Mutual Fund and ETF Factor Performance Attribution
The table on this page shows the factor performance attribution results for mutual funds and ETFs. You can filter the data set based on factor series, geographic market area, factor model, time period and regression fit. You can also run the regression analysis for a specific ticker and time period using the desired factor model and factor data set.
Fund Performance Attribution in Basis Points per Month » Download as CSV or Excel
Table of mutual fund and ETF factor performance attribution
| Monthly Factor Premiums (BPS) |
95.2 |
10.1 |
-10.7 |
24.8 |
|
| Ticker |
Name |
Start Date |
End Date |
Annual Alpha |
MKT-RF |
SMB |
HML |
MOM |
Total |
R2 |
Notes on results:
- Results are based on multiple linear regression against monthly factor returns.
- Fama-French U.S. research factors data is used for the monthly factor returns
- See methodology section of the FAQ regarding fixed income factor model details.
- Statistically significant factors and alpha are in bold.
- Symbols:
- MKT-RF
- Market premium exposure
- SMB
- Size premium exposure
- HML
- Value premium exposure
- MOM
- Momentum premium exposure