| category |
tradeDate |
cost |
risk_exposure |
unexplained |
Total |
cum_Total |
tilt_total |
alpha_total |
| 0 |
2025-05-31 |
-0.0178 |
0.0008 |
-0.0227 |
0.0018 |
1.5691 |
0.0074 |
0.0341 |
| 1 |
2025-04-30 |
-0.0185 |
-0.0022 |
-0.0368 |
-0.0105 |
1.5673 |
0.0109 |
0.0361 |
| 2 |
2025-03-31 |
-0.0185 |
-0.0035 |
-0.0270 |
0.0547 |
1.5778 |
0.0230 |
0.0807 |
| 3 |
2025-02-28 |
-0.0151 |
-0.0014 |
-0.0243 |
-0.0692 |
1.5231 |
-0.0100 |
-0.0184 |
| 4 |
2025-01-31 |
-0.0175 |
0.0002 |
0.0215 |
0.0421 |
1.5923 |
-0.0116 |
0.0495 |
| 5 |
2024-12-31 |
-0.0176 |
-0.0037 |
-0.0277 |
0.0290 |
1.5502 |
0.0113 |
0.0667 |
| 6 |
2024-11-30 |
-0.0174 |
-0.0031 |
-0.0474 |
-0.0296 |
1.5212 |
0.0035 |
0.0348 |
| 7 |
2024-10-31 |
-0.0204 |
0.0013 |
-0.0477 |
-0.0233 |
1.5508 |
0.0040 |
0.0395 |
| 8 |
2024-09-30 |
-0.0151 |
0.0028 |
-0.0055 |
-0.0529 |
1.5741 |
-0.0192 |
-0.0159 |
| 9 |
2024-08-31 |
-0.0139 |
-0.0005 |
0.0078 |
0.0514 |
1.6270 |
0.0219 |
0.0361 |
| 10 |
2024-07-31 |
-0.0134 |
-0.0005 |
-0.0038 |
-0.0052 |
1.5756 |
0.0067 |
0.0058 |
| 11 |
2024-06-30 |
-0.0106 |
-0.0021 |
-0.0210 |
0.0073 |
1.5808 |
0.0072 |
0.0338 |
| 12 |
2024-05-31 |
-0.0173 |
-0.0007 |
-0.0098 |
-0.0139 |
1.5735 |
-0.0175 |
0.0314 |
| 13 |
2024-04-30 |
-0.0141 |
-0.0036 |
-0.0113 |
0.0226 |
1.5874 |
0.0202 |
0.0314 |
| 14 |
2024-03-31 |
-0.0126 |
-0.0023 |
-0.0088 |
0.0124 |
1.5648 |
0.0087 |
0.0274 |
| 15 |
2024-02-29 |
-0.0137 |
-0.0006 |
0.0214 |
0.0066 |
1.5524 |
0.0114 |
-0.0119 |
| 16 |
2024-01-31 |
-0.0143 |
-0.0011 |
0.0074 |
0.0155 |
1.5458 |
-0.0194 |
0.0429 |
| 17 |
2023-12-31 |
-0.0136 |
0.0004 |
-0.0177 |
-0.0018 |
1.5303 |
0.0099 |
0.0192 |
| 18 |
2023-11-30 |
-0.0136 |
0.0008 |
-0.0421 |
-0.0153 |
1.5321 |
0.0147 |
0.0249 |
| 19 |
2023-10-31 |
-0.0119 |
-0.0030 |
-0.0332 |
-0.0358 |
1.5474 |
-0.0062 |
0.0185 |
| 20 |
2023-09-30 |
-0.0104 |
0.0019 |
-0.0214 |
0.0164 |
1.5832 |
0.0068 |
0.0395 |
| 21 |
2023-08-31 |
-0.0110 |
0.0006 |
-0.0145 |
0.0201 |
1.5668 |
-0.0046 |
0.0496 |
| 22 |
2023-07-31 |
-0.0112 |
-0.0015 |
-0.0436 |
-0.0526 |
1.5467 |
-0.0162 |
0.0199 |
| 23 |
2023-06-30 |
-0.0116 |
0.0002 |
-0.0162 |
0.0213 |
1.5993 |
0.0162 |
0.0327 |
| 24 |
