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 (Apr 2006 - Oct 2020)

Target Portfolio
Ticker Name Allocation
VBR Vanguard Small-Cap Value ETF 25.00%
VFINX Vanguard 500 Index Investor 75.00%
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Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 1.00 184.934 0.000
Size (SMB) 0.04 3.951 0.000
Value (HML) 0.11 14.127 0.000
Alpha (α) -2.30bps -1.018 0.310
Annualized Alpha (α) -0.28%  
Factor Exposure Clone
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 87.59%
RZV Invesco S&P SmallCap 600 Pure Value ETF 12.41%
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Factor Exposure Clone Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 1.02 121.134 0.000
Size (SMB) 0.02 1.442 0.151
Value (HML) 0.13 10.387 0.000
Alpha (α) -1.84bps -0.521 0.603
Annualized Alpha (α) -0.22%  
Returns Based Clone
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 91.77%
RZV Invesco S&P SmallCap 600 Pure Value ETF 8.23%
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Returns Based Clone Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 1.01 160.122 0.000
Size (SMB) -0.03 -2.568 0.011
Value (HML) 0.09 9.518 0.000
Alpha (α) -2.04bps -0.769 0.443
Annualized Alpha (α) -0.24%  

Match Summary

Match summary
NameDescriptionRm-RfSMBHMLAlphaAnnual AlphaR2F-statF-stat p-valueReturns Regression R2
Target PortfolioVFINX=75.00%, VBR=25.00%1.000.040.11-0.02%-0.28%99.6%14,661.900.000-
Factor Exposure CloneVFINX=87.59%, RZV=12.41%1.020.020.13-0.02%-0.22%99.1%6,285.970.00099.2%
Returns Based CloneVFINX=91.77%, RZV=8.23%1.01-0.030.09-0.02%-0.24%99.5%10,598.580.00099.4%

Portfolio Performance

Portfolio performance statistics
NameDescriptionInitial BalanceFinal BalanceCompound Monthly ReturnCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino Ratio
Target PortfolioVFINX=75.00%, VBR=25.00%$10,000$30,9270.65%8.05%15.98%33.27%-35.77%-51.48% 0.500.70
Factor Exposure CloneVFINX=87.59%, RZV=12.41%$10,000$31,5160.66%8.19%16.40%33.80%-37.37%-53.30% 0.500.72
Returns Based CloneVFINX=91.77%, RZV=8.23%$10,000$32,2470.67%8.36%15.92%33.26%-37.25%-52.38% 0.520.74
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 Alpha Annual Alpha R2
Vanguard Small-Cap Value ETF VBR Apr 2006 Oct 2020 1.01 0.57 0.43 -0.02% -0.23% 97.6%
Vanguard 500 Index Investor VFINX Apr 2006 Oct 2020 0.99 -0.14 0.01 -0.02% -0.29% 99.8%
Invesco S&P SmallCap 600 Pure Value ETF RZV Apr 2006 Oct 2020 1.23 1.16 0.99 0.02% 0.27% 86.9%

Vanguard Small-Cap Value ETF

Factor regression results for Vanguard Small-Cap Value ETF
Ticker VBR
Time Period Apr 2006 - Oct 2020
Coefficient of Determination (R2) 97.6%
Regression F statistic 2,310.15 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 1.01 0.017 60.987 0.000
Size (SMB) 0.57 0.032 18.127 0.000
Value (HML) 0.43 0.025 17.242 0.000
Alpha (α) -1.94bps 0.001 -0.277 0.782
Annualized Alpha (α) -0.23%  

Vanguard 500 Index Investor

Factor regression results for Vanguard 500 Index Investor
Ticker VFINX
Time Period Apr 2006 - Oct 2020
Coefficient of Determination (R2) 99.8%
Regression F statistic 25,721.43 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.99 0.004 257.874 0.000
Size (SMB) -0.14 0.007 -18.796 0.000
Value (HML) 0.01 0.006 1.521 0.130
Alpha (α) -2.43bps 0.000 -1.503 0.135
Annualized Alpha (α) -0.29%  

