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.
|Time Period||Jan 2020 - Oct 2021|
|Regression Basis||22 monthly samples|
|Coefficient of Determination (R2)||71.8%|
|Regression F statistic||8.14 (p-value = 0.001)|
|Autocorrelation||No autocorrelation confirmed (Durbin-Watson test value is 2.146 with p-value 0.631)|
|Heteroscedasticity||No heteroscedasticity confirmed (Breusch-Pagan test value is 6.035 with p-value 0.303)|
|Factor||Loading||Standard Error||t-stat||p-value||95% Confidence Interval|
|Annualized Alpha (α)||3.10%|
|Monthly Factor Premiums (BPS)||204.95||34.32||-70.86||38.09||-22.36|
|Name||Ticker||Start Date||End Date||Annual Alpha||Rm-Rf||SMB||HML||RMW||CMA||Total||R2|
|RPAR Risk Parity ETF||RPAR||Jan 2020||Oct 2021||3.10%||110.43||-10.14||-0.87||-13.39||-1.02||110.89||71.8%|