2023-05-31 |
-0.0127 |
-0.0018 |
0.0227 |
0.0386 |
1.5780 |
0.0043 |
0.0261 |
| 25 |
2023-04-30 |
-0.0102 |
0.0030 |
-0.0487 |
-0.0049 |
1.5394 |
0.0090 |
0.0420 |
| 26 |
2023-03-31 |
-0.0099 |
0.0014 |
-0.0185 |
0.0413 |
1.5443 |
0.0238 |
0.0445 |
| 27 |
2023-02-28 |
-0.0091 |
0.0025 |
-0.0182 |
0.0016 |
1.5030 |
-0.0186 |
0.0450 |
| 28 |
2023-01-31 |
-0.0095 |
0.0021 |
-0.0043 |
0.0066 |
1.5014 |
-0.0046 |
0.0229 |
| 29 |
2022-12-31 |
-0.0095 |
-0.0087 |
-0.0752 |
-0.0257 |
1.4948 |
0.0207 |
0.0470 |
| 30 |
2022-11-30 |
-0.0113 |
0.0001 |
-0.0251 |
0.0342 |
1.5205 |
0.0227 |
0.0478 |
| 31 |
2022-10-31 |
-0.0109 |
0.0024 |
0.0106 |
-0.0061 |
1.4863 |
-0.0227 |
0.0145 |
| 32 |
2022-09-30 |
-0.0109 |
-0.0022 |
-0.0628 |
0.0198 |
1.4924 |
0.0287 |
0.0670 |
| 33 |
2022-08-31 |
-0.0128 |
-0.0010 |
-0.0287 |
0.0018 |
1.4726 |
-0.0005 |
0.0448 |
| 34 |
2022-07-31 |
-0.0114 |
0.0035 |
-0.0368 |
-0.0056 |
1.4708 |
-0.0027 |
0.0418 |
| 35 |
2022-06-30 |
-0.0123 |
-0.0020 |
-0.0334 |
-0.0497 |
1.4764 |
0.0034 |
-0.0054 |
| 36 |
2022-05-31 |
-0.0149 |
-0.0004 |
0.0122 |
0.0604 |
1.5261 |
0.0254 |
0.0381 |
| 37 |
2022-04-30 |
-0.0132 |
-0.0016 |
-0.0280 |
0.0160 |
1.4657 |
0.0179 |
0.0409 |
| 38 |
2022-03-31 |
-0.0176 |
-0.0005 |
0.0156 |
0.0552 |
1.4497 |
0.0042 |
0.0535 |
| 39 |
2022-02-28 |
-0.0110 |
0.0031 |
0.0167 |
0.0253 |
1.3945 |
-0.0125 |
0.0290 |
| 40 |
2022-01-31 |
-0.0114 |
-0.0027 |
-0.0258 |
0.0176 |
1.3692 |
0.0144 |
0.0431 |
| 41 |
2021-12-31 |
-0.0131 |
0.0092 |
-0.0448 |
0.0285 |
1.3516 |
0.0105 |
0.0667 |
| 42 |
2021-11-30 |
-0.0126 |
0.0008 |
-0.0264 |
-0.0034 |
1.3231 |
0.0204 |
0.0144 |
| 43 |
2021-10-31 |
-0.0099 |
-0.0081 |
-0.0083 |
-0.0149 |
1.3265 |
0.0128 |
-0.0014 |
| 44 |
2021-09-30 |
-0.0128 |
-0.0045 |
-0.0347 |
-0.0205 |
1.3414 |
-0.0036 |
0.0351 |
| 45 |
2021-08-31 |
-0.0124 |
0.0011 |
-0.0069 |
0.0387 |
1.3619 |
-0.0002 |
0.0571 |
| 46 |
2021-07-31 |
-0.0133 |
-0.0017 |
-0.0365 |
0.0125 |
1.3232 |
0.0218 |
0.0422 |
| 47 |
2021-06-30 |
-0.0104 |
-0.0004 |
-0.0319 |
0.0030 |
1.3107 |
0.0116 |
0.0341 |
| 48 |
2021-05-31 |
-0.0099 |
-0.0002 |
-0.0467 |
-0.0092 |
1.3077 |
0.0145 |
0.0331 |
| 49 |
2021-04-30 |
-0.0112 |