Invesco S&P SmallCap 600 Pure Value ETF

Factor regression results for Invesco S&P SmallCap 600 Pure Value ETF
Ticker RZV
Time Period Apr 2006 - Oct 2020
Coefficient of Determination (R2) 86.9%
Regression F statistic 376.80 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 1.23 0.060 20.599 0.000
Size (SMB) 1.16 0.114 10.132 0.000
Value (HML) 0.99 0.089 11.077 0.000
Alpha (α) 2.27bps 0.003 0.090 0.928
Annualized Alpha (α) 0.27%  
Annual returns
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Invesco S&P SmallCap 600 Pure Value ETF (RZV)
Target PortfolioFactor Exposure CloneReturns Based CloneTarget PortfolioFactor Exposure CloneReturns Based Clone
20061.00%10.09%10.52%10.68%$11,009$11,052$11,06811.00%7.04%
20074.08%2.21%2.06%3.17%$11,252$11,280$11,4195.39%-19.09%
20080.09%-35.77%-37.37%-37.25%$7,227$7,064$7,166-37.02%-41.16%
20092.72%27.79%32.03%30.19%$9,236$9,327$9,32926.49%62.67%
20101.50%17.44%16.68%16.09%$10,846$10,884$10,83114.91%28.55%
20112.96%0.42%0.74%1.15%$10,892$10,964$10,9551.97%-7.99%
20121.74%16.63%16.60%16.34%$12,703$12,784$12,74515.82%21.44%
20131.50%33.27%33.80%33.26%$16,930$17,105$16,98432.18%45.27%
20140.76%12.82%12.17%12.62%$19,100$19,187$19,12713.51%2.72%
20150.73%-0.25%-0.50%0.09%$19,052$19,091$19,1441.25%-12.77%
20162.07%15.01%14.56%13.63%$21,912$21,870$21,75411.82%33.95%
20172.11%19.16%19.07%19.94%$26,111$26,040$26,09221.67%1.25%
20181.91%-6.47%-6.46%-5.81%$24,421$24,357$24,576-4.52%-19.65%
20192.29%29.19%30.39%30.71%$31,549$31,759$32,12331.33%22.29%
20201.29%-1.97%-0.77%0.39%$30,927$31,516$32,2472.65%-25.34%
Annual returns for 2006 and 2020 are based on partial years
Monthly returns
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Invesco S&P SmallCap 600 Pure Value ETF (RZV)
Target PortfolioFactor Exposure CloneReturns Based CloneTarget PortfolioFactor Exposure CloneReturns Based Clone
200640.99%1.22%1.26%$10,099$10,122$10,1261.33%0.43%
20065-3.11%-3.26%-3.14%$9,785$9,792$9,808-2.90%-5.85%
200660.35%0.30%0.24%$9,819$9,821$9,8320.13%1.52%
200670.15%0.32%0.42%$9,833$9,853$9,8730.61%-1.71%
200682.30%2.19%2.25%$10,060$10,069$10,0952.36%1.02%
200692.15%2.39%2.45%$10,276$10,310$10,3422.56%1.17%
2006103.60%3.58%3.47%$10,646$10,678$10,7013.25%5.88%
2006112.24%1.99%1.96%$10,884$10,891$10,9101.89%2.74%
2006121.15%1.47%1.45%$11,009$11,052$11,0681.39%2.05%
200711.61%1.64%1.59%$11,187$11,233$11,2441.49%2.67%
20072-1.63%-1.74%-1.82%$11,005$11,038$11,040-1.97%-0.12%
200730.99%0.84%0.93%$11,114$11,131$11,1431.11%-1.05%
200743.74%4.11%4.21%$11,530$11,588$11,6124.42%1.91%
200753.57%3.44%3.46%$11,941$11,987$12,0133.48%3.21%
20076-1.83%-1.80%-1.76%$11,723$11,771$11,802-1.68%-2.68%
20077-4.24%-3.71%-3.50%$11,226$11,334$11,389-3.08%-8.15%
200781.54%1.04%1.19%$11,399$11,452$11,5251.50%-2.21%
200793.01%2.97%3.22%$11,742$11,792$11,8963.72%-2.35%
