Factor Loadings Heatmaps
Weighted factor exposures for the current portfolio:
| Factor Type | Factor | Portfolio Exposure |
|---|---|---|
| Country | country_AU | -0.0981 |
| Country | country_CN | -0.1091 |
| Country | country_HK | 0.1040 |
| Country | country_ID | 0.0128 |
| Country | country_IN | 0.0040 |
| Country | country_JP | -0.0333 |
| Country | country_KR | -0.0998 |
| Country | country_MY | 0.0055 |
| Country | country_NZ | -0.0182 |
| Country | country_PH | 0.0022 |
| Country | country_SG | 0.0617 |
| Country | country_TH | 0.1065 |
| Country | country_TW | 0.0794 |
| Country | country_XH | 0.0341 |
| Theme | fmom | 0.3586 |
| Industry | ind_aerospace_defense | 0.0095 |
| Industry | ind_automobile | -0.0538 |
| Industry | ind_banking_services | -0.1179 |
| Industry | ind_beverages | -0.0655 |
| Industry | ind_biotechnology | 0.0139 |
| Industry | ind_chemicals | -0.0547 |
| Industry | ind_coal | -0.0486 |
| Industry | ind_commercial_services_supplies | 0.0135 |
| Industry | ind_communications_equipment | 0.0068 |
| Industry | ind_computers_phones_household_electronics | 0.0977 |
| Industry | ind_construction_engineering | 0.0684 |
| Industry | ind_construction_materials | -0.0032 |
| Industry | ind_consumer_goods_conglomerates | 0.0035 |
| Industry | ind_containers_packaging | -0.0012 |
| Industry | ind_diversified_retail | -0.0068 |
| Industry | ind_electric_utilities_ipps | -0.0634 |
| Industry | ind_electronic_equipment | -0.1069 |
| Industry | ind_fintech | 0.0037 |
| Industry | ind_food_drug_retail | 0.0564 |
| Industry | ind_food_tobacco | 0.1492 |
| Industry | ind_freight_logistics | -0.0304 |
| Industry | ind_healthcare_equipment_supplies | -0.0905 |
| Industry | ind_healthcare_providers_services | 0.0368 |
| Industry | ind_holding_companies | 0.0002 |
| Industry | ind_homebuilding_building_products | -0.0342 |
| Industry | ind_hotels_entertainment | -0.0643 |
| Industry | ind_household_goods | -0.0047 |
| Industry | ind_household_products_services | -0.0156 |
| Industry | ind_industrial_distribution | 0.0233 |
| Industry | ind_insurance | 0.1069 |
| Industry | ind_integrated_hardware_software | 0.0080 |
| Industry | ind_investment_services | 0.0458 |
| Industry | ind_leisure_products | 0.0041 |
| Industry | ind_machinery | -0.0112 |
| Industry | ind_media_publishing | 0.0340 |
| Industry | ind_metals_mining | -0.1090 |
| Industry | ind_multiline_utilities | -0.0122 |
| Industry | ind_natural_gas_utilities | 0.0049 |
| Industry | ind_office_equipment | 0.0000 |
| Industry | ind_oil_gas | 0.0193 |
| Industry | ind_oil_gas_equipment_services | -0.0160 |
| Industry | ind_paper_forestry | -0.0091 |
| Industry | ind_passenger_transportation | 0.0677 |
| Industry | ind_pharmaceuticals | -0.0502 |
| Industry | ind_real_estate_operations | 0.0045 |
| Industry | ind_renewable_energy | 0.0137 |
| Industry | ind_semiconductors | 0.0211 |
| Industry | ind_software_it_services | 0.1050 |
| Industry | ind_specialty_reatil | -0.0100 |
| Industry | ind_telecommunications_serices | 0.1234 |
| Industry | ind_textiles_apparel | -0.0188 |
| Industry | ind_transportation_infrastructure | 0.0240 |
| Industry | ind_uranium | -0.0027 |
| Industry | ind_water_utilities | -0.0072 |
| Theme | linkage | 0.6846 |
| Market | market | 0.0518 |
| Theme | momentum | -0.0338 |
| Theme | neglect | 0.7919 |
| Theme | quality | 3.6940 |
| Theme | reversal | 0.7048 |
| Theme | revision | 0.7015 |
| Market | sbeta_market | 0.0111 |
| Size | size_LARGE | 0.1671 |
| Size | size_MICRO | -0.0095 |
| Size | size_MID | -0.1009 |
| Size | size_SMALL | -0.0049 |
| Theme | stability | 4.5064 |
| Theme | value_gc | 1.7929 |
| Theme | value_liq | 0.6029 |
Factor loadings for each position in the portfolio. Click column headers to sort.
