Equity-sleeve coverage94.9%56.4% covered of 59.4% retained equity weight.
Total-fund coverage56.4%Company fundamentals as a share of 100.0% reported fund weight; no reallocation.
Non-company exposure40.6%Cash, derivatives, and other non-equity rows are excluded · tradingview_etf_holdings · Jul 20, 2026 · current.
Partial mapped company sleeve26/26 mapped companies have stored fundamentals, covering 94.9% of the retained company sleeve and 56.4% of fund weight. The remaining 40.6% is non-company exposure, not missing companies. Separately, 4 equity holdings (3.0% of fund weight) remain unmapped.
Return factors and risk factors built from stored company fundamentals, price tape, themes, event evidence, liquidity, and flow datasets.
Companies26Ranked inside this universe
Factors5034 ready · 16 partial
Coverage99%Average ready-factor coverage
As ofJul 21, 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
22 usable factors · 26 diagnostic factors
Common tape+12.70%Broad universe move before active factor interpretation.Rewarded / usable factors-4.70%17 rewarded · 5 risk-controlDiagnostic factors-10.83%26 diagnostic · 0 blockedResidual-0.21%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 · +1.72% actionable return
Active tilts17Risk controls5Blocked0Research-only26Regime-adjusted17
OverweightValueConfirmed rewarded factor
Small / validation pendingConviction 75 · risk budget n/a%
Contribution
+1.44%
Factor return
+15.34%
Exposure
+0.09
Value is a rewarded factor with positive contribution and usable breadth.
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 watchRisk budget watchRegime fit watch
Small / validation pendingConviction 65 · risk budget n/a%
Contribution
+2.08%
Factor return
-4.03%
Exposure
-0.52
Shareholder yield is a rewarded factor with positive contribution and usable breadth.
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 failCrowding passRisk 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
High-confidence fit
Current stock-level fit71%Weighted R-squared across latest company returns.Average daily fit73%How often the model explains day-to-day cross-sectional moves.Fit stability92%Share of stored sessions with usable stock-level factor fit.Residual cost+12.68%Average stock-level error; gross residual +6.28%.
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 for the common tape and major style tilts; send weak-fit pockets into residual research.
Factor trust dashboardCan this attribution guide positioning?
Usable with checks
Trust score69
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 3, 2026
44% fit · RMSE +9.34%
Residual-dominated days3
Latest fit 88% · average 73%
Required checks before sizing2 passed
Stock-level fitpass73 · Latest and average stock-level fit are strong enough to start with factor attribution.
Residual loadpass15 · 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 loadwatch36 · Diagnostic-only factors are meaningful; use them for triage rather than direct sizing.
Failure modes5 checks
Weakest fit daymedium2026-06-03 had only 44.0% 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 loadmediumToo much movement is explained by diagnostic-only factors that should not be direct sizing inputs.
Residual-dominated daysmedium3 stored sessions had more residual than modeled factor fit.
Factor reliability boardWhich factors are investable, confirming, or noisy
55 average reliability · 0 decision-grade factors
Decision-grade tilts0Validated enough for active factor interpretation
No factor clears all reliability gates yet.
Usable confirmation4Useful when independent evidence agrees
ValueUse as a confirming factor alongside other independent evidence.
Reliability
75
Validation
n/a
Crowding
71
Drawdown repairUse as a confirming factor alongside other independent evidence.
Reliability
71
Validation
n/a
Crowding
58
Earnings revision pressureUse as a confirming factor alongside other independent evidence.
Reliability
65
Validation
n/a
Crowding
57
Shareholder yieldUse as a confirming factor alongside other independent evidence.
Reliability
61
Validation
n/a
Crowding
46
Noisy or incomplete6Needs better validation, coverage, or stability
SizeUse as a descriptive exposure until forward tests are populated.
Reliability
55
Validation
n/a
Crowding
77
Macro / theme tailwindUse as a descriptive exposure until forward tests are populated.
Reliability
55
Validation
n/a
Crowding
73
LeverageUse as a descriptive exposure until forward tests are populated.
Reliability
52
Validation
n/a
Crowding
75
LiquidityUse as a descriptive exposure until forward tests are populated.
Catalyst evidenceUse only as a warning or confirmation; avoid double-counting this factor.
Reliability
51
Validation
n/a
Crowding
99
Institutional flowUse only as a warning or confirmation; avoid double-counting this factor.
Reliability
64
Validation
n/a
Crowding
99
Revenue acceleration leadershipUse only as a warning or confirmation; avoid double-counting this factor.
Reliability
64
Validation
n/a
Crowding
99
Flow-momentum confluenceUse only as a warning or confirmation; avoid double-counting this factor.
Reliability
61
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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