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fin.factor-investing-3factor Calculator
Calculates expected portfolio return using the Fama-French 3-factor model from market, size (SMB), and value (HML) factor exposures. Academic evidence for the value premium (HML) has weakened post-publication — factor investing requires conviction that premiums will persist.
Inputs
Mkt Pct
Reference formula or conversion factor shown for context.
Smb Pct
Reference formula or conversion factor shown for context.
Hml Pct
Reference formula or conversion factor shown for context.
Beta Mkt
Reference formula or conversion factor shown for context.
Beta Smb
Reference formula or conversion factor shown for context.
Beta Hml
Reference formula or conversion factor shown for context.
Rf Pct
Return on a theoretically safe investment like a government T-bill. The baseline return everything else is compared against. Enter as a decimal (e.g. 0.05 for 5%).
Results
expected portfolio return
Sample size or count used in the calculation.
market factor contribution
A dimensionless multiplier applied in the calculation.
size factor contribution
A dimensionless multiplier applied in the calculation.
value factor contribution
A dimensionless multiplier applied in the calculation.
E[R] = Rf + βM·MKT + βSMB·SMB + βHML·HML
Reference formula or conversion factor shown for context.