| RIC | Weight | market | reversal | momentum | revision | quality | fmom | stability | neglect | linkage | value_gc |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2412.TW | 0.0348 | 1.000 | -0.522 | 0.104 | -0.022 | -0.088 | -0.258 | 1.806 | 0.483 | 0.855 | -1.472 |
| ADVANC.BK | 0.0311 | 1.000 | 0.087 | 1.511 | 1.587 | 1.270 | -2.908 | 1.022 | -0.207 | 0.872 | 1.555 |
| 002027.SZ | 0.0301 | 1.000 | 0.440 | -0.552 | -0.272 | 3.000 | 1.310 | 2.872 | -0.062 | 0.216 | 0.069 |
| PTTEP.BK | 0.0268 | 1.000 | -1.241 | -0.660 | 1.092 | 2.262 | 0.421 | 0.762 | -0.404 | 0.061 | 1.426 |
| 603195.SS | 0.0259 | 1.000 | 1.295 | -1.371 | 0.057 | 3.000 | -0.611 | 2.477 | 0.056 | 0.017 | 1.278 |
| 3008.TW | 0.0242 | 1.000 | -0.531 | 0.064 | -1.073 | 3.000 | -0.303 | 1.092 | 0.162 | 0.531 | 1.110 |
| 300015.SZ | 0.0241 | 1.000 | -0.415 | -0.080 | 0.150 | 1.033 | -0.020 | 1.592 | -0.389 | 0.152 | 0.744 |
| 8766.T | 0.0232 | 1.000 | 3.000 | -0.391 | 0.211 | 0.130 | 0.119 | -0.019 | -0.175 | 0.275 | -0.035 |
| 2404.TW | 0.0223 | 1.000 | -0.967 | 2.944 | 0.981 | 2.461 | 1.868 | 2.176 | -1.612 | 0.048 | -0.546 |
| 6178.T | 0.0218 | 1.000 | 0.820 | -0.331 | -0.209 | -0.013 | -0.314 | 0.000 | 0.420 | 0.688 | 0.214 |
| 4088.T | 0.0211 | 1.000 | -0.226 | -0.594 | -0.502 | -0.075 | 0.501 | 2.582 | 0.440 | 0.657 | 0.394 |
| 0388.HK | 0.0201 | 1.000 | 0.594 | -0.234 | 0.228 | 0.782 | -0.234 | 0.216 | 0.481 | 0.462 | -0.621 |
| TNE.AX | 0.0195 | 1.000 | 0.316 | 2.463 | 0.254 | 2.760 | 1.121 | 2.921 | -0.587 | -0.079 | -0.816 |
| ANZ.AX | 0.0188 | 1.000 | 3.000 | -0.194 | -0.017 | -0.252 | -0.149 | -0.144 | -0.211 | 0.000 | -0.167 |
| CPALL.BK | 0.0187 | 1.000 | -0.344 | 0.118 | 0.801 | -0.681 | 0.182 | -0.273 | -0.435 | 0.894 | -0.506 |
| 600380.SS | 0.0180 | 1.000 | 0.342 | -1.031 | 0.608 | 1.005 | 0.298 | 2.290 | 1.069 | 0.121 | 3.000 |
| BHP.AX | 0.0178 | 1.000 | 0.794 | -0.159 | -0.909 | 2.209 | -0.162 | 0.863 | 1.044 | -0.890 | 0.919 |
| 9999.HK | 0.0178 | 1.000 | -1.258 | -0.379 | 1.804 | 2.297 | 0.670 | 1.494 | 0.882 | -0.430 | 0.702 |
| 1944.T | 0.0174 | 1.000 | -0.234 | -0.319 | 3.000 | 0.154 | -0.125 | 1.449 | -0.654 | 0.042 | -0.249 |
