Using Factor Profile

With quantamental analysis, factors are the driving metric to understanding your portfolio’s performance and risk. A factor is a characteristic of existing correlations which contribute to your portfolio. As such, we can decompose your portfolio into existing factors, based on which model you are subscribed to. We allow you to quickly pull up factor information using the factor profile, which shows the factor’s performance over 3 years, as well as, related ETFs that you may consider using as a hedging instrument.

Main Elements

  1. Time Period - You can select the time frame (MTD, 1M, 3M, 6M, YTD, 1Y, Custom) from the dropdown selector to view that security’s performance and factor contribution for your desired date range.
  2. Current Return Characteristic - A factor’s return may have an effect on your portfolio, especially those that are outside their normal (+/- 1 STD) range. We quickly display a factor’s return, given its history, into the following buckets: Extremely Overbought: +2 STD+
    Overbought: +1 - 2 STD
    Neutral: -1 - +1 STD
    Oversold: -1 - -2 STD
    Extremely Oversold -2 STD-
  3. Cumulative Return - This is the amount of return attributed to this factor for the time period selected. Hover over any graph to see data for a particular date.
  4. Normalized Return - Similar to the current return characteristic, this graph displays the factors return as a normalized graph, with each date showing the return’s normalized, smoothed, and de-trended z-score. Our own analysis shows that factors revert back towards their mean 70% of the time! Hover over any graph to see data for a particular date.
  5. Most Correlated ETFs - In order to capitalize on a factor’s head or tailwind, we display some hedging instruments that are the most positively and most negatively correlated to the factor’s performance. Clicking on any ETF will also show you that ETFs profile.

Preferred Factors

Want to keep track of this factor and ensure it displays across the application? 

Selecting the star icon next to the factor name will always display this factor in the relevant analyze graphs and rebalance tables.

Any number of factors can become preferred factors. The order of display is, by factor category:

  1. Preferred Factors
  2. Top Factors (as determined by the highest value for the last day of the date range)

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