| Category |
Factor |
Contribution |
| risk_exposure |
sbeta_market |
0.002677 |
| unexplained |
specret |
0.002267 |
| tilt_COUNTRY |
country_AU |
0.001954 |
| alpha_REVERSAL |
reversal |
0.001491 |
| tilt_INDUSTRY |
ind_chemicals |
0.000721 |
| tilt_INDUSTRY |
ind_healthcare_equipment_supplies |
0.000642 |
| alpha_REVISION |
revision |
0.000582 |
| tilt_INDUSTRY |
ind_metals_mining |
0.000549 |
| tilt_SIZE |
size_MID |
0.000413 |
| tilt_INDUSTRY |
ind_uranium |
0.000337 |
| unexplained |
sdiscrepancy |
0.000310 |
| alpha_VALUE |
neglect |
0.000269 |
| tilt_INDUSTRY |
ind_software_it_services |
0.000263 |
| tilt_INDUSTRY |
ind_banking_services |
0.000258 |
| tilt_INDUSTRY |
ind_oil_gas |
0.000226 |
| alpha_QUALITY |
stability |
0.000195 |
| tilt_INDUSTRY |
ind_coal |
0.000178 |
| alpha_VALUE |
value_gc |
0.000166 |
| alpha_MOMENTUM |
linkage |
0.000142 |
| tilt_INDUSTRY |
ind_telecommunications_serices |
0.000135 |
| alpha_VALUE |
value_liq |
0.000134 |
| tilt_INDUSTRY |
ind_investment_services |
0.000100 |
| tilt_INDUSTRY |
ind_multiline_utilities |
0.000083 |
| alpha_QUALITY |
fmom |
0.000066 |
| tilt_INDUSTRY |
ind_semiconductors |
0.000058 |
| tilt_INDUSTRY |
ind_passenger_transportation |
0.000022 |
| tilt_INDUSTRY |
ind_food_drug_retail |
0.000021 |
| tilt_INDUSTRY |
ind_aerospace_defense |
0.000011 |
| tilt_INDUSTRY |
ind_transportation_infrastructure |
0.000005 |
| tilt_INDUSTRY |
ind_healthcare_providers_services |
0.000004 |
| tilt_INDUSTRY |
ind_construction_engineering |
0.000004 |
| tilt_INDUSTRY |
ind_food_tobacco |
0.000002 |
| tilt_INDUSTRY |
ind_homebuilding_building_products |
0.000001 |
| tilt_INDUSTRY |
ind_commercial_services_supplies |
0.000001 |
| tilt_INDUSTRY |
ind_electronic_equipment |
0.000000 |
| tilt_COUNTRY |
country_PH |
0.000000 |
| tilt_INDUSTRY |
ind_textiles_apparel |
0.000000 |
| tilt_COUNTRY |
country_HK |
0.000000 |
| tilt_INDUSTRY |
ind_office_equipment |
0.000000 |
| tilt_INDUSTRY |
ind_fintech |
0.000000 |
| tilt_COUNTRY |
country_XH |
0.000000 |
| tilt_INDUSTRY |
ind_freight_logistics |
0.000000 |
| tilt_INDUSTRY |
ind_natural_gas_utilities |
0.000000 |
| tilt_INDUSTRY |
ind_oil_gas_equipment_services |
0.000000 |
| tilt_COUNTRY |
country_CN |
0.000000 |
| tilt_INDUSTRY |
ind_integrated_hardware_software |
0.000000 |
| tilt_INDUSTRY |
ind_industrial_distribution |
0.000000 |
| tilt_COUNTRY |
country_KR |
0.000000 |
| tilt_INDUSTRY |
ind_consumer_goods_conglomerates |
0.000000 |
| tilt_INDUSTRY |
ind_water_utilities |
0.000000 |
| tilt_COUNTRY |
country_SG |
0.000000 |
| tilt_COUNTRY |
country_JP |
0.000000 |
| tilt_INDUSTRY |
ind_holding_companies |
0.000000 |
| tilt_COUNTRY |
country_TH |
0.000000 |
| tilt_COUNTRY |
country_TW |
0.000000 |
| tilt_INDUSTRY |
ind_renewable_energy |
0.000000 |
| tilt_COUNTRY |
country_MY |
0.000000 |
| tilt_INDUSTRY |
ind_leisure_products |
0.000000 |
| tilt_INDUSTRY |
ind_paper_forestry |
0.000000 |
| tilt_INDUSTRY |
ind_communications_equipment |
0.000000 |
| tilt_INDUSTRY |
ind_media_publishing |
0.000000 |
| tilt_COUNTRY |
country_NZ |
0.000000 |
| tilt_INDUSTRY |
ind_construction_materials |
0.000000 |
| tilt_INDUSTRY |
ind_household_products_services |
0.000000 |
| tilt_COUNTRY |
country_IN |
0.000000 |
| tilt_COUNTRY |
country_ID |
0.000000 |
| tilt_INDUSTRY |
ind_computers_phones_household_electronics |
-0.000002 |
| tilt_INDUSTRY |
ind_real_estate_operations |
-0.000002 |
| tilt_INDUSTRY |
ind_electric_utilities_ipps |
-0.000002 |
| unexplained |
pdiscrepancy |
-0.000005 |
| tilt_INDUSTRY |
ind_automobile |
-0.000006 |
| tilt_INDUSTRY |
ind_biotechnology |
-0.000006 |
| tilt_INDUSTRY |
ind_diversified_retail |
-0.000011 |
| tilt_INDUSTRY |
ind_machinery |
-0.000012 |
| cost |
fcost |
-0.000029 |
| tilt_INDUSTRY |
ind_specialty_reatil |
-0.000038 |
| tilt_SIZE |
size_LARGE |
-0.000060 |
| tilt_INDUSTRY |
ind_hotels_entertainment |
-0.000063 |
| cost |
bcost |
-0.000094 |
| alpha_MOMENTUM |
momentum |
-0.000109 |
| tilt_INDUSTRY |
ind_insurance |
-0.000118 |
| tilt_INDUSTRY |
ind_containers_packaging |
-0.000132 |
| tilt_SIZE |
size_MICRO |
-0.000147 |
| cost |
linearCost |
-0.000207 |
| tilt_INDUSTRY |
ind_pharmaceuticals |
-0.000239 |
| tilt_SIZE |
size_SMALL |
-0.000251 |
| cost |
impactCost |
-0.000343 |
| tilt_INDUSTRY |
ind_beverages |
-0.000398 |
| alpha_QUALITY |
quality |
-0.000646 |
| tilt_INDUSTRY |
ind_household_goods |
-0.000797 |
| risk_exposure |
market |
-0.001748 |
