Regress any mix against the Fama-French factors and see what is really driving it. Most portfolios turn out to be one big market bet wearing several names.
Factor exposure analysis regresses a portfolio's returns against systematic risk factors, meaning market, size, value, profitability, investment and momentum, to reveal what actually drives its performance. Two portfolios with identical returns can carry very different factor risks.
The Fama-French factors are the academic standard for explaining equity returns: market beta, SMB (small minus big), HML (high minus low book-to-market), RMW (robust minus weak profitability), CMA (conservative minus aggressive investment), plus momentum in the 6-factor version. This analyzer runs a full 6-factor regression on your portfolio.
Enter your holdings or asset allocation into the analyzer and it regresses the portfolio's historical returns against the Fama-French 6-factor model, showing each loading with its statistical significance, R-squared, and alpha, all computed in your browser.
Yes. The Fama-French regression runs free in your browser with no signup required. A free Portfolio Lab account adds the wider platform: portfolio optimization across 57 asset classes, Monte Carlo simulation, and PDF reports.
Knowing the exposure is the diagnosis. The optimizer is where you do something about it.
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