Are these the official Fama-French factors?

No — they're investable approximations built from liquid ETFs (e.g., value−growth, small−large). They're ideal for an intuitive, hands-on decomposition, but won't exactly match academic research series.

Alpha is the part of the return not explained by any of the included factor exposures — loosely, the manager's or strategy's edge. A small or statistically insignificant alpha means the factors explain almost everything.

Factor Analysis

Every portfolio has a style. Factor analysis is an X-ray that reveals it — showing how much of your returns came from the overall market versus tilts toward small, cheap, high-momentum, or high-quality stocks, and how much was genuine skill (alpha). It answers why your portfolio behaved the way it did, in plain English.

Educational use only — not investment advice

This tool is for educational and informational purposes only and does not provide financial, investment, tax, legal, or accounting advice. Results are hypothetical and based on historical data and assumptions that may be inaccurate. Past performance does not guarantee future results. Consult a licensed professional before making investment decisions.

Factor AnalysisAdvanced

What is the Factor Analysis?

See how much of a portfolio's returns come from common style factors versus genuine skill (alpha) — explained in plain English.

Two funds can post the same return for completely different reasons. Factor analysis is an X-ray that reveals the reasons: it breaks a portfolio's returns into exposures to a handful of well-studied drivers — the overall market, a tilt toward small or large companies, cheap 'value' or expensive 'growth' stocks, recent-winner momentum, and high-quality businesses. Whatever return isn't explained by those exposures is 'alpha'. The tool tells you which styles your portfolio is really betting on, how confident we can be in each, and how much of its ups and downs the factors explain.

How to use it

1Enter a portfolio or fund (tickers and weights) you want to X-ray.
2Choose which style factors to include (market, size, value, momentum, quality) and a date range.
3Run it to see the portfolio's factor exposures, how much of its return is genuine alpha, how much of its movement the factors explain (R²), and a plain-English read on its style.

What you'll get

✓Factor loadings (exposures) with t-statistics
✓Annualized alpha and whether it's significant
✓R² — how much of returns the factors explain
✓Each factor's contribution to return
✓A plain-English interpretation of the portfolio's style

New here? See it in action

What really drives a Nasdaq-100 fund? — Analyze QQQ to reveal its large-cap growth tilt and momentum exposure — and how little 'alpha' is left once the factors are accounted for.

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Portfolio or fund to analyze

Total: 100.0%

Factors to include

Start date

End date

Include dividends

Factors are built from liquid ETF proxies (market, small−large, value−growth, momentum, quality) — investable approximations of the classic research factors, for educational use. Newer factor ETFs (momentum, quality) limit how far back the analysis can run.

How the Factor Analysis works

Investable factor proxies are built from ETFs (market = broad market − cash, size = small − large, value = value − growth, momentum and quality as ETF tilts over the market). The portfolio's monthly excess returns are regressed on the selected factors by ordinary least squares: the slopes are the factor loadings, the intercept is alpha, and R² is the share of movement explained. These are educational ETF proxies, not the academic research factors.