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

Innovator IBD 50 ETF

Factor regression results for Innovator IBD 50 ETF
Ticker FFTY
Time Period May 2015 - Aug 2021
Regression Basis 76 monthly samples
Coefficient of Determination (R2) 83.2%
Adjusted R2 81.7%
Regression F statistic 56.85 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 1.889 with p-value 0.313)
Heteroscedasticity No heteroscedasticity confirmed (Breusch-Pagan test value is 9.964 with p-value 0.126)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 1.16 0.081 14.223 0.000 0.994...1.318
Size (SMB) 0.73 0.169 4.302 0.000 0.391...1.066
Value (HML-DEV) -0.46 0.119 -3.842 0.000 -0.692...-0.219
Momentum (MOM) 0.24 0.133 1.809 0.075 -0.025...0.505
Quality (QMJ) -0.07 0.150 -0.439 0.662 -0.365...0.233
Bet Against Beta (BAB) -0.06 0.112 -0.538 0.593 -0.285...0.164
Alpha (α) -36.59bps 0.003 -1.183 0.241 -0.98%...0.25%
Annualized Alpha (α) -4.39%  
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: 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
    Bqmj
    Quality loading factor
    QMJ
    Quality Minus Junk factor
    Bbab
    Bet Against Beta loading factor
    BAB
    Betting Against Beta factor
    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

Factor Performance Attribution in Basis Points

Factor regression results
Monthly Factor Premiums (BPS) 112.94 -1.06 -28.00 20.01 39.43 63.89  
Name Ticker Start Date End Date Annual Alpha Rm-Rf SMB HML-DEV MOM QMJ BAB Total R2
Innovator IBD 50 ETF FFTY May 2015 Aug 2021 -4.39% 130.52 -0.77 12.76 4.81 -2.59 -3.86 104.28 83.2%
Regression residuals
MonthFFTY
May 20151.50%
Jun 2015-0.16%
Jul 2015-2.43%
Aug 2015-3.04%
Sep 20152.17%
Oct 2015-0.69%
Nov 2015-0.72%
Dec 2015-2.96%
Jan 20162.05%
Feb 2016-0.54%
Mar 20160.95%
Apr 20161.11%
May 2016-0.28%
Jun 2016-0.64%
Jul 20162.07%
Aug 20160.75%
Sep 20160.12%
Oct 20160.65%
Nov 20163.56%
Dec 20160.65%
Jan 20170.33%
Feb 2017-0.85%
Mar 20171.04%
Apr 20171.20%
May 20173.12%
Jun 2017-2.46%
Jul 20175.31%
Aug 20173.68%
Sep 20170.50%
Oct 20172.64%
Nov 2017-2.00%
Dec 2017-0.28%
Jan 2018-1.83%
Feb 2018-1.24%
Mar 20181.57%
Apr 2018-0.47%
May 2018-0.29%
Jun 2018-1.72%
Jul 2018-2.17%
Aug 20182.36%
Sep 20182.56%
Oct 2018-4.98%
Nov 2018-2.60%
Dec 20181.15%
Jan 20192.84%
Feb 2019-0.46%
Mar 20191.19%
Apr 20191.27%
May 2019-1.52%
Jun 2019-0.91%
Jul 20190.67%
Aug 2019-1.28%
Sep 2019-2.90%
Oct 2019-0.24%
Nov 20191.55%
Dec 2019-3.67%
Jan 2020-0.42%
Feb 2020-0.83%
Mar 20200.25%
Apr 2020-5.67%
May 2020-1.73%
Jun 20202.40%
Jul 2020-1.14%
Aug 2020-3.60%
Sep 2020-1.38%
Oct 2020-0.85%
Nov 20200.20%
Dec 2020-3.48%
Jan 20212.39%
Feb 20216.99%
Mar 2021-1.66%
Apr 20212.89%
May 2021-1.19%
Jun 2021-3.41%
Jul 2021-0.05%
Aug 20215.06%