Fama-French Factor Regression Analysis

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:

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.

Portfolio Assets
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Factor Analysis Results

Factor Analysis Summary

Factor regression results
Name Ticker Start Date End Date Rm-Rf SMB HML MOM Alpha Annual Alpha R2
iShares S&P Small-Cap 600 Value ETF IJS Apr 2006 Jun 2019 0.96 0.84 0.38 -0.03 0.03% 0.39% 97.6%
iShares Russell 2000 Value ETF IWN Apr 2006 Jun 2019 0.95 0.79 0.48 0.01 -0.05% -0.66% 98.1%
Invesco S&P SmallCap 600 Pure Value ETF RZV Apr 2006 Jun 2019 1.06 1.20 0.71 -0.50 0.02% 0.28% 90.9%
Vanguard Small-Cap Value ETF VBR Apr 2006 Jun 2019 1.00 0.57 0.33 -0.07 0.01% 0.07% 97.8%

iShares S&P Small-Cap 600 Value ETF

Factor regression results for iShares S&P Small-Cap 600 Value ETF
Ticker IJS
Time Period Apr 2006 - Jun 2019
Coefficient of Determination (R2) 97.6%
Adjusted R2 97.5%
Regression F statistic 1,547.87 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.044 with p-value 0.598)
Heteroskedasticity Heteroscedasticity confirmed (Breusch-Pagan test value is 30.054 with p-value 0.000)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 0.96 0.019 51.823 0.000 0.926...0.999
Size (SMB) 0.84 0.033 25.534 0.000 0.773...0.903
Value (HML) 0.38 0.030 12.544 0.000 0.318...0.437
Momentum (MOM) -0.03 0.018 -1.708 0.090 -0.065...0.005
Alpha (α) 3.23bps 0.001 0.452 0.652 -0.11%...0.17%
Annualized Alpha (α) 0.39%  

iShares Russell 2000 Value ETF

Factor regression results for iShares Russell 2000 Value ETF
Ticker IWN
Time Period Apr 2006 - Jun 2019
Coefficient of Determination (R2) 98.1%
Adjusted R2 98.1%
Regression F statistic 2,033.30 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.249 with p-value 0.939)
Heteroskedasticity Heteroscedasticity confirmed (Breusch-Pagan test value is 10.449 with p-value 0.034)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 0.95 0.016 59.539 0.000 0.920...0.983
Size (SMB) 0.79 0.028 27.928 0.000 0.733...0.844
Value (HML) 0.48 0.026 18.567 0.000 0.430...0.532
Momentum (MOM) 0.01 0.015 0.808 0.420 -0.018...0.042
Alpha (α) -5.48bps 0.001 -0.891 0.374 -0.18%...0.07%
Annualized Alpha (α) -0.66%  

Invesco S&P SmallCap 600 Pure Value ETF

Factor regression results for Invesco S&P SmallCap 600 Pure Value ETF
Ticker RZV
Time Period Apr 2006 - Jun 2019
Coefficient of Determination (R2) 90.9%
Adjusted R2 90.7%
Regression F statistic 385.75 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.029 with p-value 0.561)
Heteroskedasticity Heteroscedasticity confirmed (Breusch-Pagan test value is 49.460 with p-value 0.000)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 1.06 0.054 19.596 0.000 0.950...1.163
Size (SMB) 1.20 0.095 12.554 0.000 1.008...1.384
Value (HML) 0.71 0.087 8.137 0.000 0.539...0.884
Momentum (MOM) -0.50 0.051 -9.672 0.000 -0.598...-0.395
Alpha (α) 2.36bps 0.002 0.114 0.910 -0.39%...0.43%
Annualized Alpha (α) 0.28%  

