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Match Factor Exposure

Match Factor Exposure Overview

This tool allows you to match the factor exposures or performance of the given asset or portfolio using a combination of assets from the given list. The tool finds the combination of the given assets that most closely clones the factor exposures of the target asset or portfolio based on the selected time period and factor model. The closest match based on past performance is also displayed for comparison purposes.

Model Configuration

Target Portfolio
Allocation
Asset 1
%
Asset 2
%
Asset 3
%
Asset 4
%
Asset 5
%
Asset 6
%
Asset 7
%
Asset 8
%
Asset 9
%
Asset 10
%
Total
%

Factor Match Results (Oct 2011 - Jun 2026)

Target Asset

Ticker Name Allocation
TILT Northern Trust Mstar US Mkt Fac Tlt ETF 100.00%
FlexShares Mstar US Mkt Factors Tilt ETF (TILT) Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 1.02 143.921 0.000
Size (SMB) 0.18 15.037 0.000
Value (HML) 0.16 19.076 0.000
Alpha (α) -7.63bps -2.556 0.011
Annualized Alpha (α) -0.92%  

Factor Exposure Clone

Ticker Name Allocation
SPY State Street SPDR S&P 500 ETF 69.64%
IJS iShares S&P Small-Cap 600 Value ETF 30.36%
Factor Exposure Clone Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 0.99 136.771 0.000
Size (SMB) 0.17 13.876 0.000
Value (HML) 0.18 20.779 0.000
Alpha (α) -2.20bps -0.719 0.473
Annualized Alpha (α) -0.26%  

Returns Based Clone

Ticker Name Allocation
SPY State Street SPDR S&P 500 ETF 70.58%
IJS iShares S&P Small-Cap 600 Value ETF 29.42%
Returns Based Clone Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 0.99 138.885 0.000
Size (SMB) 0.16 13.302 0.000
Value (HML) 0.18 20.501 0.000
Alpha (α) -2.13bps -0.709 0.479
Annualized Alpha (α) -0.26%  

Match Summary

NameDescriptionRm-RfSMBHMLAlphaAnnual AlphaR2F-statF-stat p-valueReturns Regression R2
TILTNorthern Trust Mstar US Mkt Fac Tlt ETF (TILT)1.020.180.16-0.08%-0.92%99.3%8,260.480.000-
Factor Exposure CloneSPY=69.64%, IJS=30.36%0.990.170.18-0.02%-0.26%99.2%7,478.300.00099.0%
Returns Based CloneSPY=70.58%, IJS=29.42%0.990.160.18-0.02%-0.26%99.3%7,669.820.00099.0%

Performance Summary

NameDescriptionInitial BalanceFinal BalanceCompound Monthly ReturnCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino Ratio
TILTNorthern Trust Mstar US Mkt Fac Tlt ETF (TILT)$10,000$74,6251.12%14.34%15.53%35.77%-17.24%-26.22% 0.841.34
Factor Exposure CloneSPY=69.64%, IJS=30.36%$10,000$77,6811.15%14.64%15.12%34.44%-16.07%-25.16% 0.871.40
Returns Based CloneSPY=70.58%, IJS=29.42%$10,000$77,9911.15%14.68%15.08%34.37%-16.14%-24.99% 0.881.41

Portfolio Growth

Factor Analysis Summary

Name Ticker Start Date End Date Rm-Rf SMB HML Alpha Annual Alpha R2
Northern Trust Mstar US Mkt Fac Tlt ETF TILT Oct 2011 Jun 2026 1.02 0.18 0.16 -0.08% -0.92% 99.3%
State Street SPDR S&P 500 ETF SPY Oct 2011 Jun 2026 0.98 -0.14 0.01 -0.00% -0.02% 99.6%
iShares S&P Small-Cap 600 Value ETF IJS Oct 2011 Jun 2026 1.00 0.86 0.57 -0.07% -0.83% 97.4%

