Equity-sleeve coverage100.0%99.9% covered of 99.9% retained equity weight.
Total-fund coverage99.9%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.
Complete mapped company sleeve59/59 mapped companies have stored fundamentals, covering 100.0% of the retained company sleeve and 99.9% of fund weight. The remaining 0.1% is non-company exposure, not missing companies.
XLV — State Street Health Care Select Sector SPDR ETF factor map
Return factors and risk factors built from stored company fundamentals, price tape, themes, event evidence, liquidity, and flow datasets.
Companies59Ranked 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.
Factor exposure engine
Explain XLV — State Street Health Care Select Sector SPDR ETF through true factor returns
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
26 usable factors · 22 diagnostic factors
Common tape+0.89%Broad universe move before active factor interpretation.Rewarded / usable factors+2.17%18 rewarded · 8 risk-controlDiagnostic factors-0.31%22 diagnostic · 0 blockedResidual-0.06%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 · +3.79% actionable return
Active tilts18Risk controls8Blocked0Research-only22Regime-adjusted18
Small / validation pendingConviction 64 · risk budget n/a%
Contribution
+0.15%
Factor return
+1.16%
Exposure
+0.13
Earnings breadth 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 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
Low explanatory fit
Current stock-level fit69%Weighted R-squared across latest company returns.Average daily fit31%How often the model explains day-to-day cross-sectional moves.Fit stability25%Share of stored sessions with usable stock-level factor fit.Residual cost+3.97%Average stock-level error; gross residual +3.13%.
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.
Need more stock-level return coverage before the factor model can guide investment decisions.
Factor trust dashboardCan this attribution guide positioning?
Fragile
Trust score55
Use this as a research triage map; require company and catalyst confirmation before sizing.
Positioning guidanceFragile
Use this as a research triage map; require company and catalyst confirmation before sizing.
Weakest fit dayJun 29, 2026
5% fit · RMSE +0.26%
Residual-dominated days27
Latest fit 67% · average 31%
Required checks before sizing2 passed
Stock-level fitfail31 · Stock-level fit is unstable; use the model as a map for research, not as a sizing engine.
Residual loadpass24 · 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 loadpass18 · Most model risk comes from usable rewarded or risk-control factors.
Failure modes5 checks
Weak stock-level fithighThe cross-sectional model is not consistently explaining stock returns.
Weakest fit dayhigh2026-06-29 had only 5.0% 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.
Residual-dominated daysmedium27 stored sessions had more residual than modeled factor fit.
Factor reliability boardWhich factors are investable, confirming, or noisy
56 average reliability · 0 decision-grade factors
Decision-grade tilts0Validated enough for active factor interpretation
No factor clears all reliability gates yet.
Usable confirmation8Useful when independent evidence agrees
Earnings revision pressureUse as a confirming factor alongside other independent evidence.
Reliability
70
Validation
n/a
Crowding
58
Growth accelerationUse as a confirming factor alongside other independent evidence.
Reliability
66
Validation
n/a
Crowding
57
LeverageUse as a confirming factor alongside other independent evidence.
Reliability
66
Validation
n/a
Crowding
55
BetaUse as a confirming factor alongside other independent evidence.
Reliability
62
Validation
n/a
Crowding
60
Noisy or incomplete4Needs better validation, coverage, or stability
ValueUse as a descriptive exposure until forward tests are populated.
Reliability
56
Validation
n/a
Crowding
60
Crowding break riskUse as a descriptive exposure until forward tests are populated.
Reliability
56
Validation
n/a
Crowding
74
SizeUse as a descriptive exposure until forward tests are populated.
Reliability
54
Validation
n/a
Crowding
64
Macro / theme tailwindUse as a descriptive exposure until forward tests are populated.
Price momentumUse only as a warning or confirmation; avoid double-counting this factor.
Reliability
65
Validation
n/a
Crowding
99
Relative leadershipUse only as a warning or confirmation; avoid double-counting this factor.
Reliability
64
Validation
n/a
Crowding
99
Institutional flowUse only as a warning or confirmation; avoid double-counting this factor.
Reliability
68
Validation
n/a
Crowding
99
Fund-flow confirmationUse only as a warning or confirmation; avoid double-counting this factor.
Reliability
50
Validation
n/a
Crowding
99
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.
Tracker