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
%
Asset 3
%
Asset 4
%
Asset 5
%
Asset 6
%
Asset 7
%
Asset 8
%
Asset 9
%
Asset 10
%
Total
%

Factor Match Results (Oct 2010 - Nov 2020)

Target Portfolio
Ticker Name Allocation
RSP Invesco S&P 500 Equal Weight ETF 33.30%
IJR iShares Core S&P Small-Cap ETF 33.30%
IVOV Vanguard S&P Mid-Cap 400 Value ETF 33.40%
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Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 1.00 60.958 0.000
Size (SMB) 0.47 16.272 0.000
Value (HML) 0.23 7.893 0.000
Profitability (RMW) 0.06 1.572 0.119
Investment (CMA) 0.01 0.171 0.864
Alpha (α) -2.47bps -0.390 0.698
Annualized Alpha (α) -0.30%  
Factor Exposure Clone
Ticker Name Allocation
IJS iShares S&P Small-Cap 600 Value ETF 61.18%
VFINX Vanguard 500 Index Investor 38.82%
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Factor Exposure Clone Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 0.99 72.975 0.000
Size (SMB) 0.47 19.379 0.000
Value (HML) 0.23 9.430 0.000
Profitability (RMW) 0.11 3.415 0.001
Investment (CMA) 0.04 1.002 0.318
Alpha (α) 0.16bps 0.031 0.975
Annualized Alpha (α) 0.02%  
Returns Based Clone
Ticker Name Allocation
IJS iShares S&P Small-Cap 600 Value ETF 61.53%
VFINX Vanguard 500 Index Investor 38.47%
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Returns Based Clone Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 0.99 72.639 0.000
Size (SMB) 0.47 19.426 0.000
Value (HML) 0.23 9.437 0.000
Profitability (RMW) 0.11 3.414 0.001
Investment (CMA) 0.04 0.999 0.320
Alpha (α) 0.18bps 0.034 0.973
Annualized Alpha (α) 0.02%  

Match Summary

Match summary
NameDescriptionRm-RfSMBHMLRMWCMAAlphaAnnual AlphaR2F-statF-stat p-valueReturns Regression R2
Target PortfolioIVOV=33.40%, RSP=33.30%, IJR=33.30%1.000.470.230.060.01-0.02%-0.30%98.4%1,388.390.000-
Factor Exposure CloneIJS=61.18%, VFINX=38.82%0.990.470.230.110.040.00%0.02%98.8%1,972.870.00098.7%
Returns Based CloneIJS=61.53%, VFINX=38.47%0.990.470.230.110.040.00%0.02%98.8%1,959.880.00098.7%

Portfolio Performance

Portfolio performance statistics
NameDescriptionInitial BalanceFinal BalanceCompound Monthly ReturnCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino Ratio
Target PortfolioIVOV=33.40%, RSP=33.30%, IJR=33.30%$10,000$33,5270.99%12.53%17.13%37.09%-9.43%-31.57% 0.741.13
Factor Exposure CloneIJS=61.18%, VFINX=38.82%$10,000$34,4191.01%12.82%16.86%36.56%-9.61%-30.83% 0.771.18
Returns Based CloneIJS=61.53%, VFINX=38.47%$10,000$34,3861.01%12.81%16.88%36.58%-9.63%-30.89% 0.771.17
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • 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 information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • 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.
  • 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)
  • Stock market correlation is based on the correlation of monthly returns

Factor Analysis Summary

Factor regression results
Name Ticker Start Date End Date Rm-Rf SMB HML RMW CMA Alpha Annual Alpha R2
Invesco S&P 500 Equal Weight ETF RSP Oct 2010 Nov 2020 1.01 0.11 0.13 0.01 0.04 -0.07% -0.81% 97.8%
iShares Core S&P Small-Cap ETF IJR Oct 2010 Nov 2020 0.95 0.82 0.19 0.10 0.00 0.09% 1.12% 98.0%
Vanguard S&P Mid-Cap 400 Value ETF IVOV Oct 2010 Nov 2020 1.02 0.49 0.36 0.08 -0.02 -0.10% -1.20% 95.7%
Vanguard 500 Index Investor VFINX Oct 2010 Nov 2020 0.98 -0.12 0.01 0.03 0.03 -0.03% -0.31% 99.7%
iShares S&P Small-Cap 600 Value ETF IJS Oct 2010 Nov 2020 0.99 0.84 0.36 0.17 0.05 0.02% 0.23% 98.0%

