Match Factor Exposure

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.

Target Portfolio
Allocation
Asset 1
%
Asset 2
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Asset 3
%
Asset 4
%
Asset 5
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Asset 6
%
Asset 7
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Asset 8
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Asset 9
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Asset 10
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Factor Match Results (Jul 2017 - Apr 2022)

Target Asset
Ticker Name Allocation
TBGVX Tweedy, Browne International Value Fund 100.00%
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TBGVX Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 0.68 13.604 0.000
Size (SMB) -0.03 -0.300 0.765
Value (HML) 0.30 5.220 0.000
Alpha (α) -35.92bps -1.477 0.145
Annualized Alpha (α) -4.31%  
Factor Exposure Clone
Ticker Name Allocation
LVHI Franklin Intl Low Volatility Hi Div ETF 55.22%
SCHD Schwab US Dividend Equity ETF 44.78%
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Factor Exposure Clone Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 0.69 18.245 0.000
Size (SMB) -0.09 -1.262 0.212
Value (HML) 0.36 8.240 0.000
Alpha (α) 7.17bps 0.392 0.697
Annualized Alpha (α) 0.86%  
Returns Based Clone
Ticker Name Allocation
LVHI Franklin Intl Low Volatility Hi Div ETF 53.88%
VIGI Vanguard Intl Div Apprec ETF 46.12%
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Returns Based Clone Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 0.61 13.625 0.000
Size (SMB) 0.01 0.098 0.922
Value (HML) 0.25 4.912 0.000
Alpha (α) -13.64bps -0.625 0.535
Annualized Alpha (α) -1.64%  

Match Summary

Match summary
NameDescriptionRm-RfSMBHMLAlphaAnnual AlphaR2F-statF-stat p-valueReturns Regression R2
TBGVXTweedy, Browne International Value Fund (TBGVX)0.68-0.030.30-0.36%-4.31%81.3%78.160.000-
Factor Exposure CloneLVHI=55.22%, SCHD=44.78%0.69-0.090.360.07%0.86%88.9%143.440.00087.2%
Returns Based CloneLVHI=53.88%, VIGI=46.12%0.610.010.25-0.14%-1.64%81.4%78.700.00088.4%

Portfolio Performance

Portfolio performance statistics
NameDescriptionInitial BalanceFinal BalanceCompound Monthly ReturnCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino Ratio
TBGVXTweedy, Browne International Value Fund (TBGVX)$10,000$12,2050.34%4.14%13.83%15.59%-6.67%-21.36% 0.280.43
Factor Exposure CloneLVHI=55.22%, SCHD=44.78%$10,000$15,9740.80%10.00%13.50%23.33%-5.27%-21.91% 0.701.03
Returns Based CloneLVHI=53.88%, VIGI=46.12%$10,000$13,3870.50%6.11%12.46%22.54%-8.10%-20.79% 0.450.64
Notes on results:
  • 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.
  • 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 (3-month treasury bill)

Factor Analysis Summary

Factor regression results
Name Ticker Start Date End Date Rm-Rf SMB HML Alpha Annual Alpha R2
Tweedy, Browne International Value Fund TBGVX Jul 2017 Apr 2022 0.68 -0.03 0.30 -0.36% -4.31% 81.3%
Franklin Intl Low Volatility Hi Div ETF LVHI Jul 2017 Apr 2022 0.52 -0.05 0.41 -0.08% -0.98% 72.3%
Franklin U.S. Low Volatility Hi Div ETF LVHD Jul 2017 Apr 2022 0.74 -0.16 0.30 -0.04% -0.51% 81.0%
Vanguard Dividend Appreciation ETF VIG Jul 2017 Apr 2022 0.85 -0.26 0.04 0.10% 1.17% 91.7%
Vanguard Intl Div Apprec ETF VIGI Jul 2017 Apr 2022 0.72 0.08 0.07 -0.20% -2.41% 83.1%
Vanguard Dividend Growth Inv VDIGX Jul 2017 Apr 2022 0.81 -0.32 0.08 0.20% 2.39% 87.4%
Schwab US Dividend Equity ETF SCHD Jul 2017 Apr 2022 0.89 -0.13 0.29 0.26% 3.12% 91.6%
VictoryShares Dividend Accelerator ETF VSDA Jul 2017 Apr 2022 0.83 -0.21 0.07 0.17% 2.04% 85.5%

