Fama-French Three Factor Alpha Calculator

Estimate portfolio alpha using the Fama-French three-factor model: Ri - Rf = alpha + beta_m*MKT + beta_s*SMB + beta_v*HML + epsilon. Decompose returns into market, size, and value components.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How It Works

Estimate portfolio alpha using the Fama-French three-factor model: Ri - Rf = alpha + beta_m*MKT + beta_s*SMB + beta_v*HML + epsilon. Decompose returns into market, size, and value components

Each component has a specific meaning:

  • Fama-French three-factor model: Ri - Rf = alpha + beta_m*MKT + beta_s*SMB + beta_v*HML + epsilon — The fama-french three-factor model: ri - rf = alpha + beta_m*mkt + beta_s*smb + beta_v*hml + epsilon recorded for the scenario being assessed.

Note: Interpret the fama-french 3f alpha result against the thresholds and context described above.

How to Use

Enter the Fama-French three-factor model: Ri - Rf = alpha + beta_m*MKT + beta_s*SMB + beta_v*HML + epsilon for the scenario you are assessing. Estimate portfolio alpha using the Fama-French three-factor model: Ri - Rf = alpha + beta_m*MKT + beta_s*SMB + beta_v*HML + epsilon. Decompose returns into market, size, and value components. Use the fama-french 3f alpha result to inform your calculation.

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Frequently Asked Questions