---
title: "Factor roster"
description: "The factor roster is Fincanva's fixed set of 14 reference market series — equity styles, bonds, real assets and volatility — a strategy can be compared to."
canonical_url: "https://fincanva.com/docs/analysis/factor-roster"
last_updated: "2026-09-12"
md_url: "https://fincanva.com/docs/analysis/factor-roster.md"
---

# Factor roster

The factor roster is the fixed set of reference market series a strategy's returns can be compared against — 14 of them in Fincanva, covering the broad equity market, size and style tilts, government and corporate bonds, gold, real estate, and volatility indices. A factor is not something you invest in and not a [benchmark](/docs/getting-started/benchmark) you are scored against; it is a yardstick for a different question — *what has this strategy actually behaved like?* A strategy that correlates strongly with Gold has behaved like a gold position over the period measured, whatever tickers it held and whatever its rules were designed to do.

**Also seen as:** factors, reference factors, factor set

## Which factors are in the roster?

All 14 factors are active, so any of them can appear in a comparison.

| Factor | What it stands for |
|---|---|
| Market (S&P 500) | the broad US large-cap equity market |
| Small Cap | smaller-company US equity |
| Mid Cap | mid-sized-company US equity |
| Large Cap | large-company US equity |
| Value | the value style tilt |
| Growth | the growth style tilt |
| 10y Treasury | ten-year US government bonds |
| 3m T-Bill | three-month US government bills, the cash-like short end |
| Investment Grade Corporates | investment-grade corporate bonds |
| Gold | gold |
| Real Estate (REIT) | listed real estate |
| VIX | implied volatility of S&P 500 options — the "fear index" |
| VIX 1M-3M Spread | the gap between one-month and three-month implied volatility, a measure of how front-loaded market stress is |
| MOVE | implied volatility of US Treasury options — the bond-market equivalent of VIX |

The factor series are built from market data supplied by multiple established data providers. Fincanva does not publish which instrument or series stands behind each factor. Like the [special data series](/docs/data-methodology/special-data-series), factors are reference series rather than instruments a strategy can hold; the roster is a separate, fixed set kept for comparison.

One caveat belongs with the roster itself: **Market (S&P 500)** and **Large Cap** overlap heavily, because the S&P 500 is predominantly large-cap companies. Treat the two as closely related readings of the same thing rather than two independent ones.

## What does a factor correlation tell me?

A factor correlation tells you how closely a strategy's period-to-period returns tracked that factor's, on a scale from −1 to +1 — the same scale a [correlation matrix](/docs/analysis/correlation-matrix) reports pair by pair. Read "vs Gold" as an example. A correlation of +0.7 with Gold means the strategy tended to rise in the periods gold rose and fall when it fell — worth knowing even if the strategy holds no gold, because it implies whatever it does hold responds to the same forces. A correlation near 0 means the strategy's moves and gold's were largely unrelated over the period. A correlation of −0.6 means it tended to move opposite to gold.

Three limits keep that reading honest. Correlation is about *direction, not size*: a +0.9 with the Market says the strategy moved with the market almost every period, but not by how much — that is what [beta](/docs/analysis/beta) and [adjusted beta](/docs/analysis/adjusted-beta) measure. Correlation is not causation: a strategy can correlate with Gold because it holds miners, because it holds nothing but reacts to the same interest-rate news, or by coincidence over a short window. And a correlation is only as stable as the period it was measured over, which is why a [rolling correlation](/docs/analysis/rolling-correlation) says more than a single figure.

{/* VISUAL: svg-diagram — the 14 factors as labelled cells in four groups (equity, fixed income, real assets, volatility), the three volatility cells marked as read on level changes rather than returns — tracked in VISUAL_BACKLOG */}

## Why do the volatility factors read differently?

The three volatility factors — VIX, the VIX 1M-3M spread, and MOVE — are index *levels* rather than prices, so a comparison against them reads changes in the level rather than percentage returns. That is a reporting distinction with a practical consequence: a strategy whose returns correlate negatively with changes in VIX is one that tended to lose ground in the periods when market fear rose, which is the ordinary behavior of a long risk position. The other eleven factors are price-like series and are compared on returns in the normal way. It is also why the comparison table shows no [beta](/docs/analysis/beta) against a volatility factor: a beta measured on a change in a level has no unit anybody can read, so those cells stay empty while the correlation beside them is still reported.

## Does Fincanva show factor correlations?

Yes, for a Combined: its analysis includes a correlations page whose second table sets each strategy, and the Combined itself, against six of the fourteen factors — Market (S&P 500), 10y Treasury, Investment Grade Corporates, Gold, Real Estate (REIT) and VIX. The six are the ones that disagree with each other. The other eight are left out because over a portfolio they largely repeat one of the six: the size and style factors move closely with Market, the 3m T-Bill is cash-like and sits near zero against everything, and MOVE and the VIX 1M-3M Spread are second-order volatility gauges standing next to the VIX itself.

The roster is what such a comparison is read against, and it answers a question a strategy's own [instrument](/docs/getting-started/instrument) list often answers badly — *which factor does this strategy actually resemble?* That table reports two readings of the same pair — the correlation, and the [adjusted beta](/docs/analysis/adjusted-beta) where one can be read — and it is scoped by the same period selector as the [correlation matrix](/docs/analysis/correlation-matrix) beside it, which is where the page's shape and the plan step that includes it are documented. Fincanva does not tell you which factor exposures to hold or avoid — see [Is this financial advice?](/docs/investing-theory/is-this-financial-advice).

*Backtests show what would have happened — not what will. Fincanva provides no financial advice — see [Is this financial advice?](/docs/investing-theory/is-this-financial-advice).*