-0.0025 |
-0.0315 |
0.0252 |
1.3169 |
0.0084 |
0.0620 |
| 50 |
2021-03-31 |
-0.0119 |
0.0016 |
0.0087 |
0.0746 |
1.2917 |
0.0048 |
0.0714 |
| 51 |
2021-02-28 |
-0.0097 |
-0.0054 |
-0.0141 |
-0.0068 |
1.2171 |
0.0345 |
-0.0121 |
| 52 |
2021-01-31 |
-0.0104 |
-0.0030 |
-0.0098 |
0.0486 |
1.2239 |
0.0136 |
0.0582 |
| 53 |
2020-12-31 |
-0.0119 |
0.0005 |
-0.0149 |
0.0338 |
1.1753 |
0.0117 |
0.0484 |
| 54 |
2020-11-30 |
-0.0109 |
-0.0034 |
-0.0425 |
-0.0581 |
1.1415 |
0.0021 |
-0.0034 |
| 55 |
2020-10-31 |
-0.0090 |
-0.0041 |
-0.0310 |
0.0156 |
1.1996 |
0.0214 |
0.0383 |
| 56 |
2020-09-30 |
-0.0090 |
-0.0081 |
0.0027 |
0.0602 |
1.1840 |
0.0192 |
0.0554 |
| 57 |
2020-08-31 |
-0.0092 |
-0.0021 |
-0.0351 |
-0.0481 |
1.1238 |
-0.0137 |
0.0120 |
| 58 |
2020-07-31 |
-0.0098 |
0.0053 |
-0.0757 |
0.0056 |
1.1719 |
0.0359 |
0.0499 |
| 59 |
2020-06-30 |
-0.0101 |
0.0017 |
-0.0245 |
0.0274 |
1.1663 |
0.0327 |
0.0276 |
| 60 |
2020-05-31 |
-0.0097 |
0.0036 |
0.0022 |
-0.0160 |
1.1389 |
-0.0063 |
-0.0058 |
| 61 |
2020-04-30 |
-0.0113 |
0.0020 |
0.0248 |
0.0485 |
1.1549 |
0.0106 |
0.0224 |
| 62 |
2020-03-31 |
-0.0133 |
-0.0237 |
-0.0260 |
0.1370 |
1.1064 |
0.0932 |
0.1068 |
| 63 |
2020-02-29 |
-0.0098 |
-0.0002 |
-0.0342 |
-0.0218 |
0.9694 |
0.0250 |
-0.0026 |
| 64 |
2020-01-31 |
-0.0108 |
0.0123 |
-0.0183 |
0.0068 |
0.9912 |
0.0186 |
0.0050 |
| 65 |
2019-12-31 |
-0.0099 |
0.0014 |
-0.0322 |
0.0208 |
0.9844 |
0.0107 |
0.0508 |
| 66 |
2019-11-30 |
-0.0086 |
-0.0008 |
-0.0161 |
0.0094 |
0.9636 |
0.0036 |
0.0313 |
| 67 |
2019-10-31 |
-0.0093 |
-0.0015 |
-0.0169 |
0.0063 |
0.9542 |
-0.0096 |
0.0436 |
| 68 |
2019-09-30 |
-0.0102 |
0.0013 |
-0.0242 |
0.0150 |
0.9479 |
0.0059 |
0.0422 |
| 69 |
2019-08-31 |
-0.0093 |
-0.0010 |
-0.0419 |
0.0114 |
0.9329 |
0.0124 |
0.0512 |
| 70 |
2019-07-31 |
-0.0098 |
-0.0009 |
-0.0513 |
-0.0080 |
0.9215 |
0.0005 |
0.0535 |
| 71 |
2019-06-30 |
-0.0108 |
0.0001 |
0.0007 |
0.0603 |
0.9295 |
0.0019 |
0.0684 |
| 72 |
2019-05-31 |
-0.0111 |
-0.0020 |
-0.0015 |
0.0642 |
0.8692 |
0.0237 |
0.0551 |
| 73 |
2019-04-30 |
-0.0098 |
-0.0013 |
-0.0461 |
-0.0309 |
0.8050 |
-0.0236 |
0.0499 |
| 74 |
2019-03-31 |
-0.0101 |
0.0004 |
-0.0469 |
0.0045 |
