| Category |
Factor |
Contribution |
| risk_exposure |
market |
0.001237 |
| alpha_REVERSAL |
reversal |
0.000639 |
| tilt_COUNTRY |
country_AU |
0.000567 |
| tilt_INDUSTRY |
ind_oil_gas |
0.000433 |
| tilt_INDUSTRY |
ind_household_goods |
0.000398 |
| tilt_INDUSTRY |
ind_banking_services |
0.000389 |
| tilt_SIZE |
size_SMALL |
0.000351 |
| tilt_INDUSTRY |
ind_beverages |
0.000314 |
| tilt_INDUSTRY |
ind_healthcare_equipment_supplies |
0.000290 |
| alpha_QUALITY |
fmom |
0.000185 |
| alpha_REVISION |
revision |
0.000152 |
| alpha_QUALITY |
quality |
0.000148 |
| alpha_MOMENTUM |
linkage |
0.000146 |
| alpha_VALUE |
neglect |
0.000105 |
| tilt_INDUSTRY |
ind_pharmaceuticals |
0.000055 |
| tilt_INDUSTRY |
ind_insurance |
0.000044 |
| tilt_INDUSTRY |
ind_hotels_entertainment |
0.000041 |
| alpha_QUALITY |
stability |
0.000028 |
| tilt_INDUSTRY |
ind_biotechnology |
0.000019 |
| tilt_INDUSTRY |
ind_transportation_infrastructure |
0.000015 |
| alpha_MOMENTUM |
momentum |
0.000014 |
| tilt_SIZE |
size_MICRO |
0.000011 |
| tilt_INDUSTRY |
ind_natural_gas_utilities |
0.000000 |
| tilt_COUNTRY |
country_TW |
0.000000 |
| tilt_INDUSTRY |
ind_paper_forestry |
0.000000 |
| tilt_INDUSTRY |
ind_construction_materials |
0.000000 |
| tilt_COUNTRY |
country_SG |
0.000000 |
| tilt_COUNTRY |
country_IN |
0.000000 |
| tilt_INDUSTRY |
ind_electronic_equipment |
0.000000 |
| tilt_INDUSTRY |
ind_diversified_retail |
0.000000 |
| tilt_INDUSTRY |
ind_specialty_reatil |
0.000000 |
| tilt_COUNTRY |
country_ID |
0.000000 |
| tilt_INDUSTRY |
ind_homebuilding_building_products |
0.000000 |
| tilt_INDUSTRY |
ind_computers_phones_household_electronics |
0.000000 |
| tilt_INDUSTRY |
ind_office_equipment |
0.000000 |
| tilt_INDUSTRY |
ind_household_products_services |
0.000000 |
| tilt_INDUSTRY |
ind_renewable_energy |
0.000000 |
| tilt_INDUSTRY |
ind_industrial_distribution |
0.000000 |
| tilt_INDUSTRY |
ind_semiconductors |
0.000000 |
| tilt_COUNTRY |
country_CN |
0.000000 |
| tilt_COUNTRY |
country_MY |
0.000000 |
| tilt_INDUSTRY |
ind_chemicals |
0.000000 |
| tilt_INDUSTRY |
ind_machinery |
0.000000 |
| tilt_COUNTRY |
country_HK |
0.000000 |
| tilt_INDUSTRY |
ind_freight_logistics |
0.000000 |
| tilt_COUNTRY |
country_XH |
0.000000 |
| tilt_COUNTRY |
country_TH |
0.000000 |
| tilt_INDUSTRY |
ind_communications_equipment |
0.000000 |
| tilt_COUNTRY |
country_JP |
0.000000 |
| tilt_COUNTRY |
country_KR |
0.000000 |
| tilt_INDUSTRY |
ind_food_tobacco |
0.000000 |
| tilt_INDUSTRY |
ind_integrated_hardware_software |
0.000000 |
| tilt_INDUSTRY |
ind_fintech |
0.000000 |
| tilt_INDUSTRY |
ind_automobile |
0.000000 |
| tilt_INDUSTRY |
ind_oil_gas_equipment_services |
0.000000 |
| tilt_COUNTRY |
country_NZ |
0.000000 |
| tilt_INDUSTRY |
ind_leisure_products |
0.000000 |
| tilt_INDUSTRY |
ind_media_publishing |
0.000000 |
| tilt_INDUSTRY |
ind_consumer_goods_conglomerates |
0.000000 |
| tilt_COUNTRY |
country_PH |
0.000000 |
| tilt_INDUSTRY |
ind_water_utilities |
0.000000 |
| tilt_INDUSTRY |
ind_textiles_apparel |
0.000000 |
| tilt_INDUSTRY |
ind_containers_packaging |
-0.000004 |
| tilt_INDUSTRY |
ind_passenger_transportation |
-0.000029 |
| cost |
fcost |
-0.000029 |
| tilt_INDUSTRY |
ind_construction_engineering |
-0.000034 |
| unexplained |
pdiscrepancy |
-0.000054 |
| tilt_INDUSTRY |
ind_commercial_services_supplies |
-0.000057 |
| tilt_INDUSTRY |
ind_coal |
-0.000088 |
| cost |
bcost |
-0.000095 |
| tilt_INDUSTRY |
ind_telecommunications_serices |
-0.000097 |
| alpha_VALUE |
value_gc |
-0.000104 |
| tilt_INDUSTRY |
ind_holding_companies |
-0.000125 |
| tilt_INDUSTRY |
ind_multiline_utilities |
-0.000127 |
| tilt_INDUSTRY |
ind_aerospace_defense |
-0.000129 |
| tilt_INDUSTRY |
ind_investment_services |
-0.000147 |
| tilt_INDUSTRY |
ind_electric_utilities_ipps |
-0.000152 |
| tilt_INDUSTRY |
ind_healthcare_providers_services |
-0.000169 |
| tilt_INDUSTRY |
ind_food_drug_retail |
-0.000220 |
| tilt_INDUSTRY |
ind_uranium |
-0.000233 |
| cost |
linearCost |
-0.000245 |
| tilt_SIZE |
size_MID |
-0.000250 |
| tilt_INDUSTRY |
ind_software_it_services |
-0.000375 |
| tilt_SIZE |
size_LARGE |
-0.000397 |
| cost |
impactCost |
-0.000651 |
| tilt_INDUSTRY |
ind_real_estate_operations |
-0.000699 |
| alpha_VALUE |
value_liq |
-0.000744 |
| unexplained |
sdiscrepancy |
-0.000874 |
| risk_exposure |
sbeta_market |
-0.000915 |
| tilt_INDUSTRY |
ind_metals_mining |
-0.002227 |
| unexplained |
specret |
-0.007244 |