Northern Trust Mstar US Mkt Fac Tlt ETF

Ticker TILT
Time Period Oct 2011 - Jun 2026
Coefficient of Determination (R2) 99.3%
Regression F statistic 8,260.48 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 1.02 0.007 143.921 0.000
Size (SMB) 0.18 0.012 15.037 0.000
Value (HML) 0.16 0.009 19.076 0.000
Alpha (α) -7.63bps 0.000 -2.556 0.011
Annualized Alpha (α) -0.92%  

State Street SPDR S&P 500 ETF

Ticker SPY
Time Period Oct 2011 - Jun 2026
Coefficient of Determination (R2) 99.6%
Regression F statistic 13,596.99 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.98 0.005 197.062 0.000
Size (SMB) -0.14 0.008 -16.543 0.000
Value (HML) 0.01 0.006 2.188 0.030
Alpha (α) -0.13bps 0.000 -0.061 0.951
Annualized Alpha (α) -0.02%  

iShares S&P Small-Cap 600 Value ETF

Ticker IJS
Time Period Oct 2011 - Jun 2026
Coefficient of Determination (R2) 97.4%
Regression F statistic 2,187.02 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 1.00 0.018 57.321 0.000
Size (SMB) 0.86 0.029 29.713 0.000
Value (HML) 0.57 0.021 26.860 0.000
Alpha (α) -6.94bps 0.001 -0.939 0.349
Annualized Alpha (α) -0.83%  

Rolling Returns

Annual Returns

YearInflationTILTFactor Exposure CloneReturns Based CloneState Street SPDR S&P 500 ETF (SPY)iShares S&P Small-Cap 600 Value ETF (IJS)
ReturnBalanceReturnBalanceReturnBalance
20261.95%12.34%$74,62513.18%$77,68113.17%$77,99112.71%13.77%
20252.67%16.59%$66,42614.34%$68,63614.44%$68,91817.72%6.54%
20242.89%19.88%$56,97519.61%$60,03119.77%$60,22324.89%7.34%
20233.35%24.72%$47,52822.94%$50,19023.05%$50,28226.19%14.69%
20226.45%-17.24%$38,109-16.07%$40,824-16.14%$40,864-18.17%-11.33%
20217.04%27.62%$46,04929.58%$48,64329.56%$48,72828.75%30.53%
20201.36%16.08%$36,08313.88%$37,53914.03%$37,61118.37%2.63%
20192.29%29.00%$31,08529.15%$32,96229.21%$32,98431.22%24.12%
20181.91%-8.91%$24,096-7.06%$25,523-6.99%$25,527-4.56%-12.84%
20172.11%18.33%$26,45418.58%$27,46218.67%$27,44421.70%11.35%
20162.07%16.80%$22,35717.66%$23,16017.48%$23,12612.00%31.25%
20150.73%-2.54%$19,142-1.22%$19,685-1.14%$19,6851.25%-6.90%
20140.76%10.52%$19,64011.74%$19,92711.79%$19,91213.46%7.56%
20131.50%35.77%$17,77034.44%$17,83434.37%$17,81232.31%39.34%
20121.74%15.92%$13,08816.71%$13,26516.69%$13,25515.99%18.24%
2011-0.54%12.91%$11,29113.66%$11,36613.59%$11,35911.62%18.41%
Annual return for 2011 is from 10/01/2011 to 12/31/2011 and annual return for 2026 is from 01/01/2026 to 09/30/2026

