| Category |
Factor |
Contribution |
| alpha_REVERSAL |
reversal |
0.006258 |
| alpha_VALUE |
value_liq |
0.005886 |
| alpha_REVISION |
revision |
0.004466 |
| alpha_QUALITY |
quality |
0.004437 |
| alpha_QUALITY |
stability |
0.001421 |
| tilt_INDUSTRY |
ind_machinery |
0.000919 |
| tilt_INDUSTRY |
ind_insurance |
0.000562 |
| tilt_INDUSTRY |
ind_healthcare_equipment_supplies |
0.000490 |
| tilt_INDUSTRY |
ind_household_goods |
0.000488 |
| tilt_INDUSTRY |
ind_food_tobacco |
0.000346 |
| tilt_INDUSTRY |
ind_freight_logistics |
0.000310 |
| tilt_INDUSTRY |
ind_beverages |
0.000290 |
| alpha_MOMENTUM |
linkage |
0.000260 |
| tilt_INDUSTRY |
ind_metals_mining |
0.000259 |
| tilt_INDUSTRY |
ind_electric_utilities_ipps |
0.000228 |
| alpha_QUALITY |
fmom |
0.000221 |
| risk_exposure |
market |
0.000165 |
| tilt_INDUSTRY |
ind_software_it_services |
0.000144 |
| tilt_INDUSTRY |
ind_construction_engineering |
0.000077 |
| tilt_INDUSTRY |
ind_commercial_services_supplies |
0.000028 |
| tilt_INDUSTRY |
ind_multiline_utilities |
0.000026 |
| tilt_INDUSTRY |
ind_diversified_retail |
0.000022 |
| tilt_INDUSTRY |
ind_oil_gas_equipment_services |
0.000020 |
| tilt_INDUSTRY |
ind_computers_phones_household_electronics |
0.000020 |
| alpha_MOMENTUM |
momentum |
0.000020 |
| tilt_INDUSTRY |
ind_investment_services |
0.000018 |
| tilt_INDUSTRY |
ind_oil_gas |
0.000017 |
| tilt_INDUSTRY |
ind_homebuilding_building_products |
0.000006 |
| tilt_INDUSTRY |
ind_aerospace_defense |
0.000002 |
| tilt_INDUSTRY |
ind_fintech |
0.000001 |
| tilt_INDUSTRY |
ind_telecommunications_serices |
0.000000 |
| tilt_COUNTRY |
country_IN |
0.000000 |
| tilt_COUNTRY |
country_PH |
0.000000 |
| tilt_COUNTRY |
country_KR |
0.000000 |
| tilt_INDUSTRY |
ind_consumer_goods_conglomerates |
0.000000 |
| tilt_INDUSTRY |
ind_integrated_hardware_software |
0.000000 |
| tilt_COUNTRY |
country_ID |
0.000000 |
| tilt_COUNTRY |
country_TW |
0.000000 |
| tilt_INDUSTRY |
ind_natural_gas_utilities |
0.000000 |
| tilt_COUNTRY |
country_NZ |
0.000000 |
| tilt_COUNTRY |
country_JP |
0.000000 |
| tilt_COUNTRY |
country_AU |
0.000000 |
| tilt_INDUSTRY |
ind_uranium |
0.000000 |
| tilt_COUNTRY |
country_MY |
0.000000 |
| tilt_COUNTRY |
country_XH |
0.000000 |
| tilt_INDUSTRY |
ind_leisure_products |
0.000000 |
| tilt_COUNTRY |
country_TH |
0.000000 |
| tilt_COUNTRY |
country_SG |
0.000000 |
| tilt_COUNTRY |
country_HK |
0.000000 |
| tilt_INDUSTRY |
ind_holding_companies |
0.000000 |
| tilt_INDUSTRY |
ind_paper_forestry |
-0.000000 |
| tilt_INDUSTRY |
ind_specialty_reatil |
-0.000002 |
| tilt_INDUSTRY |
ind_containers_packaging |
-0.000002 |
| tilt_INDUSTRY |
ind_healthcare_providers_services |
-0.000009 |
| tilt_INDUSTRY |
ind_hotels_entertainment |
-0.000009 |
| tilt_INDUSTRY |
ind_office_equipment |
-0.000024 |
| tilt_INDUSTRY |
ind_transportation_infrastructure |
-0.000038 |
| tilt_SIZE |
size_MICRO |
-0.000042 |
| tilt_INDUSTRY |
ind_renewable_energy |
-0.000050 |
| tilt_INDUSTRY |
ind_water_utilities |
-0.000053 |
| tilt_INDUSTRY |
ind_automobile |
-0.000067 |
| tilt_INDUSTRY |
ind_electronic_equipment |
-0.000070 |
| tilt_INDUSTRY |
ind_passenger_transportation |
-0.000072 |
| tilt_INDUSTRY |
ind_construction_materials |
-0.000085 |
| tilt_SIZE |
size_MID |
-0.000113 |
| alpha_VALUE |
value_gc |
-0.000114 |
| tilt_INDUSTRY |
ind_household_products_services |
-0.000121 |
| tilt_INDUSTRY |
ind_real_estate_operations |
-0.000124 |
| tilt_INDUSTRY |
ind_banking_services |
-0.000143 |
| tilt_INDUSTRY |
ind_industrial_distribution |
-0.000154 |
| tilt_INDUSTRY |
ind_textiles_apparel |
-0.000178 |
| tilt_INDUSTRY |
ind_coal |
-0.000239 |
| tilt_INDUSTRY |
ind_biotechnology |
-0.000277 |
| cost |
fcost |
-0.000299 |
| tilt_INDUSTRY |
ind_food_drug_retail |
-0.000304 |
| tilt_INDUSTRY |
ind_communications_equipment |
-0.000344 |
| tilt_COUNTRY |
country_CN |
-0.000396 |
| tilt_INDUSTRY |
ind_media_publishing |
-0.000427 |
| tilt_SIZE |
size_SMALL |
-0.000571 |
| tilt_INDUSTRY |
ind_chemicals |
-0.000588 |
| tilt_SIZE |
size_LARGE |
-0.000695 |
| tilt_INDUSTRY |
ind_semiconductors |
-0.000744 |
| unexplained |
pdiscrepancy |
-0.000881 |
| cost |
bcost |
-0.001066 |
| alpha_VALUE |
neglect |
-0.001127 |
| tilt_INDUSTRY |
ind_pharmaceuticals |
-0.001251 |
| risk_exposure |
sbeta_market |
-0.001384 |
| cost |
impactCost |
-0.001648 |
| cost |
linearCost |
-0.003928 |
| unexplained |
sdiscrepancy |
-0.004594 |
| unexplained |
specret |
-0.015549 |
