What is a Fama-French factor regression?

It regresses a portfolio’s excess returns on factor returns, such as the market, small minus big (size) and high minus low (value). The coefficients show how exposed the portfolio is to each factor, and the intercept is the return the factors do not explain.

Where can I get factor return data?

The most used academic source is the Kenneth R. French data library at the Tuck School of Business, which publishes Fama-French factor returns. Check its terms before reusing the data commercially.

What is the difference between returns-based and holdings-based factor analysis?

Returns-based analysis infers exposures from how the portfolio’s returns moved with factor returns. Holdings-based analysis classifies what the funds own, such as a style box. The first measures behaviour, the second composition, and they can disagree.

Guide · checked November 2026

Best portfolio factor analysis tools in 2026

Factor analysis tools estimate how much of a portfolio’s return and risk comes from systematic factors such as the market, size, value, momentum or quality. Most regress the portfolio’s returns on factor return series; others classify holdings by style, which is a different and less direct measure.

Published by MEDGE Capital, which is one of the tools listed. Details of the other tools come from their public pages, checked in November 2026, with a link to each source below. Prices are list prices for one user, before tax; check with the vendor before you buy. The order is not a ranking.

Tool	Factor analysis	Price
MEDGE Capital	Portfolio Exposure measures, from prices, each holding’s sensitivity to regions, sectors, style and factors, so you see what the portfolio really behaves like rather than what its labels say.	Portfolio Exposure from Plus (€39.99 a month, 7-day trial); free plan available. Essential €14.99, Pro €59.99, Advisor €159 a month
Portfolio Visualizer	Factor regressions with CAPM, Fama-French 3 and 5 factor, Carhart 4 factor and other factors, using factor returns from the Kenneth French data library.	Free plan (up to 15 assets, limited history); Basic $30 a month and Pro $55 a month, billed annually
testfolio	Factor regression of a backtested portfolio on factor sets including Fama-French, AQR, q-factors and fixed-income factors; more factor sets on paid plans.	Free; Pro $12.50, Pro+ $25 and Max $80 a month, billed annually
YCharts	Factor Analysis with seven factors (growth, value, momentum, size, quality, low volatility, dividend yield) proxied by S&P indices, with return and risk views and a factor tilt against the peer category.	Price on request from the vendor
Morningstar Portfolio X-Ray	Equity and fixed-income style boxes, sectors and regions, built from the holdings of each fund (a holdings-based view, not a regression).	Included in Morningstar Investor, $249 a year or $34.95 a month
Riskfolio-Lib	Estimates factor loadings by stepwise and principal-components regression and computes each factor’s risk contribution.	Free, BSD 3-Clause licence

MEDGE CapitalOur tool

Portfolio analytics for self-directed investors and independent advisors, on US and European listings.

Factor analysis: Portfolio Exposure measures, from prices, each holding’s sensitivity to regions, sectors, style and factors, so you see what the portfolio really behaves like rather than what its labels say.
Price: Portfolio Exposure from Plus (€39.99 a month, 7-day trial); free plan available. Essential €14.99, Pro €59.99, Advisor €159 a month
Fits if: you want factor and style sensitivities measured holding by holding, next to the rest of the portfolio analysis.

See the platform

Portfolio Visualizer

Web-based backtesting and portfolio analysis tools.

Factor analysis: Factor regressions with CAPM, Fama-French 3 and 5 factor, Carhart 4 factor and other factors, using factor returns from the Kenneth French data library.
Price: Free plan (up to 15 assets, limited history); Basic $30 a month and Pro $55 a month, billed annually
Fits if: you want academic factor regressions on a fund or a portfolio.

Source: Factor analysis · Pricing

testfolio

Web app for backtesting and portfolio analysis.

Factor analysis: Factor regression of a backtested portfolio on factor sets including Fama-French, AQR, q-factors and fixed-income factors; more factor sets on paid plans.
Price: Free; Pro $12.50, Pro+ $25 and Max $80 a month, billed annually
Fits if: you want factor regressions on long backtested histories.

Source: Help · Pricing

YCharts

Research and proposal platform for financial advisors.

Factor analysis: Factor Analysis with seven factors (growth, value, momentum, size, quality, low volatility, dividend yield) proxied by S&P indices, with return and risk views and a factor tilt against the peer category.
Price: Price on request from the vendor
Fits if: you are an advisor who wants factor views inside client proposals.

Source: Factor analysis

Morningstar Portfolio X-Ray

Portfolio look-through tool in the Morningstar Investor subscription.

Factor analysis: Equity and fixed-income style boxes, sectors and regions, built from the holdings of each fund (a holdings-based view, not a regression).
Price: Included in Morningstar Investor, $249 a year or $34.95 a month
Fits if: you want a holdings-based style view of several funds together.

Source: X-Ray help

Riskfolio-Lib

Open-source Python library for portfolio optimization and risk.

Factor analysis: Estimates factor loadings by stepwise and principal-components regression and computes each factor’s risk contribution.
Price: Free, BSD 3-Clause licence
Fits if: you write Python and want factor models inside your own analysis.

Source: Documentation

Frequently asked questions

What is a Fama-French factor regression?: It regresses a portfolio’s excess returns on factor returns, such as the market, small minus big (size) and high minus low (value). The coefficients show how exposed the portfolio is to each factor, and the intercept is the return the factors do not explain.
Where can I get factor return data?: The most used academic source is the Kenneth R. French data library at the Tuck School of Business, which publishes Fama-French factor returns. Check its terms before reusing the data commercially.
What is the difference between returns-based and holdings-based factor analysis?: Returns-based analysis infers exposures from how the portfolio’s returns moved with factor returns. Holdings-based analysis classifies what the funds own, such as a style box. The first measures behaviour, the second composition, and they can disagree.

More comparisons

See what your portfolio really behaves like.

Free plan with no time limit, no brokerage connection. Not investment advice.

Start free