| 688111.SS | 0.0171 | 1.000 | 0.436 | -0.269 | -0.076 | 1.147 | 0.575 | 3.000 | -0.558 | 0.143 | -0.266 |
| 9744.T | 0.0159 | 1.000 | 0.085 | -0.616 | 0.490 | 0.951 | 0.274 | 2.145 | 0.623 | 0.106 | -0.441 |
| 000792.SZ | 0.0156 | 1.000 | -0.228 | -0.633 | 0.519 | 2.914 | -2.199 | 0.827 | 0.304 | 0.726 | 0.150 |
| 2454.TW | 0.0153 | 1.000 | 2.646 | 0.094 | -0.572 | 1.570 | 1.800 | -0.033 | 0.619 | 0.398 | 0.399 |
| OR.BK | 0.0152 | 1.000 | 0.330 | -0.862 | 2.290 | -0.172 | 0.494 | 0.535 | 0.322 | 0.000 | 2.541 |
| 0669.HK | 0.0151 | 1.000 | 2.041 | 0.248 | -0.934 | -0.438 | 1.182 | 0.108 | 0.463 | 0.434 | -1.068 |
| 600452.SS | 0.0150 | 1.000 | 0.198 | 0.773 | 0.000 | 2.497 | 0.359 | 3.000 | 0.805 | 1.073 | 0.745 |
| 300470.SZ | 0.0150 | 1.000 | 0.282 | 0.345 | 0.251 | 1.626 | 1.198 | 3.000 | 0.125 | -1.266 | -0.484 |
| 4684.T | 0.0149 | 1.000 | -0.943 | 0.262 | 0.498 | 2.164 | -0.477 | 2.182 | -0.625 | 0.473 | -1.062 |
| 8001.T | 0.0148 | 1.000 | -0.035 | 0.240 | 0.074 | -0.260 | -0.843 | 0.744 | 0.081 | 0.517 | -0.581 |
| 9988.HK | 0.0148 | 1.000 | 2.112 | -0.064 | 0.258 | -0.090 | -1.920 | 0.087 | -0.020 | -2.312 | 0.316 |
| 600033.SS | 0.0148 | 1.000 | -0.048 | 0.577 | 0.039 | 1.845 | -0.507 | 2.700 | 0.163 | 0.505 | 2.712 |
| 9001.T | 0.0147 | 1.000 | 0.019 | -0.490 | 0.151 | 0.066 | -0.416 | 1.111 | 0.781 | 0.262 | -0.650 |
| 300770.SZ | 0.0147 | 1.000 | 0.349 | 0.329 | 0.214 | 3.000 | -0.814 | 3.000 | 0.711 | -0.659 | 2.553 |
| 9434.T | 0.0147 | 1.000 | -0.634 | -0.193 | -0.199 | -0.323 | -1.498 | -0.072 | -0.261 | -0.336 | -0.507 |
| 8725.T | 0.0147 | 1.000 | 3.000 | -0.307 | -1.840 | -0.217 | 0.082 | 0.034 | 0.127 | 0.156 | 0.310 |
| 7164.T | 0.0145 | 1.000 | 0.104 | -1.348 | 0.282 | 3.000 | 0.398 | 0.858 | -0.214 | 0.000 | -0.332 |
| 1308.HK | 0.0144 | 1.000 | 0.064 | -0.100 | 2.151 | 2.463 | 0.155 | 0.877 | -0.648 | 0.121 | -0.432 |
| 000738.SZ | 0.0144 | 1.000 | 0.142 | -0.543 | 0.135 | -0.006 | -0.382 | 2.396 | 0.087 | 0.512 | 0.478 |
| STEL.SI | 0.0143 | 1.000 | 0.912 | 0.119 | 0.382 | -0.297 | 0.477 | 0.047 | 0.006 | -0.255 | -1.536 |
| 300628.SZ | 0.0141 | 1.000 | 0.085 | -0.519 | 0.358 | 3.000 | 1.829 | 1.660 | -0.368 | 0.512 | -0.424 |
| 600007.SS | 0.0141 | 1.000 | 0.097 | -0.068 | -0.355 | 2.429 | 0.392 | 3.000 | 0.924 | -1.119 | 1.248 |
| CMDG.SI | 0.0138 | 1.000 | 0.036 | 0.107 | 0.108 | -0.026 | -1.996 | 1.998 | 0.135 | -0.810 | 0.020 |
| 2330.TW | 0.0131 | 1.000 | 0.470 | 0.361 | -0.236 | 2.486 | 0.867 | 1.018 | -0.516 | -0.132 | -0.290 |
| 0700.HK | 0.0128 | 1.000 | 0.881 | -0.226 | 0.415 | 0.304 | -0.661 | 0.833 | -0.021 | -1.368 | -0.562 |
| 600566.SS | 0.0127 | 1.000 | -0.010 | -1.179 | -0.642 | 3.000 | -0.634 | 0.873 | 0.794 | 0.165 | 3.000 |
| 8697.T | 0.0126 | 1.000 | 1.862 | -0.834 | -0.324 | 1.476 | -0.484 | 1.072 | 0.659 | -0.315 | -0.555 |
| 2801.T | 0.0125 | 1.000 | -0.472 | -0.451 | -0.555 | -0.525 | -0.104 | 0.747 | -0.315 | 0.376 | -0.457 |
| 688187.SS | 0.0125 | 1.000 | 0.141 | -0.489 | 0.707 | -0.215 | 0.428 | 1.598 | -0.795 | 1.388 | 3.000 |
| 9435.T | 0.0123 | 1.000 | 0.070 | 0.991 | 0.804 | -0.695 | -0.334 | 2.352 | -0.343 | 0.539 | -0.154 |
| 6532.T | 0.0122 | 1.000 | 0.297 | 2.638 | 0.617 | 2.938 | 0.707 | 3.000 | -3.000 | 2.745 | -0.994 |
| 2319.HK | 0.0121 | 1.000 | 0.882 | 0.262 | -0.829 | -0.273 | 0.477 | -0.137 | 0.663 | 0.950 | 0.473 |
| 000828.SZ | 0.0120 | 1.000 | 0.134 | 0.507 | 0.000 | 1.998 | 3.000 | 2.092 | -0.060 | -0.350 | 0.051 |
| 4732.T | 0.0119 | 1.000 | 0.206 | -0.152 | 1.079 | 3.000 | 0.113 | 1.473 | 0.055 | -2.238 | -0.168 |
| WLIL.SI | 0.0118 | 1.000 | 0.222 | -0.597 | 0.019 | -0.939 | -1.171 | 0.422 | 1.149 | -0.434 | 1.979 |
| NWL.AX | 0.0118 | 1.000 | -0.190 | 0.740 | -0.309 | 1.639 | 0.287 | 3.000 | -0.918 | -1.383 | -0.636 |
| 3092.T | 0.0116 | 1.000 | -0.317 | 1.071 | -0.319 | 3.000 | 0.366 | 3.000 | -0.527 | -0.051 | -0.226 |
| 2914.T | 0.0114 | 1.000 | -0.538 | -0.218 | -0.200 | -0.226 | -2.031 | -0.974 | -0.603 | 0.345 | -0.263 |
| CPF.BK | 0.0113 | 1.000 | 0.406 | 0.133 | 3.000 | -0.919 | -0.787 | -0.749 | 0.580 | 0.518 | 2.926 |
| 688009.SS | 0.0113 | 1.000 | 0.051 | -0.278 | -1.566 | -0.107 | -1.036 | 1.058 | 1.522 | 2.209 | 2.831 |
| 002039.SZ | 0.0110 | 1.000 | 0.082 | -1.247 | 0.243 | 1.798 | -0.556 | 2.423 | 1.386 | 0.089 | -0.807 |