2007101.58%1.21%1.33%$11,928$11,934$12,0541.58%-1.43%
200711-4.86%-4.82%-4.60%$11,349$11,359$11,499-4.19%-9.26%
200712-0.85%-0.70%-0.70%$11,252$11,280$11,419-0.70%-0.69%
20081-5.48%-4.73%-5.17%$10,635$10,746$10,829-6.02%4.31%
20082-3.09%-3.97%-3.73%$10,306$10,319$10,425-3.25%-9.03%
20083-0.43%-0.07%-0.19%$10,262$10,312$10,405-0.44%2.55%
200844.81%3.95%4.26%$10,756$10,720$10,8484.85%-2.41%
200852.00%1.36%1.33%$10,972$10,865$10,9931.29%1.80%
20086-9.17%-8.89%-8.74%$9,966$9,899$10,032-8.44%-12.10%
200870.39%-0.02%-0.29%$10,005$9,897$10,003-0.83%5.70%
200881.98%1.76%1.65%$10,203$10,071$10,1681.45%3.98%
20089-8.01%-8.13%-8.39%$9,386$9,252$9,315-8.91%-2.68%
200810-18.08%-17.71%-17.40%$7,688$7,613$7,694-16.79%-24.19%
200811-7.77%-8.41%-7.99%$7,091$6,973$7,079-7.17%-17.10%
2008121.92%1.31%1.23%$7,227$7,064$7,1661.07%3.00%
20091-9.41%-10.13%-9.55%$6,547$6,349$6,481-8.41%-22.22%
20092-11.50%-11.82%-11.43%$5,794$5,598$5,740-10.66%-20.07%
200938.78%10.17%9.69%$6,303$6,168$6,2978.76%20.09%
2009412.06%14.76%13.01%$7,063$7,078$7,1169.56%51.48%
200955.17%5.68%5.66%$7,428$7,480$7,5195.62%6.13%
200960.14%1.18%0.85%$7,439$7,568$7,5830.22%7.93%
200978.35%9.06%8.56%$8,059$8,254$8,2337.58%19.54%
200984.25%4.07%3.91%$8,402$8,590$8,5553.60%7.41%
200994.14%4.41%4.18%$8,749$8,969$8,9123.72%9.31%
200910-2.92%-3.80%-3.15%$8,494$8,628$8,631-1.87%-17.42%
2009115.37%5.39%5.59%$8,950$9,093$9,1145.98%1.19%
2009123.19%2.58%2.37%$9,236$9,327$9,3291.95%7.05%
20101-3.45%-3.06%-3.24%$8,917$9,042$9,027-3.60%0.81%
201023.57%3.75%3.53%$9,235$9,381$9,3453.09%8.37%
201036.56%6.43%6.29%$9,841$9,984$9,9336.01%9.37%
201042.74%2.29%2.05%$10,111$10,213$10,1371.58%7.28%
20105-7.99%-8.36%-8.24%$9,303$9,359$9,301-8.01%-10.89%
20106-5.97%-6.23%-5.90%$8,748$8,775$8,752-5.24%-13.24%
201077.11%7.04%7.02%$9,370$9,393$9,3677.00%7.33%
20108-5.06%-5.30%-5.04%$8,895$8,895$8,895-4.53%-10.71%
201099.30%9.26%9.15%$9,722$9,719$9,7098.92%11.69%
2010103.74%3.97%3.91%$10,086$10,105$10,0883.79%5.26%
2010110.57%0.53%0.35%$10,143$10,159$10,1240.00%4.26%
2010126.93%7.14%6.98%$10,846$10,884$10,8316.67%10.44%
201111.92%1.75%1.96%$11,054$11,074$11,0422.36%-2.51%
201123.74%3.60%3.54%$11,467$11,474$11,4333.42%4.92%
201130.39%0.20%0.14%$11,511$11,497$11,4500.03%1.46%
201142.80%2.63%2.74%$11,833$11,799$11,7632.95%0.37%
20115-1.39%-1.05%-1.09%$11,669$11,675$11,635-1.15%-0.42%
20116-1.77%-1.81%-1.76%$11,462$11,463$11,430-1.67%-2.78%
20117-2.37%-2.07%-2.06%$11,191$11,226$11,195-2.05%-2.20%
20118-6.13%-6.05%-5.85%$10,504$10,547$10,540-5.45%-10.30%
20119-7.94%-7.56%-7.39%$9,670$9,750$9,762-7.04%-11.21%
20111011.79%11.65%11.40%$10,810$10,886$10,87510.91%16.82%
201111-0.21%-0.35%-0.31%$10,787$10,847$10,841-0.23%-1.20%
2011120.97%1.08%1.06%$10,892$10,964$10,9551.02%1.49%
201215.09%5.14%4.91%$11,446$11,527$11,4934.46%9.89%
201223.87%4.01%4.11%$11,889$11,990$11,9664.31%1.92%
