Fund Factors Regression analysis tools

Calculate Three-factor (3F), Four-factor (4F), and Capital Asset Pricing Model (CAPM) regressions.

Available Tools

Screener

View the list of available funds.

Compare Funds

Directly compare up to 5 funds.

Portfolio Analysis

Calculate factor loadings for your own portfolios.

About

Learn more about Fund Factors.

Contact us

Send us your comments and suggestions.
Major Index Regressions (from Inception)
Symbol Fund Rm-Rf SMB HML Alpha R2
DIA SPDR Dow Jones Industrial Average 0.92 -0.22 0.15 0.93% 0.901
ONEQ Fidelity Nasdaq Composite Index Tracking Stock 1.11 0.40 -0.37 -0.84% 0.944
SPY SPDR S&P 500 ETF 0.99 -0.18 0.04 -0.05% 0.988
Vanguard Regressions (from Inception)
Symbol Fund Rm-Rf SMB HML Alpha R2
VFIAX Vanguard 500 Index Admiral Shares 1.00 -0.14 0.01 -0.26% 0.998
VFINX Vanguard 500 Index Fund Investor Shares 1.01 -0.19 0.03 -0.97% 0.978
VDAIX Vanguard Dividend Appreciation Index Investor Shares 0.83 -0.14 0.04 0.63% 0.938
VIIIX Vanguard Institutional Index Fund Institutional Plus Shares 0.99 -0.17 0.04 -0.51% 0.991
VLCAX Vanguard Large-Cap Index Admiral Shares 1.00 -0.12 0.00 -0.36% 0.998
VTCLX Vanguard Tax-Managed Capital Appreciation Admiral Shares 1.03 -0.06 -0.05 -0.19% 0.997
VTGLX Vanguard Tax-Managed Growth and Income Admiral Shares 1.00 -0.15 0.02 -0.81% 0.994
VTSAX Vanguard Total Stock Market Index Admiral Shares 1.00 -0.00 0.02 0.02% 0.999
VHDYX Vanguard High Dividend Yield Index Investor Shares 0.87 -0.28 0.39 1.09% 0.942
VVIAX Vanguard Value Index Admiral Shares 1.02 -0.16 0.22 -1.04% 0.965
VIVAX Vanguard Value Index Fund Investor Shares 1.01 -0.16 0.33 -0.94% 0.954
VWENX Vanguard Wellington Fund Admiral Shares 0.63 -0.13 0.09 2.95% 0.924
VSMAX Vanguard Small-Cap Index Admiral Shares 1.03 0.74 0.20 -0.47% 0.983
VTMSX Vanguard Tax-Managed Small-Cap Admiral Shares 0.95 0.68 0.38 0.25% 0.944
VSIAX Vanguard Small-Cap Value Index Fund Admiral Shares 1.02 0.56 0.35 -0.19% 0.973
VISVX Vanguard Small-Cap Value Index Fund Investor Shares 1.01 0.56 0.63 -0.66% 0.929
Dimensional Fund Advisors Regressions (from Inception)
Symbol Fund Rm-Rf SMB HML Alpha R2
DTMEX DFA Tax-Managed US Equity 1.00 -0.01 -0.03 -0.77% 0.991
DFEOX DFA US Core Equity 1 (I) 1.03 0.15 0.06 -0.07% 0.997
DUSQX DFA US Large Cap Equity Institutional 1.02 -0.09 0.05 0.51% 0.998
DFUSX DFA US Large Company (I) 1.00 -0.19 0.04 -1.21% 0.992
DFSIX DFA US Sustainability Core 1 1.05 0.15 0.08 -0.45% 0.997
DTMMX DFA Tax-Managed US Marketwide Value (I) 1.12 0.01 0.62 -1.01% 0.930
DFMVX DFA Tax-Managed US Marketwide Value (II) 1.12 -0.00 0.62 -1.86% 0.927
DFLVX DFA US Large Cap Value (I) 1.11 -0.03 0.63 -1.17% 0.925
DFCVX DFA US Large Cap Value (II) 1.09 -0.07 0.61 -4.40% 0.817
DFUVX DFA US Large Cap Value (III) 1.08 -0.12 0.59 -5.07% 0.750
DFBMX LWAS/DFA US High Book To Market 1.09 -0.11 0.61 -5.15% 0.830
DFTSX DFA Tax-Managed US Small Cap 1.03 0.84 0.24 -0.65% 0.980
DFSCX DFA US Micro Cap (I) 0.94 1.02 0.29 -2.98% 0.883
DFSTX DFA US Small Cap (I) 1.03 0.84 0.29 -1.59% 0.969
DTMVX DFA Tax-Managed US Targeted Value 1.07 0.64 0.64 -0.49% 0.951
DFSVX DFA US Small Cap Value (I) 1.04 0.81 0.66 -0.34% 0.962
DFFVX DFA US Targeted Value (I) 1.04 0.62 0.66 -3.18% 0.858