Monthly Returns

YearMonthTILTFactor Exposure CloneReturns Based CloneState Street SPDR S&P 500 ETF (SPY)iShares S&P Small-Cap 600 Value ETF (IJS)
ReturnBalanceReturnBalanceReturnBalance
20269-1.78%$74,625-2.00%$77,681-1.95%$77,991-0.33%-5.84%
202682.17%$75,9742.01%$79,2682.03%$79,5432.68%0.49%
202670.34%$74,359-0.14%$77,703-0.13%$77,9570.03%-0.53%
202660.63%$74,1050.80%$77,8090.74%$78,059-1.03%5.00%
202654.11%$73,6383.99%$77,1914.03%$77,4835.26%1.08%
202649.47%$70,73110.09%$74,22710.11%$74,47910.51%9.15%
20263-4.74%$64,612-4.46%$67,421-4.48%$67,642-4.93%-3.37%
202620.01%$67,830-0.18%$70,569-0.20%$70,811-0.86%1.40%
202612.11%$67,8273.00%$70,6932.95%$70,9511.47%6.49%
2025120.38%$66,4260.29%$68,6360.29%$68,9180.08%0.79%
2025110.96%$66,1731.01%$68,4350.98%$68,7210.19%2.87%
2025101.68%$65,5471.55%$67,7531.58%$68,0532.38%-0.35%
202592.87%$64,4652.91%$66,7172.93%$66,9953.56%1.42%
202583.40%$62,6674.04%$64,8303.98%$65,0882.05%8.62%
202571.99%$60,6052.02%$62,3102.03%$62,5952.30%1.38%
202565.04%$59,4254.91%$61,0754.91%$61,3495.14%4.37%
202555.69%$56,5745.67%$58,2195.69%$58,4766.28%4.27%
20254-1.60%$53,529-2.37%$55,093-2.32%$55,327-0.87%-5.81%
20253-5.60%$54,397-5.82%$56,429-5.81%$56,641-5.57%-6.39%
20252-2.19%$57,625-2.52%$59,916-2.48%$60,136-1.27%-5.40%
202513.41%$58,9182.39%$61,4662.40%$61,6672.69%1.71%
202412-4.26%$56,975-3.76%$60,031-3.72%$60,223-2.41%-6.86%
2024117.33%$59,5097.42%$62,3767.38%$62,5495.96%10.77%
202410-0.86%$55,446-1.15%$58,067-1.15%$58,251-0.89%-1.76%
202491.78%$55,9291.75%$58,7451.76%$58,9272.10%0.93%
202481.32%$54,9521.21%$57,7371.24%$57,9102.34%-1.38%
202473.60%$54,2384.42%$57,0484.32%$57,1991.21%11.79%
202461.62%$52,3511.64%$54,6311.70%$54,8283.53%-2.70%
202454.57%$51,5154.91%$53,7524.91%$53,9145.06%4.56%
20244-4.87%$49,264-4.78%$51,238-4.76%$51,390-4.03%-6.50%
202433.74%$51,7893.30%$53,8113.30%$53,9583.27%3.38%
202424.93%$49,9234.35%$52,0894.38%$52,2325.22%2.37%
202410.11%$47,579-0.55%$49,916-0.48%$50,0401.59%-5.45%
2023126.79%$47,5287.23%$50,1907.15%$50,2824.57%13.35%
2023119.34%$44,5069.12%$46,8059.12%$46,9269.13%9.07%
202310-3.53%$40,705-3.44%$42,895-3.40%$43,006-2.17%-6.36%
20239-4.88%$42,194-5.21%$44,424-5.19%$44,521-4.74%-6.28%
20238-2.26%$44,360-2.65%$46,864-2.62%$46,959-1.63%-5.01%
202374.29%$45,3864.11%$48,1414.08%$48,2233.27%6.03%
202367.63%$43,5207.09%$46,2417.07%$46,3316.48%8.49%
20235-0.27%$40,436-0.79%$43,179-0.75%$43,2710.46%-3.66%
202340.54%$40,5470.39%$43,5220.42%$43,5981.60%-2.39%
202330.35%$40,3310.62%$43,3550.71%$43,4143.71%-6.48%
20232-2.27%$40,192-2.28%$43,089-2.28%$43,107-2.51%-1.73%
202317.91%$41,1258.01%$44,0937.95%$44,1156.29%11.95%