0.8359 |
0.0255 |
0.0356 |
| 75 |
2019-02-28 |
-0.0086 |
0.0017 |
-0.0105 |
-0.0110 |
0.8314 |
0.0243 |
-0.0179 |
| 76 |
2019-01-31 |
-0.0111 |
0.0014 |
-0.0552 |
-0.0061 |
0.8424 |
-0.0180 |
0.0768 |
| 77 |
2018-12-31 |
-0.0102 |
-0.0056 |
-0.0207 |
0.0056 |
0.8485 |
0.0057 |
0.0364 |
| 78 |
2018-11-30 |
-0.0097 |
0.0012 |
-0.0357 |
-0.0400 |
0.8429 |
0.0089 |
-0.0047 |
| 79 |
2018-10-31 |
-0.0101 |
-0.0040 |
-0.0563 |
-0.0094 |
0.8829 |
0.0004 |
0.0606 |
| 80 |
2018-09-30 |
-0.0097 |
0.0050 |
-0.0324 |
-0.0017 |
0.8923 |
0.0161 |
0.0193 |
| 81 |
2018-08-31 |
-0.0112 |
0.0010 |
-0.0404 |
-0.0062 |
0.8940 |
0.0128 |
0.0316 |
| 82 |
2018-07-31 |
-0.0121 |
-0.0000 |
-0.0163 |
0.0258 |
0.9002 |
-0.0013 |
0.0555 |
| 83 |
2018-06-30 |
-0.0125 |
-0.0012 |
0.0234 |
0.0746 |
0.8744 |
0.0131 |
0.0518 |
| 84 |
2018-05-31 |
-0.0131 |
0.0006 |
0.0411 |
0.1223 |
0.7998 |
0.0302 |
0.0635 |
| 85 |
2018-04-30 |
-0.0129 |
0.0001 |
-0.0270 |
-0.0105 |
0.6775 |
-0.0133 |
0.0426 |
| 86 |
2018-03-31 |
-0.0136 |
-0.0012 |
-0.0840 |
-0.0592 |
0.6880 |
0.0055 |
0.0341 |
| 87 |
2018-02-28 |
-0.0131 |
0.0004 |
-0.0178 |
0.0099 |
0.7472 |
-0.0018 |
0.0422 |
| 88 |
2018-01-31 |
-0.0141 |
-0.0002 |
0.0051 |
0.0419 |
0.7373 |
0.0012 |
0.0499 |
| 89 |
2017-12-31 |
-0.0136 |
0.0009 |
0.0175 |
0.0630 |
0.6954 |
0.0050 |
0.0532 |
| 90 |
2017-11-30 |
-0.0135 |
-0.0016 |
0.0127 |
0.0280 |
0.6324 |
0.0008 |
0.0296 |
| 91 |
2017-10-31 |
-0.0133 |
0.0019 |
-0.0238 |
-0.0014 |
0.6044 |
0.0043 |
0.0295 |
| 92 |
2017-09-30 |
-0.0128 |
-0.0002 |
-0.0343 |
-0.0435 |
0.6058 |
-0.0106 |
0.0144 |
| 93 |
2017-08-31 |
-0.0149 |
-0.0012 |
-0.0389 |
0.0077 |
0.6493 |
0.0071 |
0.0556 |
| 94 |
2017-07-31 |
-0.0144 |
-0.0004 |
-0.0130 |
0.0314 |
0.6416 |
0.0095 |
0.0497 |
| 95 |
2017-06-30 |
-0.0142 |
0.0015 |
0.0349 |
0.0582 |
0.6102 |
-0.0059 |
0.0419 |
| 96 |
2017-05-31 |
-0.0132 |
0.0009 |
0.0304 |
0.0291 |
0.5520 |
-0.0090 |
0.0200 |
| 97 |
2017-04-30 |
-0.0116 |
-0.0010 |
-0.0149 |
-0.0013 |
0.5229 |
-0.0076 |
0.0338 |
| 98 |
2017-03-31 |
-0.0135 |
-0.0012 |
0.0148 |
0.0434 |
0.5242 |
-0.0068 |
0.0501 |
| 99 |
2017-02-28 |
-0.0101 |
0.0009 |
-0.0293 |
0.0030 |
0.4808 |
0.0035 |
0.0380 |
