About Us Learn more about Fund Factors

RaR
Risk Adjusted Return: Asset Return - Risk Free Return
Rm-Rf, SMB, HML
See Description of Fama/French Factors

Regressions: Funds are matched to the most appropriate set of region data based on classification data. Monthly fund returns for a given time period are then matched to monthly region returns and the appropriate regression is then calculated. For example, regressions for an ETF like VTI will be computed against the USA region data while an ETF like VXUS will be matched to the Developed markets data.

N-Month Rolling Regression Charts: Regression data is calculated for every N-month period starting with the funds' earliest calculable date and ending with the latest.

Fund returns, Issuer, region, and investment style classifications are collected from various publicly available sources like Yahoo! Finance and Morningstar.

Factor research data is derived from the Fama-French Data Library and the Andrea Frazzini Data Library. Below is the breakdown of sources by region.

Region Factors Source
Global Region Rm-Rf, SMB, HML, Mom, Rf Fama-French Global data file
USA Region Rm-Rf, SMB, HML, Rf Fama-French Research Factors data file
Mom Fama-French Momentum data file
Developed ex-U.S. Region Rm-Rf, SMB, HML, Mom Andrea Frazzini Global Factor Returns data file
Rf Mirrored from the USA Rf returns data
Emerging Markets Region No Emerging Markets factor data is currently available.
North American Region Rm-Rf, SMB, HML, Mom, Rf Fama-French North America data file
European Region Rm-Rf, SMB, HML, Mom, Rf Fama-French European data file
Asia Pacific Region Rm-Rf, SMB, HML, Mom Andrea Frazzini Global Factor Returns data file
Rf Mirrored from the USA Rf returns data
Asia Pacific ex-Japan Region Rm-Rf, SMB, HML, Mom, Rf Fama-French Asia Pacific ex-Japan data file
Japanese Region Rm-Rf, SMB, HML, Mom, Rf Fama-French Japanese data file
Other Countries (Australia, Austria, Belgium, Canada,
Denmark, Europe, Finland, France, Germany, Greece,
Hong Kong, Ireland, Israel, Italy, Nethernlands,
New Zealand, Norway, Portugal, Singapore, Spain, Sweden,
Switzerland, United Kingdom)
Rm-Rf, SMB, HML, Mom Andrea Frazzini Global Factor Returns data file
Rf Mirrored from the USA Rf returns data

Last modified: 2013-11-21 21:03:08