| 6861.T | 0.0107 | 1.000 | 3.000 | -0.199 | 0.139 | 1.639 | 0.117 | 0.286 | -1.190 | -0.932 | -0.977 |
| 1951.T | 0.0102 | 1.000 | 0.021 | 0.806 | 2.655 | 0.189 | -0.463 | 0.538 | -0.049 | 0.939 | -0.724 |
| 3888.HK | 0.0101 | 1.000 | -1.038 | 1.177 | -0.335 | 0.441 | 1.469 | 1.714 | -0.140 | 0.320 | -0.557 |
| 2618.TW | 0.0099 | 1.000 | 0.343 | 1.990 | -0.742 | 0.820 | -0.130 | 1.026 | -1.534 | 0.757 | 2.306 |
| 0144.HK | 0.0097 | 1.000 | 0.206 | 1.023 | -0.854 | 1.279 | 0.310 | 1.426 | 0.956 | -0.306 | 1.226 |
| 300724.SZ | 0.0096 | 1.000 | -0.229 | -0.034 | 1.601 | 2.927 | 1.711 | 1.708 | -1.611 | -1.342 | 1.689 |
| 600390.SS | 0.0096 | 1.000 | 0.124 | 0.887 | 0.000 | 1.526 | -0.528 | 0.687 | 1.508 | 3.000 | 1.415 |
| BDMS.BK | 0.0095 | 1.000 | -0.100 | -0.579 | 0.260 | -0.058 | -0.148 | 0.335 | 0.062 | -0.808 | -0.865 |
| 002152.SZ | 0.0094 | 1.000 | -0.285 | -0.304 | -0.265 | 0.828 | 0.258 | 1.840 | 0.363 | -2.027 | 0.240 |
| 300357.SZ | 0.0093 | 1.000 | 0.146 | -0.702 | 0.125 | 2.507 | -1.073 | 2.051 | -0.095 | 0.000 | -0.036 |
| 300759.SZ | 0.0092 | 1.000 | 0.527 | 0.359 | 0.119 | 1.451 | 0.577 | 2.570 | 0.723 | 0.602 | 1.926 |
| 601598.SS | 0.0092 | 1.000 | -0.017 | -0.807 | -2.474 | 0.054 | 0.392 | 2.581 | 1.162 | 1.281 | 2.875 |
| 4733.T | 0.0092 | 1.000 | 0.089 | 0.143 | 0.249 | 3.000 | 0.354 | 2.198 | -0.541 | -0.191 | -0.595 |
| 2912.TW | 0.0092 | 1.000 | -0.089 | 0.391 | -0.476 | -0.253 | -0.088 | 0.900 | -0.270 | 0.095 | -0.707 |
| 2267.T | 0.0091 | 1.000 | 0.074 | 0.467 | -0.096 | -0.048 | -0.660 | 1.713 | -0.088 | 0.753 | -0.127 |
| 3293.TWO | 0.0091 | 1.000 | 0.819 | 1.388 | 0.078 | 3.000 | 0.528 | 3.000 | -2.634 | 2.733 | -0.032 |
| 6758.T | 0.0090 | 1.000 | 3.000 | 0.357 | -0.687 | 0.057 | 0.036 | 0.452 | 0.278 | -0.727 | -0.165 |
| 2269.T | 0.0089 | 1.000 | -0.333 | -0.433 | 0.305 | -0.388 | -0.953 | 0.253 | 0.800 | 1.163 | -0.310 |
| 2871.T | 0.0087 | 1.000 | -0.109 | 1.378 | 0.947 | -0.272 | -0.299 | 1.962 | 0.368 | -0.182 | -0.395 |
| 4901.T | 0.0085 | 1.000 | 0.483 | -0.196 | 0.795 | -0.925 | 0.155 | 1.183 | -0.055 | 2.600 | -0.359 |
| 1339.HK | 0.0084 | 1.000 | -1.162 | 2.039 | 1.346 | -0.019 | -0.115 | 0.063 | 0.294 | -0.096 | -0.366 |