201233.06%3.09%3.15%$12,253$12,360$12,3433.28%1.73%
20124-0.73%-0.96%-0.85%$12,164$12,242$12,238-0.64%-3.20%
20125-6.09%-6.50%-6.34%$11,423$11,446$11,462-6.02%-9.93%
201264.20%4.37%4.28%$11,903$11,946$11,9534.11%6.21%
201270.92%0.91%1.07%$12,013$12,055$12,0811.37%-2.30%
201282.43%2.87%2.66%$12,304$12,401$12,4012.24%7.30%
201292.63%2.92%2.81%$12,628$12,763$12,7492.58%5.37%
201210-1.57%-2.18%-2.08%$12,430$12,484$12,485-1.86%-4.48%
2012110.67%1.13%0.94%$12,514$12,626$12,6020.56%5.19%
2012121.51%1.25%1.13%$12,703$12,784$12,7450.90%3.70%
201315.50%5.27%5.24%$13,401$13,457$13,4125.18%5.90%
201321.41%1.34%1.34%$13,590$13,637$13,5921.34%1.33%
201333.94%3.60%3.65%$14,126$14,128$14,0883.74%2.64%
201341.45%1.50%1.64%$14,331$14,340$14,3191.91%-1.37%
201352.52%3.21%2.92%$14,692$14,801$14,7362.33%9.46%
20136-1.33%-1.30%-1.32%$14,497$14,608$14,542-1.35%-0.96%
201375.52%5.22%5.17%$15,296$15,370$15,2935.07%6.24%
20138-3.23%-3.05%-3.00%$14,803$14,902$14,834-2.91%-4.00%
201393.67%3.69%3.50%$15,345$15,453$15,3543.12%7.74%
2013104.42%4.41%4.47%$16,024$16,135$16,0414.59%3.20%
2013113.00%3.53%3.36%$16,505$16,704$16,5793.03%7.04%
2013122.57%2.40%2.44%$16,930$17,105$16,9842.51%1.60%
20141-3.30%-3.64%-3.58%$16,371$16,483$16,376-3.47%-4.82%
201424.66%4.62%4.60%$17,135$17,245$17,1294.56%5.04%
201430.95%0.89%0.86%$17,297$17,397$17,2770.82%1.32%
201440.26%0.33%0.46%$17,342$17,454$17,3570.72%-2.49%
201452.16%2.05%2.15%$17,716$17,812$17,7292.33%0.07%
201462.62%2.29%2.21%$18,180$18,221$18,1212.05%3.99%
20147-2.24%-1.88%-1.72%$17,773$17,877$17,810-1.39%-5.39%
201484.27%4.04%4.02%$18,532$18,599$18,5263.98%4.46%
20149-2.44%-2.08%-1.86%$18,079$18,212$18,182-1.41%-6.83%
2014103.03%2.96%2.78%$18,626$18,752$18,6882.42%6.78%
2014112.29%2.33%2.45%$19,052$19,189$19,1462.68%-0.14%
2014120.25%-0.01%-0.10%$19,100$19,187$19,127-0.26%1.78%
20151-3.09%-3.68%-3.46%$18,510$18,480$18,465-3.02%-8.39%
201525.72%6.18%6.03%$19,569$19,622$19,5795.74%9.29%
20153-0.87%-1.29%-1.39%$19,399$19,368$19,306-1.59%0.82%
201540.39%0.98%0.97%$19,474$19,559$19,4940.95%1.24%
201551.30%1.02%1.11%$19,726$19,759$19,7101.27%-0.76%
20156-1.83%-1.69%-1.77%$19,366$19,424$19,360-1.93%0.00%
201571.32%0.98%1.35%$19,622$19,615$19,6222.08%-6.75%
20158-5.74%-5.72%-5.83%$18,496$18,493$18,478-6.04%-3.47%
20159-2.76%-3.03%-2.85%$17,985$17,933$17,952-2.49%-6.81%
2015107.97%8.34%8.37%$19,419$19,429$19,4558.42%7.79%
2015110.54%0.52%0.44%$19,524$19,531$19,5410.29%2.20%
201512-2.42%-2.25%-2.03%$19,052$19,091$19,144-1.59%-6.92%
20161-5.32%-5.59%-5.39%$18,038$18,023$18,113-4.98%-9.94%
201620.27%0.43%0.24%$18,086$18,101$18,156-0.15%4.52%
201637.32%7.42%7.21%$19,409$19,445$19,4656.78%12.00%
201640.81%0.91%0.73%$19,565$19,622$19,6060.37%4.68%
201651.69%0.87%1.18%$19,896$19,792$19,8371.78%-5.60%
201660.22%0.23%0.24%$19,940$19,837$19,8840.25%0.08%
