Factor tape

Short Term

What it measures

Within its liquid-stock universe, this factor ranks stocks by how far their current price has moved from volume-weighted average price, looking for stretched intraday moves that may reverse.

Interpretation

The factor's ranking consistency, measured by ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry →, is +0.77 over 10 days, +5.51 over 20 days, and +7.17 over 60 days. The 10-day relationship is weaker than the longer record and has a positive orientation. Higher-ranked stocks have recently tended to lead lower-ranked stocks. The latest daily ranking result lies in the upper tail at the +100.0 percentile with robust z +3.09.

Evidence

Why it matters

A strategy calibrated to the longer history may overstate what this ranking has delivered recently. That argues for caution until the shorter record stabilizes.

Watch next

Watch whether the recent ranking relationship recovers toward its longer history.

Factor

Long Term

What it measures

This factor ranks stocks using the registered Low days to cover definition so their relative behavior can be compared with subsequent returns.

Interpretation

The factor's ranking consistency, measured by ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry →, is -4.19 over 10 days, -7.86 over 20 days, and -3.32 over 60 days. All three point in the same inverse direction. The recent relationship has run in reverse, with lower-ranked stocks tending to lead, and the agreement across windows makes that relationship less dependent on one chosen lookback.

Evidence

Why it matters

The relationship is not confined to one convenient lookback, which makes it more credible. Closely related factor variants still count as one source of evidence, not independent confirmation.

Watch next

Watch whether the ranking relationship keeps the same direction across all three windows.

Factor

Historical Tail

What it measures

This factor tests whether stocks that rank strongly on its inputs continue to lead peers.

Interpretation

On the latest evaluated day, the relationship between this factor's ranking and subsequent relative returns measured -0.5862, at +0.0 percentile with robust z -4.13. One daily observation was unusually far from its own history. One day can reflect a changing market regime or noise.

Evidence

Why it matters

An unusual day can be an early regime clue, but it is weak evidence by itself. The next observations need to show whether the relationship is changing or simply snapped back.

Watch next

Watch whether the next daily ranking results repeat the outlier or return toward normal.

Factor

Horizon Shift

What it measures

Within its liquid-stock universe, this factor ranks stocks by their most recent five-minute price move, testing whether the latest leaders and laggards continue in the same direction.

Interpretation

The factor's ranking consistency, measured by ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry →, is +4.07 over 10 days, -3.73 over 20 days, and -4.61 over 60 days. The recent and longer readings point in opposite directions. In practical terms, whether high-ranked or low-ranked stocks led depended on the lookback window. Its recent ranking consistency is at the +100.0 percentile of 40 comparable factors, near the top.

Evidence

Why it matters

A short-horizon strategy and a longer-horizon strategy could currently read this factor in opposite ways. The disagreement matters more than either number in isolation.

Watch next

Watch whether the recent and longer ranking relationships begin to point in the same direction.

Factor

Current ranking

Short Term

What it measures

Within its liquid-stock universe, this factor ranks stocks by how far their current price has moved from volume-weighted average price, looking for stretched intraday moves that may reverse.

Interpretation

The factor's ranking consistency, measured by ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry →, is +0.77 over 10 days, +5.51 over 20 days, and +7.17 over 60 days. The 10-day relationship is weaker than the longer record and has a positive orientation. Higher-ranked stocks have recently tended to lead lower-ranked stocks. The latest daily ranking result lies in the upper tail at the +100.0 percentile with robust z +3.09.

Evidence

Why it matters

A strategy calibrated to the longer history may overstate what this ranking has delivered recently. That argues for caution until the shorter record stabilizes.

Watch next

Watch whether the recent ranking relationship recovers toward its longer history.

Factor

Long Term

What it measures

This factor ranks stocks using the registered Low days to cover definition so their relative behavior can be compared with subsequent returns.

Interpretation

The factor's ranking consistency, measured by ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry →, is -4.19 over 10 days, -7.86 over 20 days, and -3.32 over 60 days. All three point in the same inverse direction. The recent relationship has run in reverse, with lower-ranked stocks tending to lead, and the agreement across windows makes that relationship less dependent on one chosen lookback.

Evidence

Why it matters

The relationship is not confined to one convenient lookback, which makes it more credible. Closely related factor variants still count as one source of evidence, not independent confirmation.

Watch next

Watch whether the ranking relationship keeps the same direction across all three windows.

Factor

Historical Tail

What it measures

This factor tests whether stocks that rank strongly on its inputs continue to lead peers.

Interpretation

On the latest evaluated day, the relationship between this factor's ranking and subsequent relative returns measured -0.5862, at +0.0 percentile with robust z -4.13. One daily observation was unusually far from its own history. One day can reflect a changing market regime or noise.

Evidence

Why it matters

An unusual day can be an early regime clue, but it is weak evidence by itself. The next observations need to show whether the relationship is changing or simply snapped back.

Watch next

Watch whether the next daily ranking results repeat the outlier or return toward normal.

Factor

Horizon Shift

What it measures

Within its liquid-stock universe, this factor ranks stocks by their most recent five-minute price move, testing whether the latest leaders and laggards continue in the same direction.

Interpretation

The factor's ranking consistency, measured by ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry →, is +4.07 over 10 days, -3.73 over 20 days, and -4.61 over 60 days. The recent and longer readings point in opposite directions. In practical terms, whether high-ranked or low-ranked stocks led depended on the lookback window. Its recent ranking consistency is at the +100.0 percentile of 40 comparable factors, near the top.

Evidence

Why it matters

A short-horizon strategy and a longer-horizon strategy could currently read this factor in opposite ways. The disagreement matters more than either number in isolation.

Watch next

Watch whether the recent and longer ranking relationships begin to point in the same direction.

Factor

Current ranking