Tweedy, Browne International Value Fund

Factor regression results for Tweedy, Browne International Value Fund
Ticker TBGVX
Time Period Jul 2017 - Apr 2022
Coefficient of Determination (R2) 81.3%
Regression F statistic 78.16 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.68 0.050 13.604 0.000
Size (SMB) -0.03 0.091 -0.300 0.765
Value (HML) 0.30 0.057 5.220 0.000
Alpha (α) -35.92bps 0.002 -1.477 0.145
Annualized Alpha (α) -4.31%  

Franklin Intl Low Volatility Hi Div ETF

Factor regression results for Franklin Intl Low Volatility Hi Div ETF
Ticker LVHI
Time Period Jul 2017 - Apr 2022
Coefficient of Determination (R2) 72.3%
Regression F statistic 47.07 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.52 0.055 9.455 0.000
Size (SMB) -0.05 0.100 -0.495 0.623
Value (HML) 0.41 0.063 6.517 0.000
Alpha (α) -8.13bps 0.003 -0.303 0.763
Annualized Alpha (α) -0.98%  

Franklin U.S. Low Volatility Hi Div ETF

Factor regression results for Franklin U.S. Low Volatility Hi Div ETF
Ticker LVHD
Time Period Jul 2017 - Apr 2022
Coefficient of Determination (R2) 81.0%
Regression F statistic 76.95 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.74 0.053 13.962 0.000
Size (SMB) -0.16 0.096 -1.709 0.093
Value (HML) 0.30 0.061 4.986 0.000
Alpha (α) -4.26bps 0.003 -0.165 0.869
Annualized Alpha (α) -0.51%  

Vanguard Dividend Appreciation ETF

Factor regression results for Vanguard Dividend Appreciation ETF
Ticker VIG
Time Period Jul 2017 - Apr 2022
Coefficient of Determination (R2) 91.7%
Regression F statistic 199.60 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.85 0.035 24.069 0.000
Size (SMB) -0.26 0.064 -4.120 0.000
Value (HML) 0.04 0.041 1.104 0.274
Alpha (α) 9.73bps 0.002 0.565 0.574
Annualized Alpha (α) 1.17%  

Vanguard Intl Div Apprec ETF

Factor regression results for Vanguard Intl Div Apprec ETF
Ticker VIGI
Time Period Jul 2017 - Apr 2022
Coefficient of Determination (R2) 83.1%
Regression F statistic 88.21 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.72 0.048 14.945 0.000
Size (SMB) 0.08 0.087 0.863 0.392
Value (HML) 0.07 0.055 1.215 0.230
Alpha (α) -20.09bps 0.002 -0.860 0.393
Annualized Alpha (α) -2.41%  

Vanguard Dividend Growth Inv

Factor regression results for Vanguard Dividend Growth Inv
Ticker VDIGX
Time Period Jul 2017 - Apr 2022
Coefficient of Determination (R2) 87.4%
Regression F statistic 124.64 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.81 0.042 19.127 0.000
Size (SMB) -0.32 0.077 -4.247 0.000
Value (HML) 0.08 0.049 1.553 0.126
Alpha (α) 19.89bps 0.002 0.968 0.337
Annualized Alpha (α) 2.39%  

