Fund Style Performance
Updated Daily.
Exchange Traded Funds (ETFs) and Mutual Funds are measured against a named benchmark (e.g., S&P 500). When their return exceeds the benchmark, they out-perform. This excess performance may result from stock selection or allocation. Compensation should occur for the former, not the latter.
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Allocation to factor exposures (e.g., growth) are easily accessible and inexpensive to acquire and investors should not pay a premium for them.
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Style analysis is based on Noble prize winning research. The process assesses the factor exposures to determine whether a portfolio added value beyond the easily accessible factors.
An outperforming fund is rare.
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Capital Risk created the Factordex (i.e., an index of factor risk exposures) to determine if the portfolio added value. The goal is to explain the risk, not the returns.
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The inexpensive and liquid factors include :
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Market: the overall equity market
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Size: market capitalization
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Value: book value
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Growth: sales & profit growth
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Inflation: changes in the price of goods & services
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Rates: real long-term interest rates
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Currency: foreign exchange
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Cash: real short-term interest rates
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Easily assess whether a fund added value.
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Note: only ETFs are currently supported. Mutual funds coming soon.
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Artful Questions. Scientific Answers.
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The Factordex: Fund Performance
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