The Best Factor Fit (BFF) graph displays the factor exposures of selected uploaded or replicant portfolios specifically (does not include factor portfolios which are by definition “best factor fits”). We derive the factor weights by running a constrained long-only regression to yield the average factor exposure over the full period of review. We call this underlying factor structure the “Best Factor Fit” of the imported or replicated portfolio.

For portions that cannot easily be classified into a single factor, this weight is allocated to a “neutral” exposure, which is an equal-weight blend of each side of the four factors (for a total of eight).