202212-6.03%$38,109-5.98%$40,824-5.97%$40,864-5.76%-6.49%
2022115.22%$40,5555.03%$43,4205.04%$43,4605.56%3.81%
2022109.28%$38,54410.03%$41,3429.97%$41,3738.13%14.40%
20229-9.59%$35,270-9.60%$37,573-9.59%$37,621-9.24%-10.41%
20228-3.46%$39,010-4.10%$41,562-4.10%$41,610-4.08%-4.16%
202279.52%$40,4079.00%$43,3419.01%$43,3919.21%8.53%
20226-8.99%$36,896-8.46%$39,762-8.46%$39,805-8.25%-8.96%
202250.65%$40,5390.86%$43,4380.84%$43,4830.23%2.32%
20224-8.59%$40,278-8.05%$43,068-8.07%$43,120-8.78%-6.38%
202232.81%$44,0612.77%$46,8372.80%$46,9063.76%0.50%
20222-1.59%$42,857-1.36%$45,577-1.41%$45,630-2.95%2.28%
20221-5.43%$43,550-5.01%$46,207-5.02%$46,283-5.27%-4.40%
2021124.26%$46,0494.48%$48,6434.48%$48,7284.63%4.12%
202111-1.79%$44,167-1.35%$46,559-1.34%$46,639-0.80%-2.62%
2021106.01%$44,9735.75%$47,1985.79%$47,2717.02%2.86%
20219-3.96%$42,422-3.69%$44,630-3.72%$44,682-4.66%-1.46%
202182.73%$44,1722.63%$46,3382.64%$46,4062.98%1.82%
202170.74%$42,9970.38%$45,1520.44%$45,2142.44%-4.36%
202161.18%$42,6811.35%$44,9831.38%$45,0162.25%-0.71%
202151.23%$42,1821.64%$44,3841.61%$44,4050.66%3.89%
202144.57%$41,6714.20%$43,6684.23%$43,7015.29%1.69%
202134.23%$39,8494.86%$41,9094.85%$41,9274.54%5.61%
202124.55%$38,2325.21%$39,9655.14%$39,9862.78%10.80%
202111.34%$36,5671.19%$37,9841.12%$38,032-1.02%6.25%
2020125.06%$36,0834.86%$37,5394.82%$37,6113.71%7.50%
20201114.21%$34,34413.41%$35,80013.33%$35,88110.88%19.21%
202010-0.66%$30,072-0.63%$31,567-0.68%$31,661-2.49%3.66%
20209-3.70%$30,270-4.18%$31,766-4.16%$31,878-3.74%-5.18%
202086.91%$31,4356.40%$33,1516.42%$33,2636.98%5.07%
202074.80%$29,4034.88%$31,1574.91%$31,2575.89%2.58%
202061.97%$28,0572.32%$29,7062.31%$29,7931.78%3.58%
202055.25%$27,5164.09%$29,0324.11%$29,1224.76%2.55%
2020413.99%$26,14313.06%$27,89113.05%$27,97112.70%13.89%
20203-17.58%$22,934-16.50%$24,669-16.38%$24,743-12.46%-25.76%
20202-8.86%$27,826-8.59%$29,544-8.57%$29,588-7.92%-10.15%
20201-1.78%$30,532-1.94%$32,322-1.88%$32,363-0.04%-6.31%
2019122.83%$31,0852.88%$32,9622.88%$32,9842.90%2.84%
2019113.88%$30,2303.34%$32,0383.35%$32,0603.62%2.71%
2019102.16%$29,1002.15%$31,0022.15%$31,0202.21%2.00%
201992.55%$28,4843.05%$30,3503.01%$30,3671.95%5.57%
20198-3.32%$27,775-2.73%$29,452-2.69%$29,478-1.67%-5.14%
201971.35%$28,7291.45%$30,2781.45%$30,2951.51%1.30%
201967.20%$28,3457.17%$29,8467.17%$29,8626.96%7.66%
20195-7.47%$26,442-7.47%$27,849-7.44%$27,865-6.38%-9.98%
201944.20%$28,5764.16%$30,0974.15%$30,1044.09%4.32%
201930.32%$27,4240.07%$28,8960.13%$28,9041.81%-3.91%
201923.59%$27,3363.51%$28,8753.50%$28,8673.24%4.13%
201919.52%$26,3899.30%$27,8959.26%$27,8908.01%12.26%
201812-10.01%$24,096-9.88%$25,523-9.85%$25,527-8.79%-12.38%
