Using Market : Factors Leaderboard
The Market : Factors screen acts as a factor’s leaderboard, summarizing the factors that are most overbought / oversold as well as showing the biggest movers (highest and lowest cumulative returns) over any specified time period. This information can help you take advantage of factor risk as an investment tool.
- Normalized Trend - These factors are automatically sorted based on their z-score — normalizing today’s return to the factor’s historic return — showing how many standard deviations away the current return is to its history. Overbought: +1 STD and above.
Oversold: -1 STD and below
- Biggest Movers - For any selected time period, we display the factors with the highest and lowest cumulative return. Side-by-side, you can spot if any factor is both outside its normal range and has a high return. Winners: high positive return.
Losers: high negative return
- Factors Filter - The normalized trend and biggest movers panels show all the factors associated with your factor model. Click on dropdown to update the screen to only display factors in specific categories — Style, Sector, Country, Currency.