Vanguard Small-Cap Value ETF

Factor regression results for Vanguard Small-Cap Value ETF
Ticker VBR
Time Period Apr 2006 - Jun 2019
Coefficient of Determination (R2) 97.8%
Adjusted R2 97.7%
Regression F statistic 1,710.62 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.391 with p-value 0.993)
Heteroskedasticity Heteroscedasticity confirmed (Breusch-Pagan test value is 12.071 with p-value 0.017)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 1.00 0.017 58.706 0.000 0.971...1.039
Size (SMB) 0.57 0.030 18.747 0.000 0.507...0.627
Value (HML) 0.33 0.028 11.824 0.000 0.273...0.383
Momentum (MOM) -0.07 0.016 -4.267 0.000 -0.102...-0.037
Alpha (α) 0.61bps 0.001 0.093 0.926 -0.12%...0.14%
Annualized Alpha (α) 0.07%  
Notes on results:
  • Time frame for factor analysis is the full available data range unless a specific date interval is specified.
  • Results are based on multiple linear regression against monthly factor returns.
  • 4-factor model: Ra = Rrf + Bmkt × ( Rmkt - Rrf ) + Bsmb × SMB + Bhml × HML + Bmom × MOM + α
  • Symbols:
    Ra
    Asset return
    Rrf
    Risk free return
    Bmkt
    Market loading factor (exposure to market risk, different from CAPM beta)
    Rmkt
    Market return
    Bsmb
    Size loading factor (the level of exposure to size risk)
    SMB
    Small Minus Big: The size premium
    Bhml
    Value loading factor (the level of exposure to value risk)
    HML
    High Minus Low: The value premium
    Bmom
    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
    R2
    Coefficient of determination
  • Resources:

Factor Performance Attribution in Basis Points

Factor regression results
Monthly Factor Premiums (BPS) 70.79 0.31 -18.94 1.81  
Name Ticker Start Date End Date Annual Alpha Rm-Rf SMB HML MOM Total R2
iShares S&P Small-Cap 600 Value ETF IJS Apr 2006 Jun 2019 0.39% 68.14 0.26 -7.16 -0.05 64.41 97.6%
iShares Russell 2000 Value ETF IWN Apr 2006 Jun 2019 -0.66% 67.33 0.24 -9.11 0.02 53.00 98.1%
Invesco S&P SmallCap 600 Pure Value ETF RZV Apr 2006 Jun 2019 0.28% 74.78 0.37 -13.48 -0.90 63.14 90.9%
Vanguard Small-Cap Value ETF VBR Apr 2006 Jun 2019 0.07% 71.12 0.17 -6.22 -0.13 65.56 97.8%
Regression residuals
MonthIJSIWNRZVVBR
Apr 2006-0.0075-0.0086-0.0066-0.0119
May 2006-0.00100.0023-0.02520.0003
Jun 2006-0.00040.00660.02010.0096
Jul 2006-0.00540.01020.00380.0035
Aug 20060.00090.0077-0.0315-0.0052
Sep 20060.0007-0.0031-0.0007-0.0068
Oct 20060.00530.0046-0.0013-0.0000
Nov 2006-0.0050-0.0010-0.01090.0057
Dec 2006-0.0120-0.00760.0019-0.0121
Jan 20070.0028-0.00270.00790.0011
Feb 2007-0.0056-0.0072-0.00630.0018
Mar 2007-0.00000.0043-0.0075-0.0021
Apr 20070.0016-0.00850.0096-0.0069
May 20070.01060.0055-0.00770.0015
Jun 2007-0.0099-0.0093-0.0096-0.0076
Jul 20070.0035-0.01820.0214-0.0164
Aug 20070.00950.0181-0.01820.0113
Sep 2007-0.0037-0.00190.0025-0.0046
Oct 2007-0.00080.00100.00370.0053
Nov 2007-0.0019-0.0043-0.0008-0.0042
Dec 20070.0005-0.00700.0330-0.0020
Jan 20080.01010.01090.05340.0105
Feb 20080.00190.0025-0.01920.0121
Mar 20080.00910.00140.04360.0017
Apr 2008-0.00270.0121-0.04930.0111
May 2008-0.0017-0.0070-0.01640.0094
Jun 2008-0.0026-0.01410.0306-0.0211
Jul 2008-0.00990.0061-0.03310.0101
Aug 2008-0.00610.0014-0.0523-0.0091
Sep 20080.02460.03330.03930.0239
Oct 2008-0.0010-0.01460.0264-0.0191
Nov 20080.00670.01360.02480.0244
Dec 20080.01800.0106-0.05500.0040
Jan 2009-0.0201-0.0064-0.0666-0.0072
Feb 2009-0.0061-0.0093-0.0239-0.0130
Mar 2009-0.0269-0.01250.0253-0.0209
Apr 20090.0189-0.00300.13940.0239
May 2009-0.0272-0.0044-0.0264-0.0089
Jun 20090.0006-0.01330.0887-0.0076
Jul 2009-0.0036-0.00130.0247-0.0040
Aug 2009-0.0221-0.0097-0.04980.0017
Sep 2009-0.0231-0.0147-0.0107-0.0074
Oct 20090.01590.0152-0.05350.0046
Nov 2009-0.0032-0.0056-0.0146-0.0055
Dec 20090.00370.0022-0.01750.0088
Jan 20100.00070.00090.0099-0.0031
Feb 2010-0.0065-0.01170.02840.0012
Mar 2010-0.00200.00360.01280.0059
Apr 2010-0.0048-0.0036-0.01220.0068
May 2010-0.00130.0042-0.01020.0070
Jun 20100.00300.0026-0.0332-0.0020
Jul 20100.00010.00510.00890.0060
Aug 2010-0.00110.0039-0.00820.0044
Sep 2010-0.00360.0007-0.0022-0.0027
Oct 20100.00330.00540.02420.0001
Nov 2010-0.0084-0.00440.01060.0003
Dec 20100.0024-0.0045-0.0193-0.0105
Jan 2011-0.0046-0.0043-0.0246-0.0032
Feb 2011-0.00810.0008-0.00380.0010
Mar 20110.0025-0.00360.00700.0029
Apr 2011-0.00510.0039-0.00470.0045
May 20110.00790.01130.02950.0019
Jun 20110.0038-0.00510.0036-0.0000
Jul 20110.01020.00740.02740.0019
Aug 20110.01220.00230.01230.0032
Sep 20110.0010-0.00090.0073-0.0074
Oct 20110.01550.01140.00140.0104
Nov 20110.01260.00370.01500.0062
Dec 20110.01260.00450.01250.0003
Jan 20120.01380.0091-0.01200.0048
