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 (Jan 2001 - Dec 2005)

Target Portfolio
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 62.00%
DFSVX DFA US Small Cap Value I 38.00%
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Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 1.03 61.249 0.000
Size (SMB) 0.41 23.890 0.000
Value (HML) 0.13 5.224 0.000
Profitability (RMW) 0.06 2.257 0.028
Investment (CMA) 0.03 1.099 0.276
Alpha (α) 1.03bps 0.201 0.841
Annualized Alpha (α) 0.12%  
Factor Exposure Clone
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.25%
IJS iShares S&P Small-Cap 600 Value ETF 39.75%
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Factor Exposure Clone Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 1.06 53.363 0.000
Size (SMB) 0.37 18.312 0.000
Value (HML) 0.12 4.045 0.000
Profitability (RMW) 0.14 4.687 0.000
Investment (CMA) -0.03 -1.024 0.310
Alpha (α) -15.99bps -2.630 0.011
Annualized Alpha (α) -1.92%  
Returns Based Clone
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 57.53%
IJS iShares S&P Small-Cap 600 Value ETF 42.47%
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Returns Based Clone Regression
Factor Loading t-stat p-value
Market (Rm-Rf) 1.07 50.455 0.000
Size (SMB) 0.39 18.389 0.000
Value (HML) 0.13 4.031 0.000
Profitability (RMW) 0.15 4.713 0.000
Investment (CMA) -0.03 -1.020 0.312
Alpha (α) -17.04bps -2.637 0.011
Annualized Alpha (α) -2.04%  

Match Summary

Match summary
NameDescriptionRm-RfSMBHMLRMWCMAAlphaAnnual AlphaR2F-statF-stat p-valueReturns Regression R2
Target PortfolioVTSMX=62.00%, DFSVX=38.00%1.030.410.130.060.030.01%0.12%99.5%1,983.360.000-
Factor Exposure CloneVTSMX=60.25%, IJS=39.75%1.060.370.120.14-0.03-0.16%-1.92%99.2%1,369.430.00098.9%
Returns Based CloneVTSMX=57.53%, IJS=42.47%1.070.390.130.15-0.03-0.17%-2.04%99.1%1,223.770.00098.9%

Portfolio Performance

Portfolio performance statistics
NameDescriptionInitial BalanceFinal BalanceCompound Monthly ReturnCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino Ratio
Target PortfolioVTSMX=62.00%, DFSVX=38.00%$10,000$14,9450.67%8.37%16.04%41.53%-16.42%-26.08% 0.450.66
Factor Exposure CloneVTSMX=60.25%, IJS=39.75%$10,000$13,3140.48%5.89%15.79%34.73%-18.04%-28.97% 0.310.43
Returns Based CloneVTSMX=57.53%, IJS=42.47%$10,000$13,4830.50%6.16%15.87%34.95%-17.85%-28.39% 0.320.45
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
Vanguard Total Stock Mkt Idx Inv VTSMX Jan 2001 Dec 2005 0.99 0.01 0.02 -0.00 -0.00 -0.01% -0.08% 100.0%
DFA US Small Cap Value I DFSVX Jan 2001 Dec 2005 1.10 1.06 0.32 0.15 0.07 0.04% 0.46% 97.7%
iShares S&P Small-Cap 600 Value ETF IJS Jan 2001 Dec 2005 1.17 0.92 0.27 0.34 -0.06 -0.39% -4.70% 96.7%

Vanguard Total Stock Mkt Idx Inv

Factor regression results for Vanguard Total Stock Mkt Idx Inv
Ticker VTSMX
Time Period Jan 2001 - Dec 2005
Coefficient of Determination (R2) 100.0%
Regression F statistic 25,800.85 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 0.99 0.004 223.917 0.000
Size (SMB) 0.01 0.004 1.788 0.079
Value (HML) 0.02 0.007 2.592 0.012
Profitability (RMW) -0.00 0.006 -0.005 0.996
Investment (CMA) -0.00 0.006 -0.691 0.493
Alpha (α) -0.69bps 0.000 -0.511 0.612
Annualized Alpha (α) -0.08%  

DFA US Small Cap Value I

Factor regression results for DFA US Small Cap Value I
Ticker DFSVX
Time Period Jan 2001 - Dec 2005
Coefficient of Determination (R2) 97.7%
Regression F statistic 468.83 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 1.10 0.042 26.136 0.000
Size (SMB) 1.06 0.042 24.947 0.000
Value (HML) 0.32 0.062 5.075 0.000
Profitability (RMW) 0.15 0.061 2.387 0.021
Investment (CMA) 0.07 0.058 1.281 0.206
Alpha (α) 3.85bps 0.001 0.301 0.765
Annualized Alpha (α) 0.46%  

