Equity-sleeve coverage75.5%75.4% covered of 99.9% retained equity weight.
Total-fund coverage75.4%Company fundamentals as a share of 100.0% reported fund weight; no reallocation.
Non-company exposure0.1%Cash, derivatives, and other non-equity rows are excluded · tradingview_etf_holdings · Jul 20, 2026 · current.
Partial mapped company sleeve22/22 mapped companies have stored fundamentals, covering 75.5% of the retained company sleeve and 75.4% of fund weight. The remaining 0.1% is non-company exposure, not missing companies. Separately, 39 equity holdings (24.5% of fund weight) remain unmapped.
Return factors and risk factors built from stored company fundamentals, price tape, themes, event evidence, liquidity, and flow datasets.
Companies22Ranked inside this universe
Factors5034 ready · 16 partial
Coverage99%Average ready-factor coverage
As ofJul 20, 9:30 PM GMT+8Latest stored factor input
Full factor lab detail queuedThe initial factor map is loaded from the compact snapshot; full histories, heatmaps, validation matrices, and lenses hydrate on demand.
Factor workflow
Navigate the factor engine without scrolling the whole report
Start with attribution quality, move into the action book, then inspect individual factor evidence only when needed.
Daily stock-level cross-sectional regressions estimate factor returns from company returns and reusable economic factor exposures. Sector, industry, theme, and country are reporting lenses, not dummy factors used to force-fit the universe return.
For each stored trading day, company returns are regressed against reusable company-level factor exposures. The common market column captures the broad universe tape; style factors explain tilts around that tape.
Lens policyNo fake fit from buckets
Sector, industry, country, and theme are reporting lenses only; they are not dummy variables used to force-fit returns.
Attribution splitWhat is investable versus only explanatory
15 usable factors · 35 diagnostic factors
Common tape-14.14%Broad universe move before active factor interpretation.Rewarded / usable factors+4.25%7 rewarded · 8 risk-controlDiagnostic factors+10.00%35 diagnostic · 0 blockedResidual-0.01%Idiosyncratic return that should flow into company-level research.
Attribution policy. Separate common tape, investable rewarded factors, diagnostic factors, and residual. Diagnostic factors explain movement but are not portfolio-sizing inputs.
Factor action bookWhat to overweight, hedge, block, or research next
Overweight · +2.23% actionable return
Active tilts7Risk controls8Blocked0Research-only35Regime-adjusted7
Small / validation pendingConviction 60 · risk budget n/a%
Contribution
-0.18%
Factor return
+2.65%
Exposure
-0.07
Flow-momentum confluence is a rewarded factor with negative contribution; reduce high exposure until payoff repairs.
Regime-aware sizingSmall / validation pending
No stored regime evidence · best n/a · worst n/a · n/a% survival
No stored regime validation yet; keep sizing small until regime behavior is refreshed.
Coverage passValidation watchPayoff passCrowding failRisk budget watchRegime fit watch
Use the action book as a review order. Active tilts require validation, breadth, uniqueness, controlled crowding, and regime survival; diagnostic rows remain research-only.
Model fit disciplineWhen factor attribution is reliable enough to use
Usable factor fit
Current stock-level fit92%Weighted R-squared across latest company returns.Average daily fit61%How often the model explains day-to-day cross-sectional moves.Fit stability58%Share of stored sessions with usable stock-level factor fit.Residual cost+3.80%Average stock-level error; gross residual +3.24%.
Not an accounting identity. R-squared is a stock-level fit diagnostic, not a promise that factors explain every portfolio return dollar. The residual board remains the source of company-specific work.
Use factors as the first pass, then verify residual groups and company-specific outliers before sizing.
Factor trust dashboardCan this attribution guide positioning?
Usable with checks
Trust score62
Use smaller factor tilts; validate residual clusters and crowded factors before sizing.
Positioning guidanceUsable with checks
Use smaller factor tilts; validate residual clusters and crowded factors before sizing.
Weakest fit dayJun 26, 2026
33% fit · RMSE +0.25%
Residual-dominated days15
Latest fit 88% · average 61%
Required checks before sizing2 passed
Stock-level fitpass61 · Latest and average stock-level fit are strong enough to start with factor attribution.
Residual loadpass8 · Residual sleeve is controlled enough for a factor-first review.
Validation depthwatchn/a · Run forward validation before treating factor payoffs as durable.
Crowding controlfail100 · Top factors or redundant factors dominate; cap position size and avoid double counting.
Diagnostic factor loadfail54 · Diagnostic-only factors explain too much movement; do not size them directly.
Failure modes5 checks
Weakest fit dayhigh2026-06-26 had only 33.0% stock-level explanatory fit.
Validation depthmediumForward validation is not strong enough to treat every factor payoff as durable.
Crowding controlhighA small number of sleeves or overlapping factors can dominate the attribution.
Diagnostic factor loadhighToo much movement is explained by diagnostic-only factors that should not be direct sizing inputs.
Residual-dominated daysmedium15 stored sessions had more residual than modeled factor fit.
Factor reliability boardWhich factors are investable, confirming, or noisy
52 average reliability · 0 decision-grade factors
Decision-grade tilts0Validated enough for active factor interpretation
No factor clears all reliability gates yet.
Usable confirmation3Useful when independent evidence agrees
Earnings revision pressureUse as a confirming factor alongside other independent evidence.
Reliability
62
Validation
n/a
Crowding
75
SizeUse as a confirming factor alongside other independent evidence.
Reliability
61
Validation
n/a
Crowding
55
Power/grid beneficiaryUse as a confirming factor alongside other independent evidence.
Reliability
59
Validation
n/a
Crowding
61
Noisy or incomplete6Needs better validation, coverage, or stability
LeverageUse as a descriptive exposure until forward tests are populated.
Reliability
55
Validation
n/a
Crowding
77
LiquidityUse as a descriptive exposure until forward tests are populated.
Reliability
54
Validation
n/a
Crowding
44
Options pressureUse as a descriptive exposure until forward tests are populated.
Reliability
54
Validation
n/a
Crowding
77
Insider alignmentUse as a descriptive exposure until forward tests are populated.
Catalyst evidenceUse only as a warning or confirmation; avoid double-counting this factor.
Reliability
69
Validation
n/a
Crowding
99
Institutional flowUse only as a warning or confirmation; avoid double-counting this factor.
Reliability
64
Validation
n/a
Crowding
98
Revenue acceleration leadershipUse only as a warning or confirmation; avoid double-counting this factor.
Reliability
56
Validation
n/a
Crowding
98
Flow-momentum confluenceUse only as a warning or confirmation; avoid double-counting this factor.
Reliability
63
Validation
n/a
Crowding
98
No factor currently clears the decision-grade validation, stability, and uniqueness gates.Some factors are highly correlated with peers, so do not add their attributions together mechanically.Some factors are descriptive only until forward validation or coverage improves.
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