Factor model
See how a fund or portfolio’s past returns relate to the library’s factors. The results show its factor exposures, estimated alpha, and how well the model explains its performance. Everything runs locally in your browser.
Step 1
Describe your file
date,navRequired column names are case-insensitive and may appear in any order. Extra columns and blank rows are ignored. CSV dates use YYYY-MM-DD; Excel dates also work in XLSX. Use positive end-of-period NAV values.
Only dates overlapping the published factor data are used.
Step 2
Choose your factor model
MKT-RF is required. Toggle the other factors to compare models. RF is always subtracted from portfolio returns.
Current model: MKT-RF
Step 3
Validate and run
Choose the options that match your file.
File formats and templates
Upload a CSV or XLSX file, then choose its input type and frequency. XLSX files must contain one worksheet. The required columns are shown in the templates below.
Daily NAV
date,nav
2025-01-02,100.0000
2025-01-03,100.2500
The last NAV before factor coverage may be used as the anchor for the first return.
Download daily NAV templateMonthly NAV
date,nav
2025-01-30,100.0000
2025-02-27,101.5000
Monthly observations are matched to factor data by calendar month.
Download monthly NAV templateDaily returns
date,return
2025-01-02,0.0025
2025-01-03,-0.0010
Use decimal simple returns: 0.0125 means 1.25%.
Download daily returns templateMonthly returns
date,return
2025-01-30,0.0125
2025-02-27,-0.0040
Monthly observations are matched to factor data by calendar month.
Download monthly returns templateDates must be unique and ascending. Returns must be decimal simple returns, and NAV values must be positive. History outside factor coverage is ignored. NAV observations within coverage must be consecutive; returns may omit dates.