Fund Factors Regression analysis tools

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

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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