Feb 2012-0.0115-0.0135-0.0090-0.0095
Mar 20120.00080.0023-0.0073-0.0056
Apr 2012-0.0041-0.00080.00520.0056
May 2012-0.00840.00050.00270.0054
Jun 2012-0.00090.00540.0028-0.0010
Jul 20120.00880.00180.01650.0054
Aug 20120.00650.00140.0189-0.0043
Sep 2012-0.0057-0.00360.0024-0.0082
Oct 2012-0.0078-0.0072-0.03940.0047
Nov 20120.0075-0.00180.04510.0022
Dec 2012-0.00290.0030-0.0335-0.0007
Jan 2013-0.0078-0.0003-0.02080.0019
Feb 20130.00760.00150.01110.0065
Mar 2013-0.0029-0.0018-0.01400.0029
Apr 20130.00400.0022-0.0046-0.0030
May 2013-0.0088-0.02200.0174-0.0163
Jun 20130.0005-0.0017-0.0076-0.0067
Jul 2013-0.0063-0.0054-0.01510.0005
Aug 2013-0.0004-0.00720.0049-0.0071
Sep 20130.01020.00470.02550.0044
Oct 20130.0025-0.0009-0.00190.0020
Nov 20130.0010-0.00240.0227-0.0096
Dec 2013-0.0090-0.0005-0.00540.0030
Jan 2014-0.0023-0.0036-0.00020.0086
Feb 20140.00070.00110.01040.0038
Mar 20140.0046-0.0007-0.02150.0005
Apr 20140.00870.00560.00040.0082
May 20140.00290.00260.00840.0078
Jun 2014-0.0097-0.0006-0.01600.0024
Jul 20140.0041-0.00820.0168-0.0036
Aug 20140.00290.00340.00340.0089
Sep 2014-0.0039-0.01110.0095-0.0096
Oct 20140.01760.02100.00240.0047
Nov 20140.00900.00320.02290.0077
Dec 2014-0.0029-0.0025-0.0216-0.0020
Jan 2015-0.00460.0082-0.00060.0154
Feb 20150.0011-0.00620.0208-0.0039
Mar 2015-0.00190.00660.00180.0107
Apr 2015-0.0086-0.0112-0.0084-0.0134
May 2015-0.0062-0.00590.00700.0037
Jun 2015-0.0012-0.00170.0028-0.0111
Jul 20150.01120.00870.04590.0191
Aug 2015-0.0031-0.0073-0.0062-0.0007
Sep 20150.01340.01270.01850.0120
Oct 20150.0063-0.00160.0002-0.0030
Nov 2015-0.0088-0.0016-0.0127-0.0099
Dec 20150.00410.00110.0225-0.0005
Jan 20160.01720.0061-0.00680.0072
Feb 20160.01500.00370.01920.0098
Mar 20160.01360.00520.00210.0070
Apr 2016-0.0079-0.0072-0.0255-0.0073
May 2016-0.00350.0119-0.04950.0048
Jun 20160.00980.00670.02460.0058
Jul 2016-0.00690.0011-0.0128-0.0071
Aug 2016-0.0171-0.0048-0.0480-0.0176
Sep 2016-0.0056-0.00330.0058-0.0066
Oct 20160.00250.00260.00890.0023
Nov 20160.00730.0029-0.0217-0.0084
Dec 2016-0.00010.0076-0.0218-0.0022
Jan 2017-0.0129-0.0054-0.02450.0007
Feb 20170.00140.0048-0.0118-0.0002
Mar 2017-0.0071-0.0038-0.0259-0.0062
Apr 2017-0.0051-0.0034-0.0136-0.0052
May 20170.0022-0.0028-0.0058-0.0075
Jun 2017-0.00200.0030-0.0075-0.0009
Jul 20170.00180.0017-0.01620.0006
Aug 2017-0.0063-0.00270.02970.0022
Sep 20170.0107-0.00280.0009-0.0131
Oct 20170.0008-0.00620.0298-0.0008
Nov 20170.01190.00460.01560.0028
Dec 2017-0.0056-0.0105-0.0167-0.0010
Jan 2018-0.0101-0.01140.0029-0.0135
Feb 2018-0.0034-0.01270.0155-0.0068
Mar 20180.00190.0026-0.01480.0077
Apr 20180.00200.0036-0.0015-0.0082
May 20180.00060.00570.01770.0004
Jun 20180.00010.0013-0.0012-0.0032
Jul 20180.00970.0021-0.01410.0010
Aug 20180.0029-0.00070.0316-0.0021
Sep 2018-0.0081-0.00120.0001-0.0012
Oct 2018-0.00180.00340.0086-0.0012
Nov 2018-0.00730.0038-0.04890.0075
Dec 2018-0.0063-0.00450.00620.0006
Jan 20190.01350.0077-0.00200.0037
Feb 20190.00060.0030-0.00460.0024
Mar 2019-0.00940.00410.01050.0006
Apr 20190.00860.0019-0.0213-0.0016
May 2019-0.01360.0029-0.00530.0065
Jun 20190.0081-0.00360.0030-0.0032