Post #3101 by lizgdal on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

Unthreaded | Threaded | Whole Thread (2)

Post New | Post Reply | Report Post | Recommend It!

No. of Recommendations: 6

A Factor analysis could be done. The loadings for a total market fund (VTSMX) are about 1 for Market and zero for the rest.

For SPY: Factor Loading
Market (Rm-Rf) 0.98
Size (SMB) -0.17
Value (HML) 0.02
Momentum (MOM) -0.02
Alpha (α) 2.20bps
Annualized Alpha (α) 0.26%

Factor Loading
Market (Rm-Rf) 1.07
Size (SMB) -0.21
Value (HML) -0.31
Momentum (MOM) 0.01
Alpha (α) 7.80bps
Annualized Alpha (α) 0.94%
https://www.portfoliovisualizer.com/factor-analysi...

Or Active Share can be used. Active Share is 0% for an index fund and 100% for a fund with no portfolio overlap.
Equity Holdings 53
Assets in Top 10 Holdings 54%
Active Share 64.54
https://www.morningstar.com/funds/xnas/apgyx/portf...

Post New | Post Reply | Report Post | Recommend It!

Print the post

Unthreaded | Threaded | Whole Thread (2)

Prev | Next

Announcements

Mechanical Investing FAQ

Contact Shrewd'm
Contact the developer of these message boards.

A community forum supporting civilized, and highly helpful, self-educating investors that come together for shrewdness and merry spirits. These message boards closely follow the look and feel of the old message boards at boards.fool.com prior to the boards redirected to discussion.fool.com. Shrewd'm is not affiliated with the comprehensive and excellent investment website, The Motley Fool (TMF), in any way. The Shrewd commmunity here has owed, and continues to owe, gratitude to The Motley Fool for nurturing a culture of jovial irreverence towards Wall St, and that tradition will continue here.