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) 73.6 -10.9 12.0 10.6  
Ticker Name Start Date End Date Annual Alpha MKT-RF SMB HML MOM Total R2
Notes on results: