| Category |
Factor |
Contribution |
| tilt_INDUSTRY |
ind_machinery |
0.001725 |
| unexplained |
sdiscrepancy |
0.001693 |
| alpha_REVERSAL |
reversal |
0.001528 |
| tilt_SIZE |
size_SMALL |
0.001225 |
| risk_exposure |
market |
0.001093 |
| alpha_REVISION |
revision |
0.000916 |
| tilt_INDUSTRY |
ind_beverages |
0.000871 |
| tilt_SIZE |
size_LARGE |
0.000822 |
| tilt_INDUSTRY |
ind_chemicals |
0.000760 |
| alpha_QUALITY |
quality |
0.000670 |
| tilt_INDUSTRY |
ind_industrial_distribution |
0.000634 |
| alpha_MOMENTUM |
momentum |
0.000632 |
| tilt_INDUSTRY |
ind_household_products_services |
0.000480 |
| tilt_INDUSTRY |
ind_office_equipment |
0.000440 |
| tilt_INDUSTRY |
ind_homebuilding_building_products |
0.000338 |
| tilt_INDUSTRY |
ind_household_goods |
0.000322 |
| tilt_INDUSTRY |
ind_healthcare_equipment_supplies |
0.000314 |
| alpha_QUALITY |
stability |
0.000268 |
| tilt_INDUSTRY |
ind_diversified_retail |
0.000258 |
| tilt_INDUSTRY |
ind_freight_logistics |
0.000250 |
| tilt_INDUSTRY |
ind_specialty_reatil |
0.000214 |
| tilt_INDUSTRY |
ind_commercial_services_supplies |
0.000204 |
| tilt_INDUSTRY |
ind_paper_forestry |
0.000200 |
| tilt_INDUSTRY |
ind_hotels_entertainment |
0.000195 |
| tilt_INDUSTRY |
ind_electronic_equipment |
0.000098 |
| tilt_INDUSTRY |
ind_media_publishing |
0.000053 |
| alpha_QUALITY |
fmom |
0.000048 |
| tilt_INDUSTRY |
ind_passenger_transportation |
0.000044 |
| tilt_INDUSTRY |
ind_oil_gas |
0.000030 |
| tilt_INDUSTRY |
ind_biotechnology |
0.000026 |
| tilt_INDUSTRY |
ind_aerospace_defense |
0.000021 |
| tilt_INDUSTRY |
ind_fintech |
0.000010 |
| tilt_INDUSTRY |
ind_insurance |
0.000010 |
| tilt_INDUSTRY |
ind_textiles_apparel |
0.000008 |
| tilt_COUNTRY |
country_TW |
0.000000 |
| tilt_INDUSTRY |
ind_natural_gas_utilities |
0.000000 |
| tilt_INDUSTRY |
ind_construction_materials |
0.000000 |
| tilt_INDUSTRY |
ind_renewable_energy |
0.000000 |
| tilt_COUNTRY |
country_SG |
0.000000 |
| tilt_COUNTRY |
country_AU |
0.000000 |
| tilt_COUNTRY |
country_IN |
0.000000 |
| tilt_COUNTRY |
country_CN |
0.000000 |
| tilt_COUNTRY |
country_ID |
0.000000 |
| tilt_INDUSTRY |
ind_multiline_utilities |
0.000000 |
| tilt_INDUSTRY |
ind_containers_packaging |
0.000000 |
| tilt_INDUSTRY |
ind_healthcare_providers_services |
0.000000 |
| tilt_COUNTRY |
country_TH |
0.000000 |
| tilt_COUNTRY |
country_XH |
0.000000 |
| tilt_COUNTRY |
country_HK |
0.000000 |
| tilt_COUNTRY |
country_KR |
0.000000 |
| tilt_INDUSTRY |
ind_coal |
0.000000 |
| tilt_INDUSTRY |
ind_integrated_hardware_software |
0.000000 |
| tilt_COUNTRY |
country_NZ |
0.000000 |
| tilt_COUNTRY |
country_MY |
0.000000 |
| tilt_INDUSTRY |
ind_uranium |
0.000000 |
| tilt_INDUSTRY |
ind_holding_companies |
0.000000 |
| tilt_INDUSTRY |
ind_water_utilities |
0.000000 |
| tilt_COUNTRY |
country_PH |
0.000000 |
| tilt_INDUSTRY |
ind_leisure_products |
-0.000002 |
| tilt_INDUSTRY |
ind_transportation_infrastructure |
-0.000027 |
| tilt_INDUSTRY |
ind_computers_phones_household_electronics |
-0.000033 |
| tilt_INDUSTRY |
ind_pharmaceuticals |
-0.000033 |
| tilt_INDUSTRY |
ind_metals_mining |
-0.000079 |
| tilt_INDUSTRY |
ind_construction_engineering |
-0.000087 |
| tilt_INDUSTRY |
ind_banking_services |
-0.000105 |
| tilt_SIZE |
size_MICRO |
-0.000108 |
| tilt_INDUSTRY |
ind_food_drug_retail |
-0.000132 |
| cost |
fcost |
-0.000133 |
| tilt_INDUSTRY |
ind_consumer_goods_conglomerates |
-0.000143 |
| tilt_SIZE |
size_MID |
-0.000166 |
| unexplained |
pdiscrepancy |
-0.000207 |
| tilt_INDUSTRY |
ind_communications_equipment |
-0.000234 |
| tilt_INDUSTRY |
ind_oil_gas_equipment_services |
-0.000245 |
| tilt_INDUSTRY |
ind_automobile |
-0.000267 |
| tilt_INDUSTRY |
ind_electric_utilities_ipps |
-0.000338 |
| tilt_INDUSTRY |
ind_food_tobacco |
-0.000340 |
| alpha_VALUE |
value_liq |
-0.000340 |
| tilt_INDUSTRY |
ind_semiconductors |
-0.000384 |
| cost |
linearCost |
-0.000419 |
| tilt_INDUSTRY |
ind_telecommunications_serices |
-0.000496 |
| cost |
bcost |
-0.000531 |
| alpha_VALUE |
value_gc |
-0.000692 |
| alpha_MOMENTUM |
linkage |
-0.000842 |
| tilt_INDUSTRY |
ind_investment_services |
-0.000910 |
| tilt_INDUSTRY |
ind_software_it_services |
-0.001054 |
| alpha_VALUE |
neglect |
-0.001104 |
| tilt_INDUSTRY |
ind_real_estate_operations |
-0.001223 |
| risk_exposure |
sbeta_market |
-0.001224 |
| tilt_COUNTRY |
country_JP |
-0.001908 |
| cost |
impactCost |
-0.002135 |
| unexplained |
specret |
-0.009007 |
