Start with the 3 factors (market, size, value). Almost all the variance is in the market factor, which is just a cap-weighted average return for all US-listed

Start with the 3 factors (market, size, value). Almost all the variance is in the market factor, which is just a cap-weighted average return for all US-listed stocks. The size factor should capture a lot of the difference between SPX (which excludes small companies) and the broad market. Also: SPX = S&P 500 index SPY = ETF tracking S&P 500 index