The Factor Analysis tab provides insights into how a security or portfolio’s performance is influenced by exposure to common investment factors. The model includes the following factors: Growth, Value, Momentum, Size, Quality, Low Volatility, and Dividend Yield.
Overview
Factor Tilt Visualization
Factor Attribution
Factor Risk/Return Scatterplot
Frequently Asked Questions
Overview
Within Factor Analysis, users can toggle between viewing Risk and Return information.
In the Return view, the analysis shows how much each factor contributed to the security’s overall performance during the selected time period. An Intercept value is included in this view to represent the portion of returns that cannot be explained by the factors in the model.
In the Risk view, the analysis instead shows how much each factor contributes to the security’s overall volatility. In this view, factor contributions sum to 100% of total risk.
Factor Tilt Visualization
The Factor Tilt Visualization provides a visual representation of the primary security’s exposure to each investment factor relative to its peers. This allows you to quickly determine whether a security or portfolio has a meaningful tilt towards a specific investment factor. Each row represents a factor and illustrates:
- The range of factor exposures observed across the peer category
- The average factor exposure across the category
- The historical range of exposures for the primary security
- The current factor exposure of the security
Factor Attribution
The Factor Attribution module breaks down the security’s return or risk into contributions from each investment factor depending on the selected view. The results are displayed using a horizontal bar chart, allowing users to easily see which factors contribute the most to performance or risk. This table displays:
- The factor exposure (coefficient) for each factor
- The percentage attributed to that factor
The Coefficient (or beta) measures how sensitive a security’s returns are to movements in a specific factor
In Return View, bars represent the percentage of total return explained by each factor.
- Formula: Coefficient x Cumulative Return
In Risk View, bars represent the percentage of overall risk attributable to each factor.
- Formula: Coefficient^2 x Standard Deviation^2 / (sum of (Coefficient^2 x Std Dev^2))
Factor Risk/Return Scatterplot
The Factor Risk / Return Scatterplot provides additional context by showing the historical risk and return characteristics of the factor benchmarks used in the model. Each point on the chart represents a benchmark index associated with one of the investment factors. The chart plots:
- Standard Deviation (Risk) on the horizontal axis
- Annualized Return on the vertical axis
This visualization allows users to see how each factor historically behaves in terms of risk and return, providing context for how factor exposures may influence portfolio performance.
Frequently Asked Questions:
What benchmarks are used for each factor?
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Value: S&P 500 Value Total Return
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Growth: S&P 500 Growth Total Return
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Momentum: S&P 500 Momentum Index Total Return
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Size: S&P 600 Total Return
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Quality: S&P 500 Quality Total Return
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Low Volatility: S&P 500 Low Volatility Index Total Return
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Dividend Yield: S&P 500 Dividend Aristocrats Total Return
Can I customize the benchmarks used?
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At this time, the benchmarks cannot be customized.