2018111.44%$26,7751.47%$28,3221.48%$28,3161.85%0.57%
201810-7.61%$26,394-7.83%$27,913-7.80%$27,904-6.91%-9.94%
20189-0.30%$28,569-0.51%$30,284-0.48%$30,2650.59%-3.05%
201882.86%$28,6563.18%$30,4403.18%$30,4103.19%3.14%
201872.91%$27,8603.37%$29,5033.38%$29,4743.70%2.62%
201860.75%$27,0710.64%$28,5400.64%$28,5090.58%0.80%
201852.81%$26,8683.47%$28,3573.44%$28,3282.43%5.87%
201840.46%$26,1330.90%$27,4050.88%$27,3850.52%1.76%
20183-1.75%$26,015-1.49%$27,162-1.53%$27,145-2.74%1.37%
20182-4.02%$26,478-3.76%$27,574-3.76%$27,567-3.64%-4.04%
201814.28%$27,5864.33%$28,6514.37%$28,6435.64%1.33%
2017121.36%$26,4540.73%$27,4620.74%$27,4441.21%-0.37%
2017113.13%$26,0983.27%$27,2633.26%$27,2413.06%3.76%
2017101.86%$25,3061.82%$26,4001.84%$26,3802.36%0.59%
201793.32%$24,8444.01%$25,9283.95%$25,9042.01%8.58%
20178-0.64%$24,045-0.62%$24,929-0.59%$24,9210.29%-2.72%
201771.26%$24,1991.66%$25,0851.67%$25,0702.06%0.75%
201761.95%$23,8981.34%$24,6751.32%$24,6580.64%2.96%
20175-0.23%$23,4410.30%$24,3490.33%$24,3361.41%-2.26%
201740.45%$23,4940.85%$24,2770.85%$24,2560.99%0.51%
20173-0.30%$23,389-0.11%$24,073-0.10%$24,0510.13%-0.65%
201723.30%$23,4593.15%$24,0993.17%$24,0763.93%1.35%
201711.58%$22,7100.88%$23,3640.91%$23,3361.79%-1.21%
2016122.01%$22,3572.38%$23,1602.37%$23,1262.03%3.20%
2016117.16%$21,9166.62%$22,6216.53%$22,5903.68%13.34%
201610-2.45%$20,452-2.34%$21,217-2.32%$21,206-1.73%-3.74%
201690.35%$20,9660.27%$21,7260.26%$21,7110.01%0.87%
201681.01%$20,8940.43%$21,6680.42%$21,6540.12%1.13%
201674.54%$20,6844.08%$21,5764.06%$21,5643.65%5.06%
20166-0.23%$19,7860.50%$20,7300.49%$20,7220.35%0.83%
201651.63%$19,8321.32%$20,6281.33%$20,6211.70%0.44%
201640.42%$19,5130.92%$20,3600.90%$20,3500.39%2.13%
201637.81%$19,4317.54%$20,1747.52%$20,1686.72%9.41%
201621.35%$18,0240.57%$18,7600.55%$18,758-0.08%2.08%
20161-7.09%$17,784-5.24%$18,653-5.24%$18,655-4.98%-5.85%
201512-2.77%$19,142-2.74%$19,685-2.71%$19,685-1.72%-5.08%
2015110.79%$19,6871.00%$20,2390.99%$20,2330.37%2.47%
2015107.72%$19,5327.92%$20,0387.94%$20,0368.51%6.57%
20159-3.86%$18,133-2.92%$18,568-2.91%$18,563-2.54%-3.77%
20158-5.43%$18,861-5.65%$19,126-5.66%$19,118-6.10%-4.62%
201570.43%$19,9450.75%$20,2700.80%$20,2652.26%-2.70%
20156-1.26%$19,859-1.29%$20,119-1.31%$20,104-2.03%0.42%
201551.23%$20,1131.12%$20,3811.13%$20,3711.29%0.75%
20154-0.03%$19,8680.13%$20,1540.16%$20,1430.98%-1.82%
20153-0.55%$19,875-0.78%$20,128-0.81%$20,112-1.57%1.03%
201525.82%$19,9855.69%$20,2875.69%$20,2765.62%5.86%
20151-3.84%$18,886-3.68%$19,194-3.66%$19,184-2.96%-5.32%
2014120.86%$19,6400.60%$19,9270.57%$19,912-0.26%2.56%
2014112.05%$19,4722.06%$19,8082.08%$19,7992.75%0.48%