Schwab US Dividend Equity ETF

Factor regression results for Schwab US Dividend Equity ETF
Ticker SCHD
Time Period Jul 2017 - Apr 2022
Coefficient of Determination (R2) 91.6%
Regression F statistic 196.93 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.89 0.039 22.601 0.000
Size (SMB) -0.13 0.071 -1.839 0.071
Value (HML) 0.29 0.045 6.324 0.000
Alpha (α) 26.03bps 0.002 1.360 0.180
Annualized Alpha (α) 3.12%  

VictoryShares Dividend Accelerator ETF

Factor regression results for VictoryShares Dividend Accelerator ETF
Ticker VSDA
Time Period Jul 2017 - Apr 2022
Coefficient of Determination (R2) 85.5%
Regression F statistic 106.38 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.83 0.048 17.446 0.000
Size (SMB) -0.21 0.086 -2.480 0.016
Value (HML) 0.07 0.055 1.208 0.232
Alpha (α) 17.04bps 0.002 0.736 0.465
Annualized Alpha (α) 2.04%  
Annual returns
YearInflationTBGVXFactor Exposure CloneReturns Based CloneFranklin Intl Low Volatility Hi Div ETF (LVHI)Franklin U.S. Low Volatility Hi Div ETF (LVHD)Vanguard Dividend Appreciation ETF (VIG)Vanguard Intl Div Apprec ETF (VIGI)Vanguard Dividend Growth Inv (VDIGX)Schwab US Dividend Equity ETF (SCHD)VictoryShares Dividend Accelerator ETF (VSDA)
ReturnBalanceReturnBalanceReturnBalance
20170.64%4.92%$10,4928.23%$10,8235.31%$10,5312.92%6.96%11.20%8.14%8.54%15.07%10.33%
20181.91%-6.67%$9,792-5.27%$10,253-8.10%$9,678-5.28%-5.62%-2.08%-11.51%0.18%-5.56%-1.40%
20192.29%14.63%$11,22422.33%$12,54322.54%$11,85918.34%22.91%29.62%27.54%30.95%27.28%31.40%
20201.36%-1.00%$11,1131.52%$12,7341.40%$12,025-8.73%-1.29%15.40%14.36%12.06%15.08%12.54%
20217.04%15.59%$12,84523.33%$15,70515.62%$13,90318.18%26.89%23.77%12.55%24.84%29.87%21.94%
20224.84%-4.98%$12,2051.71%$15,974-3.71%$13,3874.79%-0.18%-10.09%-13.07%-6.01%-2.13%-5.35%
Annual return for 2017 is from 07/01/2017 to 12/31/2017 and annual return for 2022 is from 01/01/2022 to 05/31/2022
Monthly returns
YearMonthTBGVXFactor Exposure CloneReturns Based CloneFranklin Intl Low Volatility Hi Div ETF (LVHI)Franklin U.S. Low Volatility Hi Div ETF (LVHD)Vanguard Dividend Appreciation ETF (VIG)Vanguard Intl Div Apprec ETF (VIGI)Vanguard Dividend Growth Inv (VDIGX)Schwab US Dividend Equity ETF (SCHD)VictoryShares Dividend Accelerator ETF (VSDA)
ReturnBalanceReturnBalanceReturnBalance
201771.67%$10,1670.46%$10,0460.88%$10,088-0.51%0.63%0.73%2.50%1.30%1.66%0.78%
