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Factor Profile
Factor Profile

Access your risk model's factor data anywhere within the application. Add a factor as a Preferred Factor.

Edgar Nuñez avatar
Written by Edgar Nuñez
Updated over a week ago

Using Factor Profile

With quant-enabled 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 any selected date range, 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 Exposed 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 exposed to the factor. Clicking on Refine Search will allow you to add additional characteristics, such as filtering based on market cap, to find a more suitable hedging instrument.

  6. Preferred Factors - Want to keep track of this factor? Selecting the star icon next to the factor name will always display this factor in the relevant analyze graphs and rebalance tables.

Overbought / Oversold Indicator

When a factor is oversold, it has deviated from its long-term return trend by over 1 standard deviation. An extremely oversold factor has deviated from its long-term return trend by over 2 standard deviations.

Historically, when looking at the next quarter of trading, whether a factor is extremely oversold or simply oversold, the model shows it reverts to its long-term return trend more than 70% of the time.
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A reversion to the long-term return trend occurs when the normalized factor return moves from its current overbought or oversold levels (i.e. >1 or >2 standard deviations) to within 0.5 standard deviations of the long-term trend for at least a week of trading.

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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