Total Assets: 7,417
Number of Alpha Themes: 11
Themes: reversal, momentum, revision, quality, fmom, stability, neglect, linkage, value_gc, value_liq, modelwt
| Theme | Mean | Std Dev | Min | Max | Skew | Kurtosis | Non-zero % | Positive % |
|---|---|---|---|---|---|---|---|---|
| reversal | 0.0344 | 0.4807 | -3.0000 | 3.0000 | -0.78 | 10.23 | 100.0% | 59.1% |
| momentum | -0.0265 | 1.1995 | -3.0000 | 3.0000 | 0.04 | 0.18 | 96.3% | 47.3% |
| revision | 0.0104 | 0.8091 | -3.0000 | 3.0000 | -0.05 | 3.52 | 70.8% | 39.0% |
| quality | -0.0626 | 0.9813 | -3.0000 | 3.0000 | -0.01 | 1.17 | 96.7% | 44.3% |
| fmom | -0.0078 | 0.8806 | -3.0000 | 3.0000 | -0.05 | 1.95 | 96.1% | 47.7% |
| stability | 0.0014 | 0.9881 | -3.0000 | 3.0000 | -0.02 | 0.75 | 95.9% | 49.0% |
| neglect | 0.0385 | 1.0548 | -3.0000 | 3.0000 | -0.47 | 0.70 | 95.4% | 53.7% |
| linkage | 0.0463 | 0.8302 | -3.0000 | 3.0000 | -0.05 | 2.55 | 81.8% | 44.0% |
| value_gc | -0.0237 | 0.9393 | -3.0000 | 3.0000 | 0.87 | 1.71 | 99.9% | 40.1% |
| value_liq | 0.0797 | 0.9400 | -3.0000 | 3.0000 | 0.02 | 0.59 | 99.9% | 53.1% |
| modelwt | 0.0001 | 0.0002 | 0.0000 | 0.0065 | 7.99 | 135.46 | 100.0% | 100.0% |
Data Files: Theme Summary Stats
Generated: 2025-06-25 10:06:30