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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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Factor Analysis Results

IQ Hedge Multi-Strategy Tracker ETF

Factor regression results for IQ Hedge Multi-Strategy Tracker ETF
Ticker QAI
Time Period Feb 2010 - Apr 2018
Regression Basis 99 monthly samples
Coefficient of Determination (R2) 76.1%
Adjusted R2 74.8%
Regression F statistic 59.10 (p-value = 0.000)
Autocorrelation No autocorrelation confirmed (Durbin-Watson test value is 2.389 with p-value 0.976)
Heteroscedasticity No heteroscedasticity confirmed (Breusch-Pagan test value is 5.154 with p-value 0.397)
Factor Loading Standard Error t-stat p-value 95% Confidence Interval
Market (Rm-Rf) 0.27 0.027 10.098 0.000 0.217...0.323
Size (SMB) -0.04 0.049 -0.758 0.450 -0.134...0.060
Value (HML) -0.09 0.043 -2.178 0.032 -0.177...-0.008
Term Risk (TRM) 0.08 0.027 2.961 0.004 0.027...0.136
Credit Risk (CDT) 0.15 0.054 2.720 0.008 0.040...0.254
Alpha (α) -14.52bps 0.001 -2.143 0.035 -0.28%...-0.01%
Annualized Alpha (α) -1.74%  
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.
  • 3-factor model: Ra = Rrf + Bmkt × ( Rmkt - Rrf ) + Bsmb × SMB + Bhml × HML + 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
    Bt
    Term risk loading factor
    Bc
    Credit risk loading 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) 90.21 3.84 -7.71 50.71 32.36  
Name Ticker Start Date End Date Annual Alpha Rm-Rf SMB HML TRM CDT Total R2
IQ Hedge Multi-Strategy Tracker ETF QAI Feb 2010 Apr 2018 -1.74% 24.38 -0.14 0.71 4.12 4.75 19.30 76.1%
Regression residuals
MonthQAI
Feb 2010-0.19%
Mar 20100.61%
Apr 2010-0.45%
May 2010-1.52%
Jun 20101.59%
Jul 20100.27%
Aug 20100.47%
Sep 2010-0.21%
Oct 2010-0.19%
Nov 2010-0.52%
Dec 2010-0.57%
Jan 2011-1.12%
Feb 2011-0.77%
Mar 20110.83%
Apr 20110.22%
May 20110.20%
Jun 2011-0.15%
Jul 20110.44%
Aug 20111.14%
Sep 2011-0.21%
Oct 2011-0.78%
Nov 20110.54%
Dec 2011-0.05%
Jan 2012-0.02%
Feb 2012-0.03%
Mar 2012-0.35%
Apr 2012-0.39%
May 20120.81%
Jun 2012-0.37%
Jul 20120.12%
Aug 20120.16%
Sep 2012-0.07%
Oct 20120.24%
Nov 20120.08%
Dec 2012-0.51%
Jan 2013-0.26%
Feb 2013-0.11%
Mar 20130.18%
Apr 2013-0.26%
May 20130.87%
Jun 2013-1.21%
Jul 20130.54%
Aug 2013-0.20%
Sep 20130.91%
Oct 20130.39%
Nov 20130.46%
Dec 20130.07%
Jan 2014-0.31%
Feb 20140.57%
Mar 2014-0.19%
Apr 2014-0.09%
May 20140.66%
Jun 20140.57%
Jul 2014-0.65%
Aug 20140.93%
Sep 2014-0.41%
Oct 2014-0.10%
Nov 20140.42%
Dec 2014-0.76%
Jan 2015-1.88%
Feb 20152.36%
Mar 20150.24%
Apr 20150.21%
May 20150.27%
Jun 2015-0.11%
Jul 2015-0.94%
Aug 20150.58%
Sep 2015-0.02%
Oct 2015-1.14%
Nov 2015-0.34%
Dec 2015-0.33%
Jan 20160.34%
Feb 20160.41%
Mar 2016-0.09%
Apr 20160.39%
May 2016-0.50%
Jun 20160.51%
Jul 2016-0.68%
Aug 2016-0.06%
Sep 2016-0.05%
Oct 2016-0.06%
Nov 2016-0.35%
Dec 20160.09%
Jan 2017-0.54%
Feb 20170.27%
Mar 2017-0.32%
Apr 2017-0.51%
May 2017-0.63%
Jun 20170.37%
Jul 20170.31%
Aug 20170.22%
Sep 2017-0.16%
Oct 20170.19%
Nov 20170.07%
Dec 2017-0.19%
Jan 20180.72%
Feb 20180.17%
Mar 2018-0.05%
Apr 2018-0.04%