2014103.53%$19,0803.80%$19,4093.76%$19,3952.36%7.13%
20149-3.26%$18,430-2.76%$18,697-2.72%$18,692-1.38%-5.94%
201484.20%$19,0514.10%$19,2294.10%$19,2163.95%4.46%
20147-2.93%$18,283-2.47%$18,471-2.44%$18,459-1.34%-5.07%
201463.52%$18,8352.60%$18,9402.59%$18,9212.06%3.85%
201451.81%$18,1951.81%$18,4591.82%$18,4432.32%0.62%
20144-1.37%$17,871-0.21%$18,132-0.18%$18,1140.70%-2.29%
201430.52%$18,1200.99%$18,1700.98%$18,1470.83%1.34%
201424.34%$18,0274.58%$17,9934.57%$17,9714.55%4.63%
20141-2.77%$17,277-3.52%$17,206-3.52%$17,184-3.52%-3.51%
2013122.42%$17,7702.20%$17,8342.21%$17,8122.59%1.29%
2013112.99%$17,3503.36%$17,4503.34%$17,4272.96%4.25%
2013103.84%$16,8464.28%$16,8844.29%$16,8634.63%3.48%
201394.78%$16,2244.21%$16,1914.18%$16,1693.17%6.59%
20138-3.01%$15,483-3.13%$15,537-3.12%$15,521-3.00%-3.41%
201376.10%$15,9635.59%$16,0385.58%$16,0215.17%6.56%
20136-1.56%$15,045-0.97%$15,189-0.98%$15,175-1.33%-0.14%
201353.67%$15,2842.94%$15,3382.93%$15,3252.36%4.29%
201340.51%$14,7431.38%$14,8991.39%$14,8891.92%0.12%
201334.43%$14,6683.89%$14,6973.89%$14,6853.80%4.11%
201321.25%$14,0461.38%$14,1471.38%$14,1351.28%1.63%
201315.99%$13,8735.19%$13,9545.19%$13,9435.12%5.35%
2012122.03%$13,0881.70%$13,2651.68%$13,2550.90%3.55%
2012111.08%$12,8270.90%$13,0430.89%$13,0370.57%1.65%
201210-2.29%$12,691-1.86%$12,927-1.86%$12,922-1.82%-1.96%
201293.08%$12,9882.72%$13,1722.71%$13,1672.54%3.14%
201282.43%$12,6002.98%$12,8242.97%$12,8192.51%4.08%
201270.37%$12,3010.61%$12,4520.63%$12,4501.18%-0.69%
201263.89%$12,2554.20%$12,3774.20%$12,3724.06%4.54%
20125-6.45%$11,796-6.36%$11,877-6.35%$11,873-6.01%-7.18%
20124-0.95%$12,608-1.04%$12,684-1.03%$12,678-0.67%-1.91%
201232.85%$12,7303.12%$12,8183.12%$12,8113.22%2.89%
201224.08%$12,3773.54%$12,4313.57%$12,4234.34%1.71%
201215.32%$11,8915.63%$12,0055.60%$11,9954.64%7.90%
2011121.65%$11,2911.34%$11,3661.33%$11,3591.04%2.02%
201111-1.38%$11,107-0.09%$11,216-0.10%$11,210-0.41%0.63%
20111012.63%$11,26312.26%$11,22612.22%$11,22210.91%15.34%

  • 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. Other investments not considered may have characteristics similar or superior to those being analyzed.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The Fama-French, AQR, Alpha Architect, q-factor, and fixed income model factor returns are based on the US market
  • Returns based clone is based on minimizing the sum square of monthly return differences.
  • Returns regressions are based on multiple linear regression of monthly returns.
  • The clone portfolios assume monthly rebalancing.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (U.S. 3-Month Treasury Bill Rate)