| Category |
Factor |
Contribution |
| alpha_REVISION |
revision |
0.008931 |
| alpha_REVERSAL |
reversal |
0.006254 |
| alpha_QUALITY |
quality |
0.002440 |
| unexplained |
sdiscrepancy |
0.002092 |
| tilt_INDUSTRY |
ind_beverages |
0.001749 |
| tilt_INDUSTRY |
ind_pharmaceuticals |
0.001697 |
| tilt_INDUSTRY |
ind_insurance |
0.001464 |
| alpha_QUALITY |
stability |
0.001304 |
| alpha_VALUE |
value_liq |
0.000818 |
| tilt_SIZE |
size_SMALL |
0.000742 |
| tilt_SIZE |
size_LARGE |
0.000631 |
| risk_exposure |
sbeta_market |
0.000534 |
| alpha_MOMENTUM |
linkage |
0.000511 |
| tilt_INDUSTRY |
ind_commercial_services_supplies |
0.000483 |
| tilt_INDUSTRY |
ind_healthcare_equipment_supplies |
0.000462 |
| tilt_INDUSTRY |
ind_automobile |
0.000360 |
| alpha_VALUE |
neglect |
0.000355 |
| tilt_INDUSTRY |
ind_machinery |
0.000327 |
| alpha_QUALITY |
fmom |
0.000315 |
| tilt_INDUSTRY |
ind_real_estate_operations |
0.000242 |
| tilt_INDUSTRY |
ind_diversified_retail |
0.000215 |
| tilt_INDUSTRY |
ind_leisure_products |
0.000199 |
| tilt_INDUSTRY |
ind_chemicals |
0.000194 |
| tilt_INDUSTRY |
ind_media_publishing |
0.000158 |
| tilt_INDUSTRY |
ind_software_it_services |
0.000146 |
| tilt_INDUSTRY |
ind_homebuilding_building_products |
0.000137 |
| tilt_INDUSTRY |
ind_electric_utilities_ipps |
0.000113 |
| tilt_INDUSTRY |
ind_construction_engineering |
0.000111 |
| tilt_SIZE |
size_MICRO |
0.000090 |
| tilt_INDUSTRY |
ind_coal |
0.000088 |
| risk_exposure |
market |
0.000083 |
| tilt_INDUSTRY |
ind_household_goods |
0.000080 |
| alpha_VALUE |
value_gc |
0.000070 |
| alpha_MOMENTUM |
momentum |
0.000069 |
| tilt_INDUSTRY |
ind_containers_packaging |
0.000045 |
| tilt_INDUSTRY |
ind_metals_mining |
0.000042 |
| tilt_INDUSTRY |
ind_consumer_goods_conglomerates |
0.000032 |
| tilt_INDUSTRY |
ind_communications_equipment |
0.000004 |
| tilt_INDUSTRY |
ind_transportation_infrastructure |
0.000001 |
| tilt_COUNTRY |
country_XH |
0.000000 |
| tilt_COUNTRY |
country_AU |
0.000000 |
| tilt_COUNTRY |
country_CN |
0.000000 |
| tilt_INDUSTRY |
ind_oil_gas_equipment_services |
0.000000 |
| tilt_COUNTRY |
country_MY |
0.000000 |
| tilt_COUNTRY |
country_PH |
0.000000 |
| tilt_INDUSTRY |
ind_multiline_utilities |
0.000000 |
| tilt_COUNTRY |
country_NZ |
0.000000 |
| tilt_COUNTRY |
country_TW |
0.000000 |
| tilt_COUNTRY |
country_TH |
0.000000 |
| tilt_INDUSTRY |
ind_holding_companies |
0.000000 |
| tilt_COUNTRY |
country_SG |
0.000000 |
| tilt_COUNTRY |
country_IN |
0.000000 |
| tilt_INDUSTRY |
ind_water_utilities |
0.000000 |
| tilt_INDUSTRY |
ind_renewable_energy |
0.000000 |
| tilt_INDUSTRY |
ind_fintech |
0.000000 |
| tilt_INDUSTRY |
ind_aerospace_defense |
0.000000 |
| tilt_COUNTRY |
country_ID |
0.000000 |
| tilt_INDUSTRY |
ind_uranium |
0.000000 |
| tilt_COUNTRY |
country_KR |
0.000000 |
| tilt_COUNTRY |
country_HK |
0.000000 |
| tilt_INDUSTRY |
ind_integrated_hardware_software |
0.000000 |
| tilt_SIZE |
size_MID |
-0.000003 |
| tilt_INDUSTRY |
ind_biotechnology |
-0.000013 |
| tilt_INDUSTRY |
ind_specialty_reatil |
-0.000015 |
| tilt_INDUSTRY |
ind_investment_services |
-0.000034 |
| tilt_INDUSTRY |
ind_industrial_distribution |
-0.000066 |
| tilt_INDUSTRY |
ind_oil_gas |
-0.000070 |
| tilt_INDUSTRY |
ind_electronic_equipment |
-0.000076 |
| tilt_INDUSTRY |
ind_construction_materials |
-0.000126 |
| cost |
fcost |
-0.000156 |
| tilt_INDUSTRY |
ind_textiles_apparel |
-0.000168 |
| tilt_INDUSTRY |
ind_hotels_entertainment |
-0.000197 |
| tilt_INDUSTRY |
ind_natural_gas_utilities |
-0.000213 |
| tilt_INDUSTRY |
ind_office_equipment |
-0.000221 |
| tilt_INDUSTRY |
ind_semiconductors |
-0.000224 |
| tilt_INDUSTRY |
ind_passenger_transportation |
-0.000227 |
| tilt_INDUSTRY |
ind_healthcare_providers_services |
-0.000230 |
| cost |
bcost |
-0.000319 |
| tilt_INDUSTRY |
ind_computers_phones_household_electronics |
-0.000320 |
| tilt_INDUSTRY |
ind_freight_logistics |
-0.000321 |
| tilt_COUNTRY |
country_JP |
-0.000435 |
| tilt_INDUSTRY |
ind_paper_forestry |
-0.000450 |
| tilt_INDUSTRY |
ind_food_drug_retail |
-0.000477 |
| cost |
linearCost |
-0.000505 |
| tilt_INDUSTRY |
ind_household_products_services |
-0.000535 |
| tilt_INDUSTRY |
ind_banking_services |
-0.000538 |
| tilt_INDUSTRY |
ind_food_tobacco |
-0.000549 |
| tilt_INDUSTRY |
ind_telecommunications_serices |
-0.001183 |
| unexplained |
pdiscrepancy |
-0.001247 |
| cost |
impactCost |
-0.001483 |
| unexplained |
specret |
-0.021199 |