iShares S&P Small-Cap 600 Value ETF

Factor regression results for iShares S&P Small-Cap 600 Value ETF
Ticker IJS
Time Period Jan 2001 - Dec 2005
Coefficient of Determination (R2) 96.7%
Regression F statistic 313.35 (p-value = 0.000)
Factor Loading Standard Error t-stat p-value
Market (Rm-Rf) 1.17 0.048 24.483 0.000
Size (SMB) 0.92 0.048 18.932 0.000
Value (HML) 0.27 0.071 3.874 0.000
Profitability (RMW) 0.34 0.070 4.910 0.000
Investment (CMA) -0.06 0.067 -0.976 0.333
Alpha (α) -39.18bps 0.001 -2.683 0.010
Annualized Alpha (α) -4.70%  
Annual returns
YearInflationTarget PortfolioFactor Exposure CloneReturns Based CloneVanguard Total Stock Mkt Idx Inv (VTSMX)iShares S&P Small-Cap 600 Value ETF (IJS)
ReturnBalanceReturnBalanceReturnBalance
20011.55%0.88%$10,088-2.38%$9,762-1.78%$9,822-10.97%11.68%
20022.38%-16.42%$8,431-18.04%$8,000-17.85%$8,069-20.96%-14.04%
20031.88%41.53%$11,93334.73%$10,77934.95%$10,89031.35%39.76%
20043.26%17.34%$14,00216.50%$12,55716.77%$12,71612.51%22.60%
20053.42%6.73%$14,9456.03%$13,3146.03%$13,4835.98%6.00%
Monthly returns
YearMonthTarget Portfolio ReturnFactor Exposure Clone ReturnReturns Based Clone ReturnVanguard Total Stock Mkt Idx Inv (VTSMX)iShares S&P Small-Cap 600 Value ETF (IJS)
200116.29%5.43%5.54%3.83%7.86%
20012-6.57%-7.35%-7.21%-9.41%-4.21%
20013-5.10%-6.01%-5.97%-6.72%-4.94%
200147.39%7.63%7.59%8.16%6.82%
200152.97%1.77%1.82%1.01%2.91%
200160.41%-0.19%-0.09%-1.64%2.01%
20017-1.68%-1.12%-1.08%-1.71%-0.22%
20018-4.23%-4.00%-3.86%-6.00%-0.96%
20019-11.11%-11.20%-11.35%-9.00%-14.53%
2001103.06%3.31%3.36%2.52%4.50%
2001117.70%7.60%7.60%7.63%7.55%
2001123.77%3.79%3.93%1.78%6.83%
20021-0.18%0.10%0.20%-1.24%2.14%
20022-1.33%-1.40%-1.36%-2.05%-0.42%
200236.46%6.10%6.22%4.38%8.72%
20024-1.31%-1.35%-1.11%-4.90%4.03%
20025-1.95%-2.18%-2.24%-1.22%-3.63%
20026-5.17%-6.09%-6.03%-7.06%-4.62%
20027-10.90%-11.10%-11.31%-8.02%-15.78%
20028-0.15%0.15%0.13%0.53%-0.42%
20029-9.01%-9.21%-9.15%-10.07%-7.91%
2002105.36%5.63%5.50%7.65%2.58%
2002117.00%5.84%5.82%6.06%5.50%
200212-4.81%-4.44%-4.37%-5.57%-2.74%
20031-2.89%-3.14%-3.18%-2.54%-4.05%
20032-2.61%-2.63%-2.69%-1.69%-4.05%
200330.59%0.60%0.56%1.09%-0.15%
200349.10%8.45%8.47%8.21%8.81%
200358.24%7.42%7.51%6.11%9.42%
200362.28%2.00%2.04%1.43%2.85%
200374.14%3.37%3.44%2.36%4.91%
200383.43%3.41%3.48%2.39%4.96%
20039-1.01%-2.08%-2.15%-1.15%-3.51%
2003107.59%7.30%7.38%6.12%9.09%
2003112.44%2.54%2.62%1.38%4.30%
2003124.80%3.78%3.73%4.48%2.71%
200413.24%2.21%2.20%2.23%2.17%
200421.42%1.86%1.89%1.43%2.50%
20043-0.31%0.08%0.16%-1.07%1.82%
20044-2.51%-2.83%-2.88%-2.11%-3.93%
200450.98%1.44%1.44%1.35%1.58%
200463.84%3.39%3.48%2.09%5.35%
20047-4.38%-4.18%-4.20%-3.80%-4.75%
20048-0.37%0.28%0.28%0.31%0.24%
200492.95%2.91%2.99%1.74%4.69%
2004101.40%1.39%1.37%1.68%0.95%
2004116.71%6.44%6.56%4.68%9.11%
2004123.63%2.82%2.76%3.63%1.57%
20051-3.02%-2.90%-2.92%-2.68%-3.25%
200522.31%2.40%2.42%2.07%2.90%
20053-1.82%-1.99%-2.01%-1.75%-2.36%
20054-4.21%-3.43%-3.51%-2.32%-5.12%
200554.86%4.72%4.78%3.77%6.16%
200562.09%2.05%2.13%0.81%3.92%
200575.25%4.80%4.84%4.11%5.84%
20058-1.22%-1.31%-1.34%-0.94%-1.87%
200590.83%0.54%0.51%0.86%0.05%
200510-2.27%-2.48%-2.52%-1.86%-3.41%
2005114.06%4.34%4.37%3.97%4.91%
2005120.21%-0.34%-0.37%0.14%-1.06%