| 002517.SZ | 0.0083 | 1.000 | -0.051 | 1.461 | 0.975 | 1.187 | 0.627 | 2.463 | -1.754 | 3.000 | -1.204 |
| 6098.T | 0.0083 | 1.000 | 0.424 | 0.434 | -0.622 | 0.807 | 0.285 | -0.132 | 0.489 | 1.490 | -0.455 |
| 002697.SZ | 0.0083 | 1.000 | 0.076 | 0.376 | -0.073 | 1.841 | 1.441 | 0.898 | 1.292 | 0.254 | 1.916 |
| 3034.TW | 0.0082 | 1.000 | -0.348 | -0.521 | -0.308 | 2.225 | -1.580 | 0.893 | 0.757 | -0.238 | 0.308 |
| 2328.HK | 0.0081 | 1.000 | -2.260 | 0.625 | 1.159 | -0.152 | -0.253 | 0.104 | -0.043 | 0.188 | -0.166 |
| 002315.SZ | 0.0080 | 1.000 | -0.152 | 0.785 | -0.243 | 2.813 | 1.068 | 2.129 | 0.935 | 1.053 | -0.334 |
| COL.AX | 0.0080 | 1.000 | 1.453 | 0.349 | 0.222 | -0.142 | -1.135 | 0.545 | 0.598 | 0.373 | -0.070 |
| 600211.SS | 0.0079 | 1.000 | 0.105 | 0.155 | 0.168 | 3.000 | 0.668 | 0.997 | -0.259 | -0.022 | 2.373 |
| 603866.SS | 0.0077 | 1.000 | 0.032 | 0.334 | -0.022 | 0.466 | 0.394 | 2.127 | 0.887 | -0.307 | -0.390 |
| BBCA.JK | 0.0077 | 1.000 | 0.010 | -0.147 | 0.194 | 0.045 | 0.335 | 0.687 | 0.580 | -0.143 | -0.106 |
| 1332.T | 0.0077 | 1.000 | -0.178 | 0.657 | -0.165 | -0.750 | -0.429 | 1.277 | -0.210 | 0.754 | 0.080 |
| 6273.T | 0.0076 | 1.000 | 1.436 | -0.771 | -1.206 | 0.275 | -0.125 | -1.031 | 0.577 | 1.224 | 0.276 |
| REA.AX | 0.0075 | 1.000 | 0.176 | 0.429 | -0.274 | 1.468 | 1.557 | 0.401 | -0.087 | -0.026 | 0.000 |
| 2269.HK | 0.0075 | 1.000 | 0.713 | 0.414 | 0.546 | 1.340 | -0.265 | 2.733 | 0.518 | 0.257 | 1.219 |
| 8795.T | 0.0075 | 1.000 | 1.169 | -0.524 | -0.152 | 0.096 | -0.170 | 0.121 | -0.087 | 0.705 | 0.113 |
| 688300.SS | 0.0074 | 1.000 | -0.446 | 0.215 | 0.599 | 1.604 | 2.295 | 1.918 | -0.557 | -0.988 | -0.982 |
| 1216.TW | 0.0073 | 1.000 | -1.976 | 0.444 | -0.062 | -1.116 | 0.374 | 2.026 | -0.521 | 0.624 | -0.629 |
| 0788.HK | 0.0072 | 1.000 | 0.339 | 0.525 | -0.557 | 0.793 | 0.616 | 0.428 | 0.509 | 0.066 | 2.455 |
| 8750.T | 0.0072 | 1.000 | 1.142 | -0.358 | -0.553 | 0.022 | -0.214 | -0.030 | 0.005 | 0.352 | 0.346 |
Note: Showing top 100 positions by weight and first 10 theme factors.
Data Files: Factor Summary Stats | Full Position Loadings
Generated: 2025-06-25 10:06:28