Mutual Fund and ETF Factor Performance Attribution

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Fund Performance Attribution in Basis Points per Month Excel

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Table of mutual fund and ETF factor performance attribution
Monthly Factor Premiums (BPS) 102.1 17.9 90.4  
Ticker Name Start Date End Date Annual Alpha MKT-RF SMB HML Total R2
Notes and Disclosures
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Refer to the documentation regarding the list of factor data sources and methodology descriptions
  • Results are based on multiple linear regression against monthly factor returns.
  • Statistically significant factors and alpha are in bold.
  • Symbols:
    Market factor exposure
    Size factor exposure
    Value factor exposure