I tell you where you can find them, what you will find, and my favorite features of each.
A version of this article appeared in the April 2017 issue of Morningstar ETFInvestor. Download a complimentary copy of ETFInvestor here.
The rapid expansion of computing power and the growth of the Internet have flattened the world in innumerable ways. Investors now have access to more information and more powerful tools than ever. Calculations that were once performed through hours of toil over physical spreadsheets and slide rules can now be executed in milliseconds via a web-based implement. The democratizing force that is the World Wide Web has made many of these tools available to even the smallest investors (that is, you and me) for free. Here I'll share with you a list of some of my favorite free online tools. I will tell you where you can find them, what you will find, and my favorite features of each.
Where you'll find it: portfoliovisualizer.com
What you'll find: An expansive and powerful tool kit that includes a portfolio back-test tool, a Monte Carlo simulator, a portfolio optimization feature, and more.
My favorite features: The factor analysis tool on this site is fantastic. Purists may prefer to run their own factor regressions, but the tool's speed and flexibility make it a very efficient instrument for decomposing funds' historical factor loadings. I especially like that it allows users to view historical factor loadings on a rolling three-year basis. This better illustrates the underlying volatility of funds' factor exposures over time--which is often lost viewing a static table showing these values for a specific period. I also like the ability to select different factor models (AQR's factors are also available) and to create custom regressions. If I had to pick my favorite of favorites, this would be it.
French Data Library
Where you'll find it:
What you'll find: A treasure trove of factor data, which includes the original Fama/French research portfolios and every subsequent variant imaginable. Some of the data plugs into Portfolio Visualizer, though most does not. Thus, it will be of greatest interest to the do-it-yourself factor regression crowd.
My favorite features: The data for country portfolios and developed-markets factors and returns is fantastic as it enables factor regressions for a variety of different international-equity portfolios.