mas financial tools

Perform several three factor regressions (Market, SMB, HML) for a fund, over different time-frames. Graphically display the results.
See: The Cross-Section of Expected Stock Returns

Sample results for 'Vanguard Small Cap Value Index': regression view and style view
There is also a new Gallery that lists the results of other users.

• alpha: how much 'extra' return did the fund have that could not be accounted for by the model. this is almost never large or statistically significant.
• B(MKT) = market factor: most 100% stock funds have a market factor near 1.0. higher values may indicate leverage. lower values may indicate cash and or bonds.
• B(SMB) = size factor (small minus big): positive values indicate the fund's average holding is smaller than the market
• B(HML) = value factor (high minus low): positive values indicate the fund's average holding is more 'value' oriented than the market (based on book to market ratio)
• R²: measures how well the fund returns match the model (values close to 1.0 indicate a good statistical fit)

• +/- value for each factor: a 95% statistical confidence interval
• p value for each factor: ask a statistician! roughly speaking, lower values indicate that the factor coefficient is more statistically significant.

• timeseries chart for each factor:
  • red line is based on regression results for rolling sub-periods, centered at a given date.
  • blue line is regression result for entire period.
  • red and blue areas represent confidence intervals.
• histogram for each factor:
  • red areas represent frequency, based on on regression results for rolling sub-periods.
  • blue line is regression result for entire period.
• style chart:
  • red is each sub-period's HML and SMB factors (with confidence rectangle).
  • blue is result for entire period (with confidence rectangle - often too small to see).
  • This is oriented to appear similar to Morningstar's style box, but the meaning and scale are somewhat different.

• Pre-defined FF_LV, FF_LC, FF_LG, FF_SV, FF_SC, FF_SG portfolios are based on "6 Portfolios Formed on Size and Book-to-Market (2 x 3)"

Curiosity mostly. I developed it to satisfy my own curiosity.
Any utility that you derive from it is merely coincidence.
I would not recommend it for any real use, see disclaimer below.
But happy analysis nevertheless.

Of course, the following tend to not fit the model well (low R² values):

• non US stock funds
• active funds holding significant amounts of non US stocks
• single stocks and undiversified portfolios (i.e. sector funds)
• funds holding cash and/or bonds (sorry I do not have TERM and DEFAULT data for the 5 factor model)
• commodities, futures, and more exotic assets
• illiquid ETFs that may contain stale end of day prices

Others:

• the code may be buggy
• the data may be incomplete or inaccurate
• my application of the concepts may be inaccurate
• This hosting arrangement may be slow, bandwidth limited, and may change in the future.

Java Webstart (JRE 1.6, most features will work on 1.5). Download
Warning: depending on the data and parameters chosen, this can be quite memory intensive.

Data from:
Ken French's data library
Yahoo Finance

My own ugly code (hopefully no one is looking here...):
mas.ff3

Additional Java libraries: