Updated October 2026. Analyze › Factors in the Performance view answers “did I get paid for the risk I took?”: each factor's return to your book, its volatility and its Sharpe ratio, for any period.
View: Performance, Risk or Exposure.
Date range for every number on the page.
Display: Currency Performance (dollars) or percent.
Total: the portfolio's return, annualized volatility and Sharpe.
Specific and Factors: the stock-specific part and the factor part.
Factor groups: Market, Style and Sector (plus Country and Currency in global models).
Factors attribution: every factor, sortable; click a name to open its factor profile.
Switch the risk model at the top right to compare lenses, turn on a benchmark for active numbers, or segment the book to see one slice (Segment analysis).
New to this? What a factor Sharpe tells you
New to this? What a factor Sharpe tells you
A factor's Sharpe here is its return to your book divided by its volatility. A high positive Sharpe on a factor you meant to hold is a bet that paid; a large, volatile factor contribution you didn't intend is risk you weren't paid for. Compare the Specific line with the Factors line to see whether stock picking or factor positioning drove the period.
Methodology notes
Methodology notes
Total = Specific + Factors + Residual. Residual holds rate, currency, ETF and other effects, so Specific and Factors may not add exactly to Total (in the sample, −1.507M + 4.070M + 0.280M residual = 2.843M).
Annualized volatility and Sharpe use the daily returns in the selected period; for periods under a year they are annualized from less than a year of data.
Dollar figures are the sum of daily P&L; percent figures compound daily returns. See Return calculation methodology.