20178-1.07%$10,0580.33%$10,0800.65%$10,1530.62%0.17%-0.36%0.68%-0.35%-0.02%-2.70%
201791.41%$10,2001.67%$10,2490.67%$10,2210.72%0.99%2.38%0.60%1.80%2.85%3.09%
2017101.14%$10,3162.31%$10,4851.03%$10,3261.26%1.22%2.10%0.77%0.38%3.61%2.54%
2017110.63%$10,3812.26%$10,7221.39%$10,4700.67%3.50%4.48%2.24%3.78%4.21%3.08%
2017121.06%$10,4920.94%$10,8230.58%$10,5310.13%0.30%1.44%1.11%1.39%1.95%3.26%
201812.60%$10,7641.69%$11,0061.46%$10,685-0.63%-0.03%5.02%3.91%4.90%4.55%3.38%
20182-2.36%$10,510-4.35%$10,528-4.62%$10,192-3.31%-5.01%-4.03%-6.14%-4.31%-5.63%-4.00%
20183-2.28%$10,271-0.82%$10,4410.20%$10,2130.45%-0.45%-1.35%-0.08%-1.43%-2.39%-2.55%
201844.63%$10,7460.30%$10,4731.52%$10,3681.46%-0.98%-0.93%1.60%1.31%-1.12%0.95%
20185-1.64%$10,569-0.07%$10,465-0.42%$10,324-1.59%1.09%1.77%0.93%1.25%1.79%1.44%
20186-0.49%$10,5170.71%$10,540-0.12%$10,3120.72%1.86%0.30%-1.10%0.36%0.70%1.74%
201872.52%$10,7833.97%$10,9593.06%$10,6283.51%2.14%4.68%2.54%4.18%4.54%3.35%
20188-1.09%$10,6650.46%$11,009-1.19%$10,501-1.03%1.95%2.80%-1.38%1.88%2.29%3.36%
201890.69%$10,7381.23%$11,1440.03%$10,5041.22%-0.57%1.68%-1.37%1.81%1.25%2.36%
201810-5.42%$10,157-4.46%$10,647-5.90%$9,884-3.29%-1.39%-6.36%-8.96%-5.06%-5.91%-6.87%
2018110.91%$10,2491.75%$10,8331.56%$10,0380.43%3.87%4.14%2.88%4.41%3.37%4.76%
201812-4.46%$9,792-5.36%$10,253-3.59%$9,678-3.11%-7.67%-8.73%-4.15%-8.19%-8.13%-8.25%
201914.78%$10,2606.15%$10,8846.51%$10,3086.24%7.29%6.32%6.84%6.42%6.05%5.66%
201922.30%$10,4962.40%$11,1441.52%$10,4651.05%2.08%4.58%2.06%3.73%4.06%5.99%
201930.90%$10,5911.35%$11,2952.00%$10,6741.19%2.06%1.14%2.94%3.13%1.55%2.11%
201943.83%$10,9962.96%$11,6302.98%$10,9922.76%1.70%3.72%3.24%3.20%3.21%2.81%
20195-4.87%$10,461-5.79%$10,957-3.91%$10,562-4.32%-4.21%-4.63%-3.43%-2.61%-7.60%-3.62%
201965.00%$10,9845.78%$11,5905.42%$11,1344.56%4.71%6.63%6.43%5.76%7.29%5.95%
20197-1.50%$10,8190.22%$11,616-1.39%$10,980-0.94%0.31%2.23%-1.91%1.84%1.66%2.80%
20198-1.82%$10,622-1.11%$11,487-1.30%$10,837-0.96%0.86%0.59%-1.69%1.44%-1.30%0.60%
201992.52%$10,8904.10%$11,9573.15%$11,1784.34%3.49%1.45%1.76%0.16%3.79%0.36%
2019100.58%$10,9532.04%$12,2013.00%$11,5142.60%0.60%0.03%3.47%-0.56%1.35%0.48%
2019111.11%$11,0751.31%$12,3610.74%$11,5990.08%-0.07%2.45%1.51%2.52%2.83%3.55%
2019121.35%$11,2241.47%$12,5432.25%$11,8590.82%2.41%2.22%3.92%2.59%2.28%1.36%
