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.
Factor Analysis Results
Note: The time period was constrained by the available data for Avantis U.S. Small Cap Value ETF (AVUV) [Oct 2019 - Jun 2022].
Factor regression results for Avantis U.S. Small Cap Value ETF
Ticker
AVUV
Time Period
Oct 2019 - Apr 2022
Regression Basis
31 monthly samples
Coefficient of Determination (R2)
98.2%
Adjusted R2
97.9%
Regression F statistic
275.49 (p-value = 0.000)
Autocorrelation
No autocorrelation confirmed (Durbin-Watson test value is 1.819 with p-value 0.259)
Heteroscedasticity
No heteroscedasticity confirmed (Breusch-Pagan test value is 7.409 with p-value 0.192)
Factor
Loading
Standard Error
t-stat
p-value
95% Confidence Interval
Market (Rm-Rf)
1.06
0.051
20.798
0.000
0.952...1.161
Size (SMB)
0.89
0.100
8.887
0.000
0.682...1.093
Value (HML)
0.57
0.070
8.147
0.000
0.426...0.715
Profitability (RMW)
0.22
0.107
2.051
0.051
-0.001...0.440
Investment (CMA)
-0.12
0.119
-0.991
0.331
-0.363...0.127
Alpha (α)
17.51bps
0.003
0.673
0.507
-0.36%...0.71%
Annualized Alpha (α)
2.10%
SPDR S&P 600 Small Cap Value ETF
Factor regression results for SPDR S&P 600 Small Cap Value ETF
Ticker
SLYV
Time Period
Oct 2019 - Apr 2022
Regression Basis
31 monthly samples
Coefficient of Determination (R2)
99.1%
Adjusted R2
98.9%
Regression F statistic
555.78 (p-value = 0.000)
Autocorrelation
No autocorrelation confirmed (Durbin-Watson test value is 2.295 with p-value 0.764)
Heteroscedasticity
No heteroscedasticity confirmed (Breusch-Pagan test value is 4.613 with p-value 0.465)
Factor
Loading
Standard Error
t-stat
p-value
95% Confidence Interval
Market (Rm-Rf)
0.95
0.032
29.939
0.000
0.882...1.013
Size (SMB)
0.86
0.062
13.820
0.000
0.732...0.988
Value (HML)
0.43
0.044
9.755
0.000
0.336...0.516
Profitability (RMW)
0.02
0.067
0.335
0.740
-0.115...0.160
Investment (CMA)
0.06
0.074
0.760
0.455
-0.096...0.209
Alpha (α)
-24.01bps
0.002
-1.481
0.151
-0.57%...0.09%
Annualized Alpha (α)
-2.88%
Notes on results:
IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
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. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
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.