| 100 |
2017-01-31 |
-0.0124 |
-0.0014 |
-0.0246 |
0.0343 |
0.4778 |
0.0159 |
0.0568 |
| 101 |
2016-12-31 |
-0.0120 |
-0.0012 |
-0.0015 |
0.0257 |
0.4435 |
-0.0060 |
0.0464 |
| 102 |
2016-11-30 |
-0.0108 |
0.0023 |
-0.0159 |
-0.0002 |
0.4178 |
-0.0183 |
0.0425 |
| 103 |
2016-10-31 |
-0.0113 |
0.0037 |
-0.0286 |
0.0203 |
0.4180 |
0.0009 |
0.0556 |
| 104 |
2016-09-30 |
-0.0113 |
-0.0064 |
0.0004 |
0.0801 |
0.3977 |
0.0312 |
0.0662 |
| 105 |
2016-08-31 |
-0.0115 |
0.0038 |
-0.0319 |
-0.0030 |
0.3176 |
-0.0074 |
0.0440 |
| 106 |
2016-07-31 |
-0.0108 |
-0.0003 |
-0.0293 |
0.0034 |
0.3206 |
-0.0162 |
0.0600 |
| 107 |
2016-06-30 |
-0.0109 |
-0.0025 |
-0.0240 |
0.0157 |
0.3172 |
0.0178 |
0.0353 |
| 108 |
2016-05-31 |
-0.0106 |
-0.0031 |
-0.0185 |
0.0210 |
0.3015 |
0.0161 |
0.0371 |
| 109 |
2016-04-30 |
-0.0104 |
-0.0003 |
-0.0357 |
-0.0215 |
0.2805 |
0.0009 |
0.0240 |
| 110 |
2016-03-31 |
-0.0116 |
-0.0016 |
-0.0496 |
0.0218 |
0.3020 |
0.0140 |
0.0706 |
| 111 |
2016-02-29 |
-0.0118 |
-0.0094 |
0.0156 |
0.0248 |
0.2802 |
-0.0181 |
0.0485 |
| 112 |
2016-01-31 |
-0.0088 |
-0.0025 |
-0.0069 |
0.0396 |
0.2554 |
0.0061 |
0.0517 |
| 113 |
2015-12-31 |
-0.0099 |
-0.0003 |
-0.0228 |
0.0477 |
0.2158 |
0.0178 |
0.0629 |
| 114 |
2015-11-30 |
-0.0078 |
-0.0015 |
-0.0617 |
-0.0285 |
0.1681 |
0.0155 |
0.0270 |
| 115 |
2015-10-31 |
-0.0092 |
0.0029 |
-0.0178 |
0.0179 |
0.1966 |
0.0072 |
0.0348 |
| 116 |
2015-09-30 |
-0.0101 |
-0.0049 |
-0.0161 |
0.0373 |
0.1787 |
0.0070 |
0.0614 |
| 117 |
2015-08-31 |
-0.0098 |
-0.0018 |
-0.0084 |
0.0607 |
0.1414 |
-0.0003 |
0.0810 |
| 118 |
2015-07-31 |
-0.0119 |
0.0045 |
-0.0249 |
0.0304 |
0.0807 |
0.0246 |
0.0381 |
| 119 |
2015-06-30 |
-0.0124 |
-0.0034 |
-0.0418 |
0.0282 |
0.0503 |
0.0060 |
0.0798 |
| 120 |
2015-05-31 |
-0.0106 |
0.0004 |
-0.0349 |
-0.0021 |
0.0221 |
0.0072 |
0.0358 |
| 121 |
2015-04-30 |
-0.0121 |
0.0013 |
-0.0249 |
-0.0299 |
0.0242 |
-0.0286 |
0.0344 |
| 122 |
2015-03-31 |
-0.0123 |
0.0033 |
-0.0006 |
0.0322 |
0.0541 |
-0.0106 |
0.0524 |
| 123 |
2015-02-28 |
-0.0097 |
0.0022 |
-0.0542 |
-0.0227 |
0.0219 |
0.0110 |
0.0280 |
| 124 |
2015-01-31 |
-0.0116 |
0.0043 |
-0.0147 |
0.0446 |
0.0446 |
0.0112 |
0.0554 |