20201-1.96%$11,004-1.05%$12,411-1.17%$11,720-0.47%-0.72%0.57%-2.00%0.23%-1.76%-0.78%
20202-7.47%$10,182-7.75%$11,449-6.27%$10,986-6.45%-9.86%-8.34%-6.05%-8.33%-9.35%-8.32%
20203-13.31%$8,826-14.45%$9,795-14.49%$9,394-16.53%-15.43%-9.62%-12.10%-9.98%-11.89%-11.03%
202046.04%$9,3607.43%$10,5234.87%$9,8523.24%9.39%9.88%6.77%8.87%12.61%9.55%
202051.93%$9,5402.67%$10,8042.89%$10,1371.85%3.12%3.60%4.11%4.29%3.69%5.48%
202061.68%$9,7011.29%$10,9443.34%$10,4752.83%0.05%0.08%3.93%-0.35%-0.61%-0.30%
20207-0.12%$9,6891.02%$11,0560.35%$10,512-2.45%3.02%4.98%3.62%4.45%5.29%4.38%
202083.06%$9,9854.41%$11,5434.00%$10,9323.83%2.26%6.16%4.20%5.81%5.12%6.28%
20209-2.77%$9,709-1.78%$11,337-0.77%$10,848-1.21%-1.37%-1.05%-0.26%-0.57%-2.48%-1.04%
202010-3.72%$9,348-1.62%$11,154-2.89%$10,534-3.24%-0.74%-2.27%-2.49%-3.89%0.38%-2.39%
20201115.66%$10,81111.55%$12,44210.63%$11,65310.24%10.42%10.04%11.08%10.66%13.17%10.07%
2020122.79%$11,1132.35%$12,7343.19%$12,0251.77%1.46%2.52%4.85%2.46%3.06%2.33%
20211-0.33%$11,076-0.70%$12,645-0.69%$11,942-0.53%-0.82%-2.92%-0.87%-4.30%-0.90%-3.56%
202123.29%$11,4414.18%$13,1741.91%$12,1712.65%0.91%1.58%1.04%2.39%6.06%2.13%
202134.07%$11,9067.95%$14,2214.61%$12,7327.15%7.92%6.03%1.65%6.40%8.94%6.65%
202143.03%$12,2660.95%$14,3560.96%$12,854-0.08%3.96%4.03%2.17%4.91%2.21%4.12%
202152.28%$12,5463.05%$14,7943.29%$13,2772.92%2.05%1.76%3.72%1.44%3.22%2.18%
20216-0.19%$12,521-0.29%$14,7520.22%$13,3060.28%-0.96%-0.14%0.14%0.14%-0.99%0.29%
20217-0.36%$12,4771.17%$14,9241.21%$13,4671.59%2.41%3.18%0.77%3.59%0.65%2.91%
202181.17%$12,6231.65%$15,1712.29%$13,7751.30%1.96%1.67%3.45%1.56%2.09%0.85%
20219-3.21%$12,218-3.14%$14,694-3.38%$13,309-2.69%-4.89%-4.99%-4.19%-4.28%-3.70%-5.38%
2021104.37%$12,7522.89%$15,1202.50%$13,6421.67%3.73%6.93%3.46%6.24%4.40%6.16%
202111-5.11%$12,100-2.08%$14,805-2.73%$13,269-2.10%-0.84%-1.38%-3.47%-2.49%-2.05%-2.61%
2021126.15%$12,8456.08%$15,7054.78%$13,9035.08%9.46%6.52%4.43%7.70%7.32%7.16%
20221-0.55%$12,7740.28%$15,748-1.19%$13,7372.72%-1.88%-5.30%-5.76%-3.62%-2.73%-5.15%
20222-2.94%$12,399-2.02%$15,431-2.24%$13,429-2.09%-2.10%-2.80%-2.42%-1.37%-1.93%-1.87%
202230.21%$12,4262.12%$15,7581.19%$13,5891.41%3.40%3.02%0.93%3.05%3.00%4.68%
20224-2.77%$12,081-1.35%$15,545-2.08%$13,3050.89%-2.21%-5.12%-5.56%-3.68%-4.12%-3.08%
202251.02%$12,2052.76%$15,9740.61%$13,3871.84%2.77%-0.07%-0.82%-0.39%3.90%0.22%