201673.92%4.07%3.94%$20,721$20,644$20,6673.68%6.85%
201680.28%0.24%0.21%$20,779$20,695$20,7090.13%1.05%
201690.08%0.32%0.21%$20,796$20,760$20,7530.01%2.50%
201610-2.10%-2.07%-1.99%$20,358$20,330$20,340-1.83%-3.77%
2016115.33%5.42%4.84%$21,443$21,433$21,3253.70%17.61%
2016122.19%2.04%2.01%$21,912$21,870$21,7541.96%2.58%
201711.58%1.27%1.48%$22,257$22,148$22,0761.88%-3.03%
201723.47%3.45%3.62%$23,031$22,912$22,8753.96%-0.18%
20173-0.10%-0.25%-0.13%$23,006$22,854$22,8450.10%-2.75%
201740.86%0.79%0.86%$23,205$23,034$23,0421.02%-0.85%
201750.45%0.50%0.80%$23,308$23,149$23,2261.39%-5.83%
201761.07%1.01%0.88%$23,558$23,382$23,4300.61%3.81%
201771.79%1.51%1.69%$23,978$23,736$23,8262.04%-2.23%
20178-0.14%-0.01%0.10%$23,944$23,734$23,8480.29%-2.12%
201792.78%3.17%2.80%$24,610$24,487$24,5152.06%11.03%
2017101.95%2.15%2.21%$25,091$25,014$25,0562.32%0.97%
2017113.09%3.24%3.18%$25,865$25,824$25,8533.06%4.50%
2017120.95%0.84%0.93%$26,111$26,040$26,0921.10%-1.04%
201814.77%4.98%5.22%$27,356$27,335$27,4555.71%-0.23%
20182-3.96%-3.81%-3.77%$26,274$26,293$26,419-3.69%-4.66%
20183-1.71%-2.06%-2.23%$25,824$25,751$25,831-2.56%1.44%
201840.38%0.56%0.50%$25,922$25,896$25,9590.37%1.88%
201852.93%2.95%2.76%$26,681$26,659$26,6762.39%6.87%
201860.54%0.71%0.67%$26,826$26,849$26,8560.61%1.44%
201873.40%3.33%3.46%$27,739$27,742$27,7843.71%0.63%
201883.04%3.21%3.22%$28,582$28,632$28,6793.25%2.94%
20189-0.00%0.05%0.22%$28,581$28,647$28,7430.55%-3.49%
201810-7.40%-7.16%-7.05%$26,466$26,597$26,716-6.85%-9.32%
2018112.11%1.40%1.61%$27,024$26,971$27,1472.03%-3.00%
201812-9.63%-9.69%-9.47%$24,421$24,357$24,576-9.04%-14.27%
201918.79%9.05%8.70%$26,568$26,561$26,7138.00%16.44%
201923.40%3.21%3.20%$27,470$27,413$27,5693.20%3.25%
201930.97%1.03%1.33%$27,738$27,696$27,9371.94%-5.37%
201944.01%3.91%3.95%$28,849$28,779$29,0424.04%2.99%
20195-6.81%-7.39%-7.04%$26,886$26,652$26,996-6.36%-14.62%
201966.99%7.24%7.17%$28,764$28,581$28,9317.03%8.68%
201971.26%1.36%1.38%$29,125$28,969$29,3301.43%0.86%
20198-2.55%-2.35%-2.09%$28,382$28,289$28,717-1.59%-7.68%
201992.39%2.94%2.57%$29,060$29,119$29,4561.86%10.53%
2019102.05%2.13%2.14%$29,656$29,740$30,0862.15%1.97%
2019113.34%3.58%3.59%$30,645$30,804$31,1673.62%3.29%
2019122.95%3.10%3.07%$31,549$31,759$32,1233.01%3.76%
20201-0.88%-1.85%-1.25%$31,272$31,170$31,722-0.05%-14.59%
20202-8.73%-8.98%-8.73%$28,543$28,370$28,951-8.24%-14.22%
20203-15.55%-14.80%-13.98%$24,105$24,172$24,903-12.37%-31.93%
2020412.89%14.25%13.77%$27,211$27,615$28,33112.81%24.37%
202054.77%4.59%4.65%$28,508$28,883$29,6484.76%3.43%
202062.00%2.45%2.29%$29,077$29,591$30,3271.98%5.77%
202075.04%5.28%5.39%$30,544$31,152$31,9635.63%2.80%
202086.54%7.59%7.45%$32,541$33,515$34,3437.18%10.47%
20209-3.79%-4.01%-3.94%$31,309$32,171$32,989-3.81%-5.42%
202010-1.22%-2.04%-2.25%$30,927$31,516$32,247-2.67%2.45%