Invesco S&P 500 Equal Weight ETF

Factor regression results for Invesco S&P 500 Equal Weight ETF
Ticker RSP
Time Period Oct 2010 - Nov 2020
Coefficient of Determination (R2) 97.8%
Regression F statistic 1,029.88 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 1.01 0.017 59.759 0.000
Size (SMB) 0.11 0.030 3.712 0.000
Value (HML) 0.13 0.030 4.419 0.000
Profitability (RMW) 0.01 0.041 0.187 0.852
Investment (CMA) 0.04 0.051 0.762 0.448
Alpha (α) -6.72bps 0.001 -1.021 0.309
Annualized Alpha (α) -0.81%  

iShares Core S&P Small-Cap ETF

Factor regression results for iShares Core S&P Small-Cap ETF
Ticker IJR
Time Period Oct 2010 - Nov 2020
Coefficient of Determination (R2) 98.0%
Regression F statistic 1,149.65 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.95 0.019 49.340 0.000
Size (SMB) 0.82 0.034 23.757 0.000
Value (HML) 0.19 0.034 5.670 0.000
Profitability (RMW) 0.10 0.047 2.060 0.042
Investment (CMA) 0.00 0.058 0.064 0.949
Alpha (α) 9.33bps 0.001 1.242 0.217
Annualized Alpha (α) 1.12%  

Vanguard S&P Mid-Cap 400 Value ETF

Factor regression results for Vanguard S&P Mid-Cap 400 Value ETF
Ticker IVOV
Time Period Oct 2010 - Nov 2020
Coefficient of Determination (R2) 95.7%
Regression F statistic 520.55 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 1.02 0.028 36.326 0.000
Size (SMB) 0.49 0.050 9.793 0.000
Value (HML) 0.36 0.050 7.186 0.000
Profitability (RMW) 0.08 0.069 1.210 0.229
Investment (CMA) -0.02 0.085 -0.204 0.839
Alpha (α) -10.00bps 0.001 -0.915 0.362
Annualized Alpha (α) -1.20%  

Vanguard 500 Index Investor

Factor regression results for Vanguard 500 Index Investor
Ticker VFINX
Time Period Oct 2010 - Nov 2020
Coefficient of Determination (R2) 99.7%
Regression F statistic 8,997.76 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.98 0.005 191.996 0.000
Size (SMB) -0.12 0.009 -13.499 0.000
Value (HML) 0.01 0.009 1.047 0.297
Profitability (RMW) 0.03 0.013 2.484 0.014
Investment (CMA) 0.03 0.015 1.881 0.062
Alpha (α) -2.54bps 0.000 -1.281 0.203
Annualized Alpha (α) -0.31%  

