-value measures the statistical significance of the estimated parameter
- R
^{2} - Coefficient of determination

- R

Monthly Factor Premiums (BPS) | 33.29 | -22.87 | -53.49 | 130.66 | |||||
---|---|---|---|---|---|---|---|---|---|

Name | Start Date | End Date | Annual Alpha | Rm-Rf | SMB | HML | MOM | Total | R^{2} |

Portfolio | Sep 2013 | Jan 2016 | -0.26% | 34.18 | -3.41 | -10.15 | 8.17 | 26.62 | 96.6% |

Month | Portfolio |
---|---|

Sep 2013 | 0.43% |

Oct 2013 | 0.19% |

Nov 2013 | -0.23% |

Dec 2013 | 0.01% |

Jan 2014 | -1.19% |

Feb 2014 | 0.29% |

Mar 2014 | 0.22% |

Apr 2014 | -0.00% |

May 2014 | 0.22% |

Jun 2014 | -0.01% |

Jul 2014 | -0.58% |

Aug 2014 | 0.51% |

Sep 2014 | -0.76% |

Oct 2014 | 1.59% |

Nov 2014 | -0.33% |

Dec 2014 | -0.10% |

Jan 2015 | 0.35% |

Feb 2015 | 0.47% |

Mar 2015 | 0.06% |

Apr 2015 | -1.08% |

May 2015 | -0.52% |

Jun 2015 | 0.21% |

Jul 2015 | -0.66% |

Aug 2015 | 0.62% |

Sep 2015 | -0.21% |

Oct 2015 | -0.18% |

Nov 2015 | 0.64% |

Dec 2015 | -1.21% |

Jan 2016 | 1.24% |