| Category |
Factor |
Contribution |
| alpha_QUALITY |
quality |
0.003448 |
| alpha_REVERSAL |
reversal |
0.002080 |
| alpha_REVISION |
revision |
0.001948 |
| tilt_INDUSTRY |
ind_beverages |
0.001692 |
| alpha_VALUE |
value_gc |
0.001355 |
| alpha_VALUE |
value_liq |
0.001215 |
| tilt_INDUSTRY |
ind_healthcare_equipment_supplies |
0.000846 |
| tilt_INDUSTRY |
ind_automobile |
0.000774 |
| alpha_MOMENTUM |
linkage |
0.000744 |
| alpha_QUALITY |
fmom |
0.000649 |
| tilt_INDUSTRY |
ind_coal |
0.000558 |
| tilt_INDUSTRY |
ind_media_publishing |
0.000525 |
| tilt_COUNTRY |
country_CN |
0.000502 |
| tilt_INDUSTRY |
ind_aerospace_defense |
0.000404 |
| tilt_INDUSTRY |
ind_investment_services |
0.000353 |
| tilt_INDUSTRY |
ind_freight_logistics |
0.000333 |
| tilt_INDUSTRY |
ind_computers_phones_household_electronics |
0.000263 |
| tilt_INDUSTRY |
ind_machinery |
0.000232 |
| risk_exposure |
market |
0.000176 |
| tilt_INDUSTRY |
ind_renewable_energy |
0.000174 |
| tilt_INDUSTRY |
ind_water_utilities |
0.000156 |
| tilt_INDUSTRY |
ind_natural_gas_utilities |
0.000112 |
| tilt_INDUSTRY |
ind_textiles_apparel |
0.000109 |
| tilt_SIZE |
size_MICRO |
0.000092 |
| tilt_INDUSTRY |
ind_electric_utilities_ipps |
0.000089 |
| tilt_INDUSTRY |
ind_fintech |
0.000066 |
| tilt_SIZE |
size_LARGE |
0.000044 |
| tilt_INDUSTRY |
ind_commercial_services_supplies |
0.000029 |
| tilt_INDUSTRY |
ind_paper_forestry |
0.000014 |
| tilt_INDUSTRY |
ind_insurance |
0.000007 |
| tilt_INDUSTRY |
ind_household_goods |
0.000005 |
| tilt_INDUSTRY |
ind_consumer_goods_conglomerates |
0.000000 |
| tilt_INDUSTRY |
ind_construction_materials |
0.000000 |
| tilt_INDUSTRY |
ind_holding_companies |
0.000000 |
| tilt_COUNTRY |
country_AU |
0.000000 |
| tilt_INDUSTRY |
ind_leisure_products |
0.000000 |
| tilt_COUNTRY |
country_IN |
0.000000 |
| tilt_COUNTRY |
country_JP |
0.000000 |
| tilt_INDUSTRY |
ind_household_products_services |
0.000000 |
| tilt_INDUSTRY |
ind_homebuilding_building_products |
0.000000 |
| tilt_COUNTRY |
country_HK |
0.000000 |
| tilt_COUNTRY |
country_XH |
0.000000 |
| tilt_INDUSTRY |
ind_office_equipment |
0.000000 |
| tilt_COUNTRY |
country_MY |
0.000000 |
| tilt_COUNTRY |
country_PH |
0.000000 |
| tilt_COUNTRY |
country_TH |
0.000000 |
| tilt_INDUSTRY |
ind_industrial_distribution |
0.000000 |
| tilt_COUNTRY |
country_ID |
0.000000 |
| tilt_COUNTRY |
country_TW |
0.000000 |
| tilt_INDUSTRY |
ind_uranium |
0.000000 |
| tilt_INDUSTRY |
ind_multiline_utilities |
0.000000 |
| tilt_COUNTRY |
country_NZ |
0.000000 |
| tilt_COUNTRY |
country_SG |
0.000000 |
| tilt_COUNTRY |
country_KR |
0.000000 |
| tilt_INDUSTRY |
ind_telecommunications_serices |
-0.000000 |
| tilt_INDUSTRY |
ind_diversified_retail |
-0.000000 |
| tilt_INDUSTRY |
ind_containers_packaging |
-0.000000 |
| tilt_INDUSTRY |
ind_oil_gas |
-0.000004 |
| tilt_INDUSTRY |
ind_hotels_entertainment |
-0.000016 |
| tilt_INDUSTRY |
ind_software_it_services |
-0.000027 |
| tilt_INDUSTRY |
ind_metals_mining |
-0.000035 |
| tilt_INDUSTRY |
ind_communications_equipment |
-0.000038 |
| tilt_INDUSTRY |
ind_construction_engineering |
-0.000052 |
| unexplained |
pdiscrepancy |
-0.000056 |
| tilt_INDUSTRY |
ind_specialty_reatil |
-0.000062 |
| tilt_INDUSTRY |
ind_real_estate_operations |
-0.000083 |
| tilt_INDUSTRY |
ind_healthcare_providers_services |
-0.000092 |
| tilt_INDUSTRY |
ind_passenger_transportation |
-0.000104 |
| tilt_INDUSTRY |
ind_food_drug_retail |
-0.000116 |
| tilt_INDUSTRY |
ind_chemicals |
-0.000148 |
| tilt_INDUSTRY |
ind_oil_gas_equipment_services |
-0.000167 |
| tilt_INDUSTRY |
ind_transportation_infrastructure |
-0.000240 |
| tilt_INDUSTRY |
ind_integrated_hardware_software |
-0.000246 |
| tilt_SIZE |
size_SMALL |
-0.000285 |
| alpha_MOMENTUM |
momentum |
-0.000372 |
| tilt_SIZE |
size_MID |
-0.000386 |
| cost |
fcost |
-0.000417 |
| tilt_INDUSTRY |
ind_electronic_equipment |
-0.000443 |
| tilt_INDUSTRY |
ind_food_tobacco |
-0.000448 |
| unexplained |
sdiscrepancy |
-0.000586 |
| tilt_INDUSTRY |
ind_biotechnology |
-0.000599 |
| cost |
impactCost |
-0.000910 |
| tilt_INDUSTRY |
ind_semiconductors |
-0.001027 |
| tilt_INDUSTRY |
ind_pharmaceuticals |
-0.001097 |
| tilt_INDUSTRY |
ind_banking_services |
-0.001101 |
| alpha_QUALITY |
stability |
-0.001129 |
| alpha_VALUE |
neglect |
-0.001305 |
| cost |
linearCost |
-0.001324 |
| risk_exposure |
sbeta_market |
-0.001759 |
| cost |
bcost |
-0.007540 |
| unexplained |
specret |
-0.009691 |
