| Category |
Factor |
Contribution |
| alpha_REVERSAL |
reversal |
0.006462 |
| risk_exposure |
sbeta_market |
0.003847 |
| alpha_REVISION |
revision |
0.002686 |
| tilt_INDUSTRY |
ind_oil_gas |
0.002121 |
| alpha_QUALITY |
stability |
0.000751 |
| tilt_INDUSTRY |
ind_telecommunications_serices |
0.000737 |
| alpha_VALUE |
value_gc |
0.000614 |
| tilt_INDUSTRY |
ind_industrial_distribution |
0.000546 |
| alpha_MOMENTUM |
linkage |
0.000506 |
| tilt_INDUSTRY |
ind_freight_logistics |
0.000475 |
| tilt_INDUSTRY |
ind_food_tobacco |
0.000433 |
| alpha_MOMENTUM |
momentum |
0.000417 |
| alpha_VALUE |
neglect |
0.000412 |
| tilt_SIZE |
size_MID |
0.000329 |
| tilt_INDUSTRY |
ind_consumer_goods_conglomerates |
0.000282 |
| tilt_INDUSTRY |
ind_healthcare_equipment_supplies |
0.000268 |
| tilt_INDUSTRY |
ind_natural_gas_utilities |
0.000233 |
| tilt_INDUSTRY |
ind_passenger_transportation |
0.000194 |
| tilt_INDUSTRY |
ind_food_drug_retail |
0.000163 |
| tilt_INDUSTRY |
ind_hotels_entertainment |
0.000153 |
| tilt_INDUSTRY |
ind_electric_utilities_ipps |
0.000110 |
| tilt_INDUSTRY |
ind_leisure_products |
0.000096 |
| tilt_INDUSTRY |
ind_insurance |
0.000085 |
| tilt_INDUSTRY |
ind_office_equipment |
0.000080 |
| alpha_QUALITY |
fmom |
0.000074 |
| tilt_INDUSTRY |
ind_biotechnology |
0.000058 |
| tilt_INDUSTRY |
ind_semiconductors |
0.000050 |
| tilt_INDUSTRY |
ind_investment_services |
0.000046 |
| tilt_INDUSTRY |
ind_homebuilding_building_products |
0.000037 |
| tilt_INDUSTRY |
ind_commercial_services_supplies |
0.000033 |
| tilt_INDUSTRY |
ind_automobile |
0.000020 |
| tilt_INDUSTRY |
ind_uranium |
0.000000 |
| tilt_COUNTRY |
country_PH |
0.000000 |
| tilt_COUNTRY |
country_IN |
0.000000 |
| tilt_COUNTRY |
country_KR |
0.000000 |
| tilt_INDUSTRY |
ind_integrated_hardware_software |
0.000000 |
| tilt_INDUSTRY |
ind_transportation_infrastructure |
0.000000 |
| tilt_COUNTRY |
country_CN |
0.000000 |
| tilt_COUNTRY |
country_XH |
0.000000 |
| tilt_INDUSTRY |
ind_multiline_utilities |
0.000000 |
| tilt_INDUSTRY |
ind_fintech |
0.000000 |
| tilt_COUNTRY |
country_AU |
0.000000 |
| tilt_COUNTRY |
country_HK |
0.000000 |
| tilt_INDUSTRY |
ind_water_utilities |
0.000000 |
| tilt_COUNTRY |
country_SG |
0.000000 |
| tilt_COUNTRY |
country_NZ |
0.000000 |
| tilt_COUNTRY |
country_ID |
0.000000 |
| tilt_INDUSTRY |
ind_aerospace_defense |
0.000000 |
| tilt_COUNTRY |
country_TW |
0.000000 |
| tilt_INDUSTRY |
ind_coal |
0.000000 |
| tilt_INDUSTRY |
ind_renewable_energy |
0.000000 |
| tilt_COUNTRY |
country_TH |
0.000000 |
| tilt_COUNTRY |
country_MY |
0.000000 |
| tilt_INDUSTRY |
ind_holding_companies |
0.000000 |
| tilt_INDUSTRY |
ind_healthcare_providers_services |
-0.000008 |
| tilt_INDUSTRY |
ind_communications_equipment |
-0.000010 |
| tilt_INDUSTRY |
ind_oil_gas_equipment_services |
-0.000015 |
| unexplained |
pdiscrepancy |
-0.000017 |
| tilt_INDUSTRY |
ind_specialty_reatil |
-0.000043 |
| tilt_INDUSTRY |
ind_construction_materials |
-0.000064 |
| tilt_INDUSTRY |
ind_computers_phones_household_electronics |
-0.000085 |
| tilt_SIZE |
size_LARGE |
-0.000111 |
| alpha_VALUE |
value_liq |
-0.000115 |
| tilt_INDUSTRY |
ind_media_publishing |
-0.000128 |
| cost |
fcost |
-0.000130 |
| tilt_INDUSTRY |
ind_diversified_retail |
-0.000146 |
| tilt_INDUSTRY |
ind_containers_packaging |
-0.000162 |
| tilt_INDUSTRY |
ind_household_products_services |
-0.000172 |
| tilt_INDUSTRY |
ind_metals_mining |
-0.000177 |
| tilt_INDUSTRY |
ind_textiles_apparel |
-0.000222 |
| tilt_INDUSTRY |
ind_construction_engineering |
-0.000250 |
| cost |
bcost |
-0.000305 |
| tilt_INDUSTRY |
ind_paper_forestry |
-0.000309 |
| tilt_INDUSTRY |
ind_electronic_equipment |
-0.000347 |
| tilt_SIZE |
size_MICRO |
-0.000361 |
| tilt_INDUSTRY |
ind_software_it_services |
-0.000385 |
| tilt_INDUSTRY |
ind_real_estate_operations |
-0.000480 |
| cost |
linearCost |
-0.000488 |
| tilt_SIZE |
size_SMALL |
-0.000603 |
| tilt_INDUSTRY |
ind_household_goods |
-0.000770 |
| tilt_INDUSTRY |
ind_chemicals |
-0.000777 |
| tilt_INDUSTRY |
ind_pharmaceuticals |
-0.000823 |
| tilt_INDUSTRY |
ind_beverages |
-0.000911 |
| tilt_INDUSTRY |
ind_banking_services |
-0.001103 |
| risk_exposure |
market |
-0.001214 |
| cost |
impactCost |
-0.001420 |
| alpha_QUALITY |
quality |
-0.001562 |
| tilt_INDUSTRY |
ind_machinery |
-0.001673 |
| unexplained |
sdiscrepancy |
-0.001688 |
| tilt_COUNTRY |
country_JP |
-0.004110 |
| unexplained |
specret |
-0.009207 |
