| Category |
Factor |
Contribution |
| risk_exposure |
market |
0.007044 |
| unexplained |
specret |
0.004787 |
| tilt_COUNTRY |
country_XH |
0.004512 |
| tilt_INDUSTRY |
ind_banking_services |
0.000997 |
| tilt_INDUSTRY |
ind_insurance |
0.000982 |
| alpha_QUALITY |
quality |
0.000793 |
| alpha_VALUE |
value_gc |
0.000509 |
| tilt_INDUSTRY |
ind_biotechnology |
0.000444 |
| tilt_SIZE |
size_LARGE |
0.000394 |
| tilt_INDUSTRY |
ind_freight_logistics |
0.000233 |
| tilt_INDUSTRY |
ind_investment_services |
0.000135 |
| alpha_MOMENTUM |
linkage |
0.000130 |
| tilt_SIZE |
size_SMALL |
0.000115 |
| alpha_REVISION |
revision |
0.000104 |
| alpha_VALUE |
value_liq |
0.000084 |
| tilt_INDUSTRY |
ind_construction_engineering |
0.000075 |
| tilt_INDUSTRY |
ind_computers_phones_household_electronics |
0.000066 |
| alpha_MOMENTUM |
momentum |
0.000052 |
| alpha_REVERSAL |
reversal |
0.000044 |
| tilt_INDUSTRY |
ind_specialty_reatil |
0.000040 |
| tilt_INDUSTRY |
ind_textiles_apparel |
0.000034 |
| tilt_INDUSTRY |
ind_beverages |
0.000034 |
| tilt_INDUSTRY |
ind_aerospace_defense |
0.000028 |
| tilt_INDUSTRY |
ind_renewable_energy |
0.000012 |
| tilt_INDUSTRY |
ind_oil_gas |
0.000012 |
| tilt_INDUSTRY |
ind_metals_mining |
0.000009 |
| tilt_INDUSTRY |
ind_diversified_retail |
0.000007 |
| tilt_INDUSTRY |
ind_household_goods |
0.000005 |
| tilt_INDUSTRY |
ind_healthcare_equipment_supplies |
0.000005 |
| tilt_INDUSTRY |
ind_oil_gas_equipment_services |
0.000001 |
| tilt_INDUSTRY |
ind_chemicals |
0.000000 |
| tilt_INDUSTRY |
ind_automobile |
0.000000 |
| tilt_INDUSTRY |
ind_office_equipment |
0.000000 |
| tilt_COUNTRY |
country_KR |
0.000000 |
| tilt_INDUSTRY |
ind_fintech |
0.000000 |
| tilt_INDUSTRY |
ind_industrial_distribution |
0.000000 |
| tilt_COUNTRY |
country_SG |
0.000000 |
| tilt_INDUSTRY |
ind_paper_forestry |
0.000000 |
| tilt_COUNTRY |
country_HK |
0.000000 |
| tilt_INDUSTRY |
ind_consumer_goods_conglomerates |
0.000000 |
| tilt_INDUSTRY |
ind_water_utilities |
0.000000 |
| tilt_COUNTRY |
country_JP |
0.000000 |
| tilt_COUNTRY |
country_PH |
0.000000 |
| tilt_COUNTRY |
country_ID |
0.000000 |
| tilt_COUNTRY |
country_AU |
0.000000 |
| tilt_COUNTRY |
country_TH |
0.000000 |
| tilt_INDUSTRY |
ind_telecommunications_serices |
0.000000 |
| tilt_COUNTRY |
country_CN |
0.000000 |
| tilt_COUNTRY |
country_TW |
0.000000 |
| tilt_INDUSTRY |
ind_leisure_products |
0.000000 |
| tilt_INDUSTRY |
ind_uranium |
0.000000 |
| tilt_COUNTRY |
country_IN |
0.000000 |
| tilt_INDUSTRY |
ind_integrated_hardware_software |
0.000000 |
| tilt_COUNTRY |
country_NZ |
0.000000 |
| tilt_INDUSTRY |
ind_homebuilding_building_products |
0.000000 |
| tilt_INDUSTRY |
ind_containers_packaging |
0.000000 |
| tilt_COUNTRY |
country_MY |
0.000000 |
| tilt_INDUSTRY |
ind_commercial_services_supplies |
0.000000 |
| tilt_INDUSTRY |
ind_holding_companies |
0.000000 |
| tilt_INDUSTRY |
ind_passenger_transportation |
0.000000 |
| tilt_INDUSTRY |
ind_multiline_utilities |
0.000000 |
| tilt_INDUSTRY |
ind_transportation_infrastructure |
-0.000000 |
| tilt_INDUSTRY |
ind_media_publishing |
-0.000000 |
| tilt_INDUSTRY |
ind_electronic_equipment |
-0.000000 |
| tilt_INDUSTRY |
ind_communications_equipment |
-0.000001 |
| tilt_INDUSTRY |
ind_semiconductors |
-0.000001 |
| tilt_INDUSTRY |
ind_electric_utilities_ipps |
-0.000001 |
| tilt_INDUSTRY |
ind_food_drug_retail |
-0.000002 |
| tilt_SIZE |
size_MICRO |
-0.000003 |
| tilt_INDUSTRY |
ind_household_products_services |
-0.000004 |
| tilt_INDUSTRY |
ind_machinery |
-0.000004 |
| tilt_INDUSTRY |
ind_construction_materials |
-0.000005 |
| unexplained |
pdiscrepancy |
-0.000010 |
| tilt_INDUSTRY |
ind_healthcare_providers_services |
-0.000016 |
| tilt_INDUSTRY |
ind_hotels_entertainment |
-0.000017 |
| tilt_INDUSTRY |
ind_real_estate_operations |
-0.000037 |
| alpha_VALUE |
neglect |
-0.000053 |
| cost |
bcost |
-0.000055 |
| tilt_INDUSTRY |
ind_natural_gas_utilities |
-0.000055 |
| cost |
fcost |
-0.000060 |
| tilt_INDUSTRY |
ind_food_tobacco |
-0.000128 |
| cost |
impactCost |
-0.000128 |
| alpha_QUALITY |
fmom |
-0.000149 |
| unexplained |
sdiscrepancy |
-0.000208 |
| alpha_QUALITY |
stability |
-0.000210 |
| tilt_INDUSTRY |
ind_coal |
-0.000249 |
| tilt_INDUSTRY |
ind_pharmaceuticals |
-0.000301 |
| cost |
linearCost |
-0.000328 |
| tilt_SIZE |
size_MID |
-0.000588 |
| tilt_INDUSTRY |
ind_software_it_services |
-0.000727 |
| risk_exposure |
sbeta_market |
-0.005260 |
