Subject: Re: Shadow Index Fund comparison tool?
A Factor analysis could be done. The loadings for a total market fund (VTSMX) are about 1 for Market and zero for the rest.

For SPY: Factor Loading
Market (Rm-Rf) 0.98
Size (SMB) -0.17
Value (HML) 0.02
Momentum (MOM) -0.02
Alpha (α) 2.20bps
Annualized Alpha (α) 0.26%

Factor Loading
Market (Rm-Rf) 1.07
Size (SMB) -0.21
Value (HML) -0.31
Momentum (MOM) 0.01
Alpha (α) 7.80bps
Annualized Alpha (α) 0.94%
https://www.portfoliovisualize...


Or Active Share can be used. Active Share is 0% for an index fund and 100% for a fund with no portfolio overlap.
Equity Holdings 53
Assets in Top 10 Holdings 54%
Active Share 64.54
https://www.morningstar.com/fu...