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.

Equity Factor Returns

Stock Market

Equity Factor Model

Fixed Income Factor Model

Fund Category

Time Period

R² Threshold

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)					82.4	-1.4	-24.4	11.6
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 MKT, SMB, HML and MOM factors
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