Match Factor Exposure
Compare a target fund with a factor-matched ETF basket
Find a long-only ETF basket with factor exposures close to a target fund's. Compare achieved betas, tracking error, and active alpha.
Select a target fund and candidate ETFs. The tool finds nonnegative weights that sum to 100% and minimize the gap in factor exposures.
What this tool produces
- Long-only ETF weights fitted to the target fund's factor loadings.
- Achieved factor betas vs the target's reference betas.
- Tracking error and residual alpha relative to the target.
When to use factor matching
Compare a candidate basket with the target fund over the same historical window. A close factor match can still have substantial tracking error.
Inputs that shape the result
- The target fund and candidate ETFs.
- The factor model (CAPM, Fama-French 3, Carhart 4, FF5).
- The estimation window and frequency.
FAQ
- Does matching factor loadings guarantee matching future returns?
- No. The basket reproduces historical factor exposures over the chosen window. Future returns still depend on factor realization, residual alpha, and any drift in exposures over time.
Related pages
Tax-loss harvesting replacement finder
Inspect tax lots alongside candidate replacement baskets.
Factor Regression
Estimate the target fund's factor exposures.
Match Factor Exposure docs
Model options, constraints, and interpretation guide.
Portfolio Optimizer
Target specific factor exposures in allocation design.