iShares S&P Small-Cap 600 Value ETF

Factor regression results for iShares S&P Small-Cap 600 Value ETF
Ticker IJS
Time Period Oct 2010 - Nov 2020
Coefficient of Determination (R2) 98.0%
Regression F statistic 1,126.71 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.99 0.021 47.579 0.000
Size (SMB) 0.84 0.037 22.681 0.000
Value (HML) 0.36 0.037 9.851 0.000
Profitability (RMW) 0.17 0.051 3.240 0.002
Investment (CMA) 0.05 0.063 0.771 0.442
Alpha (α) 1.88bps 0.001 0.232 0.817
Annualized Alpha (α) 0.23%  
Annual returns
YearInflationTarget PortfolioFactor Exposure CloneReturns Based CloneVanguard 500 Index Investor (VFINX)iShares S&P Small-Cap 600 Value ETF (IJS)
ReturnBalanceReturnBalanceReturnBalance
20100.34%13.55%$11,35514.03%$11,40314.05%$11,40510.71%16.17%
20112.96%-0.83%$11,261-0.20%$11,381-0.21%$11,3821.97%-1.65%
20121.74%16.91%$13,16517.35%$13,35617.36%$13,35715.82%18.24%
20131.50%37.09%$18,04936.56%$18,23836.58%$18,24332.18%39.34%
20140.76%10.69%$19,9799.94%$20,0519.92%$20,05313.51%7.56%
20150.73%-3.88%$19,203-3.73%$19,303-3.76%$19,2991.25%-6.90%
20162.07%22.42%$23,50823.48%$23,83623.55%$23,84511.82%31.25%
20172.11%14.63%$26,94815.37%$27,50015.34%$27,50221.67%11.35%
20181.91%-9.43%$24,407-9.61%$24,859-9.63%$24,852-4.52%-12.84%
20192.29%25.89%$30,72727.01%$31,57326.99%$31,55931.33%24.12%
20201.36%9.11%$33,5279.01%$34,4198.96%$34,38618.25%2.63%
Annual return for 2010 is from 10/01/2010 to 12/31/2010
Monthly returns
YearMonthTarget Portfolio ReturnFactor Exposure Clone ReturnReturns Based Clone ReturnVanguard 500 Index Investor (VFINX)iShares S&P Small-Cap 600 Value ETF (IJS)
2010103.47%3.94%3.94%3.79%4.04%
2010111.87%1.51%1.52%0.00%2.47%
2010127.73%8.08%8.08%6.67%8.97%
201111.89%0.77%0.76%2.36%-0.24%
201123.71%3.90%3.91%3.42%4.21%
201131.91%1.36%1.37%0.03%2.21%
201142.49%1.79%1.79%2.95%1.06%
20115-1.20%-1.52%-1.53%-1.15%-1.77%
20116-1.80%-1.62%-1.62%-1.67%-1.59%
20117-3.66%-2.49%-2.49%-2.05%-2.77%
20118-7.19%-6.99%-7.00%-5.45%-7.98%
20119-10.10%-9.20%-9.21%-7.04%-10.57%
20111014.56%13.62%13.64%10.91%15.34%
201111-0.78%0.29%0.30%-0.23%0.63%
2011121.36%1.63%1.63%1.02%2.02%
201216.15%6.57%6.58%4.46%7.90%
201223.42%2.72%2.71%4.31%1.71%
201232.03%3.04%3.04%3.28%2.89%
20124-0.65%-1.42%-1.42%-0.64%-1.91%
20125-6.61%-6.73%-6.73%-6.02%-7.18%
201263.69%4.37%4.37%4.11%4.54%
20127-0.11%0.11%0.10%1.37%-0.69%
201283.07%3.36%3.37%2.24%4.08%
201292.33%2.92%2.92%2.58%3.14%
201210-1.26%-1.92%-1.92%-1.86%-1.96%
2012111.00%1.23%1.23%0.56%1.65%
2012123.24%2.52%2.53%0.90%3.55%
201316.75%5.28%5.28%5.18%5.35%
201321.37%1.52%1.52%1.34%1.63%
201334.49%3.96%3.97%3.74%4.11%
201340.33%0.82%0.81%1.91%0.12%
201353.25%3.53%3.53%2.33%4.29%
20136-0.71%-0.61%-0.61%-1.35%-0.14%
201376.10%5.98%5.99%5.07%6.56%
20138-3.08%-3.22%-3.22%-2.91%-3.41%
201395.04%5.25%5.26%3.12%6.59%
2013104.07%3.91%3.91%4.59%3.48%
2013112.45%3.78%3.78%3.03%4.25%
2013122.34%1.77%1.76%2.51%1.29%
20141-2.72%-3.50%-3.50%-3.47%-3.51%
201424.67%4.60%4.60%4.56%4.63%
201430.84%1.14%1.14%0.82%1.34%
20144-0.89%-1.12%-1.13%0.72%-2.29%
201451.31%1.29%1.28%2.33%0.62%
201464.05%3.15%3.16%2.05%3.85%
20147-4.12%-3.64%-3.65%-1.39%-5.07%
201484.54%4.28%4.28%3.98%4.46%
20149-4.33%-4.19%-4.20%-1.41%-5.94%
2014104.61%5.30%5.32%2.42%7.13%
2014111.23%1.33%1.33%2.68%0.48%
2014121.61%1.46%1.47%-0.26%2.56%
20151-3.19%-4.42%-4.43%-3.02%-5.32%
201525.83%5.81%5.81%5.74%5.86%
201530.26%0.01%0.02%-1.59%1.03%
20154-0.76%-0.75%-0.76%0.95%-1.82%
201551.04%0.96%0.95%1.27%0.75%
20156-1.00%-0.49%-0.49%-1.93%0.42%
20157-0.64%-0.84%-0.86%2.08%-2.70%
20158-5.10%-5.17%-5.17%-6.05%-4.62%
20159-3.60%-3.27%-3.28%-2.48%-3.77%
2015106.54%7.29%7.28%8.42%6.57%
2015111.50%1.62%1.63%0.29%2.47%
201512-4.10%-3.73%-3.74%-1.59%-5.08%
20161-5.76%-5.51%-5.52%-4.98%-5.85%
201621.53%1.22%1.23%-0.15%2.08%
201638.66%8.39%8.40%6.78%9.41%
201641.39%1.45%1.45%0.37%2.13%
201651.45%0.96%0.96%1.78%0.44%
201660.36%0.61%0.61%0.25%0.83%
201674.41%4.52%4.53%3.68%5.06%
201680.64%0.74%0.75%0.13%1.13%
201690.24%0.53%0.54%0.01%0.87%
201610-2.93%-3.00%-3.01%-1.83%-3.74%
2016119.20%9.60%9.63%3.70%13.34%
2016122.14%2.72%2.72%1.96%3.20%
201710.94%-0.01%-0.02%1.88%-1.21%
201722.23%2.37%2.36%3.96%1.35%
20173-0.30%-0.36%-0.36%0.10%-0.65%
201740.48%0.71%0.71%1.02%0.51%
20175-1.02%-0.84%-0.85%1.39%-2.26%
201762.21%2.05%2.06%0.61%2.96%
201771.07%1.25%1.25%2.04%0.75%
20178-1.84%-1.55%-1.56%0.29%-2.72%
201795.03%6.05%6.07%2.06%8.58%
2017101.00%1.26%1.26%2.32%0.59%
2017113.72%3.49%3.49%3.06%3.76%
2017120.42%0.20%0.20%1.10%-0.37%
201812.69%3.03%3.02%5.71%1.33%
20182-4.41%-3.91%-3.91%-3.69%-4.04%
201830.64%-0.15%-0.14%-2.56%1.37%
201840.77%1.22%1.23%0.37%1.76%
201853.96%4.52%4.53%2.39%5.87%
201860.79%0.72%0.72%0.61%0.80%
201872.80%3.04%3.04%3.71%2.62%
201883.14%3.18%3.18%3.25%3.14%
20189-1.31%-1.65%-1.66%0.55%-3.05%
201810-8.91%-8.74%-8.75%-6.85%-9.94%
2018112.37%1.14%1.13%2.03%0.57%
201812-11.02%-11.09%-11.10%-9.04%-12.38%
2019110.75%10.61%10.62%8.00%12.26%
201923.96%3.77%3.78%3.20%4.13%
20193-1.42%-1.64%-1.66%1.94%-3.91%
201944.06%4.21%4.21%4.04%4.32%
20195-8.43%-8.58%-8.59%-6.36%-9.98%
201967.76%7.42%7.42%7.03%7.66%
201970.99%1.35%1.35%1.43%1.30%
20198-4.37%-3.76%-3.78%-1.59%-5.14%
201993.87%4.13%4.14%1.86%5.57%
2019101.52%2.06%2.06%2.15%2.00%
2019113.06%3.06%3.06%3.62%2.71%
2019122.92%2.90%2.90%3.01%2.84%
20201-3.33%-3.88%-3.90%-0.05%-6.31%
20202-9.77%-9.41%-9.41%-8.24%-10.15%
20203-21.56%-20.56%-20.61%-12.37%-25.76%
2020413.95%13.47%13.47%12.81%13.89%
202054.86%3.40%3.40%4.76%2.55%
202062.01%2.96%2.96%1.98%3.58%
202073.94%3.76%3.75%5.63%2.58%
202084.07%5.89%5.88%7.18%5.07%
20209-4.03%-4.65%-4.65%-3.81%-5.18%
2020101.80%1.20%1.22%-2.67%3.66%
20201116.41%16.00%16.03%10.94%19.21%
2020126.34%6.08%6.09%3.84%7.50%